Jessica A. Wachter

Richard B. Worley Professor of Financial Management, Professor of Finance
Wharton School of Business
University of Pennsylvania
2300 Steinberg Hall - Dietrich Hall
3620 Locust Walk
PA 19104-6137

Tel: (215) 898 7634
Fax: (215) 898 6200

Curriculum Vitae

Working Papers

  • Cross-sectional Skewness, with Sangmin Oh, June 2018.
  • The macroeconomic announcement premium, with Yicheng Zhu, March 2018.
  • Foreseen risks, with Joao Gomes and Marco Grotteria, January 2018.
  • Pricing long-lived securities in dynamic endowment economies, with Jerry Tsai, May 2018.
  • Publications

  • Cyclical dispersion in expected defaults, with Joao Gomes and Marco Grotteria, forthcoming, Review of Financial Studies
  • Online Appendix available here

  • Do rare events explain CDX tranche spreads?, with Sang Byung Seo, forthcoming, Journal of Finance.
  • Risk, unemployment, and the stock market: A rare-event-based explanation of labor market volatility, with Mete Kilic, forthcoming Review of Financial Studies.
  • Option prices in a model with stochastic disaster risk, with Sang Byung Seo, forthcoming, Management Science.
  • Maximum likelihood estimation of the equity premium, with Efstathios Avdis, Journal of Financial Economics 125 (3): 589-609, September 2017.
  • Online Appendix 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.