Jessica A. Wachter

University of Pennsylvania - Finance Department

Professor of Finance

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

45

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18,184

SSRN CITATIONS
Rank 242

SSRN RANKINGS

Top 242

in Total Papers Citations

1,016

CROSSREF CITATIONS

2,158

Scholarly Papers (45)

Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements

Number of pages: 29 Posted: 03 Mar 2005 Last Revised: 13 Dec 2011
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 1,781 (10,886)
Citation 4

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Mutual fund, performance evaluation

Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements

NYU Working Paper No. SC-AM-05-02
Number of pages: 31 Posted: 04 Nov 2008
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 392 (89,654)
Citation 14

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Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements

NBER Working Paper No. w10685
Number of pages: 31 Posted: 08 Sep 2004 Last Revised: 14 Mar 2021
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 378 (93,597)
Citation 2

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Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements

NYU Working Paper No. FIN-04-015
Number of pages: 31 Posted: 03 Nov 2008
Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business
Downloads 307 (118,139)

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Does Mutual Fund Performance Vary Over the Business Cycle?

AFA 2004 San Diego Meetings
Number of pages: 21 Posted: 29 Nov 2003
Anthony W. Lynch, Jessica A. Wachter and Walter Boudry
New York University (NYU) - Department of Finance, University of Pennsylvania - Finance Department and New York University (NYU) - Department of Finance
Downloads 827 (34,531)
Citation 12

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Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. S-MF-03-01
Number of pages: 21 Posted: 12 Nov 2008
Anthony W. Lynch, Jessica A. Wachter and Walter Boudry
New York University (NYU) - Department of Finance, University of Pennsylvania - Finance Department and New York University (NYU) - Department of Finance
Downloads 88 (343,956)

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Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. S-DRP-03-04
Number of pages: 22 Posted: 07 Nov 2008
Walter Boudry, Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 57 (438,504)

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Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. FIN-03-005
Number of pages: 22 Posted: 03 Nov 2008
Anthony W. Lynch, Jessica A. Wachter and Walter Boudry
New York University (NYU) - Department of Finance, University of Pennsylvania - Finance Department and New York University (NYU) - Department of Finance
Downloads 51 (461,762)

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Does Mutual Fund Performance Vary Over the Business Cycle?

NYU Working Paper No. SC-AM-03-03
Number of pages: 21 Posted: 04 Nov 2008
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 39 (515,970)

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A Model of Two Days: Discrete News and Asset Prices

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 89 Posted: 30 Sep 2017 Last Revised: 20 Mar 2021
Jessica A. Wachter and Yicheng Zhu
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 991 (26,844)

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rare disasters, regime shifts, learning

The Macroeconomic Announcement Premium

NBER Working Paper No. w24432
Number of pages: 52 Posted: 26 Mar 2018
Jessica A. Wachter and Yicheng Zhu
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 36 (531,126)

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The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper
Number of pages: 59 Posted: 12 Aug 2004
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 717 (41,981)
Citation 4

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The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

NBER Working Paper No. w10270
Number of pages: 62 Posted: 25 May 2006 Last Revised: 26 Jul 2010
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 87 (346,454)
Citation 12

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The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

NYU Working Paper No. S-MF-04-08
Number of pages: 46 Posted: 12 Nov 2008
Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter
University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department
Downloads 58 (434,736)

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The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

CEPR Discussion Paper No. 5519
Number of pages: 49 Posted: 09 Jun 2006
Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson
University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics
Downloads 25 (597,788)
Citation 17
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Equity premium, macroeconomic volatility, stock market boom, regime shifts

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1653-1687, 2008
Posted: 08 Aug 2008
Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter
University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department

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Downloads 757 ( 39,541)
Citation 1

A Retrieved-Context Theory of Financial Decisions

10th Miami Behavioral Finance Conference
Number of pages: 104 Posted: 06 Nov 2019 Last Revised: 14 Jan 2021
Jessica A. Wachter and Michael J. Kahana
University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology
Downloads 750 (39,477)

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Memory, Context, Under-reaction, Financial Disasters

A Retrieved-Context Theory of Financial Decisions

NBER Working Paper No. w26200
Number of pages: 59 Posted: 03 Sep 2019 Last Revised: 01 Feb 2021
Jessica A. Wachter and Michael J. Kahana
University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology
Downloads 7 (736,832)
Citation 1

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'Superstitious' Investors

Number of pages: 77 Posted: 04 Oct 2018 Last Revised: 04 May 2021
Hongye Guo and Jessica A. Wachter
University of Pennsylvania and University of Pennsylvania - Finance Department
Downloads 740 (40,851)

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Excess volatility, Extrapolative expectations, Rare events, Overconfidence

7.
Downloads 739 ( 40,775)

Bayesian Performance Evaluation

Number of pages: 56 Posted: 23 Apr 1999
Klaas Baks, Jessica A. Wachter and Andrew Metrick
Emory University - Department of Finance, University of Pennsylvania - Finance Department and Yale School of Management
Downloads 639 (48,885)

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Bayesian Performance Evaluation

NBER Working Paper No. w7069
Number of pages: 57 Posted: 12 Jul 2000 Last Revised: 26 Apr 2021
Klaas Baks, Jessica A. Wachter and Andrew Metrick
Emory University - Department of Finance, University of Pennsylvania - Finance Department and Yale School of Management
Downloads 100 (316,598)

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Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

AFA 2006 Boston Meetings Paper
Number of pages: 53 Posted: 19 Mar 2005
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 545 (60,071)
Citation 1

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Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

NBER Working Paper No. w13165
Number of pages: 62 Posted: 27 Jun 2007 Last Revised: 28 Aug 2007
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 111 (294,396)
Citation 5

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Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility

The Wharton School Research Paper No. 73, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 83 Posted: 22 Dec 2014 Last Revised: 12 Aug 2020
Mete Kilic and Jessica A. Wachter
University of Southern California - Marshall School of Business and University of Pennsylvania - Finance Department
Downloads 652 (48,265)
Citation 3

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10.

Cross-Sectional Skewness

Number of pages: 45 Posted: 05 Dec 2017 Last Revised: 07 Dec 2019
Sangmin Oh and Jessica A. Wachter
University of Chicago - Booth School of Business and University of Pennsylvania - Finance Department
Downloads 648 (48,650)

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rare events, jumps, idiosyncratic volatility, power law

11.
Downloads 642 ( 49,262)
Citation 18

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 76, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 67 Posted: 26 Jan 2015 Last Revised: 12 Aug 2020
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 562 (57,741)
Citation 12

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implied volatilities, consumption disasters, jump-diffusions

Option Prices in a Model with Stochastic Disaster Risk

The Wharton School Research Paper No. 55
Number of pages: 71 Posted: 22 Oct 2013
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 66 (406,742)

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Option Prices in a Model with Stochastic Disaster Risk

NBER Working Paper No. w19611
Number of pages: 63 Posted: 09 Nov 2013
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 14 (679,897)
Citation 3

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12.
Downloads 640 ( 49,420)
Citation 6

Cyclical Dispersion in Expected Defaults

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 61 Posted: 10 Apr 2017 Last Revised: 11 Aug 2020
Joao F. Gomes, Marco Grotteria and Jessica A. Wachter
The Wharton School, London Business School and University of Pennsylvania - Finance Department
Downloads 619 (51,013)
Citation 4

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Expected Default, Bond Issuance, Business Cycles, Disaster Risk

Cyclical Dispersion in Expected Defaults

NBER Working Paper No. w23704
Number of pages: 51 Posted: 21 Aug 2017 Last Revised: 09 Apr 2021
Joao F. Gomes, Marco Grotteria and Jessica A. Wachter
The Wharton School, London Business School and University of Pennsylvania - Finance Department
Downloads 21 (626,539)

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13.
Downloads 563 ( 58,229)

Foreseen Risks

Number of pages: 67 Posted: 12 Jan 2018 Last Revised: 22 Apr 2020
Joao F. Gomes, Marco Grotteria and Jessica A. Wachter
The Wharton School, London Business School and University of Pennsylvania - Finance Department
Downloads 551 (59,236)

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Credit Bubbles, Financial intermediaries, Financial Crises, Risk Shifting

Foreseen Risks

NBER Working Paper No. w25277
Number of pages: 66 Posted: 19 Nov 2018
Joao F. Gomes, Marco Grotteria and Jessica A. Wachter
The Wharton School, London Business School and University of Pennsylvania - Finance Department
Downloads 12 (696,091)

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14.
Downloads 542 ( 61,150)
Citation 67

Why Do Household Portfolio Shares Rise in Wealth?

Review of Financial Studies, Vol. 23, No. 11, 2010, AFA 2008 New Orleans Meetings Paper
Number of pages: 57 Posted: 16 Mar 2007 Last Revised: 13 Dec 2011
Jessica A. Wachter and Motohiro Yogo
University of Pennsylvania - Finance Department and Princeton University - Department of Economics
Downloads 512 (64,971)
Citation 10

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Decreasing relative risk aversion, Engel curves, Life-cycle model, Nonhomothetic utility, Portfolio choice

Why Do Household Portfolio Shares Rise in Wealth?

NBER Working Paper No. w16316
Number of pages: 58 Posted: 30 Aug 2010 Last Revised: 31 Jan 2021
Jessica A. Wachter and Motohiro Yogo
University of Pennsylvania - Finance Department and Princeton University - Department of Economics
Downloads 30 (564,932)
Citation 4

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15.
Downloads 496 ( 68,288)
Citation 11

Maximum Likelihood Estimation of the Equity Premium

The Wharton School Research Paper No. 57, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 69 Posted: 30 May 2014 Last Revised: 12 Aug 2020
Efstathios Avdis and Jessica A. Wachter
University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department
Downloads 475 (71,364)
Citation 4

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Maximum Likelihood Estimation of the Equity Premium

NBER Working Paper No. w19684
Number of pages: 68 Posted: 28 Nov 2013 Last Revised: 15 Apr 2021
Efstathios Avdis and Jessica A. Wachter
University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department
Downloads 21 (626,539)
Citation 4

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Learning with Rare Disasters

Number of pages: 64 Posted: 25 Jun 2019 Last Revised: 05 Sep 2019
Jessica A. Wachter and Yicheng Zhu
University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 489 (69,687)
Citation 7

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17.
Downloads 456 ( 75,763)
Citation 19

Habit Formation and Returns on Bonds and Stocks

Number of pages: 42 Posted: 12 Mar 2001
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 280 (130,316)
Citation 30

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Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-MF-02-04
Number of pages: 40 Posted: 12 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 50 (465,949)

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Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-AM-01-04
Number of pages: 40 Posted: 13 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 44 (492,166)

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Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. S-CDM-01-06
Number of pages: 40 Posted: 05 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 43 (496,840)

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Habit Formation and Returns on Bonds and Stocks

NYU Working Paper No. FIN-01-024
Number of pages: 40 Posted: 03 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 39 (515,970)

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18.
Downloads 433 ( 80,510)
Citation 21

Do Rare Events Explain CDX Tranche Spreads?

Forthcoming, Journal of Finance, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 90 Posted: 19 Sep 2016 Last Revised: 11 Aug 2020
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 418 (83,248)
Citation 18

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disaster risk, financial crisis, collateralized debt obligations

Do Rare Events Explain Cdx Tranche Spreads?

NBER Working Paper No. w22723
Number of pages: 78 Posted: 10 Oct 2016 Last Revised: 01 Feb 2021
Sang Byung Seo and Jessica A. Wachter
University of Wisconsin - Madison and University of Pennsylvania - Finance Department
Downloads 15 (672,016)
Citation 6

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Portfolio and Consumption Decisions Under Mean-Reverting Returns: An Exact Solution for Complete Markets

Number of pages: 36 Posted: 26 Nov 2001
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 412 (84,629)
Citation 2

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Portfolio and Consumption Decisions Under Mean-Reverting Returns: An Exact Solution for Complete Markets

Posted: 12 Dec 2001
Jessica A. Wachter
University of Pennsylvania - Finance Department

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20.

A Consumption-Based Model of the Term Structure of Interest Rates

Rodney L. White Center for Financial Research Working Paper No. 27-04
Number of pages: 52 Posted: 11 Sep 2004
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 402 (87,804)
Citation 121

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Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Number of pages: 61 Posted: 04 Feb 2005
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 284 (128,361)
Citation 33

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Value, Growth, duration, habit formation

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

NBER Working Paper No. w11144
Number of pages: 61 Posted: 16 Mar 2005 Last Revised: 15 Jun 2005
Jessica A. Wachter and Martin Lettau
University of Pennsylvania - Finance Department and University of California - Haas School of Business
Downloads 72 (387,726)

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Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Number of pages: 63 Posted: 15 Jun 2005
Jessica A. Wachter and Martin Lettau
University of Pennsylvania - Finance Department and University of California - Haas School of Business
Downloads 30 (564,932)
Citation 34
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Value, growth, duration, habit formation

22.
Downloads 294 (124,339)

Risks to Human Capital

Number of pages: 84 Posted: 05 Sep 2019 Last Revised: 07 Jul 2020
Mehran Ebrahimian and Jessica A. Wachter
University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Downloads 287 (126,937)

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Financing Frictions, Rare Events, Moral Hazard

Risks to Human Capital

NBER Working Paper No. w26823
Number of pages: 78 Posted: 09 Mar 2020 Last Revised: 17 Apr 2021
Mehran Ebrahimian and Jessica A. Wachter
University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Downloads 7 (736,832)
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Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 70 Posted: 18 Mar 2010 Last Revised: 08 Aug 2012
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 239 (153,077)
Citation 2

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Rare disasters, Peso problem, Excess volatility

Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

NBER Working Paper No. w14386
Number of pages: 70 Posted: 10 Oct 2008 Last Revised: 24 Apr 2021
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 55 (446,131)
Citation 106

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What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio

AFA 2008 New Orleans Meetings Paper
Number of pages: 63 Posted: 20 Mar 2007 Last Revised: 06 Jun 2013
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 253 (144,711)
Citation 8

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What is the Chance that the Equity Premium Varies Over Time? Evidence from Regressions on the Dividend-Price Ratio

NBER Working Paper No. w17334
Number of pages: 67 Posted: 29 Aug 2011
Jessica A. Wachter and Missaka Warusawitharana
University of Pennsylvania - Finance Department and Board of Governors of the Federal Reserve System
Downloads 33 (547,659)
Citation 1

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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

Number of pages: 62 Posted: 28 Nov 2003
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 189 (191,262)

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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

NYU Working Paper No. S-MF-03-02
Number of pages: 61 Posted: 12 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 23 (611,980)

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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

NYU Working Paper No. SC-AM-03-02
Number of pages: 61 Posted: 04 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 16 (664,126)

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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

NYU Working Paper No. S-DRP-03-02
Number of pages: 62 Posted: 07 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 16 (664,126)

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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

NYU Working Paper No. FIN-03-003
Number of pages: 62 Posted: 03 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 15 (672,016)

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Sovereign Default and the Decline in Interest Rates

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 08 Sep 2020 Last Revised: 29 Apr 2021
Max Miller, James D. Paron and Jessica A. Wachter
University of Pennsylvania, The Wharton School, Finance Department, University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 232 (159,287)
Citation 2

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Pricing Long-Lived Securities in Dynamic Endowment Economies

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 48 Posted: 21 Apr 2017 Last Revised: 11 Aug 2020
Jerry Tsai and Jessica A. Wachter
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 221 (165,208)
Citation 3

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rare events, recursive utility, factor models

Pricing Long-Lived Securities in Dynamic Endowment Economies

NBER Working Paper No. w24641
Number of pages: 49 Posted: 30 May 2018 Last Revised: 01 May 2021
Jerry Tsai and Jessica A. Wachter
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 3 (771,626)
Citation 1

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28.

Generalized Method of Moments for Samples of Unequal Length

AFA 2005 Philadelphia Meetings Paper
Number of pages: 51 Posted: 16 Jan 2005
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 170 (209,855)

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29.

Is The United States A Lucky Survivor: A Hierarchical Bayesian Approach

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 66 Posted: 10 Sep 2020 Last Revised: 06 Apr 2021
Jules H. van Binsbergen, Sophia Hua and Jessica A. Wachter
University of Pennsylvania - The Wharton School, University of Pennsylvania - The Wharton School and University of Pennsylvania - Finance Department
Downloads 127 (265,621)

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Downloads 115 (285,640)
Citation 39

Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. S-CDM-01-10
Number of pages: 8 Posted: 05 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 74 (381,771)

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Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. S-MF-01-05
Number of pages: 8 Posted: 12 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 24 (604,843)
Citation 13

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Risk Aversion and Allocation to Long-Term Bonds

NYU Working Paper No. FIN-01-067
Number of pages: 8 Posted: 03 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 17 (656,454)

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Downloads 100 (314,333)

Asset Allocation

NBER Working Paper No. w16255
Number of pages: 53 Posted: 10 Aug 2010 Last Revised: 16 Aug 2010
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 100 (316,598)

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Asset Allocation

Annual Review of Financial Economics, Vol. 2, pp. 175-206, 2010
Posted: 12 Nov 2010
Jessica A. Wachter
University of Pennsylvania - Finance Department

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Optimal Consumption and Portfolio Allocation Under Mean-Reverting Returns: An Exact Solution for Complete Markets

NYU Working Paper No. S-AM-00-07
Number of pages: 31 Posted: 13 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 33 (547,659)
Citation 7

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Optimal Consumption and Portfolio Allocation Under Mean-Reverting Returns: An Exact Solution for Complete Markets

NYU Working Paper No. FIN-00-027
Number of pages: 31 Posted: 04 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 27 (583,997)

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Optimal Consumption and Portfolio Allocation Under Mean-Reverting Returns: An Exact Solution for Complete Markets

NYU Working Paper No. S-MF-00-05
Number of pages: 31 Posted: 12 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 24 (604,843)

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33.
Downloads 81 (358,255)
Citation 38

Disaster Risk and its Implications for Asset Pricing

The Wharton School Research Paper No. 77
Number of pages: 61 Posted: 28 Jan 2015
Jerry Tsai and Jessica A. Wachter
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 45 (487,548)

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Disaster Risk and its Implications for Asset Pricing

NBER Working Paper No. w20926
Number of pages: 62 Posted: 09 Feb 2015 Last Revised: 07 Mar 2021
Jerry Tsai and Jessica A. Wachter
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 36 (531,126)
Citation 23

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Disaster Risk and its Implications for Asset Pricing

Annual Review of Financial Economics, Vol. 7, pp. 219-252, 2015
Posted: 11 Dec 2015
Jerry Tsai and Jessica A. Wachter
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department

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34.

The Term Structures of Equity and Interest Rates

NBER Working Paper No. w14698
Number of pages: 67 Posted: 31 Jan 2009 Last Revised: 31 Aug 2010
Martin Lettau and Jessica A. Wachter
University of California - Haas School of Business and University of Pennsylvania - Finance Department
Downloads 75 (374,623)
Citation 17

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Maximum Likelihood Estimation of the Equity Premium

The Wharton School Research Paper No. 54
Number of pages: 48 Posted: 23 Nov 2013
Efstathios Avdis and Jessica A. Wachter
University of Alberta - Department of Finance and Statistical Analysis and University of Pennsylvania - Finance Department
Downloads 74 (377,487)

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Using Samples of Unequal Length in Generalized Method of Moments Estimation

NYU Working Paper No. FIN-08-018
Number of pages: 47 Posted: 09 Mar 2009 Last Revised: 13 Dec 2011
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 32 (553,268)
Citation 2

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Using Samples of Unequal Length in Generalized Method of Moments Estimation

NBER Working Paper No. w14411
Number of pages: 47 Posted: 23 Oct 2008
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 20 (633,832)

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Using Samples of Unequal Length in Generalized Method of Moments Estimation

NYU Working Paper No. FIN-05-021
Number of pages: 63 Posted: 03 Nov 2008
Anthony W. Lynch and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 18 (648,896)
Citation 1

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Portfolio and Consumption Decisions Under Mean-Revering Returns: An Exact Solution for Complete Markets

NYU Working Paper No. S-AM-01-10
Number of pages: 36 Posted: 13 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 29 (571,104)
Citation 12

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Portfolio and Consumption Decisions Under Mean-Revering Returns: An Exact Solution for Complete Markets

NYU Working Paper No. S-MF-01-04
Number of pages: 36 Posted: 12 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 21 (626,539)

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Portfolio and Consumption Decisions Under Mean-Revering Returns: An Exact Solution for Complete Markets

NYU Working Paper No. FIN-01-055
Number of pages: 36 Posted: 03 Nov 2008
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 11 (704,234)

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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors

NBER Working Paper No. w10086
Number of pages: 62 Posted: 16 Nov 2003 Last Revised: 25 Jul 2010
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 31 (559,025)
Citation 3

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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors

NYU Working Paper No. S-CDM-03-13
Number of pages: 66 Posted: 05 Nov 2008
Antonios A. Sangvinatsos and Jessica A. Wachter
New York University (NYU) - Department of Finance and University of Pennsylvania - Finance Department
Downloads 15 (672,016)

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Rare Booms and Disasters in a Multi-Sector Endowment Economy

The Wharton School Research Paper No. 43, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 87 Posted: 29 Jan 2014
Jerry Tsai and Jessica A. Wachter
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 30 (564,932)
Citation 7

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Rare Booms and Disasters in a Multi-Sector Endowment Economy

NBER Working Paper No. w20062
Number of pages: 87 Posted: 21 Apr 2014 Last Revised: 26 Apr 2021
Jerry Tsai and Jessica A. Wachter
Pacific Investment Management Company (PIMCO) and University of Pennsylvania - Finance Department
Downloads 9 (720,491)
Citation 3

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40.

Solving Models with External Habit

NBER Working Paper No. w11559
Number of pages: 27 Posted: 28 Sep 2005 Last Revised: 03 Aug 2010
Jessica A. Wachter
University of Pennsylvania - Finance Department
Downloads 39 (504,881)
Citation 9

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41.

Cross-Sectional Skewness

NBER Working Paper No. w25113
Number of pages: 49 Posted: 01 Oct 2018 Last Revised: 13 Feb 2021
Simon Oh and Jessica A. Wachter
University of Chicago and University of Pennsylvania - Finance Department
Downloads 9 (692,195)

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42.

Multivariate Stochastic Volatility Modeling of Neural Data

Number of pages: 37 Posted: 02 Aug 2019
Tung Phan, Jessica A. Wachter, Ethan A. Solomon and Michael J. Kahana
Department of Psychology, University of Pennsylvania - Finance Department, University of Pennsylvania - Department of Bioengineering and University of Pennsylvania - Department of Psychology
Downloads 7 (707,197)

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stochastic volatility models, electrophysiology, model-based connectivity, verbal memory

43.

"Superstitious" Investors

NBER Working Paper No. w25603
Number of pages: 62 Posted: 04 Mar 2019 Last Revised: 27 Mar 2019
Hongye Guo and Jessica A. Wachter
University of Pennsylvania and University of Pennsylvania - Finance Department
Downloads 6 (714,951)
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44.

Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility

NBER Working Paper No. w21575
Number of pages: 63 Posted: 21 Sep 2015 Last Revised: 01 Oct 2015
Mete Kilic and Jessica A. Wachter
University of Southern California - Marshall School of Business and University of Pennsylvania - Finance Department
Downloads 5 (722,593)
Citation 9

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45.

Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation

Posted: 13 Jun 2001
Klaas Baks, Jessica A. Wachter and Andrew Metrick
Emory University - Department of Finance, University of Pennsylvania - Finance Department and Yale School of Management

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Other Papers (1)

Total Downloads: 35
1.

Associative Learning and Representativeness

Number of pages: 59 Posted: 12 Jun 2020 Last Revised: 24 Jun 2020
Jessica A. Wachter and Michael J. Kahana
University of Pennsylvania - Finance Department and University of Pennsylvania - Department of Psychology
Downloads 35

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Context, Memory, Diagnostic expectations