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

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 1,636

SSRN RANKINGS

Top 1,636

in Total Papers Downloads

26,179

SSRN CITATIONS
Rank 3,055

SSRN RANKINGS

Top 3,055

in Total Papers Citations

257

CROSSREF CITATIONS

177

Scholarly Papers (20)

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

Abstract:

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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

Abstract:

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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
Yale SOM, Yale University, Yale SOMAQR Capital and Arizona State University (ASU) - Finance Department
Downloads 3,171 (5,385)
Citation 2

Abstract:

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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

Abstract:

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

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

Abstract:

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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

Abstract:

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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

Abstract:

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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
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)

Abstract:

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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
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

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

Abstract:

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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)

Abstract:

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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)

Abstract:

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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

Abstract:

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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
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

Abstract:

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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

Abstract:

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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

Abstract:

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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
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

Abstract:

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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

Abstract:

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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)

Abstract:

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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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