Jessica A. Wachter : Citation Profile

Are you Jessica A. Wachter?

University of Pennsylvania

14

H index

16

i10 index

1370

Citations

RESEARCH PRODUCTION:

17

Articles

35

Papers

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 68
   Journals where Jessica A. Wachter has often published
   Relations with other researchers
   Recent citing documents: 267.    Total self citations: 27 (1.93 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa346
   Updated: 2020-04-04    RAS profile: 2014-06-02    
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Relations with other researchers

Works with:

Tsai, Jerry (3)

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 (43)

Viceira, Luis (34)

Pastor, Lubos (24)

Marfè, Roberto (21)

Bekaert, Geert (19)

Hansen, Lars (17)

Stambaugh, Robert (16)

Gourio, Francois (15)

Lopez, Pierlauro (14)

Chernov, Mikhail (14)

Van Nieuwerburgh, Stijn (14)

Cites to:

Campbell, John (92)

Stambaugh, Robert (40)

Cochrane, John (38)

Shiller, Robert (25)

Barro, Robert (22)

Lettau, Martin (20)

French, Kenneth (20)

Viceira, Luis (19)

Piazzesi, Monika (18)

Epstein, Larry (16)

Fama, Eugene (15)

Main data

Where Jessica A. Wachter has published?

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

Recent works citing Jessica A. Wachter (2020 and 2019)

YearTitle of citing document
2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2019Explaining Bond Return Predictability in an Estimated New Keynesian Model. (2019). Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2019-11.

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2017Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. (2017). Steinsson, Jon ; Sergeyev, Dmitriy ; Nakamura, Emi. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:1:p:1-39.

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2017The Value-Growth Indicators and Value Premium: Evidence from Pakistan Stock Exchange. (2017). Syed, Tanveer Ahmad. In: South Asian Journal of Management Sciences (SAJMS), Iqra University. RePEc:ajm:journl:v:11:y:2017:i:2:p:124-139.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Liao, Yuan ; Fan, Jianqing ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2018Equilibrium Returns with Transaction Costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1707.08464.

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

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2019Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints. (2019). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:1906.12317.

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2019The value of knowing the market price of risk. (2019). Nicolosi, Marco ; Herzel, Stefano ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1909.07837.

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2019A Rational Finance Explanation of the Stock Predictability Puzzle. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1911.02194.

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2018Ambiguity, Nominal Bond Yields and Real Bond Yields. (2018). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:18-24.

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2018Natural catastrophes and bank lending: the case of flood risk in Italy. (2018). Natoli, Filippo ; FAIELLA, IVAN. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_457_18.

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2018Consumption volatility risk and the inversion of the yield curve. (2018). Natoli, Filippo ; Grasso, Adriana. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1169_18.

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2018Risk-Adjusted Linearizations of Dynamic Equilibrium Models. (2018). Lopez, Pierlauro ; Vazquez-Grande, Francisco ; Lopez-Salido, David. In: Working papers. RePEc:bfr:banfra:702.

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2018Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia. (2018). Farhi, Emmanuel ; Gourio, Francois. In: Brookings Papers on Economic Activity. RePEc:bin:bpeajo:v:49:y:2018:i:2018-02:p:147-250.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2018Non-monetary news in central bank communication. (2018). Schrimpf, Andreas ; Cieslak, Anna. In: BIS Working Papers. RePEc:bis:biswps:761.

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2017Economic policy uncertainty in China and stock market expected returns. (2017). Chen, Jian ; Tong, Guoshi ; Jiang, Fuwei. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1265-1286.

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2018A new perspective on performance persistence: evidence using portfolio holdings. (2018). Bennett, Scott ; Warren, Geoffrey J ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:1:p:91-125.

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2018What drives flight to quality?. (2018). Opitz, Sebastian ; Szimayer, Alexander. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:529-571.

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2018Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656.

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2017Dynamic Asset Allocation with Liabilities. (2017). Giamouridis, Daniel ; Tessaromatis, Nikolaos ; Sakkas, Athanasios. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:254-291.

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2018Non†myopic portfolio choice with unpredictable returns: The jump†to†default case. (2018). Battauz, Anna ; Sbuelz, Alessandro. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:192-208.

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2018The relation between bank credit growth and the expected returns of bank stocks. (2018). Gandhi, Priyank. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:4:p:610-649.

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2018Mutual Fund Stock†Picking Skill: New Evidence from Valuation†versus Liquidity†Motivated Trading. (2018). Rohleder, Martin ; Wilkens, Marco ; Syryca, Janik ; Schulte, Dominik. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:2:p:309-347.

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2018Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774.

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2017The Value Added by Trading Based on Valuation Criteria. (2017). Andreu, Laura ; Sarto, Jose Luis ; Mateos, Lydia. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:327-352.

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2017INTERTEMPORAL SUBSTITUTION IN CONSUMPTION: A LITERATURE REVIEW. (2017). Thimme, Julian. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:226-257.

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2019Back to the real economy: the effects of risk perception shocks on the term premium and bank lending. (2019). Yung, Julieta ; Bluwstein, Kristina. In: Bank of England working papers. RePEc:boe:boeewp:0806.

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2018Rare Disasters and Exchange Rates: An Empirical Investigation of South Korean Exchange Rates under Tension between the Two Koreas. (2018). Park, Cheolbeom. In: Working Papers. RePEc:bok:wpaper:1808.

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2019Testing for Changes in Forecasting Performance. (2018). Yamamoto, Yohei ; Perron, Pierre. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-003.

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2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Pettenuzzo, Davide ; Fisher, Jared D ; Carvalho, Carlos. In: Working Papers. RePEc:brd:wpaper:123.

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2019Exchange Rate Risk and Business Cycles. (2019). Lloyd, Simon ; Marin, E A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1996.

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2017Interest Rates Under Falling Stars. (2017). Rudebusch, Glenn ; Bauer, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6571.

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2018Low Inflation: High Default Risk AND High Equity Valuations. (2018). Weber, Michael ; Bhamra, Harjoat ; Jeanneret, Alexandre ; Dorion, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7391.

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2018Closing Down the Shop: Optimal Health and Wealth Dynamics Near the End of Life. (2018). St-Amour, Pascal ; Pelgrin, Florian ; Hugonnier, Julien. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1711.

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2017Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds. (2017). Kempf, Elisabeth ; Massa, Massimo ; Manconi, Alberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11993.

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2017Monetary Policy and Asset Valuation. (2017). Bianchi, Francesco ; Ludvigson, Sydney ; Lettau, Martin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12275.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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2018The Leading Premium. (2018). Croce, Mariano Massimiliano ; Schlag, Christian ; Marchuk, Tatyana. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12631.

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2018Pricing Assets in a Perpetual Youth Model. (2018). Farmer, Roger. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12643.

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2018News Shocks and the Production-Based Term Structure of Equity Returns. (2018). Ai, Hengjie ; Li, Kai ; Diercks, Anthony ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12661.

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2018Monetary Policy and Asset Valuation. (2018). Bianchi, Francesco ; Ludvigson, Sydney ; Lettau, Martin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12671.

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2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

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2018Rare Disasters, Financial Development, and Sovereign Debt. (2018). Rebelo, Sergio ; Yang, Jinqiang ; Wang, Neng. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13202.

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2018Volatility Risk Pass-Through. (2018). Colacito, Riccardo ; Shaliastovich, Ivan ; Liu, Yang ; Croce, Mariano Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13325.

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2019Credit Cycles, Expectations, and Corporate Investment. (2019). Rossi, Stefano ; Ion, Mihai ; Gulen, Huseyin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13679.

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2019Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences. (2019). van Wijnbergen, Sweder ; Olijslager, Stan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13708.

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2019A Supply and Demand Approach to Equity Pricing. (2019). Jo, Evan ; Calvet, Laurent ; Betermier, Sebastien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13974.

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2019Do Role Models Affect Risk-Taking Behavior? The Case of Minorities. (2019). Korniotis, George ; Khalaf, Sarah ; Bonaparte, Yosef. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14264.

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2017The Dual Effects of Housing on Portfolio Choices: Evidence from Urban China. (2017). Zhao, Jianmei ; Li, Jiandong. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:zhaoli.

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2017The Dual Effects of Housing on Portfolio Choices: Evidence from Urban China. (2017). Zhao, Jianmei ; Li, Jiandong. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:2:zhao:li.

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2019Portfolio Choice with Information-Processing Limits. (2019). Young, Eric ; Batchuluun, Altantsetseg ; Luo, Yulei. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:batchuluunluoyoung.

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2018Consumption volatility risk and the inversion of the yield curve. (2018). Natoli, Filippo ; Grasso, Adriana. In: Working Paper Series. RePEc:ecb:ecbwps:20182141.

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2019Risky assets in Europe and the US: risk vulnerability, risk aversion and economic environment. (2019). Lindner, Peter ; Fessler, Pirmin ; Bekhtiar, Karim. In: Working Paper Series. RePEc:ecb:ecbwps:20192270.

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2018In search of beta. (2018). Tharyan, Rajesh ; Hua, Shan ; Gregory, Alan. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:425-441.

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2017Asymmetric foreign exchange cash flow exposure: A firm-level analysis. (2017). Krapl, Alain A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:44:y:2017:i:c:p:48-72.

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2019The relationship insurance role of financial conglomerates: Evidence from earnings announcements. (2019). Song, Wei-Ling ; Sanger, Gary C ; Chen, Jiun-Lin. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:505-527.

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2019Portfolio selection with inflation-linked bonds and indexation lags. (2019). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:10.

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2019Hedging recessions. (2019). Munk, Claus ; Larsen, Linda Sandris ; Branger, Nicole. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:2.

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2017International endogenous growth, macro anomalies, and asset prices. (2017). Grüning, Patrick ; Gruning, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:118-148.

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2017Disaster risk and preference shifts in a New Keynesian model. (2017). Szczerbowicz, Urszula ; Isoré, Marlène. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:97-125.

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2017Fifth-order perturbation solution to DSGE models. (2017). Levintal, Oren. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:1-16.

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2018Permanent shocks, signal extraction, and portfolio selection. (2018). Nazliben, Korhan K ; Rodriguez, Juan Carlos. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:47-68.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2019The evolution of monetary policy effectiveness under macroeconomic instability. (2019). Lopez-Buenache, German. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:221-233.

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2017Learning about individual managers’ performance in UK pension funds: The importance of specialization. (2017). Alda, Mercedes ; Sarto, Jose Luis ; Andreu, Laura. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:654-667.

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2018Does the stock market really cause unemployment? A cross-country analysis. (2018). Pan, Wei-Fong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:34-43.

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2019Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon. (2019). Garcia, Rene ; Campani, Carlos Heitor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:364-384.

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2018Market fragility and the paradox of the recent stock-bond dissonance. (2018). Koulovatianos, Christos ; Weber, Fabienne ; Li, Jian. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:162-166.

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2019A new efficiency test for ranking investments: Application to hedge fund performance. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:203-207.

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2019Can ambiguity about rare disasters explain equity premium puzzle?. (2019). Mu, Congming ; Wang, Yuanping. In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:36.

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2019Macroeconomic environment, money demand and portfolio choice. (2019). Lioui, Abraham ; Tarelli, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:357-374.

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2019Dynamic portfolio choice with return predictability and transaction costs. (2019). Siu, Chi Chung ; Ma, Guiyuan ; Zhu, Song-Ping. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:976-988.

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2017The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test. (2017). Masih, Abul ; Bacha, Obiyathulla ; Mansur, A ; Dewandaru, Ginanjar. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:66-95.

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2019Portfolio choices, Asset returns and wealth inequality: evidence from China. (2019). Zhang, Linwan ; Wu, Weixing ; Wei, Shang-Jin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:423-437.

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2017Informed retail investors: Evidence from retail short sales. (2017). Gamble, Keith Jacks ; Xu, Wei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:59-72.

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2017A comparison of alternative cash flow and discount rate news proxies. (2017). Khimich, Natalya . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:31-52.

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2018Maximal predictability under long-term mean reversion. (2018). Hjalmarsson, Erik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:269-282.

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2018Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Stivers, Chris ; Dubofsky, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161.

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2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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2019Consumption growth predictability and asset prices. (2019). Min, Byoung-Kyu ; Lee, Changjun ; Roh, Tai-Yong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:95-118.

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2018Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

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2019Moment spreads in the energy market. (2019). Zhang, Jin E ; Ruan, Xinfeng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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2019Can stale oil price news predict stock returns?. (2019). Narayan, Paresh Kumar. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:430-444.

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2019Suboptimal investment behavior and welfare costs: A simulation based approach. (2019). Reus, Lorenzo ; Castaeda, Pablo . In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:170-180.

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2019Market anomalies and disaster risk: Evidence from extreme weather events. (2019). Siebert, Mark G ; Lioui, Abraham ; Lanfear, Matthew G. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300776.

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2017Disaster risk and asset returns: An international perspective. (2017). Liu, Edith ; Lewis, Karen K. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:s1:p:s42-s58.

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2019International trade and intertemporal substitution. (2019). Waugh, Michael E ; Leibovici, Fernando. In: Journal of International Economics. RePEc:eee:inecon:v:117:y:2019:i:c:p:158-174.

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2019Non-monetary news in central bank communication. (2019). Schrimpf, Andreas ; Cieslak, Anna. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:293-315.

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2018Can economic policy uncertainty predict stock returns? Global evidence. (2018). Bach, Dinh Hoang ; Tran, Vuong Thao ; Sharma, Susan Sunila. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:134-150.

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2019Systematic extreme downside risk. (2019). Stoja, Evarist ; Nguyen, Linh H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:128-142.

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2019Predictors and portfolios over the life cycle. (2019). Weiss, Farina ; Munk, Claus ; Kraft, Holger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:1-27.

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2019Oil price increases and the predictability of equity premium. (2019). Wu, Chongfeng ; Liu, LI ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:43-58.

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2019The information content of forward moments. (2019). Taamouti, Abderrahim ; Kagkadis, Anastasios ; Andreou, Panayiotis C ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:527-541.

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2019Endogenous asymmetric money illusion. (2019). Saporito, Yuri F ; Duarte, Diogo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302559.

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2019Stock vs. Bond yields and demographic fluctuations. (2019). Morin, Annaig ; Gozluklu, Arie . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:109:y:2019:i:c:s0378426619302572.

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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.
[Full Text][Citation analysis]		article7
2010Asset Allocation.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 7		paper
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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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2005Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium.(2005) In: NBER Working Papers.
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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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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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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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2013Using Samples of Unequal Length in Generalized Method of Moments Estimation In: Journal of Financial and Quantitative Analysis.
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2009Predictable returns and asset allocation: Should a skeptical investor time the market? In: Journal of Econometrics.
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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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2005Solving Models with External Habit.(2005) In: NBER Working Papers.
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2006Comment on: Can financial innovation help to explain the reduced volatility of economic activity? In: Journal of Monetary Economics.
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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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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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2010Why Do Household Portfolio Shares Rise in Wealth?.(2010) In: Review of Financial Studies.
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2007Why do Household Portfolio Shares Rise in Wealth?.(2007) In: 2007 Meeting Papers.
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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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2013Option Prices in a Model with Stochastic Disaster Risk In: NBER Working Papers.
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2013Maximum likelihood estimation of the equity premium In: NBER Working Papers.
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2015Disaster Risk and its Implications for Asset Pricing In: NBER Working Papers.
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2015Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility In: NBER Working Papers.
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2016Do Rare Events Explain CDX Tranche Spreads? In: NBER Working Papers.
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2018Cross-sectional Skewness In: NBER Working Papers.
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