Jessica A. Wachter : Citation Profile

Are you Jessica A. Wachter?

University of Pennsylvania

15

H index

16

i10 index

1704

Citations

RESEARCH PRODUCTION:

17

Articles

35

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 81
   Journals where Jessica A. Wachter has often published
   Relations with other researchers
   Recent citing documents: 241.    Total self citations: 28 (1.62 %)

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   Permalink: http://citec.repec.org/pwa346
   Updated: 2022-05-21    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)

Marfe, Roberto (29)

Bekaert, Geert (22)

Pastor, Lubos (22)

Lopez, Pierlauro (21)

Van Nieuwerburgh, Stijn (16)

Gourio, Francois (15)

Stambaugh, Robert (15)

Hansen, Lars (14)

Chernov, Mikhail (14)

Cites to:

Campbell, John (101)

Stambaugh, Robert (40)

Cochrane, John (38)

Shiller, Robert (28)

Lettau, Martin (26)

Barro, Robert (24)

Viceira, Luis (22)

French, Kenneth (20)

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
Review of Financial Studies2
Journal of Monetary Economics2
Journal of Finance2
Journal of Financial Economics2
Proceedings2

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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2021Implied 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.

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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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2021Decomposition 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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2021Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

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2021Portfolio 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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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2021The investor problem based on the HJM model. (2020). Zawisza, Dariusz ; Peszat, Szymon. In: Papers. RePEc:arx:papers:2010.13915.

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2021Two Stochastic Control Problems In Capital Structure and Portfolio Choice. (2021). Huang, Shan. In: Papers. RePEc:arx:papers:2107.02242.

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2022Portfolio 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.

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2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

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2022Consumption-investment decisions with endogenous reference point and drawdown constraint. (2022). Yuan, Fengyi ; Luo, Xiaodong ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2204.00530.

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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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2021Debt-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.

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2021Can 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.

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2021Momentum, 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.

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2022Misvaluation and the Asset Growth Anomaly. (2022). Lambertides, Neophytos. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:1:p:105-141.

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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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2022Does 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.

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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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2021Presidential 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.

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2021Time 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.

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2021Reinvestment 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.

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2021Valuing 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.

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2022Late 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.

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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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2021Monetary 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.

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2021Preferred 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.

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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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2021Yield curve momentum. (2021). Sihvonen, Markus. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_015.

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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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2021The 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.

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2021.

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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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2020Rational 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.

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2020Dynamic Equity Slope. (2020). Marfè, Roberto ; Zucchi, Francesca ; Colonnello, Stefano ; Breugem, Matthijs. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:626.

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2021Monetary Policy and Wealth Effects: The Role of Risk and Heterogeneity. (2021). Silva, Dejanir H ; Caramp, Nicolas. In: Working Papers. RePEc:cda:wpaper:341.

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2021Aggregate Skewness and the Business Cycle. (2021). Theodoridis, Konstantinos ; Iseringhausen, Martin. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/30.

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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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2021Sukuk 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.

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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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2021Investor 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.

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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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2021Stock 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.

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2021Optimal 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.

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2022Hazardous 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.

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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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2021Dynamic 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.

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2021Tail 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.

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2021Towards 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.

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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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2021Empirical 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.

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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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2022Near-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.

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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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2021The 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.

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2021Tail 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.

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2021A 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.

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2021Unskilled 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.

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2021International stock return predictability. (2021). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002805.

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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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2021Gold, 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.

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2021Ambiguity 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.

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2021The 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.

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2021Cash conversion cycle and aggregate stock returns. (2021). Lin, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030029x.

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2021The 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.

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2021Pricing 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.

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2021Identifying 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.

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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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2021The 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.

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2022Terrorism 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.

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2022Dissecting 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.

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2022Life-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.

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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]		article6
2010Asset Allocation.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 6		paper
2001Discussion In: Journal of Finance.
[Full Text][Citation analysis]		article0
2013Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? In: Journal of Finance.
[Full Text][Citation analysis]		article273
2008Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 273		paper
2008Can 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
2005Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper159
2005Why 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
2005Why 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
2006The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper180
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
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This paper has another version. Agregated cites: 180		article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 180		paper
2008The 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
2002Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article185
2010Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article70
2004Can 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
2013Using Samples of Unequal Length in Generalized Method of Moments Estimation In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article7
2008Using 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
2009Predictable returns and asset allocation: Should a skeptical investor time the market? In: Journal of Econometrics.
[Full Text][Citation analysis]		article58
2007Predictable 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
2006Predictable 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
2005Solving models with external habit In: Finance Research Letters.
[Full Text][Citation analysis]		article30
2005Solving Models with External Habit.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 30		paper
2003Risk aversion and allocation to long-term bonds In: Journal of Economic Theory.
[Full Text][Citation analysis]		article46
2011The term structures of equity and interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article63
2009The 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
2006A consumption-based model of the term structure of interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article258
2002Comment on: Are behavioral asset-pricing models structural? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article2
2006Comment on: Can financial innovation help to explain the reduced volatility of economic activity? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article6
2009What is the chance that the equity premium varies over time? evidence from predictive regressions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper2
2005Growth or glamour? fundamentals and systemic risk in stock returns In: Proceedings.
[Full Text][Citation analysis]		article107
1999Should 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]		paper70
2020Comment on Imperfect Expectations: Theory and Evidence In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2010Why Do Household Portfolio Shares Rise in Wealth? In: NBER Working Papers.
[Full Text][Citation analysis]		paper92
2010Why 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
2007Why do Household Portfolio Shares Rise in Wealth?.(2007) In: 2007 Meeting Papers.
[Citation analysis]
This paper has another version. Agregated cites: 92		paper
2011What 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]		paper12
2013Option Prices in a Model with Stochastic Disaster Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2013Maximum likelihood estimation of the equity premium In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2014Rare Booms and Disasters in a Multi-sector Endowment Economy In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
2015Disaster Risk and its Implications for Asset Pricing In: NBER Working Papers.
[Full Text][Citation analysis]		paper29
2015Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2016Do Rare Events Explain CDX Tranche Spreads? In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2017Cyclical Dispersion in Expected Defaults In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2018The Macroeconomic Announcement Premium In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2018Pricing Long-Lived Securities in Dynamic Endowment Economies In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2018Cross-sectional Skewness In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2018Foreseen Risks In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2019Superstitious Investors In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2019A Retrieved-Context Theory Of Financial Decisions In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020Risks to Human Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1999Bayesian Performance Evaluation In: NBER Working Papers.
[Full Text][Citation analysis]		paper4

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