Details about Jessica A. Wachter

Access statistics for papers by Jessica A. Wachter.

Last updated 2009-07-18. Update your information in the RePEc Author Service.

Short-id: pwa346

Working Papers

2009

1. The Term Structures of Equity and Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
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.)

2008

3. Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
4. Using Samples of Unequal Length in Generalized Method of Moments Estimation
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2007

5. Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in 2006 Meeting Papers, Society for Economic Dynamics (2006) View citations
   See also Journal Article in Journal of Econometrics (2009)

2006

6. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations
   See also Journal Article in Review of Financial Studies (2008)

2005

7. Solving Models with External Habit
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in Finance Research Letters (2005)
8. Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations
   See also Journal Article in Journal of Finance (2007)

2004

9. Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2003

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

1999

11. Bayesian Performance Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

Undated

12. 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 View citations

Journal Articles

2009

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

2008

2. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
   Review of Financial Studies, 2008, 21, (4), 1653-1687 View citations
   Also in Proceedings, 2005 (2005)
   See also Working Paper (2006)

2007

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

2006

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

2005

6. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?
   Journal of Finance, 2005, 60, (1), 179-230 View citations
   See also Working Paper (2003)
7. Solving models with external habit
   Finance Research Letters, 2005, 2, (4), 210-226 View citations
   See also Working Paper (2005)

2003

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

2002

9. Comment on: Are behavioral asset-pricing models structural?
   Journal of Monetary Economics, 2002, 49, (1), 229-233
10. 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 View citations

2001

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