Bryan T. Kelly

Yale SOM

135 Prospect Street

P.O. Box 208200

New Haven, CT 06520-8200

United States

AQR Capital Management, LLC

Greenwich, CT

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 381

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Top 381

in Total Papers Downloads

42,345

CITATIONS
Rank 3,302

SSRN RANKINGS

Top 3,302

in Total Papers Citations

166

Scholarly Papers (28)

1.

A Practical Guide to Volatility Forecasting through Calm and Storm

Number of pages: 23 Posted: 10 Nov 2009 Last Revised: 15 Nov 2013
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, New York University - Leonard N. Stern School of Business - Department of Economics and Yale SOM
Downloads 2,997 (3,302)
Citation 6

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Volatility, ARCH, Forecasting, Forecast Evaluation

2.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04
Number of pages: 67 Posted: 09 Apr 2018 Last Revised: 29 Jul 2018
Shihao Gu, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads 2,952 (3,424)

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Machine Learning, Return Prediction, Cross-Section of Returns, Ridge Regression, (Group) Lasso, Elastic Net, Random Forest, Gradient Boosting, (Deep) Neural Networks, Fintech

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Fama-Miller Working Paper
Number of pages: 69 Posted: 19 Nov 2013 Last Revised: 26 Jun 2016
Bryan T. Kelly, Lubos Pastor and Pietro Veronesi
Yale SOM, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 2,700 (3,862)
Citation 2

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political uncertainty, options, elections, summits, variance risk, tail risk

The Price of Political Uncertainty: Theory and Evidence from the Option Market

Becker Friedman Institute for Research in Economics Working Paper No. 2014-01
Number of pages: 66 Posted: 13 Jan 2014
Bryan T. Kelly, Lubos Pastor and Pietro Veronesi
Yale SOM, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 114 (226,825)
Citation 2

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The Price of Political Uncertainty: Theory and Evidence from the Option Market

NBER Working Paper No. w19812
Number of pages: 69 Posted: 17 Jan 2014
Bryan T. Kelly, Lubos Pastor and Pietro Veronesi
Yale SOM, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 16 (529,523)
Citation 2

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The Price of Political Uncertainty: Theory and Evidence from the Option Market

CEPR Discussion Paper No. DP9822
Number of pages: 68 Posted: 02 Jun 2014
Bryan T. Kelly, Lubos Pastor and Pietro Veronesi
Yale SOM, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1 (632,698)
Citation 2
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options, political uncertainty

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

American Economic Review, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-12
Number of pages: 70 Posted: 15 Feb 2011 Last Revised: 14 Nov 2015
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2,447 (4,566)
Citation 10

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systemic risk, too-big-to-fail, option pricing, government bailout, financial disaster models

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

AFA 2012 Chicago Meetings Paper
Number of pages: 78 Posted: 17 Mar 2011 Last Revised: 06 Aug 2015
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 169 (164,625)
Citation 10

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systemic risk, government bailout, too-big-to-fail, option pricing models, disaster models, financial crisis

Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

NYU Working Paper No. 2451/31427
Number of pages: 56 Posted: 13 Jan 2012 Last Revised: 10 Feb 2016
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 103 (243,918)
Citation 10

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Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

NBER Working Paper No. w17149
Number of pages: 59 Posted: 20 Jun 2011
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 29 (453,440)
Citation 10

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Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

CEPR Discussion Paper No. DP9023
Number of pages: 58 Posted: 28 Sep 2012
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2 (619,836)
Citation 10
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financial crisis, government bailout, option pricing models, systemic risk, too-big-to-fail

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

Journal of Financial Economics (JFE), Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-54
Number of pages: 53 Posted: 12 Nov 2012 Last Revised: 15 Nov 2015
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2,593 (4,140)
Citation 2

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Firm volatility, Idiosyncratic risk, Cross-section of stock returns

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

NBER Working Paper No. w20076
Number of pages: 66 Posted: 28 Apr 2014
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 18 (517,394)
Citation 2

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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 2,455 (4,539)
Citation 2

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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
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 22 (492,981)
Citation 2

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7.

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: 22 Jul 2014
Bryan T. Kelly and Seth Pruitt
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,269 (5,288)
Citation 6

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

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 28 Oct 2011 Last Revised: 25 Aug 2013
London Business School, New York University, Yale SOM and New York University (NYU) - Department of Finance
Downloads 1,747 (8,093)
Citation 10

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Liquidity, Voluntary disclosure, Earnings guidance, Information production, Management communication, Investor relations, Analyst coverage, Retail investors

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Journal of Finance, Forthcoming, NYU Working Paper No. 2451/31352
Number of pages: 57 Posted: 03 Apr 2012 Last Revised: 25 Aug 2013
London Business School, New York University, Yale SOM and New York University (NYU) - Department of Finance
Downloads 285 (98,425)
Citation 10

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Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 14 Mar 2012 Last Revised: 25 Aug 2013
London Business School, New York University, Yale SOM and New York University (NYU) - Department of Finance
Downloads 185 (151,691)
Citation 10

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Liquidity, Voluntary disclosure, Earnings guidance, Information production, Management communication, Investor relations, Analyst coverage, Retail investors

9.

Tail Risk and Hedge Fund Returns

Chicago Booth Research Paper No. 12-44, Fama-Miller Working Paper
Number of pages: 42 Posted: 31 May 2012 Last Revised: 20 Nov 2012
Bryan T. Kelly and Hao Jiang
Yale SOM and Michigan State University
Downloads 2,196 (5,573)
Citation 6

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Hedge fund, tail risk, performance evaluation

Excess Volatility: Beyond Discount Rates

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-13
Number of pages: 70 Posted: 06 Mar 2015 Last Revised: 18 Jan 2017
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 2,172 (5,569)

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excess volatility, discount rates, term structure

Excess Volatility: Beyond Discount Rates

NBER Working Paper No. w22045
Number of pages: 86 Posted: 01 Mar 2016
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 15 (535,764)

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11.
Downloads 1,911 ( 7,070)
Citation 23

Testing Asymmetric-Information Asset Pricing Models

Number of pages: 56 Posted: 09 Jan 2009 Last Revised: 16 Jul 2011
Bryan T. Kelly and Alexander Ljungqvist
Yale SOM and New York University (NYU) - Department of Finance
Downloads 1,710 (8,379)
Citation 23

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Asymmetric-information asset pricing, liquidity, analyst coverage

Testing Asymmetric-Information Asset Pricing Models

NYU Working Paper No. 2451/28343
Number of pages: 42 Posted: 09 Mar 2009 Last Revised: 10 Sep 2013
Bryan T. Kelly and Alexander Ljungqvist
Yale SOM and New York University (NYU) - Department of Finance
Downloads 196 (143,702)
Citation 23

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Testing Asymmetric-Information Asset Pricing Models

CEPR Discussion Paper No. DP7180
Number of pages: 46 Posted: 18 Feb 2009
Bryan T. Kelly and Alexander Ljungqvist
Yale SOM and New York University (NYU) - Department of Finance
Downloads 5 (596,705)
Citation 23
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analyst coverage, Asymmetric-information asset pricing, liquidity

12.
Downloads 1,844 ( 7,522)

Text As Data

Number of pages: 63 Posted: 17 Mar 2017 Last Revised: 14 Jul 2018
Matthew Gentzkow, Bryan T. Kelly and Matt Taddy
Stanford University, Yale SOM and University of Chicago
Downloads 1,771 (7,928)

Abstract:

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Text as Data

NBER Working Paper No. w23276
Number of pages: 54 Posted: 27 Mar 2017
Matthew Gentzkow, Bryan T. Kelly and Matt Taddy
Stanford University, Yale SOM and University of Chicago
Downloads 73 (303,720)
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13.
Downloads 1,809 ( 7,811)
Citation 15

The Value of Research

EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 06 Mar 2008 Last Revised: 18 May 2010
Bryan T. Kelly and Alexander Ljungqvist
Yale SOM and New York University (NYU) - Department of Finance
Downloads 1,460 (10,823)
Citation 15

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Sell-side research, Coverage terminations, Informational efficiency, Trading strategies, Global Settlement

The Value of Research

NYU Working Paper No.
Number of pages: 45 Posted: 03 Nov 2008
Bryan T. Kelly and Alexander Ljungqvist
Yale SOM and New York University (NYU) - Department of Finance
Downloads 349 (78,241)
Citation 15

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Sell-side research, Coverage terminations, Informational efficiency, Global Settlement

14.
Downloads 1,797 ( 7,900)
Citation 2

Firm Volatility in Granular Networks

Chicago Booth Research Paper No. 12-56, Fama-Miller Working Paper
Number of pages: 47 Posted: 07 Dec 2012 Last Revised: 31 Aug 2017
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 1,777 (7,886)
Citation 2

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Firm volatility, networks, firm size distribution, aggregate volatility, granularity

Firm Volatility in Granular Networks

NBER Working Paper No. w19466
Number of pages: 55 Posted: 28 Sep 2013
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 20 (505,316)
Citation 2

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15.

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 1,765 (8,133)
Citation 12

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16.
Downloads 1,615 ( 9,362)
Citation 17

Tail Risk and Asset Prices

Chicago Booth Research Paper No. 13-67
Number of pages: 55 Posted: 05 Sep 2013 Last Revised: 11 Jan 2014
Bryan T. Kelly and Hao Jiang
Yale SOM and Erasmus University Rotterdam (EUR)
Downloads 1,550 (9,847)
Citation 17

Abstract:

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tail risk, time-varying risk, conditional expected returns, cross section of returns

Tail Risk and Asset Prices

NBER Working Paper No. w19375
Number of pages: 51 Posted: 30 Aug 2013
Bryan T. Kelly and Hao Jiang
Yale SOM and Michigan State University
Downloads 65 (323,972)
Citation 17

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17.

Credit-Implied Volatility

Chicago Booth Research Paper No. 17-12
Number of pages: 59 Posted: 11 Mar 2015 Last Revised: 27 May 2017
Bryan T. Kelly, Gerardo Manzo and Diogo Palhares
Yale SOM, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,155 (16,023)

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CDS, credit risk, implied volatility

18.

Dynamic Equicorrelation

NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 10 Nov 2015
Robert F. Engle and Bryan T. Kelly
New York University - Leonard N. Stern School of Business - Department of Economics and Yale SOM
Downloads 1,086 (17,523)
Citation 31

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19.

Instrumented Principal Component Analysis

Number of pages: 33 Posted: 09 Jun 2017 Last Revised: 11 Jun 2017
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 1,019 (19,229)

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

20.

Forecasting the Distribution of Option Returns

Number of pages: 66 Posted: 13 Sep 2017
Roni Israelov and Bryan T. Kelly
AQR Capital Management, LLC and Yale SOM
Downloads 555 (44,805)

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Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Mays Business School Research Paper No. 3117188
Number of pages: 65 Posted: 14 Feb 2018 Last Revised: 20 Sep 2018
Yong Chen, Bryan T. Kelly and Wei Wu
Texas A&M University - Department of Finance, Yale SOM and Texas A&M University - Department of Finance
Downloads 316 (87,764)

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Hedge funds, information environment, market efficiency, information acquisition, analyst coverage

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

NBER Working Paper No. w24552
Number of pages: 69 Posted: 02 May 2018
Yong Chen, Bryan T. Kelly and Wei Wu
Texas A&M University - Department of Finance, Yale SOM and Texas A&M University - Mays Business School
Downloads 15 (535,764)
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Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Journal of Finance, Forthcoming, NYU Working Paper No. 2451/31352
Number of pages: 57 Posted: 21 Sep 2012 Last Revised: 25 Aug 2013
London Business School, New York University, Yale SOM and New York University (NYU) - Department of Finance
Downloads 143 (189,866)
Citation 10

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Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

NYU Working Paper No. 2451/31352
Number of pages: 47 Posted: 10 Sep 2013
London Business School, New York University, Yale SOM and New York University (NYU) - Department of Finance
Downloads 63 (329,435)
Citation 10

Abstract:

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Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

NBER Working Paper No. w18984
Number of pages: 54 Posted: 20 Apr 2013 Last Revised: 25 Apr 2013
London Business School, New York University, Yale SOM and New York University (NYU) - Department of Finance
Downloads 12 (554,520)
Citation 10

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23.

The Dynamic Power Law Model

Chicago Booth Research Paper No. 14-14, Fama-Miller Working Paper
Number of pages: 31 Posted: 13 May 2014
Bryan T. Kelly
Yale SOM
Downloads 213 (133,049)
Citation 1

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24.

Shaping Liquidity: On the Casual Effects of Voluntary Disclosure

NYU Working Paper No. 2451/31614
Number of pages: 48 Posted: 10 Sep 2013
London Business School, New York University, Yale SOM and New York University (NYU) - Department of Finance
Downloads 92 (261,407)
Citation 8

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25.

Characteristics are Covariances: A Unified Model of Risk and Return

NBER Working Paper No. w24540
Number of pages: 60 Posted: 23 Apr 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 20 (488,704)
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26.

Characteristics Are Covariances: A Unified Model of Risk and Return

Number of pages: 58 Posted: 07 Sep 2017
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 1,411

Abstract:

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

27.

Intermediary Asset Pricing: New Evidence from Many Asset Classes

NBER Working Paper No. w21920
Number of pages: 69 Posted: 25 Jan 2016 Last Revised: 03 Feb 2016
Zhiguo He, Bryan T. Kelly and Asaf Manela
University of Chicago - Finance, Yale SOM and Washington University in St. Louis - John M. Olin Business School
Downloads 17 (504,993)

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28.

Firm Volatility in Granual Networks

CEPR Discussion Paper No. DP12284
Number of pages: 50 Posted: 11 Sep 2017
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 0 (617,816)
Citation 2
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aggregate volatility, firm size distribution, Firm volatility, granularity, networks