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Details about Jessica A. Wachter

E-mail:
Homepage:http://finance.wharton.upenn.edu/~jwachter/
Workplace:Finance Department, Wharton School, University of Pennsylvania, (more information at EDIRC)

Access statistics for papers by Jessica A. Wachter.

Last updated 2014-06-02. Update your information in the RePEc Author Service.

Short-id: pwa346


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Working Papers

2014

  1. Rare Booms and Disasters in a Multi-sector Endowment Economy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2013

  1. Maximum likelihood estimation of the equity premium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Option Prices in a Model with Stochastic Disaster Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2011

  1. What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

2010

  1. Asset Allocation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Annual Review of Financial Economics (2010)
  2. Why Do Household Portfolio Shares Rise in Wealth?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in 2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (2)

    See also Journal Article in Review of Financial Studies (2010)

2009

  1. The Term Structures of Equity and Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial Economics (2011)
  2. What is the chance that the equity premium varies over time? evidence from predictive regressions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

2008

  1. Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) View citations (11)

    See also Journal Article in Journal of Finance (2013)
  2. Using Samples of Unequal Length in Generalized Method of Moments Estimation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (2013)

2007

  1. Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in 2006 Meeting Papers, Society for Economic Dynamics (2006) View citations (3)

    See also Journal Article in Journal of Econometrics (2009)

2006

  1. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (19)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (37)

    See also Journal Article in Review of Financial Studies (2008)

2005

  1. Solving Models with External Habit
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article in Finance Research Letters (2005)
  2. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (10)

    See also Journal Article in Journal of Finance (2007)

2004

  1. Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2010)

2003

  1. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Finance (2005)

1999

  1. Bayesian Performance Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

Undated

  1. Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Downloads View citations (35)

Journal Articles

2013

  1. Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
    Journal of Finance, 2013, 68, (3), 987-1035 Downloads View citations (32)
    See also Working Paper (2008)
  2. Using Samples of Unequal Length in Generalized Method of Moments Estimation
    Journal of Financial and Quantitative Analysis, 2013, 48, (01), 277-307 Downloads View citations (3)
    See also Working Paper (2008)

2011

  1. The term structures of equity and interest rates
    Journal of Financial Economics, 2011, 101, (1), 90-113 Downloads View citations (17)
    See also Working Paper (2009)

2010

  1. Asset Allocation
    Annual Review of Financial Economics, 2010, 2, (1), 175-206 Downloads View citations (5)
    See also Working Paper (2010)
  2. Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements
    Journal of Financial and Quantitative Analysis, 2010, 45, (05), 1111-1131 Downloads View citations (19)
    See also Working Paper (2004)
  3. Why Do Household Portfolio Shares Rise in Wealth?
    Review of Financial Studies, 2010, 23, (11), 3929-3965 Downloads View citations (20)
    See also Working Paper (2010)

2009

  1. Predictable returns and asset allocation: Should a skeptical investor time the market?
    Journal of Econometrics, 2009, 148, (2), 162-178 Downloads View citations (23)
    See also Working Paper (2007)

2008

  1. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    Review of Financial Studies, 2008, 21, (4), 1653-1687 Downloads View citations (43)
    Also in Proceedings, 2005 (2005) Downloads View citations (13)

    See also Working Paper (2006)

2007

  1. Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
    Journal of Finance, 2007, 62, (1), 55-92 Downloads View citations (50)
    See also Working Paper (2005)

2006

  1. A consumption-based model of the term structure of interest rates
    Journal of Financial Economics, 2006, 79, (2), 365-399 Downloads View citations (115)
  2. Comment on: "Can financial innovation help to explain the reduced volatility of economic activity?"
    Journal of Monetary Economics, 2006, 53, (1), 151-154 Downloads View citations (1)

2005

  1. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?
    Journal of Finance, 2005, 60, (1), 179-230 Downloads View citations (23)
    See also Working Paper (2003)
  2. Growth or glamour? fundamentals and systemic risk in stock returns
    Proceedings, 2005 Downloads
  3. Solving models with external habit
    Finance Research Letters, 2005, 2, (4), 210-226 Downloads View citations (11)
    See also Working Paper (2005)

2003

  1. Risk aversion and allocation to long-term bonds
    Journal of Economic Theory, 2003, 112, (2), 325-333 Downloads View citations (35)

2002

  1. Comment on: Are behavioral asset-pricing models structural?
    Journal of Monetary Economics, 2002, 49, (1), 229-233 Downloads View citations (2)
  2. Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets
    Journal of Financial and Quantitative Analysis, 2002, 37, (01), 63-91 Downloads View citations (101)

2001

  1. Discussion
    Journal of Finance, 2001, 56, (4), 1351-1355 Downloads
 
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