Jessica Wachter
Jessica Wachter
Dr. Bruce I. Jacobs Professor in Quantitative Finance
Verified email at wharton.upenn.edu - Homepage
Title
Cited by
Cited by
Year
Can time‐varying risk of rare disasters explain aggregate stock market volatility?
JA Wachter
The Journal of Finance 68 (3), 987-1035, 2013
7952013
A consumption-based model of the term structure of interest rates
JA Wachter
Journal of Financial economics 79 (2), 365-399, 2006
7572006
Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets
JA Wachter
Journal of financial and quantitative analysis, 63-91, 2002
6282002
Why is long‐horizon equity less risky? A duration‐based explanation of the value premium
M Lettau, JA Wachter
The Journal of Finance 62 (1), 55-92, 2007
5542007
The declining equity premium: What role does macroeconomic risk play?
M Lettau, SC Ludvigson, JA Wachter
The Review of Financial Studies 21 (4), 1653-1687, 2008
5372008
Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements
M Baker, L Litov, JA Wachter, J Wurgler
Journal of Financial and Quantitative Analysis 45 (5), 1111-1131, 2010
3582010
Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation
KP Baks, A Metrick, J Wachter
The Journal of Finance 56 (1), 45-85, 2001
3092001
Why do household portfolio shares rise in wealth?
JA Wachter, M Yogo
The Review of Financial Studies 23 (11), 3929-3965, 2010
2592010
The term structures of equity and interest rates
M Lettau, JA Wachter
Journal of Financial Economics 101 (1), 90-113, 2011
2312011
Does the failure of the expectations hypothesis matter for long‐term investors?
A Sangvinatsos, JA Wachter
The Journal of Finance 60 (1), 179-230, 2005
2202005
Risk aversion and allocation to long-term bonds
JA Wachter
Journal of Economic Theory 112 (2), 325-333, 2003
1752003
Predictable returns and asset allocation: Should a skeptical investor time the market?
JA Wachter, M Warusawitharana
Journal of Econometrics 148 (2), 162-178, 2009
1512009
Solving models with external habit
JA Wachter
Finance Research Letters 2 (4), 210-226, 2005
1102005
Disaster risk and its implications for asset pricing
J Tsai, JA Wachter
Annual Review of Financial Economics 7, 219-252, 2015
902015
Option prices in a model with stochastic disaster risk
SB Seo, JA Wachter
Management Science 65 (8), 3449-3469, 2019
892019
Does mutual fund performance vary over the business cycle?
AW Lynch, JA Wachter, W Boudry
AFA 2004 San Diego Meetings, 2002
792002
Asset allocation
JA Wachter
Annu. Rev. Financ. Econ. 2 (1), 175-206, 2010
612010
Rare booms and disasters in a multisector endowment economy
J Tsai, JA Wachter
The Review of Financial Studies 29 (5), 1113-1169, 2016
572016
Maximum likelihood estimation of the equity premium
E Avdis, JA Wachter
Journal of Financial Economics 125 (3), 589-609, 2017
442017
Using samples of unequal length in generalized method of moments estimation
AW Lynch, JA Wachter
Journal of Financial and Quantitative Analysis 48 (1), 277-307, 2013
442013
The system can't perform the operation now. Try again later.
Articles 1–20