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


  • 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
  • Antonios Sangvinatsos, Jessica Wachter (2001), Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation, Journal of Finance, 56, 45 - 85.  Abstract