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Information about:
Jessica A. Wachter

Personal Details | Affiliation | Works
This is information that was supplied by Jessica Wachter in registering through RePEc. If you are Jessica A. Wachter , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Jessica
Middle Name: A.
Last Name: Wachter
Suffix:

RePEc Short-ID: pwa346

Email:
Homepage: http://finance.wharton.upenn.edu/~jwachter/
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Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  2. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  3. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  4. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  5. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  7. Wu-Index

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Missaka Warusawitharana & Jessica A. Wachter, 2009. "What is the chance that the equity premium varies over time? evidence from predictive regressions," Finance and Economics Discussion Series 2009-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  2. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  3. Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
    Other versions:
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  6. Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  7. Jessica Wachter & Martin Lettau, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," 2005 Meeting Papers 302, Society for Economic Dynamics.
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  8. Malcolm Baker & Lubomir Litov & Jessica A. Wachter & Jeffrey Wurgler, 2004. "Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements," NBER Working Papers 10685, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  9. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers 10086, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Klaas Baks & Andrew Metrick & Jessica Wachter, 1999. "Bayesian Performance Evaluation," NBER Working Papers 7069, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  12. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    Published as:

Articles

  1. Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February. [Downloadable!] (restricted)
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  2. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(4), pages 1653-1687, July. [Downloadable!] (restricted)
    Other versions:
    Published as:

  3. Martin Lettau & Jessica A. Wachter, 2007. "Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium," Journal of Finance, American Finance Association, vol. 62(1), pages 55-92, 02. [Downloadable!] (restricted)
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  4. Wachter, Jessica A., 2006. "Comment on: "Can financial innovation help to explain the reduced volatility of economic activity?"," Journal of Monetary Economics, Elsevier, vol. 53(1), pages 151-154, January. [Downloadable!] (restricted)

  5. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February. [Downloadable!] (restricted)

  6. Wachter, Jessica A., 2005. "Solving models with external habit," Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December. [Downloadable!] (restricted)
    Other versions:

  7. Antonios Sangvinatsos & Jessica A. Wachter, 2005. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?," Journal of Finance, American Finance Association, vol. 60(1), pages 179-230, 02. [Downloadable!] (restricted)
    Other versions:

  8. Wachter, Jessica A., 2003. "Risk aversion and allocation to long-term bonds," Journal of Economic Theory, Elsevier, vol. 112(2), pages 325-333, October. [Downloadable!] (restricted)

  9. Wachter, Jessica A., 2002. "Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(01), pages 63-91, March. [Downloadable!]

  10. Wachter, Jessica A., 2002. "Comment on: Are behavioral asset-pricing models structural?," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 229-233, January. [Downloadable!] (restricted)

  11. Jessica A. Wachter, 2001. "Discussion," Journal of Finance, American Finance Association, vol. 56(4), pages 1351-1355, 08. [Downloadable!] (restricted)

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (2) 2004-08-31 2006-04-08
  2. NEP-CBA: Central Banking (1) 2009-01-31
  3. NEP-CFN: Corporate Finance (2) 2003-11-30 2004-08-31
  4. NEP-DGE: Dynamic General Equilibrium (3) 2004-02-01 2008-10-07 2009-01-31 Author is listed
  5. NEP-ECM: Econometrics (1) 2008-10-28
  6. NEP-ETS: Econometric Time Series (1) 2008-10-28
  7. NEP-FIN: Finance (5) 2004-02-01 2004-08-31 2005-02-27 2005-06-14 2006-04-08 Author is listed
  8. NEP-FMK: Financial Markets (5) 2005-02-27 2005-06-14 2006-04-08 2008-10-07 2009-01-31 Author is listed
  9. NEP-MAC: Macroeconomics (3) 2003-11-30 2004-02-01 2006-04-08 Author is listed
  10. NEP-MON: Monetary Economics (1) 2009-01-31
  11. NEP-RMG: Risk Management (4) 2004-02-01 2005-06-14 2007-06-18 2008-10-07 Author is listed
  12. NEP-UPT: Utility Models & Prospect Theory (2) 2008-10-07 2009-07-17
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This page was last updated on 2009-11-20.

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