Jessica A. Wachter



Dr. Bruce I. Jacobs Professor of Quantitative Finance
Wharton School of Business
University of Pennsylvania
2300 Steinberg Hall - Dietrich Hall
3620 Locust Walk
Philadelphia
PA 19104-6137
E-mail: jwachter@wharton.upenn.edu


On leave at the United States Securities and Exchange Commission

Curriculum Vitae

Research Summary in the NBER Reporter

Finance and the Unexpected (slides)

Working Papers

  • Associative learning and representativeness, with Michael Kahana and James Paron, November 2024.

  • Sovereign default and the decline in interest rates, with Max Miller and James Paron, November 2024.

  • Learning with rare disasters, with Yicheng Zhu, September 2024.

    • Selected Publications

  • Is the United States a lucky survivor? A hierarchical Bayesian approach, with Jules H. van Binsbergen, Sophia Hua, and Jonas Peeters, Forthcoming, Journal of Finance .

  • "Superstitious" Investors, with Hongye Guo, Forthcoming, Review of Asset Pricing Studies.
    • Supplemental Appendix available here. Working paper available here.

  • Risks to human capital, with Mehran Ebrahimian, forthcoming, Management Science.
    • Working paper available here.

  • Memory of past experiences and economic decisions, with Ulrike Malmendier, In M. Kahana and A. Wagner (Eds.), Oxford Handbook of Human Memory (pp.2228-226). Oxford University Press, July 2024.
    • Working paper available here.

  • A retrieved-context theory of financial decisions, with Michael Kahana, Quarterly Journal of Economics 139 (2):1095--1147, May 2024.
    • Working paper available here.

  • Foreseen risks, with Joao Gomes and Marco Grotteria, Journal of Economic Theory 122 (September 2023): Article 105706.
    • Supplemental Appendix available here.

  • A model of two days: Discrete news and asset prices , with Yicheng Zhu, Review of Financial Studies 35 (5):2246--2307, May 2022.
    • (This paper previously circulated under the title "The macroeconomic announcement premium.")
    Online Appendix available here. Working paper available here.

  • Cross-sectional skewness, with Sangmin Oh, Review of Asset Pricing Studies 12 (1):155-198, March 2022.
    • Working paper available here.

  • Option prices in a model with stochastic disaster risk, with Sang Byung Seo, Management Science 65 (8): 3449--3469, October 2019.
    • Working paper available here.

  • Cyclical dispersion in expected defaults, with Joao Gomes and Marco Grotteria, Review of Financial Studies 32 (4): 1275--1308, April 2019.
    • Online Appendix available here. Working paper available here.

  • Risk, unemployment, and the stock market: A rare-event-based explanation of labor market volatility, with Mete Kilic, Review of Financial Studies 31 (12): 4762--4814, December 2018.
    • Working paper available here.

  • Do rare events explain CDX tranche spreads?, with Sang Byung Seo, Journal of Finance 73 (5): 2343--2383, October 2018.
    • Online Appendix available here. Working paper available here.

  • Pricing long-lived securities in dynamic endowment economies, with Jerry Tsai, Journal of Economic Theory 177: 848--878, September 2018.
    • Working paper available here.

  • Maximum likelihood estimation of the equity premium, with Efstathios Avdis, Journal of Financial Economics 125 (3): 589--609, September 2017.
    • Online Appendix available here. Working paper available here

  • Rare booms and disasters in a multi-sector endowment economy, with Jerry Tsai, Review of Financial Studies 29 (5): 1377--1408, 2016. (Lead Article)

  • Disaster risk and its implications for asset pricing, with Jerry Tsai, Annual Review of Financial Economics 7:219--252, 2015.
    • Online Appendix available here. VoxEU column here.

  • What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio, with Missaka Warusawitharana, Journal of Econometrics 186:74--93, May 2015.

  • Can time-varying risk of rare disasters explain aggregate stock market volatility? Journal of Finance 68:987--1035, June 2013.

  • Using samples of unequal length in generalized method of moments estimation, with Anthony Lynch, Journal of Financial and Quantitative Analysis 48:277--307, February 2013.

  • The term structures of equity and interest rates, with Martin Lettau, Journal of Financial Economics 101:90--113, July 2011.

  • Asset allocation, Annual Review of Financial Economics 2:175--206, 2010.

  • Why do household portfolio shares rise in wealth?, with Motohiro Yogo, Review of Financial Studies 23:3929--3965, November 2010.

  • Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements, with Malcolm Baker, Lubomir Litov, and Jeffrey Wurgler, Journal of Financial and Quantitative Analysis 45:1111--1131, October 2010. (Lead Article)

  • Predictable returns and asset allocation: Should a skeptical investor time the market?, with Missaka Warusawitharana, Journal of Econometrics 148:162--178, February 2009.

  • The declining equity premium: What role does macroeconomic risk play? with Martin Lettau and Sydney Ludvigson, Review of Financial Studies 21:1653--1687, July 2008.
    • Appendix available here. Additional results can be found in the NBER working paper version here.

  • Why is long-horizon equity less risky? A duration-based explanation of the value premium, with Martin Lettau, Journal of Finance 62:55--92, February 2007.

  • A consumption-based model of the term structure of interest rates, Journal of Financial Economics 79:365--399, February 2006.
    • (This paper previously circulated under the title Habit formation and returns on bonds and stocks.)

  • Can financial innovation help to explain the reduced volatility of economics activity? A comment, Journal of Monetary Economics 53:151--154 January 2006.

  • Solving models with external habit, Finance Research Letters 2:210--226, December 2005.

  • Does the failure of the expectations hypothesis matter for long-term investors?, with Antonios Sangvinatsos, Journal of Finance 60:179--230, February 2005.

  • Risk aversion and allocation to long-term bonds, Journal of Economic Theory 112:325--333, October 2003.

  • Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets, Journal of Financial and Quantitative Analysis 37:63--91, March 2002.

  • Are behavioral asset-pricing models structural? A comment, Journal of Monetary Economics 49:229-233, January 2002.

  • Discussion of "Variable selection for portfolio choice", by Yacine Ait-Sahalia and Michael Brandt, Journal of Finance 56:1351-1355, 2001.

  • Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation, with Klaas Baks and Andrew Metrick, Journal of Finance 56:45--85, February 2001.