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Jessica A. Wachter

Personal Details

First Name:Jessica
Middle Name:A.
Last Name:Wachter
Suffix:
RePEc Short-ID:pwa346
http://finance.wharton.upenn.edu/~jwachter/
Terminal Degree:2000 Department of Economics; Harvard University (from RePEc Genealogy)

Affiliation

Finance Department
Wharton School of Business
University of Pennsylvania

Philadelphia, Pennsylvania (United States)
http://finance.wharton.upenn.edu/
RePEc:edi:fdupaus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Mehran Ebrahimian & Jessica Wachter, 2020. "Risks to Human Capital," NBER Working Papers 26823, National Bureau of Economic Research, Inc.
  2. Hongye Guo & Jessica A. Wachter, 2019. ""Superstitious" Investors," NBER Working Papers 25603, National Bureau of Economic Research, Inc.
  3. Jessica A. Wachter & Michael Jacob Kahana, 2019. "A Retrieved-Context Theory Of Financial Decisions," NBER Working Papers 26200, National Bureau of Economic Research, Inc.
  4. João F. Gomes & Marco Grotteria & Jessica Wachter, 2018. "Foreseen Risks," NBER Working Papers 25277, National Bureau of Economic Research, Inc.
  5. Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
  6. Jerry Tsai & Jessica A. Wachter, 2018. "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers 24641, National Bureau of Economic Research, Inc.
  7. Jessica A. Wachter & Yicheng Zhu, 2018. "The Macroeconomic Announcement Premium," NBER Working Papers 24432, National Bureau of Economic Research, Inc.
  8. João F. Gomes & Marco Grotteria & Jessica A. Wachter, 2017. "Cyclical Dispersion in Expected Defaults," NBER Working Papers 23704, National Bureau of Economic Research, Inc.
  9. Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
  10. Mete Kilic & Jessica A. Wachter, 2015. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," NBER Working Papers 21575, National Bureau of Economic Research, Inc.
  11. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  12. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
  13. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  14. Efstathios Avdis & Jessica A. Wachter, 2013. "Maximum likelihood estimation of the equity premium," NBER Working Papers 19684, National Bureau of Economic Research, Inc.
  15. Jessica A. Wachter & Missaka Warusawitharana, 2011. "What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio," NBER Working Papers 17334, National Bureau of Economic Research, Inc.
  16. Jessica Wachter, 2010. "Asset Allocation," NBER Working Papers 16255, National Bureau of Economic Research, Inc.
  17. Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," NBER Working Papers 16316, National Bureau of Economic Research, Inc.
  18. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
  19. Jessica A. Wachter & Missaka Warusawitharana, 2009. "What is the chance that the equity premium varies over time? evidence from predictive regressions," Finance and Economics Discussion Series 2009-26, Board of Governors of the Federal Reserve System (U.S.).
  20. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
  21. Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc.
  22. Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
  23. Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc.
  24. Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
  25. Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004. "Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements," NBER Working Papers 10685, National Bureau of Economic Research, Inc.
  26. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc.
  27. Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers 10086, National Bureau of Economic Research, Inc.
  28. Klaas Baks & Andrew Metrick & Jessica Wachter, 1999. "Bayesian Performance Evaluation," NBER Working Papers 7069, National Bureau of Economic Research, Inc.
  29. Klaas Baks & Andrew Metrick & Jessica Wachter, "undated". "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research.

Articles

  1. 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(1), pages 277-307, February.
  2. 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, June.
  3. 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.
  4. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
  5. Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," The Review of Financial Studies, Society for Financial Studies, vol. 23(11), pages 3929-3965, November.
  6. Baker, Malcolm & Litov, Lubomir & Wachter, Jessica A. & Wurgler, Jeffrey, 2010. "Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(5), pages 1111-1131, October.
  7. 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.
  8. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
  9. Wachter, Jessica A., 2006. "Comment on: "Can financial innovation help to explain the reduced volatility of economic activity?"," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 151-154, January.
  10. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  11. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
  12. John Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or glamour? fundamentals and systemic risk in stock returns," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  13. Wachter, Jessica A., 2003. "Risk aversion and allocation to long-term bonds," Journal of Economic Theory, Elsevier, vol. 112(2), pages 325-333, October.
  14. Wachter, Jessica A., 2002. "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(1), pages 63-91, March.
  15. Wachter, Jessica A., 2002. "Comment on: Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 229-233, January.
  16. Jessica A. Wachter, 2001. "Discussion," Journal of Finance, American Finance Association, vol. 56(4), pages 1351-1355, August.

Chapters

  1. Jessica A. Wachter, 2020. "Comment on "Imperfect Expectations: Theory and Evidence"," NBER Chapters, in: NBER Macroeconomics Annual 2020, volume 35, pages 87-98, National Bureau of Economic Research, Inc.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. Number of Registered Citing Authors
  19. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  20. Number of Journal Pages, Weighted by Simple Impact Factor
  21. Number of Journal Pages, Weighted by Recursive Impact Factor
  22. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  23. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  24. Number of Abstract Views in RePEc Services over the past 12 months
  25. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  26. Euclidian citation score
  27. Wu-Index
  28. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 22 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (7) 2004-02-01 2005-06-14 2007-06-18 2008-10-07 2013-11-16 2018-10-15 2018-12-17. Author is listed
  2. NEP-FMK: Financial Markets (6) 2005-02-27 2005-06-14 2006-04-08 2008-10-07 2009-01-31 2018-10-15. Author is listed
  3. NEP-DGE: Dynamic General Equilibrium (5) 2004-02-01 2008-10-07 2009-01-31 2010-09-03 2020-03-30. Author is listed
  4. NEP-FIN: Finance (5) 2004-02-01 2004-08-31 2005-02-27 2005-06-14 2006-04-08. Author is listed
  5. NEP-MAC: Macroeconomics (5) 2003-11-30 2004-02-01 2006-04-08 2015-09-26 2017-08-27. Author is listed
  6. NEP-UPT: Utility Models and Prospect Theory (5) 2008-10-07 2009-07-17 2010-09-03 2011-08-29 2018-07-09. Author is listed
  7. NEP-BEC: Business Economics (3) 2004-08-31 2006-04-08 2011-08-29
  8. NEP-CFN: Corporate Finance (3) 2003-11-30 2004-08-31 2017-08-27
  9. NEP-CBA: Central Banking (2) 2009-01-31 2010-08-14
  10. NEP-ECM: Econometrics (2) 2008-10-28 2013-12-06
  11. NEP-BAN: Banking (1) 2018-12-17
  12. NEP-ETS: Econometric Time Series (1) 2008-10-28
  13. NEP-FDG: Financial Development and Growth (1) 2020-03-30
  14. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2018-07-09
  15. NEP-MIC: Microeconomics (1) 2018-07-09
  16. NEP-MON: Monetary Economics (1) 2009-01-31

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