Department of Finance
The Wharton School
University of Pennsylvania
3620 Locust Walk
Philadelphia, PA 19104
NBER Program Affiliations:
NBER Affiliation: Research Associate
Institutional Affiliation: University of Pennsylvania
Information about this author at RePEc
NBER Working Papers and Publications
|February 2019||"Superstitious" Investors|
with Hongye Guo: w25603
|November 2018||Foreseen Risks|
with João F. Gomes, Marco Grotteria: w25277
|September 2018||Cross-sectional Skewness|
with Simon Oh: w25113
|May 2018||Pricing Long-Lived Securities in Dynamic Endowment Economies|
with Jerry Tsai: w24641
Published: Jerry Tsai & Jessica A. Wachter, 2018. "Pricing long-lived securities in dynamic endowment economies," Journal of Economic Theory, vol 177, pages 848-878.
|March 2018||The Macroeconomic Announcement Premium|
with Yicheng Zhu: w24432
|August 2017||Cyclical Dispersion in Expected Defaults|
with João F. Gomes, Marco Grotteria: w23704
Published: João F Gomes & Marco Grotteria & Jessica A Wachter, 2019. "Cyclical Dispersion in Expected Defaults," The Review of Financial Studies, vol 32(4), pages 1275-1308.
|October 2016||Do Rare Events Explain CDX Tranche Spreads?|
with Sang Byung Seo: w22723
Published: SANG BYUNG SEO & JESSICA A. WACHTER, 2018. "Do Rare Events Explain CDX Tranche Spreads?," The Journal of Finance, vol 73(5), pages 2343-2383.
|September 2015||Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility|
with Mete Kilic: w21575
Published: Mete Kilic & Jessica A Wachter, 2018. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," The Review of Financial Studies, vol 31(12), pages 4762-4814.
|February 2015||Disaster 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 2014||Rare Booms and Disasters in a Multi-sector Endowment Economy|
with Jerry Tsai: w20062
Published: Jerry Tsai, Jessica A. Wachter; Rare Booms and Disasters in a Multisector Endowment Economy, The Review of Financial Studies, Volume 29, Issue 5, 1 May 2016, Pages 1113–1169, https://doi.org/10.1093/rfs/hhv074
|November 2013||Maximum 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
Published: Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, vol 65(8), pages 3449-3469.
|August 2011||What 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 2010||Why 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
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 2009||The 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 2008||Using 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?|
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 2007||Predictable 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 2005||Solving Models with External Habit|
Published: Wachter, Jessica A. "Solving Models With External Habit," Finance Research Letters, 2005, v2(4,Dec), 210-226. citation courtesy of
|February 2005||Why 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 2004||Can 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 2004||The Declining Equity Premium: What Role Does Macroeconomic Risk Play?|
with Martin Lettau, Sydney C. Ludvigson: w10270
|November 2003||Does 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 1999||Bayesian 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).