Jessica Wachter
Richard B. Worley Professor of Financial Management, Professor of Finance
Research Interests: asset pricing, financial econometrics, portfolio choice
Links: CV, Personal Website

Sang Byung Seo, Jessica Wachter (Working), Do rare events explain CDX tranche spreads?.

Efstathios Avdis, Jessica Wachter (Working), Maximum likelihood estimation of the equity premium. Abstract

Jessica Wachter, Jerry Tsai (Forthcoming), Rare booms and disasters in a multisector endowment economy. Abstract

Sang Byung Seo, Jessica Wachter (Working), Option Prices in a Model with Stochastic Disaster Risk. Abstract

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 dividendprice ratio, Journal of Econometrics, 186, 74  93. Abstract

Jerry Tsai, Jessica Wachter (Forthcoming), Disaster risk and its implications for asset pricing. Abstract Related Materials

Jessica Wachter (2013), Can timevarying 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 LongHorizon Equity Less Risky? A DurationBased Explanation of the Value Premium, Journal of Finance, 62, 55  92. Abstract

Jessica Wachter (2006), A ConsumptionBased 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 longterm investors?, Journal of Finance, 60, 179  230. Abstract

Jessica Wachter (2003), Risk aversion and allocation to longterm bonds, Journal of Economic Theory, 112, 325  333. Abstract

Jessica Wachter (2002), Portfolio and consumption decisions under meanreverting returns: An exact solution for complete markets, Journal of Financial and Quantitative Analysis, 37, 63  91. Abstract

Jessica Wachter (2002), Are behavioral assetpricing 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