Details about Jessica A. Wachter

Access statistics for papers by Jessica A. Wachter.

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

Short-id: pwa346

Working Papers

2020

1. Risks to Human Capital
   NBER Working Papers, National Bureau of Economic Research, Inc

2019

2. "Superstitious" Investors
   NBER Working Papers, National Bureau of Economic Research, Inc
3. A Retrieved-Context Theory Of Financial Decisions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)

2018

4. Cross-sectional Skewness
   NBER Working Papers, National Bureau of Economic Research, Inc
5. Foreseen Risks
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
6. Pricing Long-Lived Securities in Dynamic Endowment Economies
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
7. The Macroeconomic Announcement Premium
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2017

8. Cyclical Dispersion in Expected Defaults
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2016

9. Do Rare Events Explain CDX Tranche Spreads?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2015

10. Disaster Risk and its Implications for Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (57)
11. Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2014

12. Rare Booms and Disasters in a Multi-sector Endowment Economy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)

2013

13. Maximum likelihood estimation of the equity premium
    NBER Working Papers, National Bureau of Economic Research, Inc
14. Option Prices in a Model with Stochastic Disaster Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)

2011

15. 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 View citations (6)

2010

16. Asset Allocation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article Asset Allocation, Annual Review of Financial Economics, Annual Reviews (2010) View citations (6) (2010)
17. Why Do Household Portfolio Shares Rise in Wealth?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (121)
    Also in 2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (4)
    See also Journal Article Why Do Household Portfolio Shares Rise in Wealth?, The Review of Financial Studies, Society for Financial Studies (2010) View citations (130) (2010)

2009

18. The Term Structures of Equity and Interest Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article The term structures of equity and interest rates, Journal of Financial Economics, Elsevier (2011) View citations (86) (2011)
19. 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.) View citations (3)

2008

20. Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) View citations (31)
    See also Journal Article Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?, Journal of Finance, American Finance Association (2013) View citations (432) (2013)
21. Using Samples of Unequal Length in Generalized Method of Moments Estimation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article Using Samples of Unequal Length in Generalized Method of Moments Estimation, Journal of Financial and Quantitative Analysis, Cambridge University Press (2013) View citations (10) (2013)

2007

22. Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in 2006 Meeting Papers, Society for Economic Dynamics (2006) View citations (5)
    See also Journal Article Predictable returns and asset allocation: Should a skeptical investor time the market?, Journal of Econometrics, Elsevier (2009) View citations (57) (2009)

2006

23. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (44)
    See also Journal Article The Declining Equity Premium: What Role Does Macroeconomic Risk Play?, The Review of Financial Studies, Society for Financial Studies (2008) View citations (183) (2008)

2005

24. Solving Models with External Habit
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
    See also Journal Article Solving models with external habit, Finance Research Letters, Elsevier (2005) View citations (45) (2005)
25. 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 (14)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (15)

2004

26. 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 (7)
    See also Journal Article Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements, Journal of Financial and Quantitative Analysis, Cambridge University Press (2010) View citations (84) (2010)

2003

27. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

1999

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

Undated

29. 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 (33)

Journal Articles

2013

1. Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
   Journal of Finance, 2013, 68, (3), 987-1035 View citations (432)
   See also Working Paper Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?, NBER Working Papers (2008) View citations (32) (2008)
2. Using Samples of Unequal Length in Generalized Method of Moments Estimation
   Journal of Financial and Quantitative Analysis, 2013, 48, (1), 277-307 View citations (10)
   See also Working Paper Using Samples of Unequal Length in Generalized Method of Moments Estimation, NBER Working Papers (2008) View citations (2) (2008)

2011

3. The term structures of equity and interest rates
   Journal of Financial Economics, 2011, 101, (1), 90-113 View citations (86)
   See also Working Paper The Term Structures of Equity and Interest Rates, NBER Working Papers (2009) View citations (5) (2009)

2010

4. Asset Allocation
   Annual Review of Financial Economics, 2010, 2, (1), 175-206 View citations (6)
   See also Working Paper Asset Allocation, NBER Working Papers (2010) View citations (3) (2010)
5. Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements
   Journal of Financial and Quantitative Analysis, 2010, 45, (5), 1111-1131 View citations (84)
   See also Working Paper Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements, NBER Working Papers (2004) View citations (7) (2004)
6. Why Do Household Portfolio Shares Rise in Wealth?
   The Review of Financial Studies, 2010, 23, (11), 3929-3965 View citations (130)
   See also Working Paper Why Do Household Portfolio Shares Rise in Wealth?, NBER Working Papers (2010) View citations (121) (2010)

2009

7. Predictable returns and asset allocation: Should a skeptical investor time the market?
   Journal of Econometrics, 2009, 148, (2), 162-178 View citations (57)
   See also Working Paper Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?, NBER Working Papers (2007) View citations (10) (2007)

2008

8. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
   The Review of Financial Studies, 2008, 21, (4), 1653-1687 View citations (183)
   Also in Proceedings, 2005 (2005) View citations (14)
   See also Working Paper The Declining Equity Premium: What Role Does Macroeconomic Risk Play?, CEPR Discussion Papers (2006) View citations (24) (2006)

2006

9. A consumption-based model of the term structure of interest rates
   Journal of Financial Economics, 2006, 79, (2), 365-399 View citations (327)
10. Comment on: "Can financial innovation help to explain the reduced volatility of economic activity?"
    Journal of Monetary Economics, 2006, 53, (1), 151-154 View citations (9)

2005

11. Growth or glamour? fundamentals and systemic risk in stock returns
    Proceedings, 2005 View citations (6)
12. Solving models with external habit
    Finance Research Letters, 2005, 2, (4), 210-226 View citations (45)
    See also Working Paper Solving Models with External Habit, NBER Working Papers (2005) View citations (47) (2005)

2003

13. Risk aversion and allocation to long-term bonds
    Journal of Economic Theory, 2003, 112, (2), 325-333 View citations (56)

2002

14. Comment on: Are behavioral asset-pricing models structural?
    Journal of Monetary Economics, 2002, 49, (1), 229-233 View citations (2)
15. Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets
    Journal of Financial and Quantitative Analysis, 2002, 37, (1), 63-91 View citations (228)

2001

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

Chapters

2020

1. Comment on "Imperfect Expectations: Theory and Evidence"
   A chapter in NBER Macroeconomics Annual 2020, volume 35, 2020, pp 87-98