NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Jessica Wachter

Department of Finance
2300 SH-DH
The Wharton School
University of Pennsylvania
3620 Locust Walk
Philadelphia, PA 19104
Tel: 215/898-7634
Fax: 215/898-6200

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

August 2017Cyclical Dispersion in Expected Defaults
with João F. Gomes, Marco Grotteria: w23704
October 2016Do Rare Events Explain CDX Tranche Spreads?
with Sang Byung Seo: w22723
September 2015Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
with Mete Kilic: w21575
February 2015Disaster Risk and its Implications for Asset Pricing
with Jerry Tsai: w20926

Published: Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and Its Implications for Asset Pricing," Annual Review of Financial Economics, vol 7(1), pages 219-252.

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

Published: Efstathios Avdis & Jessica A. Wachter, 2017. "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, .

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

What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio, with Missaka Warusawitharana, forthcoming, Journal of Econometrics. citation courtesy of

August 2010Why Do Household Portfolio Shares Rise in Wealth?
with Motohiro Yogo: w16316

Published: Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 23(11), pages 3929-3965, November. citation courtesy of

Asset Allocation
w16255

Published: Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December. citation courtesy of

January 2009The Term Structures of Equity and Interest Rates
with Martin Lettau: w14698

Published: Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July. citation courtesy of

October 2008Using Samples of Unequal Length in Generalized Method of Moments Estimation
with Anthony W. Lynch: w14411

Published: Lynch, Anthony W. & Wachter, Jessica A., 2013. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(01), pages 277-307, February. citation courtesy of

Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
w14386

Published: Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, 06. citation courtesy of

June 2007Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
with Missaka Warusawitharana: w13165

Published: Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February. citation courtesy of

August 2005Solving Models with External Habit
w11559

Published: Wachter, Jessica A. "Solving Models With External Habit," Finance Research Letters, 2005, v2(4,Dec), 210-226. citation courtesy of

February 2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
with Martin Lettau: w11144

Published: Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, 02. citation courtesy of

August 2004Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements
with Malcolm Baker, Lubomir Litov, Jeffrey Wurgler: w10685

Published: Baker, Malcolm, Lubomir Litov, Jessica A. Wachter, and Jeffrey Wurgler, "Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements", Journal of Financial and Quantitative Analysis, Volume 45 - Issue 05. (2010) citation courtesy of

February 2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
with Martin Lettau, Sydney C. Ludvigson: w10270

Published:

November 2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
with Antonios Sangvinatsos: w10086

Published: Sangvinatsos, Antonios and Jessica A. Wachter. "Does The Failure Of The Expectations Hypothesis Matter For Long-Term Investors?," Journal of Finance, 2005, v60(1,Feb), 179-230. citation courtesy of

April 1999Bayesian Performance Evaluation
with Klaas Baks, Andrew Metrick: w7069

Published: Newly titled "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation", Journal of Finance (February 2001).

 
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