Jessica A. Wachter : Citation Profile

University of Pennsylvania

15

H index

17

i10 index

2346

Citations

RESEARCH PRODUCTION:

17

Articles

36

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 90
   Journals where Jessica A. Wachter has often published
   Relations with other researchers
   Recent citing documents: 130.    Total self citations: 28 (1.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwa346
   Updated: 2025-12-27    RAS profile: 2025-04-28    
   Missing citations? Add them    Incorrect content? Let us know

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)

Viceira, Luis (33)

Lopez, Pierlauro (30)

GUPTA, RANGAN (30)

Marfe, Roberto (29)

Bekaert, Geert (27)

Van Nieuwerburgh, Stijn (26)

Pastor, Lubos (24)

Chernov, Mikhail (17)

Meinerding, Christoph (16)

Giglio, Stefano (16)

Cites to:

Campbell, John (131)

Cochrane, John (51)

Barro, Robert (41)

Stambaugh, Robert (41)

Shiller, Robert (34)

Lettau, Martin (30)

Shleifer, Andrei (26)

Constantinides, George (24)

French, Kenneth (23)

Viceira, Luis (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
The Review of Financial Studies2
Journal of Monetary Economics2
Proceedings2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc28
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Jessica A. Wachter (2025 and 2024)

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

Full description at Econpapers || Download paper

2025Learning 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Optimal 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.

Full description at Econpapers || Download paper

2025Mean--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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Ex ante bond returns and time-varying monotonicity. (2025). Yahyaei, Hamid ; Singh, Abhay ; Smith, Tom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000046.

Full description at Econpapers || Download paper

2024Capital-market effects of tipper-tippee insider trading law: Evidence from the Newman ruling. (2024). Pierce, Andrew T. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:77:y:2024:i:2:s0165410123000630.

Full description at Econpapers || Download paper

2024Back to the funding ratio! Addressing the duration puzzle and retirement income risk of defined contribution pension plans. (2024). Martinez-Carrasco, Miguel ; Garcia-Huitron, Manuel E ; Martellini, Lionel ; Mantilla-Garcia, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002479.

Full description at Econpapers || Download paper

2024Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective. (2024). Sahuc, Jean-Guillaume ; Renne, Jean-Paul ; Mouabbi, Sarah. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000517.

Full description at Econpapers || Download paper

2024When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model. (2024). Yang, Yiwen ; Xie, Jinyan ; Yao, Jing ; Gao, Jianjun ; Li, Duan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000797.

Full description at Econpapers || Download paper

2025The short-duration premium and news announcements. (2025). Meyerhof, Paul ; Beckmeyer, Heiner. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000652.

Full description at Econpapers || Download paper

2024On the economic implications of international travel restrictions: Evidence from Chinese MNEs’ firm value. (2024). Liu, YI ; Zhang, Hengyuan ; Chen, Daniel Q. In: Journal of Business Research. RePEc:eee:jbrese:v:170:y:2024:i:c:s0148296323007130.

Full description at Econpapers || Download paper

2024The green transition and firms expectations on future prices: Survey evidence. (2024). Angelico, Cristina. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:221:y:2024:i:c:p:519-543.

Full description at Econpapers || Download paper

2024Asset pricing with time preference shocks: Existence and uniqueness. (2024). Wilms, Ole ; Zhang, Junnan ; Stachurski, John. In: Journal of Economic Theory. RePEc:eee:jetheo:v:216:y:2024:i:c:s0022053123001771.

Full description at Econpapers || Download paper

2024Disaster learning and aggregate investment. (2024). Zou, Zhentao ; Niu, Yingjie ; Yang, Jinqiang. In: Journal of Economic Theory. RePEc:eee:jetheo:v:220:y:2024:i:c:s0022053124000784.

Full description at Econpapers || Download paper

2024Ambiguity, information processing, and financial intermediation. (2024). Luo, Yulei ; Kasa, Kenneth ; Han, Leyla Jianyu. In: Journal of Economic Theory. RePEc:eee:jetheo:v:222:y:2024:i:c:s0022053124001285.

Full description at Econpapers || Download paper

2024Measuring macroeconomic tail risk. (2024). Penasse, Julien ; Marfe, Roberto. In: Journal of Financial Economics. RePEc:eee:jfinec:v:156:y:2024:i:c:s0304405x24000618.

Full description at Econpapers || Download paper

2024Associative memory, beliefs and market interactions. (2024). Zimmermann, Florian ; Schwerter, Frederik ; Enke, Benjamin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:157:y:2024:i:c:s0304405x2400076x.

Full description at Econpapers || Download paper

2024Concealed carry. (2024). Andrews, Spencer ; Colacito, Riccardo ; Croce, Mariano M ; Gavazzoni, Federico. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24000977.

Full description at Econpapers || Download paper

2024The risk and return of impact investing funds. (2024). Lyu, Tianshu ; Posenau, Kelly ; Jeffers, Jessica. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x2400151x.

Full description at Econpapers || Download paper

2024Macroeconomic perceptions, financial constraints, and anomalies. (2024). Yu, Jianfeng ; Su, Zhiwei ; He, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001752.

Full description at Econpapers || Download paper

2025The return of return dominance: Decomposing the cross-section of prices. (2025). Myers, Sean ; Han, Xiao ; Delao, Ricardo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:169:y:2025:i:c:s0304405x25000674.

Full description at Econpapers || Download paper

2025Conditional risk and the pricing kernel. (2025). Sichert, Tobias ; Schreindorfer, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:171:y:2025:i:c:s0304405x2500114x.

Full description at Econpapers || Download paper

2024Transmission of natural disasters to the banking sector: Evidence from thirty years of tropical storms in the Caribbean. (2024). Mohan, Preeya ; Brei, Michael ; Strobl, Eric ; Barahona, Agustin Perez. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:141:y:2024:i:c:s0261560623002097.

Full description at Econpapers || Download paper

2024Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Ghaderi, Mohammad ; Kilic, Mete. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

Full description at Econpapers || Download paper

2025Wealth shocks and portfolio choice. (2025). Kenny, Geoff ; Jappelli, Tullio ; Georgarakos, Dimitris ; Christelis, Dimitris. In: Journal of Monetary Economics. RePEc:eee:moneco:v:149:y:2025:i:c:s0304393224000850.

Full description at Econpapers || Download paper

2025Policy transition risk, carbon premiums, and asset prices. (2025). van der Ploeg, Frederick (Rick) ; Hambel, Christoph. In: Journal of Monetary Economics. RePEc:eee:moneco:v:152:y:2025:i:c:s0304393225000510.

Full description at Econpapers || Download paper

2024The impact of the tail risk of demand on corporate investment: Evidence from Chinese manufacturing firms. (2024). Ge, Yingfan ; Hu, Xueqi ; Li, Xing ; Xu, Xiangyun ; Meng, Jie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24000933.

Full description at Econpapers || Download paper

2024Term structure of equity risk premia in rough terrain: 150 years of the French stock market. (2024). Prat, Georges ; le Bris, David. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s106297692400084x.

Full description at Econpapers || Download paper

2025Rare disasters and multilayer spillovers between volatility and skewness in international stock markets over a century of data: The role of geopolitical risk. (2025). Plakandaras, Vasilios ; GUPTA, RANGAN ; Bouri, Elie ; Foglia, Matteo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025003466.

Full description at Econpapers || Download paper

2024How far can the long-run risk model with durable goods explain the variation of the yield curve?. (2024). Igarashi, Yoske ; Ikeda, Ryoichi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:444-459.

Full description at Econpapers || Download paper

2024Overextrapolation of disaster probabilities and asset pricing in a production economy. (2024). Zhao, Siqi ; Peng, Juan ; Gao, Han ; Lin, Chunpeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:845-854.

Full description at Econpapers || Download paper

2024Hard money and fiat money in an inflationary world. (2024). Hausken, Kjell ; Wang, Guizhou. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002416.

Full description at Econpapers || Download paper

2024Network centrality, style drift, and mutual fund performance. (2024). Liao, Yinkai ; Yi, LI ; Xiao, LI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001417.

Full description at Econpapers || Download paper

2024Mutual fund flows and returns dynamics: Investor preferences and performance persistence. (2024). Paimanova, Viktoriia ; Guida, Roberto ; Galloppo, Giuseppe. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002782.

Full description at Econpapers || Download paper

2025Do oil price shocks drive systematic risk premia in stock markets? A novel investment application. (2025). Demirer, Riza ; Polat, Onur ; Sokhanvar, Amin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003842.

Full description at Econpapers || Download paper

2025Openness and the effect of business cycle synchronization on the equity risk premium. (2025). Gitelson, Natalia ; Manes, Eran. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001539.

Full description at Econpapers || Download paper

2024Consumption in asset returns. (2024). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126152.

Full description at Econpapers || Download paper

2025Information in derivatives markets: forecasting prices with prices. (2025). Martin, Ian. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128212.

Full description at Econpapers || Download paper

2024EXPLORING STOCK MARKET RISK USING A GENERALIZED BREACH INDICATOR: EVIDENCE FROM INTERNATIONAL FINANCIAL MARKETS. (2024). Enow, Samuel Tabot. In: Eurasian Journal of Economics and Finance. RePEc:ejn:ejefjr:v:12:y:2024:i:1:p:45-51.

Full description at Econpapers || Download paper

2025A Neoclassical Model of the World Financial Cycle. (2025). Lopez, Pierlauro ; Kehoe, Patrick ; Perri, Fabrizio ; Bai, Yan. In: Working Papers. RePEc:fip:fedcwq:99613.

Full description at Econpapers || Download paper

2024A Currency Premium Puzzle. (2024). Mertens, Thomas ; Hassan, Tarek ; Wang, Jingye. In: Working Paper Series. RePEc:fip:fedfwp:99017.

Full description at Econpapers || Download paper

2024Green Stocks and Monetary Policy Shocks: Evidence from Europe. (2024). Rudebusch, Glenn ; Bauer, Michael ; Offner, Eric. In: Working Paper Series. RePEc:fip:fedfwp:99301.

Full description at Econpapers || Download paper

2025Options on Interbank Rates and Implied Disaster Risk. (2023). Seo, Sang Byung ; Kim, Hyung Joo ; Doshi, Hitesh. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-54.

Full description at Econpapers || Download paper

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]		article470
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: 470		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: 470		paper
2005Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper193
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: 193		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: 193		paper
2006The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper237
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 237		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: 237		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: 237		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]		article229
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]		article92
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: 92		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]		article66
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: 66		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: 66		paper
2005Solving models with external habit In: Finance Research Letters.
[Full Text][Citation analysis]		article48
2005Solving Models with External Habit.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		paper
2003Risk aversion and allocation to long-term bonds In: Journal of Economic Theory.
[Full Text][Citation analysis]		article55
2011The term structures of equity and interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article86
2009The Term Structures of Equity and Interest Rates.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		paper
2006A consumption-based model of the term structure of interest rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article332
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]		article140
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]		paper88
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]		paper139
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: 139		article
2007Why do Household Portfolio Shares Rise in Wealth?.(2007) In: 2007 Meeting Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 139		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]		paper14
2013Option Prices in a Model with Stochastic Disaster Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
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]		paper58
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]		paper6
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]		paper8
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
1999Bayesian Performance Evaluation In: NBER Working Papers.
[Full Text][Citation analysis]		paper4

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team