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
Tel: (215) 898 7634
Fax: (215) 898 6200
likelihood estimation of the equity premium, with Efstathios Avdis,
forthcoming, Journal of Financial Economics.
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)
risk and its implications for asset pricing, with Jerry Tsai,
Annual Review of Financial Economics 7:219-252,
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,
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.
declining equity premium: What role does
macroeconomic risk play? with Martin Lettau and Sydney Ludvigson,
Review of Financial Studies 21:1653-1687, July 2008.
here. Additional results can be found in the NBER working paper version here.
long-horizon equity less risky? A duration-based
explanation of the value premium,
with Martin Lettau, Journal of Finance 62:55-92, February
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,
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
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.
long-lived securities in dynamic endowment economies, with Jerry
Tsai, August 2017.
dispersion in expected defaults, with Joao Gomes and Marco Grotteria,
Online Appendix available here
Do rare events explain
CDX tranche spreads?, with Sang Byung Seo,
unemployment, and the stock market: A rare-event-based explanation of
labor market volatility, with Mete Kilic,
Option prices in a
model with stochastic disaster risk, with Sang Byung Seo,