Skip to main content

About the Author(s)


Jessica Wachter is the Richard B. Worley Professor of Financial Management at the Wharton School of Business at the University of Pennsylvania. She holds a PhD in business economics and an undergraduate degree in mathematics from Harvard University. She is currently serves on the board of the Western Finance Association and as an associate editor of Quantitative Economics. Previously, she served as associate editor at The Review of Financial Studies and the Journal of Economic Theory and as a board member of the American Finance Association.

Wachter’s research interests include asset pricing models that incorporate rare events and behavioral finance. She has published numerous papers in the Journal of Finance, the Journal of Financial Economics, The Review of Financial Studies, and other journals.





1. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,’’ Campbell J, Shiller R. NBER Working Paper 2100, December 1986, and The Review of Financial Studies 1(3), Fall 1988, pp. 195–228.   Go to ⤴︎
2. Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?’’ Wachter J. NBER Working Paper 14386, October 2008, revised March 2012, and The Journal of Finance 68(3), 2013, pp. 987–1035.   Go to ⤴︎
3. The model is calibrated to international consumption and GDP data; see “Macroeconomic Crises since 1870,’’ Ursua J, Barro R. NBER Working Paper 13940, April 2008, and Brookings Papers on Economic Activity, 39(1), Spring 2008, pp. 255–350.   Go to ⤴︎
4. The Macroeconomic Announcement Premium,’’ Wachter J, Zhu Y. NBER Working Paper 24432, March 2018.   Go to ⤴︎
5. Option Prices in a Model with Stochastic Disaster Risk,’’ Seo S, Wachter J. NBER Working Paper 19611, November 2013, revised August 2015, and Management Science 65(8), August 2019, pp. 3449–3469.   Go to ⤴︎
6. Do Rare Events Explain CDX Tranche Spreads?” Seo S, Wachter J. NBER Working Paper 22723, October 2016, and The Journal of Finance 73(5), October 2018, pp. 2343–2383.   Go to ⤴︎
7. The Cyclical Behavior of Equilibrium Unemployment and Vacancies,” Shimer R. American Economic Review 95(1), March 2005, pp. 25–49.   Go to ⤴︎
8. Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility,’’ Kilic M, Wachter J. NBER Working Paper 21575, September 2015, revised May 2016, and The Review of Financial Studies 31(12), December 2018, pp. 4762–4814.   Go to ⤴︎
9. Cyclical Dispersion in Expected Defaults,’’ Gomes J, Grotteria M, Wachter J. NBER Working Paper 23704, August 2017, and The Review of Financial Studies 32(4), April 2019, pp. 1275–1308. For related findings, see: “Issuer Quality and Bond Returns,’’ Greenwood R, Hanson S. The Review of Financial Studies 26(6), June 2013, pp. 1483–1525. Go to ⤴︎
10. Foreseen Risks,’’ Gomes J, Grotteria M, Wachter J. NBER Working Paper 25277, November 2018, revised July 2019. Go to ⤴︎

More from NBER

In addition to working papers, the NBER disseminates affiliates’ latest findings through a range of free periodicals — the NBER Reporter, the NBER Digest, the Bulletin on Retirement and Disability, the Bulletin on Health, and the Bulletin on Entrepreneurship — as well as online conference reports, video lectures, and interviews.

15th Annual Feldstein Lecture, Mario Draghi, "The Next Flight of the Bumblebee: The Path to Common Fiscal Policy in the Eurozone cover slide
  • Lecture
Dr. Mario Draghi, who served as President of the European Central Bank and Prime Minister of Italy, presented the 2023...
2023 Methods Lectures, Jesse Shapiro and Liyang (Sophie) Sun, "Linear Panel Event Studies" Primary tabs
  • Lecture
Overview: Linear panel event studies are increasingly used to estimate and plot causal effects of changes in policies...
2023, SI Economics of Social Security, Panel Discussion, "Long-Term Dynamics of the Employment-to-Population Ratio" Primary tabs
  • Lecture
Supported by the Alfred P. Sloan Foundation, the National Science Foundation, and the Lynde and Harry Bradley...

© 2023 National Bureau of Economic Research. Periodical content may be reproduced freely with appropriate attribution.