Seth Pruitt

Arizona State University (ASU) - Finance Department

Assistant Professor

W. P. Carey School of Business

PO Box 873906

Tempe, AZ 85287-3906

United States

  • Arizona State University (ASU) - Finance Department

SCHOLARLY PAPERS

20

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26,179

SSRN CITATIONS
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Top 3,055

in Total Papers Citations

257

CROSSREF CITATIONS

177

Scholarly Papers (20)

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1.

Characteristics Are Covariances: A Unified Model of Risk and Return

Number of pages: 58 Posted: 07 Sep 2017 Last Revised: 20 Oct 2018
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 5,104 (2,366)
Citation 18

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Cross section of returns, latent factors, anomaly, factor model, conditional betas, PCA, BARRA

2.

Instrumented Principal Component Analysis

Number of pages: 71 Posted: 09 Jun 2017 Last Revised: 28 Dec 2020
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 4,813 (2,649)
Citation 26

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factor model, principal components, tensor, asymptotic theory, international macroeconomics, dynamic loading

3.

Understanding Momentum and Reversals

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 32 Posted: 19 Jun 2020 Last Revised: 24 Feb 2021
Bryan T. Kelly, Tobias J. Moskowitz, Tobias J. Moskowitz and Seth Pruitt
Yale SOM, Yale University, Yale SOMAQR Capital and Arizona State University (ASU) - Finance Department
Downloads 3,171 (5,385)
Citation 2

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momentum, reversal, factor model, conditional betas, conditional ex- pected returns, IPCA

4.

The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-19
Number of pages: 61 Posted: 22 Jun 2011 Last Revised: 16 May 2019
Bryan T. Kelly and Seth Pruitt
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,984 (5,963)
Citation 41

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forecast, many predictors, factor model, Kalman filter, constrained least squares, principal components, partial least squares

5.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Downloads 2,732 ( 6,846)
Citation 100

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,679 (6,930)
Citation 10

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systemic risk, measures, quantile regression, predictive regression, macroeconomic downturns

Systemic Risk and the Macroeconomy: An Empirical Evaluation

NBER Working Paper No. w20963
Number of pages: 64 Posted: 23 Feb 2015 Last Revised: 13 Apr 2022
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 53 (520,270)
Citation 39

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6.

Modeling Corporate Bond Returns

Number of pages: 66 Posted: 14 Dec 2020 Last Revised: 27 Aug 2021
Bryan T. Kelly, Diogo Palhares and Seth Pruitt
Yale SOM, affiliation not provided to SSRN and Arizona State University (ASU) - Finance Department
Downloads 2,706 (6,954)
Citation 6

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corporate bond, factor model, bond portfolio, credit risk, IPCA

7.

Market Expectations in the Cross Section of Present Values

Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 11-08, AFA 2013 San Diego Meetings Paper, Fama-Miller Working Paper
Number of pages: 52 Posted: 02 Feb 2011 Last Revised: 11 Sep 2012
Bryan T. Kelly and Seth Pruitt
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,146 (10,069)
Citation 44

Abstract:

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8.

The Cost of ESG Investing

Number of pages: 78 Posted: 06 Dec 2021 Last Revised: 01 Aug 2022
Laura Anne Lindsey, Seth Pruitt and Christoph Schiller
Arizona State University (ASU) - Finance Department, Arizona State University (ASU) - Finance Department and Arizona State University (ASU) - W.P. Carey School of Business
Downloads 852 (40,287)

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ESG, IPCA, tangency portfolio, portfolio tilt, responsible investing, sustainable investing

9.

The Liquidity Effects of Official Bond Market Intervention

FRB International Finance Discussion Paper No. 1138
Number of pages: 51 Posted: 08 Sep 2012 Last Revised: 06 May 2016
Michiel De Pooter, Robert F. Martin and Seth Pruitt
Amazon Web Services, Inc., Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 456 (89,573)
Citation 11

Abstract:

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Securities Markets Programme, European Central Bank, bond, liquidity risk, search and matching

10.

Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns

Downloads 255 (168,217)
Citation 3

Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns

Number of pages: 50 Posted: 30 Jan 2018 Last Revised: 26 Jun 2019
Seth Pruitt and Nick Turner
Arizona State University (ASU) - Finance Department and Board of Governors of the Federal Reserve System
Downloads 204 (207,672)
Citation 3

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earnings risk, idiosyncratic earnings shocks, household, skewness, added worker effect

The Nature of Household Labor Income Risk

FEDS Working Paper No. 2018-034
Number of pages: 51 Posted: 07 Jun 2018 Last Revised: 29 Apr 2020
Seth Pruitt and Nick Turner
Arizona State University (ASU) - Finance Department and Board of Governors of the Federal Reserve System
Downloads 51 (529,483)

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Earnings risk, Household labor dynamics

11.

Reconciling TRACE Bond Returns

Number of pages: 20 Posted: 29 Apr 2022
Bryan T. Kelly and Seth Pruitt
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 203 (208,787)

Abstract:

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corporate bond returns, factor model, IPCA, bond portfolio

12.

The Pseudo-Information Filter

Number of pages: 10 Posted: 08 Jun 2012
Seth Pruitt
Arizona State University (ASU) - Finance Department
Downloads 177 (235,454)

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Moore-Penrose pseudo-inverse, information filter, Kalman filter, high dimensional, pseudo-information filter

13.

Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero

CAMA Working Paper Series Paper 53/2013
Number of pages: 28 Posted: 21 Aug 2013 Last Revised: 02 Oct 2016
Jinill Kim and Seth Pruitt
Korea University and Arizona State University (ASU) - Finance Department
Downloads 154 (264,498)
Citation 6

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monetary policy, policy rule, survey data, market perceptions, censoring, zero lower bound, Blue Chip survey

14.

Cheap Talk and the Efficacy of the ECB's Securities Market Programme: Did Bond Purchases Matter?

FRB International Finance Discussion Paper No. 1139
Number of pages: 99 Posted: 08 Oct 2015
Michiel De Pooter, DeSimone Rebecca, Robert F. Martin and Seth Pruitt
Amazon Web Services, Inc., Columbia University - Columbia Business School, Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 126 (309,068)
Citation 2

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Monetary policy, interest rates, recession, European Central Bank, asset purchases, euro area

15.

Characteristics are Covariances: A Unified Model of Risk and Return

NBER Working Paper No. w24540
Number of pages: 60 Posted: 23 Apr 2018 Last Revised: 22 Jul 2022
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 96 (372,158)
Citation 52

Abstract:

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16.

Uncertainty Over Models and Data: The Rise and Fall of American Inflation

FRB International Finance Discussion Paper No. 962
Number of pages: 43 Posted: 27 Jan 2009
Seth Pruitt
Arizona State University (ASU) - Finance Department
Downloads 51 (520,350)
Citation 3

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Data uncertainty, data revisions, real time data, optimal control, parameter uncertainty, learning, extended kalman filter, Markov-chain monte carlo

17.

Markup Variation and Endogenous Fluctuations in the Price of Investment Goods

FRB International Finance Discussion Paper No. 968
Number of pages: 23 Posted: 16 Jun 2009
Max Floetotto, Nir Jaimovich and Seth Pruitt
Stanford University, University of Zurich and Arizona State University (ASU) - Finance Department
Downloads 50 (524,775)
Citation 6

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Price of investment, business cycle, firm dynamics, markup

18.

The Market-Perceived Monetary Policy Rule

FRB International Finance Discussion Paper No. 982
Number of pages: 36 Posted: 17 Nov 2009
James D. Hamilton, Seth Pruitt and Scott C. Borger
University of California at San Diego, Arizona State University (ASU) - Finance Department and Department of Homeland Security - Office of Immigration Statistics
Downloads 41 (567,699)
Citation 3

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Monetary policy rule, market perceptions, Taylor Rule, Fed funds futures

19.

Estimating the Market-Perceived Monetary Policy Rule

NBER Working Paper No. w16412
Number of pages: 37 Posted: 04 Oct 2010 Last Revised: 07 May 2022
James D. Hamilton, Seth Pruitt and Scott Borger
University of California at San Diego, Arizona State University (ASU) - Finance Department and affiliation not provided to SSRN
Downloads 31 (623,745)
Citation 2

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20.

The Demand for Youth: Implications for the Hours Volatility Puzzle

Downloads 31 (623,745)

The Demand for Youth: Implications for the Hours Volatility Puzzle

FRB International Finance Discussion Paper No. 964
Number of pages: 44 Posted: 06 Feb 2009
Seth Pruitt, Nir Jaimovich and Henry Siu
Arizona State University (ASU) - Finance Department, University of Zurich and University of British Columbia (UBC) - Vancouver School of Economics
Downloads 21 (716,496)

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Business cycle, demographics, capital-experience complementarity, labor demand

The Demand for Youth: Implications for the Hours Volatility Puzzle

NBER Working Paper No. w14697
Number of pages: 41 Posted: 31 Jan 2009 Last Revised: 28 Feb 2021
Nir Jaimovich, Seth Pruitt and Henry Siu
University of Zurich, Arizona State University (ASU) - Finance Department and University of British Columbia (UBC) - Vancouver School of Economics
Downloads 10 (820,175)

Abstract:

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