Jessica A. Wachter : Citation Profile

University of Pennsylvania

15

H index

18

i10 index

2487

Citations

RESEARCH PRODUCTION:

17

Articles

38

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1999 - 2026). See details.
   Cites by year: 92
   Journals where Jessica A. Wachter has often published
   Relations with other researchers
   Recent citing documents: 244.    Total self citations: 28 (1.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwa346
   Updated: 2026-10-17    RAS profile: 2025-04-28    
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Relations with other researchers

Works with:

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

Is cited by:

Campbell, John (47)

GUPTA, RANGAN (36)

Viceira, Luis (33)

Lopez, Pierlauro (30)

Marfe, Roberto (29)

Bekaert, Geert (27)

Van Nieuwerburgh, Stijn (26)

Pastor, Lubos (24)

Giglio, Stefano (17)

Chernov, Mikhail (17)

Bianchi, Francesco (16)

Cites to:

Campbell, John (131)

Cochrane, John (51)

Stambaugh, Robert (41)

Barro, Robert (41)

Shiller, Robert (34)

Lettau, Martin (30)

Shleifer, Andrei (26)

Constantinides, George (24)

Viceira, Luis (23)

French, Kenneth (23)

Abel, Andrew (21)

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

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc30
CEPR Discussion Papers / Centre for Economic Policy Research2

Recent works citing Jessica A. Wachter (2026 and 2025)

YearTitle of citing document
2026Deep Learning, Predictability, and Optimal Portfolio Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2024Long-Term Mean-Variance Optimization Under Mean-Reverting Equity Returns. (2024). Preisel, Michael. In: Papers. RePEc:arx:papers:2309.07488.

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2026Learning Mertons Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration. (2023). Dong, Yuchao ; Jia, Yanwei ; Yu, Xun ; Dai, Min. In: Papers. RePEc:arx:papers:2312.11797.

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2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

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2024Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors. (2024). Yu, Xiang ; Wang, Wenyuan ; Yan, Kaixin. In: Papers. RePEc:arx:papers:2401.14672.

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2024On Mertons Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility. (2024). Kopeliovich, Yaacov ; Pokojovy, Michael. In: Papers. RePEc:arx:papers:2403.15923.

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2024Betting Against (Bad) Beta. (2024). Herculano, Miguel C. In: Papers. RePEc:arx:papers:2409.00416.

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2026Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints. (2024). Yu, Xiang ; Yan, Kaixin ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2411.13579.

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2026Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2025Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios. (2025). Jha, Ayush ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Jaffri, Ali ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2505.24250.

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2026Homeownership as Life Cycle Goldmine: Evidence from Macrohistory. (2025). Li, Shize ; Shen, Jialu ; Bai, Yang. In: Papers. RePEc:arx:papers:2507.17624.

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2026Optimal Investment and Consumption in a Stochastic Factor Model. (2025). Gutekunst, Florian ; Herdegen, Martin ; Hobson, David. In: Papers. RePEc:arx:papers:2509.09452.

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2026Optimal Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case. (2026). Schutz, Tim Niclas ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:2603.02820.

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2026Extensions to the Wealth Tax Neutrality Framework. (2026). Froeseth, Anders G. In: Papers. RePEc:arx:papers:2603.05277.

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2026An Irrelevance Theorem for Risk Aversion and Time-Varying Risk. (2026). Palomino, Francisco ; Chen, Andrew. In: Papers. RePEc:arx:papers:2606.05554.

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2026Dynamic Causal Portfolio Choice: Hedging the Rotation of the Common-Driver Manifold. (2026). Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2607.06702.

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2025EU views and household investments: evidence from the Brexit referendum. (2025). Stradi, Francesco ; Sigalotti, Laura ; Cascarano, Michele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1504_25.

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2025Systemic Climate Risk. (2025). Jourde, Tristan ; Moreaux, Quentin. In: Working papers. RePEc:bfr:banfra:993.

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2025Inflation and the joint bond-FX spanning puzzle. (2025). Mehrotra, Aaron ; Gambacorta, Leonardo ; Sihvonen, Markus ; Schrimpf, Andreas. In: BIS Working Papers. RePEc:bis:biswps:1320.

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2026The AI investment race. (2026). Rungcharoenkitkul, Phurichai. In: BIS Working Papers. RePEc:bis:biswps:1367.

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2024Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning. (2024). Wang, Jinghua ; Ngene, Geoffrey M. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:539-573.

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2025Economic policy uncertainty and institutional portfolio investment. (2025). Hao, Qing ; Li, Andi. In: Financial Management. RePEc:bla:finmgt:v:54:y:2025:i:2:p:271-304.

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2024Risk analysis of Spanish companies. (2024). Fernandezmartin, Miguel ; Rodriguezsanz, Juan Antonio ; Vallelado, Eleuterio. In: Global Policy. RePEc:bla:glopol:v:15:y:2024:i:s1:p:76-91.

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2025Life‐cycle planning model with stochastic volatility and recursive preferences. (2025). Wang, Hao ; Liu, Dongdong ; Xu, Lin. In: International Review of Finance. RePEc:bla:irvfin:v:25:y:2025:i:2:n:e70025.

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2024Measuring “Dark Matter” in Asset Pricing Models. (2024). Dou, Winston ; Kogan, Leonid ; Chen, Hui. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:843-902.

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2024Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden. (2024). Zhang, Yapei ; Sodini, Paolo ; Catherine, Sylvain. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1755-1788.

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2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

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2024Equity Term Structures without Dividend Strips Data. (2024). Kozak, Serhiy ; Kelly, Bryan ; Giglio, Stefano. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4143-4196.

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2024Stock-Picking by Mutual Funds: Evidence from Trading in Family-Controlled Firms. (2024). XIE, Jing. In: Working Papers. RePEc:boa:wpaper:202411.

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2026Tails of Cross-Sectional Return Distributions at High Frequencies. (2025). Todorov, Viktor ; Ding, YI ; Andersen, Torben G. In: Working Papers. RePEc:boa:wpaper:202530.

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2025Lopsided Interest Rates in International Borrowing Markets. (2025). Guerron, Pablo ; Guerron-Quintana, Pablo ; Cai, Yuanchen. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1088.

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2024Dynamic Equity Slope. (2024). Colonnello, Stefano ; Marfe, Roberto ; Breugem, Matthijs ; Zucchi, Francesca. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:713.

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2024Learning about the Long Run. (2024). Nakamura, Emi ; Farmer, Leland E ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp.

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2024Machine Learning for Continuous-Time Finance. (2024). Duarte, Victor ; Silva, Dejanir H. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10909.

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2024Optimal Redistribution: Rising Inequality vs. Rising Living Standards. (2024). Ferriere, Axelle ; Grubener, Philipp ; Sachs, Dominik. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11141.

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2024Green Stocks and Monetary Policy Shocks: Evidence from Europe. (2024). Bauer, Michael ; Rudebusch, Glenn D ; Offner, Eric A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11552.

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2025The Devil Is in the Tail: Macroeconomic Tail Risk Expectations of Firms. (2025). Menkhoff, Manuel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11848.

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2025Rethinking the Stock Market Participation Puzzle: A Qualitative Approach. (2025). Siegel, Stephan ; Duraj, Kamila ; Grunow, Daniela ; Laudenbach, Christine ; Haliassos, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11980.

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2025Rare Disasters, Tail Aversion, and Asset Pricing Puzzles. (2025). Meyerheim, Gerrit. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12231.

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2024The Portfolio Choice Channel of Wealth Inequality. (2024). Calani, Mauricio ; Rosso, Lucas. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:1016.

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2025The term structure of interest rates in a noisy information model. (2025). McNeil, James ; Coulombe, Raphaelle G. In: Working Papers. RePEc:dal:wpaper:daleconwp2025-01.

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2025Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012.

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2025Investment funds and euro disaster risk. (2025). Kaufmann, Christoph ; Georgiadis, Georgios ; Longaric, Pablo Anaya ; Cera, Katharina. In: Working Paper Series. RePEc:ecb:ecbwps:20253029.

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2026ESG disagreements and firm risk: The perspective of external stakeholders. (2026). Xie, Guanxia ; Zuo, Wenbin. In: Journal of Asian Economics. RePEc:eee:asieco:v:104:y:2026:i:c:s1049007826000576.

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2025The impacts of clan culture on private investment: Financing substitution and human capital accumulation. (2025). Zhang, Yan ; Wang, Xiaoyang. In: Journal of Asian Economics. RePEc:eee:asieco:v:97:y:2025:i:c:s1049007825000089.

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2026Time-varying risk aversion and the equity term structure. (2026). de Vries, Martijn A. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:49:y:2026:i:c:s2214635026000031.

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202470 years of US corporate profits. (2024). Barkai, Simcha ; Benzell, Seth G. In: Journal of Corporate Finance. RePEc:eee:corfin:v:87:y:2024:i:c:s0929119924000841.

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2024Long-term institutional investors and climate change news Beta. (2024). Hossain, Ashrafee ; Benkraiem, Ramzi ; Masum, Abdullah-Al. In: Journal of Corporate Finance. RePEc:eee:corfin:v:89:y:2024:i:c:s092911992400155x.

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2024Bonds, currencies and expectational errors. (2024). Sihvonen, Markus ; Granziera, Eleonora. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s0165188923001963.

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2024Optimal early retirement with target wealth. (2024). Tian, Weidong ; Ivanov, Katerina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001180.

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2025The role of external habits and preference heterogeneity in the equity term structure. (2025). Gil, Hamilton Galindo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:178:y:2025:i:c:s016518892500123x.

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2025Dollarization hysteresis, inflation jumps, and fear of inflation. (2025). Perez, Liu Mendoza ; Gil, Hamilton Galindo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:180:y:2025:i:c:s0165188925001605.

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2026How do stock market experiences shape wealth inequality?. (2026). Lei, Xiaowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:188:y:2026:i:c:s0165188926000837.

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2025Does rural Households’ financial literacy affect the household portfolio choices in poverty alleviation areas?. (2025). Guan, Haoran ; Guo, Xiaoxi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1550-1562.

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2025Housing rare disaster events and asset prices. (2025). Poncet, Patrice ; Chibane, Messaoud. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000653.

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2024Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle. (2024). Li, Xiaotong ; Fu, QI ; So, Jacky Yuk-Chow. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001869.

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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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2026Systemic spillovers in high-growth private market sectors: determinants and portfolio implications. (2026). Brahmana, Rayenda ; Aslam, Adnan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:82:y:2026:i:c:s1062940825002190.

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2026Industrial policy and downside risk: Evidence from CHIPS-Exposed firms. (2026). Sakouvogui, Kekoura ; Addey, Kwame Asiam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:83:y:2026:i:c:s1062940826000252.

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2026Optimal investment, heterogeneous consumption, and retirement with pension income. (2026). Lee, Seonhwa ; Jang, Hyun Jin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:84:y:2026:i:c:s1062940826000525.

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2026Uncertainty, sentiments and time-varying risk premia. (2026). Berardi, Michele. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:84:y:2026:i:c:s1062940826000574.

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2024Speculative and non-speculative equity premia. (2024). Dorobiala, Zachary ; Ghazi, Soroush ; Schneider, Mark. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524001022.

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2024Utility-implied term structures of equity risk premia. (2024). Piccotti, Louis R. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524004312.

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2025Supply chain constraints and the predictability of the conditional distribution of international stock market returns and volatility. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Bouri, Elie ; Liu, Ruipeng. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000138.

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2026Tariff exposure and liberation day reactions: Initial evidence from corporate filings. (2026). Han, Yue ; Hu, Wenyao ; Wang, Heng Emily. In: Economics Letters. RePEc:eee:ecolet:v:259:y:2026:i:c:s016517652500624x.

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2026Unfiltered consumption and the elasticity of intertemporal substitution. (2026). Min, Byoung-Kyu ; Roh, Tai-Yong. In: Economics Letters. RePEc:eee:ecolet:v:267:y:2026:i:c:s0165176526002892.

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2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

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2025Bond risk premiums at the zero lower bound. (2025). Meldrum, Andrew ; Jrgensen, Kasper ; Andreasen, Martin M. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002902.

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2025Robust mutual fund selection with false discovery rate control. (2025). Wang, Zhaojun ; Zhao, Ping ; Feng, Long. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001757.

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2025Time-varying stock return correlation, news shocks, and business cycles. (2025). Metiu, Norbert ; Prieto, Esteban. In: European Economic Review. RePEc:eee:eecrev:v:172:y:2025:i:c:s0014292124002459.

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2025Green stocks and monetary policy shocks: Evidence from Europe. (2025). Rudebusch, Glenn ; Bauer, Michael ; Offner, Eric A. In: European Economic Review. RePEc:eee:eecrev:v:177:y:2025:i:c:s0014292125000947.

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2026Uncertainty and the term structure of interest rates. (2026). Poon, Aubrey ; Cross, Jamie L ; Zhu, Dan. In: European Economic Review. RePEc:eee:eecrev:v:187:y:2026:i:c:s0014292126000966.

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2026The impact of health status on household portfolio efficiency: Insights from medical insurance. (2026). , Qiangli ; Dong, Jingxuan ; Cheung, Adrian. In: Emerging Markets Review. RePEc:eee:ememar:v:70:y:2026:i:c:s1566014125001542.

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2024Instantaneous volatility of the yield curve, variance risk premium and bond return predictability. (2024). Yin, Ximing ; Yang, GE. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000252.

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2024Mispricing and Anomalies: An Exogenous Shock to Short Selling from JGTRRA. (2024). Zhou, Guofu ; Lu, Yueliang ; Han, Yufeng ; Xu, Weike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000720.

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2024Jump tail risk exposure and the cross-section of stock returns. (2024). Alexiou, Lykourgos ; Rompolis, Leonidas S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000999.

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2025Default-probability-implied credit ratings for Chinese firms. (2025). Li, Xiangzhen ; Liu, Shida ; Wang, Hao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000660.

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2025A unified duration-based explanation of the value, profitability, and investment anomalies. (2025). Li, Tao ; Chen, Shan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000672.

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2025The stock return predictability of treasury bond yield in China. (2025). Xiong, Xiong ; Zhang, Han ; Guo, Bin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000763.

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2026Do shortages forecast aggregate and sectoral U.S. stock market realized variance? Evidence from a century of data. (2026). GUPTA, RANGAN ; Bonato, Matteo ; Pierdzioch, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:86:y:2026:i:c:s0927539826000411.

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2026Positivity and long-lasting momentum. (2026). Liu, Chenye ; Jiang, George J ; Chen, Jingjing ; Zhu, Dongming. In: Journal of Empirical Finance. RePEc:eee:empfin:v:87:y:2026:i:c:s0927539826000095.

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2026Deep learning, predictability, and optimal portfolio returns. (2026). Baruník, Jozef ; Barunk, Jozef ; Babiak, Mykola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:87:y:2026:i:c:s0927539826000204.

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2024Energy affordability and subjective well-being in China: Causal inference, heterogeneity, and the mediating role of disaster risk. (2024). Zhang, Yixing ; Sha, Yezhou ; Qiu, Hua. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006783.

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2025The tail risk premium in the oil market. (2025). Ellwanger, Reinhard. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007503.

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2025Does digitalizing supply chains enhance corporate financial stability?. (2025). Yu, Ying ; Tan, Yijiang ; Wu, Haoyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:107:y:2025:i:c:s1057521925006908.

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2024Stock price swings and fundamentals: The role of Knightian uncertainty. (2024). Mangee, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005033.

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2024A consumption-based term structure model of bonds and equity. (2024). Suzuki, Masataka. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002424.

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2024Oil price disaster risk, macroeconomic dynamics and monetary policy. (2024). Shi, Wenhui ; Liu, Zongming. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005064.

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2025Spotlight on physical risk: Assessing the banks stock reaction to the ECB climate stress test. (2025). Fiordelisi, Franco ; Ricci, Ornella ; Santilli, Gianluca. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008147.

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2026Challenging the rare disaster model: An empirical analysis using the survey of professional forecasters. (2026). Naebi, Fatemeh. In: Finance Research Letters. RePEc:eee:finlet:v:101:y:2026:i:c:s1544612326005787.

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2024War discourse and global equity returns. (2024). Zhong, Angel ; Hu, Xiaolu ; Fang, Yvonne ; Wang, Jiazhen. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324010985.

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2025Supply bottlenecks and machine learning forecasting of international stock market volatility. (2025). GUPTA, RANGAN ; Karmakar, Sayar ; Somani, Dhanashree ; Plakandaras, Vasilios. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325021841.

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2026Ambiguity and market returns: A composite index perspective. (2026). Abdullazade, Zaur. In: Finance Research Letters. RePEc:eee:finlet:v:90:y:2026:i:c:s1544612325026376.

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2026Anchoring in calm, crumbling in crisis: The paradox of taming the long end. (2026). Hong, Gayeon. In: Finance Research Letters. RePEc:eee:finlet:v:95:y:2026:i:c:s1544612326002539.

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2024Extreme illiquidity and cross-sectional corporate bond returns. (2024). Chen, XI ; Wang, Junbo ; Wu, DI. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000132.

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2024Testing the boundaries of applicability of standard Stochastic Discount Factor models. (2024). Hassan, M. Kabir ; Zhu, Yinchu ; Pezzo, Luca ; Tian, Jiayuan. In: Journal of Financial Stability. RePEc:eee:finsta:v:72:y:2024:i:c:s1572308924000536.

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2026Artificial intelligence and firm resilience. (2026). Sekerci, Naciye ; Murtinu, Samuele ; el Moujahid, Oussama. In: Journal of Financial Stability. RePEc:eee:finsta:v:84:y:2026:i:c:s1572308926000446.

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2024Information flows and memory in games. (2024). Battigalli, Pierpaolo ; Generoso, Nicolo. In: Games and Economic Behavior. RePEc:eee:gamebe:v:145:y:2024:i:c:p:356-376.

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2025Climate risk and predictability of global stock market volatility. (2025). Ma, Yong ; Zhou, Mingtao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000253.

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2026Predictive sorting of cryptocurrencies based on fundamentals and sentiment. (2026). Guidolin, Massimo ; Ionta, Serena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:107:y:2026:i:c:s1042443126000016.

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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.
[Full Text][Citation analysis]
This paper has nother 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]		article520
2008Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 520		paper
2008Can time-varying risk of rare disasters explain aggregate stock market volatility?.(2008) In: 2008 Meeting Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 520		paper
2005Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper209
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 nother version. Agregated cites: 209		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 nother version. Agregated cites: 209		paper
2006The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper245
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 245		article
2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 245		paper
2008The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2008) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 245		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]		article232
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]		article95
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 nother version. Agregated cites: 95		paper
2013Using Samples of Unequal Length in Generalized Method of Moments Estimation In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article9
2008Using Samples of Unequal Length in Generalized Method of Moments Estimation.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2009Predictable returns and asset allocation: Should a skeptical investor time the market? In: Journal of Econometrics.
[Full Text][Citation analysis]		article69
2007Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69		paper
2006Predictable returns and asset allocation: Should a skeptical investor time the market?.(2006) In: 2006 Meeting Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 69		paper
2005Solving models with external habit In: Finance Research Letters.
[Full Text][Citation analysis]		article49
2005Solving Models with External Habit.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2003Risk aversion and allocation to long-term bonds In: Journal of Economic Theory.
[Full Text][Citation analysis]		article56
2011The term structures of equity and interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article94
2009The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		paper
2006A consumption-based model of the term structure of interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article342
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]		article9
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]		article147
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]		paper91
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]		paper1
2010Why Do Household Portfolio Shares Rise in Wealth? In: NBER Working Papers.
[Full Text][Citation analysis]		paper150
2010Why Do Household Portfolio Shares Rise in Wealth?.(2010) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 150		article
2007Why do Household Portfolio Shares Rise in Wealth?.(2007) In: 2007 Meeting Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 150		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]		paper15
2013Option Prices in a Model with Stochastic Disaster Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
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]		paper68
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]		paper8
2018The Macroeconomic Announcement Premium In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2018Pricing Long-Lived Securities in Dynamic Endowment Economies In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
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]		paper10
2020Risks to Human Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2025Sovereign Default and the Decline in Interest Rates In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2026What Investment Data Implies about the AI Transition In: NBER Working Papers.
[Citation analysis]		paper1
2026Correlation Neglect in Asset Prices 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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