Jessica A. Wachter : Citation Profile


Are you Jessica A. Wachter?

University of Pennsylvania

15

H index

16

i10 index

1551

Citations

RESEARCH PRODUCTION:

17

Articles

35

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 73
   Journals where Jessica A. Wachter has often published
   Relations with other researchers
   Recent citing documents: 117.    Total self citations: 28 (1.77 %)

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   Permalink: http://citec.repec.org/pwa346
   Updated: 2021-03-01    RAS profile: 2014-06-02    
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Relations with other researchers


Works with:

Grotteria, Marco (2)

Gomes, João (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jessica A. Wachter.

Is cited by:

Campbell, John (44)

Viceira, Luis (34)

Pastor, Lubos (22)

Bekaert, Geert (21)

Marfè, Roberto (21)

Lopez, Pierlauro (20)

Stambaugh, Robert (15)

Gourio, Francois (15)

Van Nieuwerburgh, Stijn (14)

Chernov, Mikhail (14)

Hansen, Lars (13)

Cites to:

Campbell, John (98)

Stambaugh, Robert (40)

Cochrane, John (38)

Shiller, Robert (28)

Barro, Robert (24)

Lettau, Martin (20)

French, Kenneth (20)

Viceira, Luis (19)

Piazzesi, Monika (18)

Shleifer, Andrei (18)

Epstein, Larry (16)

Main data


Where Jessica A. Wachter has published?


Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis3
Journal of Finance2
Journal of Monetary Economics2
Review of Financial Studies2
Proceedings2
Journal of Financial Economics2

Recent works citing Jessica A. Wachter (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020A Term Structure Model for Dividends and Interest Rates. (2019). Willems, Sander ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1803.02249.

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2020Inside the Mind of a Stock Market Crash. (2020). Maggiori, Matteo ; Utkus, Stephen ; Stroebel, Johannes ; Giglio, Stefano. In: Papers. RePEc:arx:papers:2004.01831.

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2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2020Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: Papers. RePEc:arx:papers:2005.08929.

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2020Optimal Investment, Heterogeneous Consumption and Best Time for Retirement. (2020). Zheng, Harry ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2008.00392.

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2020Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

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2020Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915.

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2020Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14.

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2020Why 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.

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2020Stock 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.

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2020Jump 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.

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2020Consumption, 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.

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2020Time‐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.

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2020Decomposing 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.

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2020What 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.

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2020Consumption 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.

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2020What 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.

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2020Declining Labor and Capital Shares. (2020). Barkai, Simcha. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2421-2463.

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2020A 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.

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2020Housing, 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.

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2020Low 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.

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2020A shadow rate without a lower bound constraint. (2020). Ristiniemi, Annukka ; De Rezende, Rafael. In: Bank of England working papers. RePEc:boe:boeewp:0864.

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2020Exchange rate risk and business cycles. (2020). Lloyd, Simon ; Marin, Emile. In: Bank of England working papers. RePEc:boe:boeewp:0872.

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2020Bonds, Currencies and Expectational Errors. (2020). Sihvonen, Markus ; Granziera, Eleonora. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_007.

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2020A Markov-Chain Measure of Systemic Banking Crisis Frequency. (2020). TAMBAKIS, DEMOSTHENES. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2083.

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2020Transactions Costs and the Equity Premium Puzzle. (2020). Hong, Sanghyun. In: Working Papers in Economics. RePEc:cbt:econwp:20/16.

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2020Income Tax Evasion: Recovery from Economic Disasters. (2020). Ćorić, Bruno ; Skrabic, Blanka Peric. In: CERGE-EI Working Papers. RePEc:cer:papers:wp676.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2020Household Finance. (2020). Gomes, Francisco J ; Haliassos, Michael ; Ramadorai, Tarun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14502.

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2020Predicting 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.

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2020Climate 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.

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2020Macroeconomic 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.

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2020Dynamic 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.

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2020Horizon-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.

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2020Gain/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.

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2020Short-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.

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2020Time 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.

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2020Optimal 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.

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2020A 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.

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2021The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. (2021). Racicot, François-Éric ; Theoret, Raymond ; Gregoriou, Greg N. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:843-872.

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2021Mixed-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.

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2020Rare 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.

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2020The 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.

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2020The 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.

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2020Decomposing 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.

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2020Rare 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.

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2020Term 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.

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2020Value and patience: The value premium in a dividend-growth model with hyperbolic discounting. (2020). Schindler, Nilufer ; Hens, Thorsten. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:172:y:2020:i:c:p:161-179.

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2020Show me the money: The monetary policy risk premium. (2020). Ozdagli, Ali ; Velikov, Mihail. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:320-339.

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2020Time-varying inflation risk and stock returns. (2020). Duarte, Fernando ; Szymanowska, Marta ; De Roon, Frans ; Boons, Martijn. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:444-470.

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2020The conditional expected market return. (2020). Loudis, Johnathan ; Chabi-Yo, Fousseni. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:752-786.

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2020Fiscal policy driven bond risk premia. (2020). Tamoni, Andrea ; Hsu, Alex ; Bretscher, Lorenzo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:1:p:53-73.

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2020The term structure and inflation uncertainty. (2020). Orphanides, Athanasios ; Breach, Tomas ; Damico, Stefania. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:388-414.

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2020Do people feel less at risk? Evidence from disaster experience. (2020). Shi, Yushui ; Liu, Yu-Jane ; Gao, Ming. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:866-888.

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2021Procyclicality of the comovement between dividend growth and consumption growth. (2021). Xu, Nancy R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:1:p:288-312.

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2021Does cash-flow news play a better role than discount-rate news? Evidence from global regional stock markets. (2021). Ko, Kwangsoo ; Ohk, Kiyool ; Wu, Ming. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302230.

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2020The Great Depression and the Great Recession: A view from financial markets. (2020). Bianchi, Francesco. In: Journal of Monetary Economics. RePEc:eee:moneco:v:114:y:2020:i:c:p:240-261.

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2020Reaching for dividends. (2020). Sun, Zheng ; Jiang, Hao. In: Journal of Monetary Economics. RePEc:eee:moneco:v:115:y:2020:i:c:p:321-338.

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2020Investing for the long run when expected equity premium is nonnegative. (2020). Zhu, Jie ; Zhang, Yugui. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302274.

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2020Does the type of debt matter? Stock market perception in Europe. (2020). Weill, Laurent ; Godlewski, Christophe ; Fungáčová, Zuzana ; Fungaova, Zuzana. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:247-256.

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2020Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence. (2020). Guidolin, Massimo ; Ricci, Andrea. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:1-11.

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2020Window dressing in equity mutual funds. (2020). Kuo, Ming-Sin ; Lien, Donald ; Hung, Pi-Hsia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:338-354.

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2020Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: EIEF Working Papers Series. RePEc:eie:wpaper:2008.

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2020Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M. In: ERIM Inaugural Address Series Research in Management. RePEc:ems:euriar:124748.

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2020Asset Prices and Unemployment Fluctuations. (2020). Lopez, Pierlauro ; Kehoe, Patrick J ; Midrigan, Virgiliu ; Pastorino, Elena. In: Working Papers. RePEc:fip:fedcwq:87582.

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2020Optimal Dynamic Capital Requirements and Implementable Capital Buffer Rules. (2020). Mishin, Arsenii ; Guerrieri, Luca ; Diba, Behzad ; Canzoneri, Matthew. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-56.

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2020Asset Prices and Unemployment Fluctuations. (2020). Midrigan, Virgiliu ; Kehoe, Patrick J ; Lopez, Pierlauro ; Pastorino, Elena. In: Staff Report. RePEc:fip:fedmsr:87571.

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2020Tail Risk Transmission: A Study of the Iran Food Industry. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojaverian, Seyed Mojtaba ; Mojtahedi, Fatemeh. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:78-:d:387092.

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2020The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies. (2020). Monge, Manuel ; Gil-Alana, Luis. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:130-:d:455636.

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2020Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment. (2020). Yung, Julieta ; Chami, Ralph ; Rochon, Celine ; Cosimano, Thomas F. In: IMF Working Papers. RePEc:imf:imfwpa:2020/053.

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2020Dividend Growth Predictability and the Price–Dividend Ratio. (2020). Trojani, Fabio ; Piatti, Ilaria . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:130-158.

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2020Lottery-Related Anomalies: The Role of Reference-Dependent Preferences. (2020). Yu, Jianfeng ; Wang, Jian. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:473-501.

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2020Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes. (2020). Xu, Jing ; Li, YA ; Ali, Y ; Lei, Yaoting . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:2:p:823-843.

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2020The Missing New Funds. (2020). Zhu, Qifei. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:3:p:1193-1204.

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2020Dynamic Attention Behavior Under Return Predictability. (2020). Hasler, Michael ; Andrei, Daniel. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:7:p:2906-2928.

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2020Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level. (2020). Nijman, Theo E ; van Bilsen, Servaas. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:9:p:3927-3955.

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2021Real and Nominal Equilibrium Yield Curves. (2021). Rica, E ; Hsu, Alex ; Palomino, Francisco. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1138-1158.

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2020A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions. (2020). Kang, Boda ; Zhu, Song-Ping ; Ma, Guiyuan. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09923-w.

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2020New Positions in Mutual Fund Portfolios: Implications for Fund Alpha. (2020). Nelling, Edward ; Lantushenko, Viktoriya. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:58:y:2020:i:2:d:10.1007_s10693-019-00329-1.

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2020Generalized Robustness and Dynamic Pessimism. (2020). Xing, Hao ; Vedolin, Andrea ; Maenhout, Pascal J. In: NBER Working Papers. RePEc:nbr:nberwo:26970.

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2020Mitigating Disaster Risks to Sustain Growth. (2020). Wang, Neng ; Hong, Harrison ; Yang, Jinqiang. In: NBER Working Papers. RePEc:nbr:nberwo:27066.

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2020The Variance Risk Premium in Equilibrium Models. (2020). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: NBER Working Papers. RePEc:nbr:nberwo:27108.

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2020The Sensitivity of Cash Savings to the Cost of Capital. (2020). Acharya, Viral ; Xu, Zhaoxia ; Byoun, Soku . In: NBER Working Papers. RePEc:nbr:nberwo:27517.

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2020A Quantity-Driven Theory of Term Premia and Exchange Rates. (2020). Stein, Jeremy ; Hanson, Samuel ; Sunderam, Adi ; Greenwood, Robin. In: NBER Working Papers. RePEc:nbr:nberwo:27615.

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2020The Value of a Cure: An Asset Pricing Perspective. (2020). Acharya, Viral ; Johnson, Timothy ; Zheng, Steven ; Sundaresan, Suresh. In: NBER Working Papers. RePEc:nbr:nberwo:28127.

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2021Stock Prices, Lockdowns, and Economic Activity in the Time of Coronavirus. (2021). Sheng, Xuguang ; Davis, Steven ; Liu, Dingqian. In: NBER Working Papers. RePEc:nbr:nberwo:28320.

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2020Environmental Performance and Risk of European Firms. (2020). Wamba, Leopold Djoutsa ; Hikkerova, Lubica ; Braune, Eric ; Sahut, Jean-Michel. In: Journal of Applied Management and Investments. RePEc:ods:journl:v:9:y:2020:i:2:p:85-104.

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2020Geopolitical Risk Revealed in International Investment and World Trade. (2020). Wang, Gaoyi ; Liu, Changyang. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:2:d:10.1057_s41283-020-00058-z.

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2020COVID-19 Pandemic and Investor Herding in International Stock Markets. (2020). GUPTA, RANGAN ; Demirer, Riza ; Bouri, Elie ; Nel, Jacobus. In: Working Papers. RePEc:pre:wpaper:202089.

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2021Rare Events and Long-Run Risks. (). Jin, Tao ; Barro, Robert. In: Review of Economic Dynamics. RePEc:red:issued:18-485.

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2020Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets. (2020). Uribe, Jorge ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Working papers. RePEc:rie:riecdt:46.

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2020Disaster Resilience and Asset Prices. (2020). Pagano, Marco ; Zechner, Josef ; Wagner, Christian. In: CSEF Working Papers. RePEc:sef:csefwp:563.

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2020Exploring the short-term momentum effect in the cryptocurrency market. (2020). Nguyen, HA ; Parikh, Nirav Y ; Liu, Bin. In: Evolutionary and Institutional Economics Review. RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00176-z.

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2020Consumption in incomplete markets. (2020). Guasoni, Paolo ; Wang, GU. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00420-9.

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2020Rare disaster and renewable energy in the USA: new insights from wavelet coherence and rolling-window analysis. (2020). Sharif, Arshian ; Zaighum, Isma ; Ahmad, Hafizah Hammad ; Aman, Ameenullah ; Dogan, Eyup. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:103:y:2020:i:3:d:10.1007_s11069-020-04100-x.

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2020The term structure of implied costs of equity capital. (2020). Callen, Jeffrey L ; Lyle, Matthew R. In: Review of Accounting Studies. RePEc:spr:reaccs:v:25:y:2020:i:1:d:10.1007_s11142-019-09513-z.

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2020Generalized moment estimators for $$\alpha $$α-stable Ornstein–Uhlenbeck motions from discrete observations. (2020). Long, Hongwei ; Hu, Yaozhong ; Cheng, Yiying. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09201-4.

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More than 100 citations found, this list is not complete...

Works by Jessica A. Wachter:


YearTitleTypeCited
2010Asset Allocation In: Annual Review of Financial Economics.
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article7
2010Asset Allocation.(2010) In: NBER Working Papers.
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2001Discussion In: Journal of Finance.
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2013Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? In: Journal of Finance.
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article232
2008Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?.(2008) In: NBER Working Papers.
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2008Can time-varying risk of rare disasters explain aggregate stock market volatility?.(2008) In: 2008 Meeting Papers.
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2005Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium In: CEPR Discussion Papers.
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paper143
2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 143
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2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: 2005 Meeting Papers.
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2006The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers.
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2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
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2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers.
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paper
2008The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2008) In: Review of Financial Studies.
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2002Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets In: Journal of Financial and Quantitative Analysis.
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article176
2010Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements In: Journal of Financial and Quantitative Analysis.
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article67
2004Can Mutual Fund Managers Pick Stocks? Evidence from the Trades Prior to Earnings Announcements.(2004) In: NBER Working Papers.
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2013Using Samples of Unequal Length in Generalized Method of Moments Estimation In: Journal of Financial and Quantitative Analysis.
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2008Using Samples of Unequal Length in Generalized Method of Moments Estimation.(2008) In: NBER Working Papers.
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2009Predictable returns and asset allocation: Should a skeptical investor time the market? In: Journal of Econometrics.
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article55
2007Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?.(2007) In: NBER Working Papers.
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2006Predictable returns and asset allocation: Should a skeptical investor time the market?.(2006) In: 2006 Meeting Papers.
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paper
2005Solving models with external habit In: Finance Research Letters.
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article26
2005Solving Models with External Habit.(2005) In: NBER Working Papers.
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paper
2003Risk aversion and allocation to long-term bonds In: Journal of Economic Theory.
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article43
2011The term structures of equity and interest rates In: Journal of Financial Economics.
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article57
2009The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers.
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2006A consumption-based model of the term structure of interest rates In: Journal of Financial Economics.
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article238
2002Comment on: Are behavioral asset-pricing models structural? In: Journal of Monetary Economics.
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article2
2006Comment on: Can financial innovation help to explain the reduced volatility of economic activity? In: Journal of Monetary Economics.
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article5
2009What is the chance that the equity premium varies over time? evidence from predictive regressions In: Finance and Economics Discussion Series.
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paper2
2005Growth or glamour? fundamentals and systemic risk in stock returns In: Proceedings.
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article95
1999Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation In: Rodney L. White Center for Financial Research Working Papers.
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paper64
2020Comment on Imperfect Expectations: Theory and Evidence In: NBER Chapters.
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2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors In: NBER Working Papers.
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2010Why Do Household Portfolio Shares Rise in Wealth? In: NBER Working Papers.
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paper82
2010Why Do Household Portfolio Shares Rise in Wealth?.(2010) In: Review of Financial Studies.
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article
2007Why do Household Portfolio Shares Rise in Wealth?.(2007) In: 2007 Meeting Papers.
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paper
2011What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio In: NBER Working Papers.
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paper11
2013Option Prices in a Model with Stochastic Disaster Risk In: NBER Working Papers.
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paper6
2013Maximum likelihood estimation of the equity premium In: NBER Working Papers.
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paper0
2014Rare Booms and Disasters in a Multi-sector Endowment Economy In: NBER Working Papers.
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paper15
2015Disaster Risk and its Implications for Asset Pricing In: NBER Working Papers.
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paper23
2015Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility In: NBER Working Papers.
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paper7
2016Do Rare Events Explain CDX Tranche Spreads? In: NBER Working Papers.
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paper1
2017Cyclical Dispersion in Expected Defaults In: NBER Working Papers.
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paper5
2018The Macroeconomic Announcement Premium In: NBER Working Papers.
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paper0
2018Pricing Long-Lived Securities in Dynamic Endowment Economies In: NBER Working Papers.
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paper2
2018Cross-sectional Skewness In: NBER Working Papers.
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paper0
2018Foreseen Risks In: NBER Working Papers.
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paper2
2019Superstitious Investors In: NBER Working Papers.
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paper0
2019A Retrieved-Context Theory Of Financial Decisions In: NBER Working Papers.
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paper0
2020Risks to Human Capital In: NBER Working Papers.
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1999Bayesian Performance Evaluation In: NBER Working Papers.
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