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

22

DOWNLOADS
Rank 1,078

SSRN RANKINGS

Top 1,078

in Total Papers Downloads

43,631

SSRN CITATIONS
Rank 1,551

SSRN RANKINGS

Top 1,551

in Total Papers Citations

893

CROSSREF CITATIONS

175

Scholarly Papers (22)

1.

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 9,169 (1,225)
Citation 25

Abstract:

Loading...

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

2.

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 8,211 (1,495)
Citation 19

Abstract:

Loading...

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

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 6,142 (2,415)
Citation 49

Abstract:

Loading...

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

4.

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, Independent and Arizona State University (ASU) - Finance Department
Downloads 5,528 (2,889)
Citation 56

Abstract:

Loading...

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

5.

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 3,232 (7,169)
Citation 107

Abstract:

Loading...

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 2,819 (8,694)
Citation 10

Abstract:

Loading...

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 2023
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 90 (528,827)
Citation 39

Abstract:

Loading...

7.

The Cost of ESG Investing

Number of pages: 55 Posted: 06 Dec 2021 Last Revised: 11 Jul 2023
Arizona State University (ASU) - Finance Department, Arizona State University (ASU) - Finance Department and Arizona State University (ASU) - W.P. Carey School of Business
Downloads 2,823 (8,844)
Citation 1

Abstract:

Loading...

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

8.

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 2,396 (11,492)
Citation 44

Abstract:

Loading...

9.

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 781 (60,520)
Citation 2

Abstract:

Loading...

corporate bond returns, factor model, IPCA, bond portfolio

10.

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 495 (107,828)
Citation 11

Abstract:

Loading...

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 277 (204,121)
Citation 3

Abstract:

Loading...

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 72 (606,122)
Citation 1

Abstract:

Loading...

Earnings risk, Household labor dynamics

12.

Dogs and Cats Living Together: A Defense of Cash-Flow Predictability

Number of pages: 49 Posted: 31 Jan 2023 Last Revised: 29 Feb 2024
Seth Pruitt
Arizona State University (ASU) - Finance Department
Downloads 322 (177,228)

Abstract:

Loading...

Dividend-Price Ratio, Predictability, Cash Flows, Discount Rates, GMM, Buyback, Issuance

13.

The Pseudo-Information Filter

Number of pages: 10 Posted: 08 Jun 2012
Seth Pruitt
Arizona State University (ASU) - Finance Department
Downloads 238 (238,699)

Abstract:

Loading...

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

14.

Risk Exposures from Risk Disclosures: What They Said and How They Said It

Number of pages: 40 Posted: 30 Nov 2023 Last Revised: 29 Apr 2024
Rahul Mazumder, Seth Pruitt and Landon Ross
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Arizona State University (ASU) - Finance Department and U.S. Securities and Exchange Commission
Downloads 209 (269,804)

Abstract:

Loading...

Text Analysis, Asset Pricing, Factor Model, Conditional Betas, Word embedding

15.

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 177 (313,256)
Citation 6

Abstract:

Loading...

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

16.

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 2023
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 175 (316,568)
Citation 52

Abstract:

Loading...

17.

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., London Business School - Department of Finance, Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 162 (338,247)
Citation 3

Abstract:

Loading...

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

18.

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 73 (592,965)
Citation 6

Abstract:

Loading...

Price of investment, business cycle, firm dynamics, markup

19.

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 70 (606,732)
Citation 3

Abstract:

Loading...

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

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 36 (834,004)

Abstract:

Loading...

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: 29 Aug 2022
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 25 (933,703)

Abstract:

Loading...

21.

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 59 (662,028)
Citation 2

Abstract:

Loading...

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

22.

Estimating the Market-Perceived Monetary Policy Rule

NBER Working Paper No. w16412
Number of pages: 37 Posted: 04 Oct 2010 Last Revised: 07 May 2023
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 50 (714,240)
Citation 7

Abstract:

Loading...