Jessica A. Wachter

Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?

Year: 2003
Journal: Journal of Finance
Authors: Antonios Sangvinatsos; Jessica A. Wachter

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

Year: 2004
Journal: Review of Financial Studies
Authors: Martin Lettau; Sydney C. Ludvigson; Jessica A. Wachter

Solving Models with External Habit

Year: 2005
Journal: Finance Research Letters
Authors: Jessica A. Wachter

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

Year: 2007
Journal: Journal of Econometrics
Authors: Jessica A. Wachter; Missaka Warusawitharana

Using Samples of Unequal Length in Generalized Method of Moments Estimation

Year: 2008
Journal: Journal of Financial and Quantitative Analysis
Authors: Anthony W. Lynch; Jessica A. Wachter

The Term Structures of Equity and Interest Rates

Year: 2009
Journal: Journal of Financial Economics
Authors: Martin Lettau; Jessica A. Wachter

Why Do Household Portfolio Shares Rise in Wealth?

Year: 2010
Journal: Review of Financial Studies
Authors: Jessica A. Wachter; Motohiro Yogo

What is the Chance that the Equity Premium Varies Over Time? Evidence from Regressions on the Dividend-Price Ratio

Year: 2011
Journal: Journal of Econometrics
Authors: Jessica A. Wachter; Missaka Warusawitharana

Option Prices in a Model with Stochastic Disaster Risk

Year: 2013
Journal: Management Science
Authors: Sang Byung Seo; Jessica A. Wachter

Maximum Likelihood Estimation of the Equity Premium

Year: 2013
Journal: Journal of Financial Economics
Authors: Efstathios Avdis; Jessica A. Wachter

Rare Booms and Disasters in a Multisector Endowment Economy

Year: 2014
Journal: Review of Financial Studies
Authors: Jerry Tsai; Jessica A. Wachter

Disaster Risk and its Implications for Asset Pricing

Year: 2015
Journal: Annual Review of Financial Economics
Authors: Jerry Tsai; Jessica A. Wachter

Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility

Year: 2015
Journal: Review of Financial Studies
Authors: Mete Kilic; Jessica A. Wachter

Do Rare Events Explain CDX Tranche Spreads?

Year: 2016
Journal: Journal of Finance
Authors: Sang Byung Seo; Jessica A. Wachter

Cyclical Dispersion in Expected Defaults

Year: 2017
Journal: Review of Financial Studies
Authors: Joo F. Gomes; Marco Grotteria; Jessica A. Wachter

Cross-sectional Skewness

Year: 2018
Journal: Review of Asset Pricing Studies
Authors: Simon Oh; Jessica A. Wachter

The Macroeconomic Announcement Premium

Year: 2018
Journal: No Journal Matched
Authors: Jessica A. Wachter; Yicheng Zhu

Pricing Long-Lived Securities in Dynamic Endowment Economies

Year: 2018
Journal: Journal of Economic Theory
Authors: Jerry Tsai; Jessica A. Wachter

Superstitious Investors

Year: 2019
Journal: No Journal Matched
Authors: Hongye Guo; Jessica A. Wachter

A Retrieved Context Theory of Financial Decisions

Year: 2019
Journal: Quarterly Journal of Economics
Authors: Jessica A. Wachter; Michael Jacob Kahana