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

26

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35,546

CITATIONS
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Top 3,304

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166

Scholarly Papers (26)

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 New York University Stern School of Business, Department of Finance
Downloads 2,401 (4,306)
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 New York University Stern School of Business, Department of Finance
Downloads 162 (160,942)
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 New York University Stern School of Business, Department of Finance
Downloads 102 (232,133)
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 New York University Stern School of Business, Department of Finance
Downloads 28 (435,869)
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 New York University Stern School of Business, Department of Finance
Downloads 2 (587,451)
Citation 10
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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
Yale SOM, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 2,553 (3,880)
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 102 (232,133)
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 (504,347)
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 (598,834)
Citation 2
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options, political uncertainty

3.

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 2,538 (3,191)
Citation 6

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Volatility, ARCH, Forecasting, Forecast Evaluation

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 New York University Stern School of Business, Department of Finance
Downloads 2,471 (4,096)
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 New York University Stern School of Business, Department of Finance
Downloads 15 (510,341)
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 2,388 (4,349)
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 16 (504,347)
Citation 2

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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 1,710 (7,710)
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 270 (97,978)
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 181 (145,683)
Citation 10

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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
Yale SOM and Michigan State University
Downloads 2,108 (5,492)
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 2,028 (5,712)

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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 (510,341)
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9.
Downloads 1,841 ( 6,926)
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 1,645 (8,193)
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 191 (138,604)
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 (567,327)
Citation 23
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analyst coverage, Asymmetric-information asset pricing, liquidity

10.
Downloads 1,733 ( 7,695)
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 1,411 (10,501)
Citation 14

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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 322 (80,475)
Citation 14

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

11.

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 1,718 (5,270)
Citation 6

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

12.
Downloads 1,572 ( 9,019)
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 New York University Stern School of Business, Department of Finance
Downloads 1,555 (9,025)
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 New York University Stern School of Business, Department of Finance
Downloads 17 (498,598)
Citation 2

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13.
Downloads 1,560 ( 9,142)
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 1,497 (9,560)
Citation 17

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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 63 (311,733)
Citation 17

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14.

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
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 1,538 (7,712)
Citation 12

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15.
Downloads 1,283 ( 12,533)

Text As Data

Number of pages: 53 Posted: 17 Mar 2017
Matthew Gentzkow, Bryan T. Kelly and Matt Taddy
Stanford University, Yale SOM and University of Chicago
Downloads 1,210 (13,477)

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 (287,338)
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16.

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 989 (16,597)
Citation 31

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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 140 (182,213)
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 (311,733)
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 10 (539,656)
Citation 10

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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
Yale SOM
Downloads 150 (129,936)
Citation 1

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19.

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, Two Sigma Investments and AQR Capital Management, LLC
Downloads 126 (19,275)

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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, Yale SOM and New York University (NYU) - Department of Finance
Downloads 78 (247,288)
Citation 8

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21.

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 - Booth School of Business, and NBER, Yale SOM and Washington University in St. Louis - John M. Olin Business School
Downloads 13 (501,683)
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22.

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Number of pages: 50 Posted: 14 Feb 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 0 (293,484)

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Hedge Funds, Information Environment, Information Acquisition, Analyst Coverage, PEAD, Price Efficiency, EDGAR Search Volume

23.

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 0 (97,314)

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24.

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 New York University Stern School of Business, Department of Finance
Downloads 0 (583,334)
Citation 2
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aggregate volatility, firm size distribution, Firm volatility, granularity, networks

25.

Characteristics Are Covariances: A Unified Model of Risk and Return

Number of pages: 59 Posted: 07 Sep 2017 Last Revised: 24 Jan 2018
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and University of Chicago, Booth School of Business, Students
Downloads 0 (31,226)

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

26.

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 University of Chicago, Booth School of Business, Students
Downloads 0 (37,483)

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