Jessica A. Wachter



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

Curriculum Vitae

Publications

  • Can time-varying risk of rare disasters explain aggregate stock market volatility?, forthcoming, Journal of Finance.

  • Using samples of unequal length in generalized method of moments estimation, with Anthony Lynch, forthcoming, Journal of Financial and Quantitative Analysis.

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

  • Asset allocation, Annual Reviews of Financial Economics 2:175-206, December 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.

  • 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.

    • Working Papers

  • Maximum likelihood estimation of the equity premium, with Efstathios Avdis, March 2013.

  • Option prices in a model with stochastic disaster risk, with Sang Byung Seo, March 2013.

  • Rare booms and disasters in a multi-sector endowment economy, with Jerry Tsai, March 2013.

  • What is the chance that the equity premium varies over time? Evidence from predictive regressions, with Missaka Warusawitharana, January 2012.