Photo of Jessica Wachter

Jessica Wachter

Richard B. Worley Professor of Financial Management, Professor of Finance

Research Interests: asset pricing, financial econometrics, portfolio choice

Links: CV, Personal Website

Contact Information

Address: 2459 Steinberg-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104
Office: (215) 898-7634



Phd, Harvard University, 2000; AB, Harvard College, 1996

Academic Positions Held

Wharton: 2003-present. Previous appointments: Stern School of Business, New York University


  • Efstathios Avdis, Jessica Wachter (Working), Maximum likelihood estimation of the equity premium.    Abstract
  • Sang Byung Seo, Jessica Wachter (Working), Option Prices in a Model with Stochastic Disaster Risk.    Abstract
  • Mete Kilic, Jessica Wachter (Working), Risk, unemployment, and the stock market: A rare-event-based explanation of labor market volatility.    Abstract
  • Jerry Tsai, Jessica Wachter (2016), Rare booms and disasters in a multisector endowment economy, Review of Financial Studies , 29 (5), 1113 - 1169.
  • Jerry Tsai, Jessica Wachter (2015), Disaster risk and its implications for asset pricing, Annual Review of Financial Economics, 7, 219 - 252.
  • Jerry Tsai, Jessica Wachter, "Disaster risk and asset pricing" in VOX EU, June, 11, 2015.
  • Jessica Wachter, Missaka Warusawitharana (2015), What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio, Journal of Econometrics, 186, 74 - 93.    Abstract
  • Jessica Wachter (2013), Can time-varying risk of rare disasters explain aggregate stock market volatility, Journal of Finance, 68 (3), 987 - 1035.  Abstract
  • Anthony W. Lynch, Jessica Wachter (2013), Using Samples of Unequal Length in Generalized Method of Moments Estimation, Journal of Financial and Quantitative Analysis, 48 (1), 277 - 307.  Abstract
  • Martin Lettau, Jessica Wachter (2011), The Term Structures of Equity and Interest Rates, Journal of Financial Economics, 101, 90 - 113.  Abstract
  • Jessica Wachter (2010), Asset Allocation, Annual Reviews of Financial Economics, 2, 175 - 206.  Abstract
  • Jessica Wachter, Motohiro Yogo (2010), Why Do Household Portfolio Shares Rise in Wealth?, Review of Financial Studies, 23, 3929 - 3965.  Abstract
  • Malcolm Baker, Lubomir Litov, Jessica Wachter, Jeffrey Wurgler (2010), Can Mutual Fund Managers Pick Stocks? Evidence From Their Trades Prior to Earnings Announcements, Journal of Financial and Quantitative Analysis, 45, 1111 - 1132.  Abstract
  • Jessica Wachter, Missaka Warusawitharana (2009), Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?, Journal of Econometrics, 148, 162 - 178.  Abstract
  • Martin Lettau, Sydney Ludvigson, Jessica Wachter (2008), The Declining Equity Premium: What Role Does Macroeconomic Risk Play?, Review of Financial Studies, 21, 1653 - 1687.  Abstract
  • Martin Lettau, Jessica Wachter (2007), Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium, Journal of Finance, 62, 55 - 92.  Abstract
  • Jessica Wachter (2006), A Consumption-Based Model of the Term Structure of Interest Rates, Journal of Financial Economics, 79, 365 - 399.  Abstract
  • Jessica Wachter (2006), Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity?, Journal of Monetary Economics, 53, 151 - 154.  Abstract
  • Jessica Wachter (2005), Solving Models with External Habit, Finance Research Letters, 2, 210 - 226.  Abstract
  • Antonios Sangvinatsos, Jessica Wachter (2005), Does the failure of the expectations hypothesis matter for long-term investors?, Journal of Finance, 60, 179 - 230.  Abstract
  • Jessica Wachter (2003), Risk aversion and allocation to long-term bonds, Journal of Economic Theory, 112, 325 - 333.  Abstract
  • Jessica Wachter (2002), Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets, Journal of Financial and Quantitative Analysis, 37, 63 - 91.  Abstract
  • Jessica Wachter (2002), Are behavioral asset-pricing models structural? A comment, Journal of Monetary Economics, 49, 229 - 233.
  • Jessica Wachter (2001), Variable Selection for Portfolio Choice: Discussion, Journal of Finance, 56, 1351 - 1355.  Abstract
  • Andrew Metrick, Jessica Wachter (2001), Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation, Journal of Finance, 56, 45 - 85.  Abstract

In The News



  • FNCE100 - Corporate Finance

    This course provides an introduction to the theory, the methods, and the concerns of corporate finance. The concepts developed in FNCE 100 form the foundation for all elective finance courses. The main topics include: 1) the time value of money and capital budgeting techniques; 2) uncertainty and the trade-off between risk and return; 3) security market efficiency; 4) optimal capital structure, and 5) dividend policy decisions. During the fall semester there are honors sections of FNCE 100 offered. The seats in the honors sections are awarded through an application process. Please go to for additional information.

  • FNCE911 - Financial Economics

    The objective of this course is to undertake a rigorous study of the theoretical foundations of modern financial economics. The course will cover the central themes of modern finance including individual investment decisions under uncertainty, stochastic dominance, mean variance theory, capital market equilibrium and asset valuation, arbitrage pricing theory, option pricing, and incomplete markets, and the potential application of these themes. Upon completion of this course, students should acquire a clear understanding of the major theoretical results concerning individuals' consumption and portfolio decisions under uncertainty and their implications for the valuation of securities.