Jessica Wachter
Jessica Wachter
Professor of Finance, Wharton
Verifierad e-postadress på wharton.upenn.edu - Startsida
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A consumption-based model of the term structure of interest rates
JA Wachter
Journal of Financial economics 79 (2), 365-399, 2006
7222006
Can time‐varying risk of rare disasters explain aggregate stock market volatility?
JA Wachter
The Journal of Finance 68 (3), 987-1035, 2013
6792013
Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets
JA Wachter
Journal of financial and quantitative analysis, 63-91, 2002
6032002
Why is long‐horizon equity less risky? A duration‐based explanation of the value premium
M Lettau, JA Wachter
The Journal of Finance 62 (1), 55-92, 2007
5062007
The declining equity premium: What role does macroeconomic risk play?
M Lettau, SC Ludvigson, JA Wachter
The Review of Financial Studies 21 (4), 1653-1687, 2008
5022008
Can mutual fund managers pick stocks? Evidence from the trades prior to earnings announcements
M Baker, L Litov, JA Wachter, J Wurgler
National Bureau of Economic Research Working Paper Series, 2004
3282004
Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation
KP Baks, A Metrick, J Wachter
The Journal of Finance 56 (1), 45-85, 2001
2872001
Why do household portfolio shares rise in wealth?
JA Wachter, M Yogo
The Review of Financial Studies 23 (11), 3929-3965, 2010
2322010
The term structures of equity and interest rates
M Lettau, JA Wachter
Journal of Financial Economics 101 (1), 90-113, 2011
2142011
Does the failure of the expectations hypothesis matter for long‐term investors?
A Sangvinatsos, JA Wachter
The Journal of Finance 60 (1), 179-230, 2005
2102005
Risk aversion and allocation to long-term bonds
JA Wachter
Journal of Economic Theory 112 (2), 325-333, 2003
1662003
Predictable returns and asset allocation: Should a skeptical investor time the market?
JA Wachter, M Warusawitharana
Journal of Econometrics 148 (2), 162-178, 2009
1402009
Solving models with external habit
JA Wachter
Finance Research Letters 2 (4), 210-226, 2005
992005
Does mutual fund performance vary over the business cycle?
AW Lynch, JA Wachter, W Boudry
AFA 2004 San Diego Meetings, 2002
772002
Option prices in a model with stochastic disaster risk
SB Seo, JA Wachter
Management Science 65 (8), 3449-3469, 2019
682019
Disaster risk and its implications for asset pricing
J Tsai, JA Wachter
Annual Review of Financial Economics 7, 219-252, 2015
602015
Asset allocation
JA Wachter
Annu. Rev. Financ. Econ. 2 (1), 175-206, 2010
562010
Rare booms and disasters in a multisector endowment economy
J Tsai, JA Wachter
The Review of Financial Studies 29 (5), 1113-1169, 2016
492016
Using samples of unequal length in generalized method of moments estimation
AW Lynch, JA Wachter
National Bureau of Economic Research Working Paper Series, 2008
362008
What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio
JA Wachter, M Warusawitharana
Journal of Econometrics 186 (1), 74-93, 2015
34*2015
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Artiklar 1–20