NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Jessica Wachter

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers and Chapters

April 2014Rare Booms and Disasters in a Multi-sector Endowment Economy
with Jerry Tsai: w20062
November 2013Maximum likelihood estimation of the equity premium
with Efstathios Avdis: w19684
Option Prices in a Model with Stochastic Disaster Risk
with Sang Byung Seo: w19611
August 2011What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio
with Missaka Warusawitharana: w17334
August 2010Why Do Household Portfolio Shares Rise in Wealth?
with Motohiro Yogo: w16316
Asset Allocation
w16255
January 2009The Term Structures of Equity and Interest Rates
with Martin Lettau: w14698
October 2008Using Samples of Unequal Length in Generalized Method of Moments Estimation
with Anthony W. Lynch: w14411
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
w14386
June 2007Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
with Missaka Warusawitharana: w13165
August 2005Solving Models with External Habit
w11559
February 2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
with Martin Lettau: w11144
August 2004Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements
with Malcolm Baker, Lubomir Litov, Jeffrey Wurgler: w10685
February 2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
with Martin Lettau, Sydney C. Ludvigson: w10270
November 2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
with Antonios Sangvinatsos: w10086
April 1999Bayesian Performance Evaluation
with Klaas Baks, Andrew Metrick: w7069

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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