15
H index
16
i10 index
1704
Citations
University of Pennsylvania | 15 H index 16 i10 index 1704 Citations RESEARCH PRODUCTION: 17 Articles 35 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jessica A. Wachter. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial and Quantitative Analysis | 3 |
Review of Financial Studies | 2 |
Journal of Monetary Economics | 2 |
Journal of Finance | 2 |
Journal of Financial Economics | 2 |
Proceedings | 2 |
Year | Title of citing document | |
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2020 | Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09. Full description at Econpapers || Download paper | |
2021 | Implied Dividend Volatility and Expected Growth. (2021). Martin, Ian ; Gormsen, Niels J. In: AEA Papers and Proceedings. RePEc:aea:apandp:v:111:y:2021:p:361-65. Full description at Econpapers || Download paper | |
2020 | A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249. Full description at Econpapers || Download paper | |
2020 | Inside the Mind of a Stock Market Crash. (2020). Maggiori, Matteo ; Utkus, Stephen ; Stroebel, Johannes ; Giglio, Stefano. In: Papers. RePEc:arx:papers:2004.01831. Full description at Econpapers || Download paper | |
2021 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper | |
2020 | Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: Papers. RePEc:arx:papers:2005.08929. Full description at Econpapers || Download paper | |
2020 | Optimal Investment, Heterogeneous Consumption and Best Time for Retirement. (2020). Zheng, Harry ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2008.00392. Full description at Econpapers || Download paper | |
2021 | Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963. Full description at Econpapers || Download paper | |
2021 | Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257. Full description at Econpapers || Download paper | |
2021 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394. Full description at Econpapers || Download paper | |
2021 | The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915. Full description at Econpapers || Download paper | |
2021 | Two Stochastic Control Problems In Capital Structure and Portfolio Choice. (2021). Huang, Shan. In: Papers. RePEc:arx:papers:2107.02242. Full description at Econpapers || Download paper | |
2022 | Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain. (2022). Mayordomo, Sergio ; Pena, Juan Ignacio ; Rodriguez-Moreno, Mar'Ia. In: Papers. RePEc:arx:papers:2202.02280. Full description at Econpapers || Download paper | |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper | |
2022 | Consumption-investment decisions with endogenous reference point and drawdown constraint. (2022). Yuan, Fengyi ; Luo, Xiaodong ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2204.00530. Full description at Econpapers || Download paper | |
2020 | Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14. Full description at Econpapers || Download paper | |
2020 | Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion. (2020). Rinaldi, Gianluca ; Pflueger, Carolin E. In: Working Papers. RePEc:bfi:wpaper:2020-138. Full description at Econpapers || Download paper | |
2020 | Stock Prices, Lockdowns, and Economic Activity in the Time of Coronavirus. (2020). Liu, Dingqian ; Davis, Stephen J ; Sheng, Xuguang Simon. In: Working Papers. RePEc:bfi:wpaper:2020-156. Full description at Econpapers || Download paper | |
2021 | Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective. (2021). Sahuc, Jean-Guillaume ; Mouabbi, Sarah ; Renne, Jean-Paul. In: Working papers. RePEc:bfr:banfra:844. Full description at Econpapers || Download paper | |
2021 | Can Machine Learning Help to Select Portfolios of Mutual Funds?. (2021). , Andre ; Nogales, Francisco J ; Gil-Bazo, Javier ; Demiguel, Victor ; de Miguel, Victor . In: Working Papers. RePEc:bge:wpaper:1245. Full description at Econpapers || Download paper | |
2021 | Momentum, Reversals, and Business Cycle Turning Points. (2021). Xiao, Yuchao ; Min, Byoungkyu. In: Abacus. RePEc:bla:abacus:v:57:y:2021:i:4:p:679-708. Full description at Econpapers || Download paper | |
2022 | Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141. Full description at Econpapers || Download paper | |
2020 | Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349. Full description at Econpapers || Download paper | |
2020 | Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807. Full description at Econpapers || Download paper | |
2022 | Does the Federal Open Market Committee cycle affect credit risk?. (2022). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Huang, Difang. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:143-167. Full description at Econpapers || Download paper | |
2020 | Timeâ€varying risk of rare disasters, investment, and asset pricing. (2020). Niu, Yingjie ; Liu, BO ; Zou, Zhentao ; Yang, Jinqiang. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:503-524. Full description at Econpapers || Download paper | |
2020 | Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668. Full description at Econpapers || Download paper | |
2020 | What Drives Anomaly Returns?. (2020). Tetlock, Paul C ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1417-1455. Full description at Econpapers || Download paper | |
2020 | Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713. Full description at Econpapers || Download paper | |
2020 | What Matters to Individual Investors? Evidence from the Horses Mouth. (2020). Choi, James ; Robertson, Adriana Z. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:1965-2020. Full description at Econpapers || Download paper | |
2020 | Declining Labor and Capital Shares. (2020). Barkai, Simcha. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2421-2463. Full description at Econpapers || Download paper | |
2021 | Presidential Address: How Much “Rationality” Is There in Bond?Market Risk Premiums?. (2021). Singleton, Kenneth J. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:1611-1654. Full description at Econpapers || Download paper | |
2021 | Time Variation of the Equity Term Structure. (2021). Gormsen, Niels Joachim. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:1959-1999. Full description at Econpapers || Download paper | |
2021 | Reinvestment Risk and the Equity Term Structure. (2021). Gonalves, Andrei S. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2153-2197. Full description at Econpapers || Download paper | |
2021 | Valuing Private Equity Investments Strip by Strip. (2021). van Nieuwerburgh, Stijn ; Gupta, Arpit. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3255-3307. Full description at Econpapers || Download paper | |
2022 | Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966. Full description at Econpapers || Download paper | |
2020 | A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496. Full description at Econpapers || Download paper | |
2020 | Housing, Wealth, Income and Consumption: China and Homeownership Heterogeneity. (2020). Hu, Mingzhi ; Hardin, William ; Chen, Jie. In: Real Estate Economics. RePEc:bla:reesec:v:48:y:2020:i:2:p:373-405. Full description at Econpapers || Download paper | |
2020 | Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom. (2020). Xu, Fang ; Herwartz, Helmut. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:164-190. Full description at Econpapers || Download paper | |
2020 | A shadow rate without a lower bound constraint. (2020). Ristiniemi, Annukka ; De Rezende, Rafael. In: Bank of England working papers. RePEc:boe:boeewp:0864. Full description at Econpapers || Download paper | |
2020 | Exchange rate risk and business cycles. (2020). Lloyd, Simon ; Marin, Emile. In: Bank of England working papers. RePEc:boe:boeewp:0872. Full description at Econpapers || Download paper | |
2021 | Monetary policy surprises and their transmission through term premia and expected interest rates. (2021). Sustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna. In: Bank of England working papers. RePEc:boe:boeewp:0914. Full description at Econpapers || Download paper | |
2021 | Preferred habitat investors in the UK government bond market. (2021). Worlidge, Jack ; Meaning, Jack ; Joyce, Michael ; Giese, Julia. In: Bank of England working papers. RePEc:boe:boeewp:0939. Full description at Econpapers || Download paper | |
2020 | Bonds, Currencies and Expectational Errors. (2020). Sihvonen, Markus ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_007. Full description at Econpapers || Download paper | |
2021 | Yield curve momentum. (2021). Sihvonen, Markus. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_015. Full description at Econpapers || Download paper | |
2020 | A Markov-Chain Measure of Systemic Banking Crisis Frequency. (2020). TAMBAKIS, DEMOSTHENES. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2083. Full description at Econpapers || Download paper | |
2021 | The Gender Gap in Household Bargaining Power: A Portfolio-Choice Approach. (2021). Zhang, W ; Peng, C ; Gu, R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2130. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2020 | Transactions Costs and the Equity Premium Puzzle. (2020). Hong, Sanghyun. In: Working Papers in Economics. RePEc:cbt:econwp:20/16. Full description at Econpapers || Download paper | |
2020 | Rational Learning and the Term Structures of Value and Growth Risk Premia. (2020). Marfè, Roberto ; Khapko, Mariana ; Hasler, Michael. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:622. Full description at Econpapers || Download paper | |
2020 | Dynamic Equity Slope. (2020). Marfè, Roberto ; Zucchi, Francesca ; Colonnello, Stefano ; Breugem, Matthijs. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:626. Full description at Econpapers || Download paper | |
2021 | Monetary Policy and Wealth Effects: The Role of Risk and Heterogeneity. (2021). Silva, Dejanir H ; Caramp, Nicolas. In: Working Papers. RePEc:cda:wpaper:341. Full description at Econpapers || Download paper | |
2021 | Aggregate Skewness and the Business Cycle. (2021). Theodoridis, Konstantinos ; Iseringhausen, Martin. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/30. Full description at Econpapers || Download paper | |
2020 | Income Tax Evasion: Recovery from Economic Disasters. (2020). Ćorić, Bruno ; Skrabic, Blanka Peric. In: CERGE-EI Working Papers. RePEc:cer:papers:wp676. Full description at Econpapers || Download paper | |
2020 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃk, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677. Full description at Econpapers || Download paper | |
2020 | Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874. Full description at Econpapers || Download paper | |
2020 | Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502. Full description at Econpapers || Download paper | |
2020 | Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models. (2020). Phillips, Michael G ; Bommer, William H ; Rana, Shailesh. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-12. Full description at Econpapers || Download paper | |
2021 | Sukuk Market and Economic Welfare Nexus: A Partial Equilibrium Approach. (2021). Boukhatem, Jamel. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2021-03-15. Full description at Econpapers || Download paper | |
2020 | Climate risk: The price of drought. (2020). Truong, Cameron ; Ha, Thu ; Huynh, Thanh D. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301942. Full description at Econpapers || Download paper | |
2021 | Investor rewards to environmental responsibility: Evidence from the COVID-19 crisis. (2021). Petit-Romec, Arthur ; Garel, Alexandre. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000699. Full description at Econpapers || Download paper | |
2020 | Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?. (2020). Horvath, Jaroslav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300221. Full description at Econpapers || Download paper | |
2020 | Dynamic asset allocation with relative wealth concerns in incomplete markets. (2020). Seifried, Frank Thomas ; Meyer-Wehmann, Andre ; Kraft, Holger. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300270. Full description at Econpapers || Download paper | |
2020 | Horizon-unbiased investment with ambiguity. (2020). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300646. Full description at Econpapers || Download paper | |
2020 | Gain/loss asymmetric stochastic differential utility. (2020). Shigeta, Yuki. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301433. Full description at Econpapers || Download paper | |
2020 | Short-run risk, business cycle, and the value premium. (2020). Leippold, Markus ; He, Yunhao. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301615. Full description at Econpapers || Download paper | |
2020 | Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925. Full description at Econpapers || Download paper | |
2021 | Stock prices and the risk-free rate: An internal rationality approach. (2021). Zhang, Tongbin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000385. Full description at Econpapers || Download paper | |
2021 | Optimal attention and heterogeneous precautionary saving behavior. (2021). Yin, Penghui. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001652. Full description at Econpapers || Download paper | |
2022 | Hazardous lending: The impact of natural disasters on bank asset portfolio. (2022). , Mark ; Li, Runliang. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999322000062. Full description at Econpapers || Download paper | |
2020 | Optimal investment and consumption with return predictability and execution costs. (2020). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:408-419. Full description at Econpapers || Download paper | |
2020 | A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China. (2020). Lv, Dayong ; Zhou, Yaping ; Wang, Zilin ; Ruan, Qingsong. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:47-58. Full description at Econpapers || Download paper | |
2021 | The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. (2021). Racicot, François-Ãric ; Theoret, Raymond ; Gregoriou, Greg N. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:843-872. Full description at Econpapers || Download paper | |
2021 | Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472. Full description at Econpapers || Download paper | |
2021 | Dynamic portfolio choice and information trading with recursive utility. (2021). Ruan, Xinfeng ; Chen, Xingjiang ; Zhang, Wenjun. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:154-167. Full description at Econpapers || Download paper | |
2021 | Tail risk and investors’ concerns: Evidence from Brazil. (2021). Freire, Gustavo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001364. Full description at Econpapers || Download paper | |
2021 | Towards the development of economic damage functions for weather and climate extremes. (2021). , Christian ; Christian, . In: Ecological Economics. RePEc:eee:ecolec:v:189:y:2021:i:c:s0921800921002305. Full description at Econpapers || Download paper | |
2020 | Rare disaster concerns and economic fluctuations. (2020). Zhu, Xiaoneng ; Su, Hao ; Hao, Yijun. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302810. Full description at Econpapers || Download paper | |
2020 | The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230. Full description at Econpapers || Download paper | |
2021 | Empirical asset pricing with multi-period disaster risk: A simulation-based approach. (2021). Grammig, Joachim ; Sonksen, Jantje. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:805-832. Full description at Econpapers || Download paper | |
2020 | The role of labor-income risk in household risk-taking. (2020). Li, Jian ; Koulovatianos, Christos ; Hubar, Sylwia. In: European Economic Review. RePEc:eee:eecrev:v:129:y:2020:i:c:s0014292120301537. Full description at Econpapers || Download paper | |
2022 | Near-optimal asset allocation in financial markets with trading constraints. (2022). Pelsser, Antoon ; Kamma, Thijs. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781. Full description at Econpapers || Download paper | |
2020 | Decomposing the value premium: The role of intangible information in the Chinese stock market. (2020). An, Jiyoun ; Ho, Kin-Yip. In: Emerging Markets Review. RePEc:eee:ememar:v:44:y:2020:i:c:s1566014117304806. Full description at Econpapers || Download paper | |
2021 | The impact of extreme events on energy price risk. (2021). Chang, Chun-Ping ; Zhao, Xin-Xin ; Wen, Jun. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002139. Full description at Econpapers || Download paper | |
2021 | Tail risk measurement in crypto-asset markets. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302477. Full description at Econpapers || Download paper | |
2021 | A comprehensive look at stock return predictability by oil prices using economic constraint approaches. (2021). Wahab, M. I. M., ; Lu, Xinjie ; Wang, Ruoxin ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002258. Full description at Econpapers || Download paper | |
2021 | Unskilled fund managers: Replicating active fund performance with few ETFs. (2021). De-Losso, Rodrigo ; Bueno, Rodrigo ; Cavalcante-Filho, Elias ; Moraes, Fernando. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s105752192100226x. Full description at Econpapers || Download paper | |
2021 | International stock return predictability. (2021). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002805. Full description at Econpapers || Download paper | |
2020 | Rare disaster risk and exchange rates: An empirical investigation of South Korean exchange rates under tension between the two Koreas. (2020). Park, Cheolbeom. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319303903. Full description at Econpapers || Download paper | |
2021 | Gold, platinum and the predictability of bond risk premia. (2021). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309079. Full description at Econpapers || Download paper | |
2021 | Ambiguity on uncertainty and the equity premium. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319312176. Full description at Econpapers || Download paper | |
2021 | The COVID-19 outbreak and stock market reactions: Evidence from Australia. (2021). Amin, Abu ; Rahman, Md Lutfur ; al Mamun, Mohammed Abdullah. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316469. Full description at Econpapers || Download paper | |
2021 | Cash conversion cycle and aggregate stock returns. (2021). Lin, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030029x. Full description at Econpapers || Download paper | |
2021 | The impact of the coronavirus crisis on the market price of risk. (2021). Theodossiou, Panayiotis ; Savva, Christos S ; Delis, Manthos D. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308920301431. Full description at Econpapers || Download paper | |
2021 | Pricing climate-related risks in the bond market. (2021). Agliardi, Rossella. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000279. Full description at Econpapers || Download paper | |
2021 | Identifying indicators of systemic risk. (2021). Schüler, Yves ; Meinerding, Christoph ; Schuler, Yves S ; Hartwig, Benny. In: Journal of International Economics. RePEc:eee:inecon:v:132:y:2021:i:c:s0022199621000921. Full description at Econpapers || Download paper | |
2020 | Term structure of discount rates for firms in the insurance industry. (2020). Zhao, Yanhui ; Lin, Xiao ; Giaccotto, Carmelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:147-158. Full description at Econpapers || Download paper | |
2021 | The interest rate determination when economic variables are partially observable. (2021). Okimoto, Tatsuyoshi ; Morita, Hiroshi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000421. Full description at Econpapers || Download paper | |
2022 | Terrorism and international stock returns. (2022). Bach, Dinh Hoang ; Narayan, Seema. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001736. Full description at Econpapers || Download paper | |
2022 | Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429. Full description at Econpapers || Download paper | |
2022 | Life-cycle portfolio choice with imperfect predictors. (2022). Zhang, Yuxin ; Michaelides, Alexander. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003083. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2010 | Asset Allocation In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 6 |
2010 | Asset Allocation.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2001 | Discussion In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2013 | Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? In: Journal of Finance. [Full Text][Citation analysis] | article | 273 |
2008 | Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 273 | paper | |
2008 | Can time-varying risk of rare disasters explain aggregate stock market volatility?.(2008) In: 2008 Meeting Papers. [Citation analysis] This paper has another version. Agregated cites: 273 | paper | |
2005 | Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 159 |
2005 | Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 159 | paper | |
2005 | Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: 2005 Meeting Papers. [Citation analysis] This paper has another version. Agregated cites: 159 | paper | |
2006 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 180 |
2005 | The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 180 | article | |
2004 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 180 | paper | |
2008 | The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2008) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 180 | article | |
2002 | Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 185 |
2010 | Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 70 |
2004 | Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements.(2004) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 70 | paper | |
2013 | Using Samples of Unequal Length in Generalized Method of Moments Estimation In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 7 |
2008 | Using Samples of Unequal Length in Generalized Method of Moments Estimation.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2009 | Predictable returns and asset allocation: Should a skeptical investor time the market? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 58 |
2007 | Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2006 | Predictable returns and asset allocation: Should a skeptical investor time the market?.(2006) In: 2006 Meeting Papers. [Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2005 | Solving models with external habit In: Finance Research Letters. [Full Text][Citation analysis] | article | 30 |
2005 | Solving Models with External Habit.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | paper | |
2003 | Risk aversion and allocation to long-term bonds In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 46 |
2011 | The term structures of equity and interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 63 |
2009 | The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2006 | A consumption-based model of the term structure of interest rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 258 |
2002 | Comment on: Are behavioral asset-pricing models structural? In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 2 |
2006 | Comment on: Can financial innovation help to explain the reduced volatility of economic activity? In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 6 |
2009 | What is the chance that the equity premium varies over time? evidence from predictive regressions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 2 |
2005 | Growth or glamour? fundamentals and systemic risk in stock returns In: Proceedings. [Full Text][Citation analysis] | article | 107 |
1999 | Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] | paper | 70 |
2020 | Comment on Imperfect Expectations: Theory and Evidence In: NBER Chapters. [Full Text][Citation analysis] | chapter | 0 |
2003 | Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Why Do Household Portfolio Shares Rise in Wealth? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 92 |
2010 | Why Do Household Portfolio Shares Rise in Wealth?.(2010) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | article | |
2007 | Why do Household Portfolio Shares Rise in Wealth?.(2007) In: 2007 Meeting Papers. [Citation analysis] This paper has another version. Agregated cites: 92 | paper | |
2011 | What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2013 | Option Prices in a Model with Stochastic Disaster Risk In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2013 | Maximum likelihood estimation of the equity premium In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Rare Booms and Disasters in a Multi-sector Endowment Economy In: NBER Working Papers. [Full Text][Citation analysis] | paper | 18 |
2015 | Disaster Risk and its Implications for Asset Pricing In: NBER Working Papers. [Full Text][Citation analysis] | paper | 29 |
2015 | Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2016 | Do Rare Events Explain CDX Tranche Spreads? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Cyclical Dispersion in Expected Defaults In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2018 | The Macroeconomic Announcement Premium In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Pricing Long-Lived Securities in Dynamic Endowment Economies In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Cross-sectional Skewness In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Foreseen Risks In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2019 | Superstitious Investors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | A Retrieved-Context Theory Of Financial Decisions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Risks to Human Capital In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Bayesian Performance Evaluation In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
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