Bryan T. Kelly

University of Chicago - Booth School of Business

Assistant Professor

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 530

SSRN RANKINGS

Top 530

in Total Papers Downloads

30,422

CITATIONS
Rank 3,312

SSRN RANKINGS

Top 3,312

in Total Papers Citations

164

Scholarly Papers (21)

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 - Department of Economics and Business, New York University - Leonard N. Stern School of Business - Department of Economics and University of Chicago - Booth School of Business
Downloads 2,538 (3,043)
Citation 6

Abstract:

Volatility, ARCH, Forecasting, Forecast Evaluation

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 2,250 (4,272)
Citation 10

Abstract:

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 143 (165,919)
Citation 10

Abstract:

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 97 (222,874)
Citation 10

Abstract:

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 27 (411,526)
Citation 10

Abstract:

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
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 2 (550,752)
Citation 10
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Abstract:

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

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
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 2,246 (4,287)
Citation 1

Abstract:

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
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 81 (250,703)
Citation 1

Abstract:

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
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 14 (484,576)
Citation 1

Abstract:

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
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1 (560,748)
Citation 1
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Abstract:

options, political uncertainty

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
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 2,210 (4,420)
Citation 2

Abstract:

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
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 16 (472,886)
Citation 2
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Abstract:

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, University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 2,218 (4,396)
Citation 2

Abstract:

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, University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 13 (490,254)
Citation 2

Abstract:

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, University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 1,636 (7,480)
Citation 10

Abstract:

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, University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 247 (99,201)
Citation 10

Abstract:

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, University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 175 (139,026)
Citation 10

Abstract:

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

7.

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
University of Chicago - Booth School of Business and Michigan State University
Downloads 1,977 (5,428)
Citation 6

Abstract:

Hedge fund, tail risk, performance evaluation

8.
Downloads 1,762 ( 6,681)
Citation 24

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
University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 1,576 (7,915)
Citation 24

Abstract:

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
University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 181 (134,856)
Citation 24

Abstract:

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
University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 5 (533,253)
Citation 24
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Abstract:

analyst coverage, Asymmetric-information asset pricing, liquidity

9.

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
University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 1,718 (5,295)
Citation 6

Abstract:

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

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
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,670 (7,212)

Abstract:

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
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 14 (484,576)
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Abstract:

11.
Downloads 1,654 ( 7,492)
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
University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 1,360 (10,088)
Citation 15

Abstract:

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
University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 294 (81,978)
Citation 15

Abstract:

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

12.

Market Expectations in the Cross Section of Present Values

Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 11-08, Fama-Miller Working Paper , AFA 2013 San Diego Meetings Paper
Number of pages: 52 Posted: 02 Feb 2011 Last Revised: 11 Sep 2012
Bryan T. Kelly and Seth Pruitt
University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 1,538 (7,330)
Citation 11

Abstract:

13.
Downloads 1,465 ( 9,096)
Citation 16

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
University of Chicago - Booth School of Business and Erasmus University Rotterdam (EUR)
Downloads 1,414 (9,466)
Citation 16

Abstract:

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
University of Chicago - Booth School of Business and Michigan State University
Downloads 51 (322,106)
Citation 16

Abstract:

14.
Downloads 1,362 ( 10,277)
Citation 2

Firm Volatility in Granular Networks

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-56
Number of pages: 66 Posted: 07 Dec 2012 Last Revised: 15 Oct 2013
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 1,348 (10,239)
Citation 2

Abstract:

Volatility, networks, firm growth, firm volatility

Firm Volatility in Granular Networks

NBER Working Paper No. w19466
Number of pages: 55 Posted: 28 Sep 2013
University of Chicago - Booth School of Business, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance
Downloads 14 (484,576)
Citation 2

Abstract:

15.

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 University of Chicago - Booth School of Business
Downloads 989 (15,562)
Citation 33

Abstract:

16.
Downloads 577 ( 36,443)

Text As Data

Number of pages: 53 Posted: 17 Mar 2017
Matthew Gentzkow, Bryan T. Kelly and Matt Taddy
Stanford University, University of Chicago - Booth School of Business and University of Chicago
Downloads 520 (41,161)

Abstract:

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, University of Chicago - Booth School of Business and University of Chicago
Downloads 57 (305,138)
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Abstract:

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, University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 140 (168,856)
Citation 10

Abstract:

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, University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 62 (292,333)
Citation 10

Abstract:

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

NBER Working Paper No. w18984
Number of pages: 54 Posted: 20 Apr 2013
London Business School, New York University, University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 7 (523,245)
Citation 10

Abstract:

18.

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
University of Chicago - Booth School of Business
Downloads 150 (130,839)
Citation 1

Abstract:

19.

Credit-Implied Volatility

Number of pages: 58 Posted: 11 Mar 2015 Last Revised: 23 Feb 2017
Bryan T. Kelly, Gerardo Manzo and Diogo Palhares
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and AQR Capital Management, LLC
Downloads 126 (38,837)

Abstract:

CDS, credit risk, implied volatility

20.

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, University of Chicago - Booth School of Business and New York University (NYU) - Department of Finance
Downloads 78 (234,262)
Citation 8

Abstract:

21.

Intermediary Asset Pricing: New Evidence from Many Asset Classes

NBER Working Paper No. w21920
Number of pages: 69 Posted: 25 Jan 2016
Zhiguo He, Bryan T. Kelly and Asaf Manela
University of Chicago - Booth School of Business, and NBER, University of Chicago - Booth School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 11 (481,176)
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Abstract: