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

  • Yale SOM

  • AQR Capital Management, LLC

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

58

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5,881

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1,296

Scholarly Papers (58)

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1.

Financial Machine Learning

Downloads 25,052 ( 176)

Financial Machine Learning

Number of pages: 159 Posted: 13 Jul 2023
Bryan T. Kelly and Dacheng Xiu
Yale SOM and University of Chicago - Booth School of Business
Downloads 24,809 (175)

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Finance, machine learning, ai, artificial intelligence, returns, return prediction, factor model, portfolio choice

Financial Machine Learning

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-100
Number of pages: 161 Posted: 26 Jul 2023
Bryan T. Kelly and Dacheng Xiu
Yale SOM and University of Chicago - Booth School of Business
Downloads 225 (224,605)

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Financial Machine Learning

NBER Working Paper No. w31502
Number of pages: 160 Posted: 24 Jul 2023 Last Revised: 25 Jul 2023
Bryan T. Kelly and Dacheng Xiu
Yale SOM and University of Chicago - Booth School of Business
Downloads 18 (897,705)
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2.

Empirical Asset Pricing via Machine Learning

Downloads 19,830 ( 256)
Citation 282

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
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 19,403 (266)
Citation 25

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

Empirical Asset Pricing Via Machine Learning

NBER Working Paper No. w25398
Number of pages: 80 Posted: 26 Dec 2018 Last Revised: 26 May 2023
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 427 (113,401)
Citation 64

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3.

Autoencoder Asset Pricing Models

Yale ICF Working Paper No. 2019-04, Chicago Booth Research Paper No. 19-24
Number of pages: 35 Posted: 07 Mar 2019 Last Revised: 01 Oct 2019
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 11,957 (678)
Citation 30

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stock returns, conditional asset pricing model, nonlinear factor model, machine learning, autoencoder, neural networks, big data

4.

Is There a Replication Crisis in Finance?

Downloads 11,878 ( 683)
Citation 71

Is There a Replication Crisis in Finance?

NYU Stern School of Business Forthcoming
Number of pages: 106 Posted: 05 Mar 2021 Last Revised: 07 Mar 2022
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
Downloads 11,710 (690)

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Asset Pricing, Factors, Data Mining, Replication, Multiple Testing, External Validity, Empirical Bayes, Bayesian Statistics

Is There a Replication Crisis in Finance?

NBER Working Paper No. w28432
Number of pages: 54 Posted: 08 Feb 2021 Last Revised: 10 Mar 2023
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
Downloads 168 (292,984)
Citation 40

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5.

(Re-)Imag(in)ing Price Trends

Chicago Booth Research Paper No. 21-01
Number of pages: 80 Posted: 04 Jan 2021 Last Revised: 23 Oct 2022
Jingwen Jiang, Bryan T. Kelly and Dacheng Xiu
University of Chicago, Yale SOM and University of Chicago - Booth School of Business
Downloads 11,455 (728)
Citation 13

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convolutional neural network (CNN), image classification, transfer learning, machine learning, technical analysis, return prediction

6.

Predicting Returns with Text Data

Downloads 9,755 ( 972)
Citation 14

Predicting Returns with Text Data

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-69, Yale ICF Working Paper No. 2019-10, Chicago Booth Research Paper No. 20-37
Number of pages: 66 Posted: 20 May 2019 Last Revised: 17 Aug 2021
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 9,522 (1,003)
Citation 5

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Text Mining, Machine Learning, Return Predictability, Sentiment Analysis, Screening, Topic Modeling, Penalized Likelihood

Predicting Returns with Text Data

NBER Working Paper No. w26186
Number of pages: 55 Posted: 03 Sep 2019 Last Revised: 21 Jul 2023
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 233 (217,102)
Citation 1

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7.

Factor Models, Machine Learning, and Asset Pricing

Downloads 8,862 ( 1,125)
Citation 18

Factor Models, Machine Learning, and Asset Pricing

Annual Review of Financial Economics, Vol. 14, pp. 337-368, 2022
Posted: 10 Nov 2022
Stefano Giglio, Bryan T. Kelly and Dacheng Xiu
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business

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Factor Models, Machine Learning, and Asset Pricing

Number of pages: 35 Posted: 18 Oct 2021 Last Revised: 18 Feb 2022
Stefano Giglio, Bryan T. Kelly and Dacheng Xiu
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business
Downloads 8,862 (1,121)
Citation 18

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asset pricing, machine learning, factor models, stochastic discount factor, risk premium

8.

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 7,388 (1,558)
Citation 25

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

9.

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 7,034 (1,700)
Citation 17

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

10.

The Virtue of Complexity in Return Prediction

Downloads 6,874 ( 1,762)
Citation 18

The Virtue of Complexity in Return Prediction

Swiss Finance Institute Research Paper No. 21-90, Journal of Finance, forthcoming
Number of pages: 122 Posted: 15 Dec 2021 Last Revised: 09 Jan 2023
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 6,857 (1,747)
Citation 16

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

The Virtue of Complexity in Return Prediction

NBER Working Paper No. w30217
Number of pages: 116 Posted: 08 Jul 2022 Last Revised: 26 Jul 2023
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 14 (938,303)
Citation 3
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The Virtue of Complexity in Return Prediction

CEPR Discussion Paper No. DP17194
Number of pages: 103 Posted: 27 May 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 3 (1,044,659)
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benign overfit, Machine Learning, overparameterization, Portfolio choice, random matrix theory

11.

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 5,353 (2,707)
Citation 32

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

12.

Business News and Business Cycles

Downloads 5,211 ( 2,828)
Citation 10

Business News and Business Cycles

Journal of Finance, Forthcoming
Number of pages: 78 Posted: 07 Sep 2019 Last Revised: 27 Jul 2023
Leland Bybee, Bryan T. Kelly, Asaf Manela and Dacheng Xiu
Yale School of Management, Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Booth School of Business
Downloads 5,085 (2,917)
Citation 3

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Textual analysis, macroeconomic news, attention, Wall Street Journal, volatility, VAR, machine learning

The Structure of Economic News

NBER Working Paper No. w26648
Number of pages: 55 Posted: 22 Jan 2020 Last Revised: 24 Apr 2023
Leland Bybee, Bryan T. Kelly, Asaf Manela and Dacheng Xiu
Yale School of Management, Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Booth School of Business
Downloads 111 (406,953)
Citation 5

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Business News and Business Cycles

NBER Working Paper No. w29344
Number of pages: 66 Posted: 11 Oct 2021 Last Revised: 16 Apr 2023
Leland Bybee, Bryan T. Kelly, Asaf Manela and Dacheng Xiu
Yale School of Management, Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Booth School of Business
Downloads 15 (927,990)
Citation 4

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13.

Factor Momentum Everywhere

Yale ICF Working Paper No. 2018-23
Number of pages: 31 Posted: 31 Dec 2018 Last Revised: 02 Aug 2019
Tarun Gupta and Bryan T. Kelly
INVESCO Global Asset Management, N.A. and Yale SOM
Downloads 5,005 (3,043)
Citation 39

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factor momentum, time series momentum, stock price momentum

14.

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 4,926 (3,124)
Citation 33

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

15.

Machine Learning and the Implementable Efficient Frontier

Swiss Finance Institute Research Paper No. 22-63
Number of pages: 70 Posted: 18 Aug 2022 Last Revised: 19 Aug 2022
Theis Ingerslev Jensen, Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 4,684 (3,410)
Citation 2

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asset pricing, machine learning, transaction costs, economic significance, investments

16.

Principal Portfolios

Downloads 4,566 ( 3,554)
Citation 8

Principal Portfolios

Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98 Posted: 06 Aug 2020 Last Revised: 26 May 2021
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 4,469 (3,627)
Citation 1

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Portfolio choice, asset pricing tests, optimization, expected returns, predictability

Principal Portfolios

NBER Working Paper No. w27388
Number of pages: 72 Posted: 22 Jun 2020 Last Revised: 03 May 2023
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 97 (447,806)

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17.

Hedging Climate Change News

Downloads 4,470 ( 3,676)
Citation 177

Hedging Climate Change News

Yale ICF Working Paper No. 2019-02
Number of pages: 46 Posted: 17 Jan 2019 Last Revised: 08 Feb 2023
Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly and Johannes Stroebel
New York University (NYU) - Department of Finance, Yale School of Management, New York University (NYU) - Department of Finance, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 4,167 (4,078)
Citation 34

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Climate Risk, Hedge Portfolio

Hedging Climate Change News

CESifo Working Paper No. 7655
Number of pages: 48 Posted: 25 Jul 2019
Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly and Johannes Stroebel
New York University (NYU) - Department of Finance, Yale School of Management, New York University (NYU) - Department of Finance, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 166 (295,985)
Citation 14

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climate risk

Hedging Climate Change News

NBER Working Paper No. w25734
Number of pages: 47 Posted: 08 Apr 2019 Last Revised: 26 Apr 2023
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
New York University (NYU) - Department of Finance, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 135 (351,162)
Citation 6

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Hedging Climate Change News

CEPR Discussion Paper No. DP13730
Number of pages: 49 Posted: 22 May 2019
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
New York University (NYU) - Department of Finance, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 2 (1,053,280)
Citation 141
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18.

Climate Finance

Downloads 4,397 ( 3,779)
Citation 91

Climate Finance

NYU Stern School of Business Forthcoming
Number of pages: 31 Posted: 14 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 4,116 (4,149)
Citation 25

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Climate Change, Climate Risk, Physical Risk, Transition Risk, ESG

Climate Finance

CESifo Working Paper No. 8772
Number of pages: 33 Posted: 28 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 237 (213,420)

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Climate Finance

NBER Working Paper No. w28226
Number of pages: 32 Posted: 21 Dec 2020 Last Revised: 15 Feb 2023
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 41 (706,100)
Citation 1

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Climate Finance

CEPR Discussion Paper No. DP15557
Number of pages: 34 Posted: 23 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 3 (1,044,659)
Citation 66
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19.

Can Machines 'Learn' Finance?

Journal of Investment Management
Number of pages: 21 Posted: 02 Jul 2020 Last Revised: 05 Mar 2021
Ronen Israel, Bryan T. Kelly, Tobias J. Moskowitz and Tobias J. Moskowitz
AQR Capital Management, LLC, Yale SOM and Yale University, Yale SOMAQR Capital
Downloads 4,372 (3,825)
Citation 15

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20.

Text As Data

Downloads 3,950 ( 4,512)
Citation 208

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 3,784 (4,753)
Citation 9

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Text as Data

NBER Working Paper No. w23276
Number of pages: 54 Posted: 27 Mar 2017 Last Revised: 06 Feb 2022
Matthew Gentzkow, Bryan T. Kelly and Matt Taddy
Stanford University, Yale SOM and University of Chicago
Downloads 166 (295,985)
Citation 78

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21.

A Practical Guide to Volatility Forecasting through Calm and Storm

Number of pages: 23 Posted: 10 Nov 2009 Last Revised: 15 Nov 2013
Christian T. Brownlees, Robert F. Engle and Bryan T. Kelly
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, New York University (NYU) - Department of Finance and Yale SOM
Downloads 3,646 (5,182)
Citation 41

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Volatility, ARCH, Forecasting, Forecast Evaluation

22.

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

Downloads 3,563 ( 5,403)
Citation 185

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 3,304 (6,020)
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 154 (315,545)
Citation 3

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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 Last Revised: 19 Feb 2023
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 102 (432,645)
Citation 12

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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 3 (1,044,659)
Citation 46
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options, political uncertainty

23.

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

Downloads 3,292 ( 6,163)
Citation 163

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
Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
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 3,219 (6,277)
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 Last Revised: 11 May 2023
Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
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 73 (534,601)
Citation 106

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24.

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 3,153 (6,617)
Citation 83

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

25.

Firm Volatility in Granular Networks

Downloads 3,023 ( 7,058)
Citation 44

Firm Volatility in Granular Networks

Chicago Booth Research Paper No. 12-56, Fama-Miller Working Paper
Number of pages: 69 Posted: 07 Dec 2012 Last Revised: 11 Jun 2020
Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
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 2,881 (7,500)
Citation 15

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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: 70 Posted: 28 Sep 2013 Last Revised: 11 Mar 2023
Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 142 (337,306)
Citation 2

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26.

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

Downloads 2,988 ( 7,203)
Citation 97

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
Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2,619 (8,673)
Citation 9

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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
Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 200 (250,887)
Citation 1

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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
Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 120 (384,241)

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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 Last Revised: 12 May 2023
Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 47 (667,267)
Citation 47

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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
Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2 (1,053,280)
Citation 24
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financial crisis, government bailout, option pricing models, systemic risk, too-big-to-fail

27.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Downloads 2,828 ( 7,830)
Citation 129

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 2,756 (8,003)
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 2023
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 72 (538,833)
Citation 39

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28.

Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text

Johns Hopkins Carey Business School Research Paper No. 21-09
Number of pages: 60 Posted: 02 Aug 2021 Last Revised: 09 Feb 2023
Leland Bybee, Bryan T. Kelly and Yinan Su
Yale School of Management, Yale SOM and Johns Hopkins University - Carey Business School
Downloads 2,766 (8,076)
Citation 10

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news, narratives, textual analysis, cross section of returns, ICAPM, factor model, IPCA, variable selection

29.

Excess Volatility: Beyond Discount Rates

Downloads 2,708 ( 8,367)
Citation 46

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: 30 Jul 2019
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 2,658 (8,473)
Citation 22

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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 Last Revised: 27 Mar 2023
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 50 (649,151)
Citation 3

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30.

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 2,681 (8,492)
Citation 3

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Hedge fund, tail risk, performance evaluation

31.

Forecasting the Distribution of Option Returns

Number of pages: 66 Posted: 13 Sep 2017
Roni Israelov and Bryan T. Kelly
NDVR, Inc. and Yale SOM
Downloads 2,508 (9,430)
Citation 11

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32.

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Downloads 2,457 ( 9,743)
Citation 10

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
Karthik Balakrishnan, Mary Brooke Billings, Bryan T. Kelly, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 1,905 (14,412)
Citation 4

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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
Karthik Balakrishnan, Mary Brooke Billings, Bryan T. Kelly, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
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Citation 2

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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
Karthik Balakrishnan, Mary Brooke Billings, Bryan T. Kelly, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 222 (227,478)
Citation 5

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

33.

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 2,309 (10,780)
Citation 44

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34.

Measuring Technological Innovation Over the Long Run

Downloads 2,306 (10,829)
Citation 64

Measuring Technological Innovation Over the Long Run

Yale ICF Working Paper No. 2018-19
Number of pages: 47 Posted: 05 Dec 2018 Last Revised: 11 Jun 2020
Bryan T. Kelly, Dimitris Papanikolaou, Amit Seru and Matt Taddy
Yale SOM, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and University of Chicago
Downloads 1,976 (13,599)

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Measuring Technological Innovation Over the Long Run

NBER Working Paper No. w25266
Number of pages: 68 Posted: 19 Nov 2018 Last Revised: 16 Jul 2023
Bryan T. Kelly, Dimitris Papanikolaou, Amit Seru and Matt Taddy
Yale SOM, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and University of Chicago
Downloads 330 (151,759)
Citation 6

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35.

Testing Asymmetric-Information Asset Pricing Models

Downloads 2,295 (10,889)
Citation 153

Testing Asymmetric-Information Asset Pricing Models

Number of pages: 56 Posted: 09 Jan 2009 Last Revised: 16 Jul 2011
Bryan T. Kelly, Alexander Ljungqvist and Alexander Ljungqvist
Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 2,039 (12,917)
Citation 10

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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, Alexander Ljungqvist and Alexander Ljungqvist
Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 251 (201,811)

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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, Alexander Ljungqvist and Alexander Ljungqvist
Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
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Citation 143
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analyst coverage, Asymmetric-information asset pricing, liquidity

36.

Tail Risk and Asset Prices

Downloads 2,132 (12,266)
Citation 169

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 1,883 (14,695)
Citation 33

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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 Last Revised: 11 Jun 2023
Bryan T. Kelly and Hao Jiang
Yale SOM and Michigan State University
Downloads 249 (203,413)
Citation 12

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37.

The Value of Research

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Citation 11

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, Alexander Ljungqvist and Alexander Ljungqvist
Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 1,690 (17,379)
Citation 12

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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, Alexander Ljungqvist and Alexander Ljungqvist
Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 442 (108,919)

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

38.

Credit-Implied Volatility

Number of pages: 47 Posted: 11 Mar 2015 Last Revised: 05 Jun 2019
Bryan T. Kelly, Gerardo Manzo and Diogo Palhares
Yale SOM, Independent and Independent
Downloads 2,068 (12,887)
Citation 9

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CDS, credit risk, implied volatility

39.

A Factor Model for Option Returns

Downloads 1,933 (14,325)
Citation 18

A Factor Model for Option Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 62 Posted: 05 Sep 2019 Last Revised: 06 Oct 2021
Matthias Büchner and Bryan T. Kelly
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Yale SOM
Downloads 1,917 (14,260)
Citation 2

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Option Return; Factor Model; Return Predictability; IPCA

A Factor Model for Option Returns

NBER Working Paper No. w29369
Number of pages: 64 Posted: 18 Oct 2021 Last Revised: 16 Apr 2023
Matthias Büchner and Bryan T. Kelly
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Yale SOM
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Citation 20
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40.

The Virtue of Complexity Everywhere

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The Virtue of Complexity Everywhere

Number of pages: 43 Posted: 25 Jul 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 1,319 (25,257)

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

The Virtue of Complexity Everywhere

Swiss Finance Institute Research Paper No. 22-57
Number of pages: 45 Posted: 25 Jul 2022 Last Revised: 02 Aug 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 342 (146,145)
Citation 1

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

41.

Text Selection

Downloads 1,404 (23,427)
Citation 8

Text Selection

Number of pages: 57 Posted: 10 Dec 2019
Bryan T. Kelly, Asaf Manela and Alan Moreira
Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
Downloads 1,361 (24,103)
Citation 2

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Text analysis, machine learning, selection model, high dimension forecast, multinomial regression, hurdle, zero inflation, partisanship, intermediary capital

Text Selection

NBER Working Paper No. w26517
Number of pages: 58 Posted: 03 Dec 2019 Last Revised: 16 Jun 2023
Bryan T. Kelly, Asaf Manela and Alan Moreira
Yale SOM, Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
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Citation 6

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42.

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

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Citation 39

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Journal of Financial Economics (JFE), Vol. 138, 2020, pp. 316–341, 29th Annual Conference on Financial Economics & Accounting 2018, Mays Business School Research Paper No. 3117188, Yale ICF Working Paper No. 2018-05
Number of pages: 53 Posted: 14 Feb 2018 Last Revised: 18 Dec 2020
Yong Chen, Bryan T. Kelly and Wei Wu
Texas A&M University - Department of Finance, Yale SOM and Texas A&M University
Downloads 1,330 (24,972)
Citation 6

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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 Last Revised: 01 Feb 2023
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
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Citation 1

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43.

Equity Term Structures without Dividend Strips Data

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Citation 15

Equity Term Structures without Dividend Strips Data

Number of pages: 67 Posted: 12 Mar 2020 Last Revised: 03 Apr 2023
Stefano Giglio, Bryan T. Kelly and Serhiy Kozak
Yale School of Management, Yale SOM and University of Maryland - Robert H. Smith School of Business
Downloads 1,367 (23,950)
Citation 11

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equity strips, risk premia, dividend claims, term structure

Equity Term Structures Without Dividend Strips Data

NBER Working Paper No. w31119
Number of pages: 68 Posted: 10 Apr 2023 Last Revised: 13 Jul 2023
Stefano Giglio, Bryan T. Kelly and Serhiy Kozak
Yale School of Management, Yale SOM and University of Maryland
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Citation 4
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44.

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 (NYU) - Department of Finance and Yale SOM
Downloads 1,322 (25,623)
Citation 68

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45.

Machine Forecast Disagreement

Downloads 1,176 (30,416)

Machine Forecast Disagreement

Number of pages: 54 Posted: 14 Aug 2023 Last Revised: 22 Aug 2023
Turan G. Bali, Bryan T. Kelly, Mathis Moerke and Jamil A. Rahman
Georgetown University - McDonough School of Business, Yale SOM, University of St. Gallen - Swiss Institute of Banking and Finance and Yale School of Management
Downloads 1,172 (30,120)

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machine forecast disagreement, analyst forecast dispersion, stock returns, costly arbitrage, mispricing

Machine Forecast Disagreement

NBER Working Paper No. w31583
Number of pages: 54 Posted: 21 Aug 2023
Turan G. Bali, Bryan T. Kelly, Mathis Moerke and Jamil Rahman
Georgetown University - McDonough School of Business, Yale SOM, University of St. Gallen - Swiss Institute of Banking and Finance and Yale School of Management
Downloads 4 (1,036,391)
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46.

Deep Learning from Implied Volatility Surfaces

Swiss Finance Institute Research Paper No. 23-60
Number of pages: 92 Posted: 04 Aug 2023 Last Revised: 28 Aug 2023
Bryan T. Kelly, Boris Kuznetsov, Semyon Malamud and Teng Andrea Xu
Yale SOM, Swiss Finance Institute, Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,174 (30,493)

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47.

Complexity in Factor Pricing Models

Downloads 997 (38,484)

Complexity in Factor Pricing Models

Swiss Finance Institute Research Paper No. 23-19
Number of pages: 139 Posted: 14 Mar 2023 Last Revised: 12 Sep 2023
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
Swiss Finance Institute, UNIL, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 992 (38,186)

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Stochastic discount factor (SDF), asset pricing test, pricing error, alpha, cross section of returns, portfolio choice

Complexity in Factor Pricing Models

NBER Working Paper No. w31689
Number of pages: 138 Posted: 18 Sep 2023
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
Swiss Finance Institute, UNIL, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
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48.

Expected Returns and Large Language Models

Number of pages: 69 Posted: 21 Apr 2023 Last Revised: 13 Sep 2023
Yifei Chen, Bryan T. Kelly and Dacheng Xiu
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
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natural language processing (NLP), foundation models, BERT, GPT, OPT, ChatGPT, Bag-of-Words, Word2vec, machine learning, return prediction

49.

Deep Regression Ensembles

Swiss Finance Institute Research Paper No. 22-20, 2022
Number of pages: 29 Posted: 08 Mar 2022
Antoine Didisheim, Bryan T. Kelly and Semyon Malamud
Swiss Finance Institute, UNIL, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 794 (52,634)

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Deep learning, Neural network, Random features, Ensembles

50.

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 606 (74,832)
Citation 2

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corporate bond returns, factor model, IPCA, bond portfolio

51.

Factor Mimicking Portfolios for Climate Risk

University of Zurich, Department of Economics, Working Paper No. 429, March 2023
Number of pages: 35 Posted: 20 Mar 2023
Gianluca De Nard, Robert F. Engle and Bryan T. Kelly
University of Zurich - Department of Economics, New York University (NYU) - Department of Finance and Yale SOM
Downloads 444 (109,457)

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climate change, factor model, portfolio selection, sustainable portfolio

52.

Hedging Macroeconomic and Financial Uncertainty and Volatility

Downloads 431 (113,322)
Citation 24

Hedging Macroeconomic and Financial Uncertainty and Volatility

Yale ICF Working Paper No. 2018-21
Number of pages: 62 Posted: 09 Dec 2018 Last Revised: 02 Aug 2019
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 381 (129,602)
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Hedging Macroeconomic and Financial Uncertainty and Volatility

NBER Working Paper No. w26323
Number of pages: 76 Posted: 30 Sep 2019 Last Revised: 05 Jun 2022
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 49 (655,142)

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Hedging Macroeconomic and Financial Uncertainty and Volatility

CEPR Discussion Paper No. DP15239
Number of pages: 88 Posted: 12 Sep 2020
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
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Citation 21
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53.

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Downloads 333 (151,323)
Citation 188

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
Karthik Balakrishnan, Mary Brooke Billings, Bryan T. Kelly, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 191 (261,549)

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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
Karthik Balakrishnan, Mary Brooke Billings, Bryan T. Kelly, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 87 (480,734)
Citation 1

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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: 17 May 2023
Karthik Balakrishnan, Mary Brooke Billings, Bryan T. Kelly, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 55 (620,659)
Citation 55

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54.

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 305 (166,118)
Citation 2

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55.

Intermediary Asset Pricing: New Evidence from Many Asset Classes

NBER Working Paper No. w21920
Number of pages: 69 Posted: 25 Jan 2016 Last Revised: 25 May 2023
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 158 (308,410)
Citation 347

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56.

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 144 (332,888)
Citation 52

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57.

Shaping Liquidity: On the Casual Effects of Voluntary Disclosure

NYU Working Paper No. 2451/31614
Number of pages: 48 Posted: 10 Sep 2013
Karthik Balakrishnan, Mary Brooke Billings, Bryan T. Kelly, Alexander Ljungqvist and Alexander Ljungqvist
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Swedish House of Finance
Downloads 134 (352,213)

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58.

Firm Volatility in Granual Networks

CEPR Discussion Paper No. DP12284
Number of pages: 50 Posted: 11 Sep 2017
Bernard Herskovic, Bryan T. Kelly, Hanno N. Lustig and Stijn Van Nieuwerburgh
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
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Citation 1
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aggregate volatility, firm size distribution, Firm volatility, granularity, networks