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

41

DOWNLOADS
Rank 156

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Top 156

in Total Papers Downloads

78,959

SSRN CITATIONS
Rank 308

SSRN RANKINGS

Top 308

in Total Papers Citations

1,307

CROSSREF CITATIONS

1,296

Scholarly Papers (41)

1.
Downloads 12,036 ( 363)
Citation 43

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 12,005 (354)
Citation 28

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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
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 31 (525,626)
Citation 14
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2.
Downloads 4,118 ( 2,472)

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: 61 Posted: 20 May 2019 Last Revised: 12 Oct 2020
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 4,087 (2,472)

Abstract:

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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
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 31 (525,626)
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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 3,937 (2,659)
Citation 13

Abstract:

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

4.

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 (NYU) - Department of Finance and Yale SOM
Downloads 3,209 (3,783)
Citation 27

Abstract:

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Volatility, ARCH, Forecasting, Forecast Evaluation

5.

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 3,162 (3,877)
Citation 16

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

6.
Downloads 3,102 ( 3,986)
Citation 49

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 3,001 (4,153)
Citation 10

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 101 (294,665)
Citation 34

Abstract:

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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 2,930 (4,349)
Citation 1

Abstract:

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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 129 (246,467)
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
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 28 (543,328)

Abstract:

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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 2 (741,496)
Citation 27
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options, political uncertainty

8.

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
AQR Capital Management, LLC and Yale SOM
Downloads 2,900 (4,515)
Citation 13

Abstract:

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factor momentum, time series momentum, stock price momentum

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 2,843 (4,580)
Citation 2

Abstract:

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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 30 (531,308)
Citation 30

Abstract:

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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 2,524 (5,551)
Citation 8

Abstract:

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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 181 (185,540)
Citation 1

Abstract:

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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 108 (281,159)

Abstract:

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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 33 (514,699)

Abstract:

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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 (741,496)
Citation 18
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financial crisis, government bailout, option pricing models, systemic risk, too-big-to-fail

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: 16 May 2019
Bryan T. Kelly and Seth Pruitt
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,687 (5,119)
Citation 34

Abstract:

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

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,590 (5,331)
Citation 9

Abstract:

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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 37 (494,381)
Citation 31

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13.
Downloads 2,429 ( 6,055)
Citation 14

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 2,405 (6,033)
Citation 13

Abstract:

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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 24 (569,473)
Citation 1

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14.

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 2,397 (6,196)
Citation 3

Abstract:

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Hedge fund, tail risk, performance evaluation

15.
Downloads 2,331 ( 6,481)
Citation 12

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
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 2,292 (6,544)
Citation 9

Abstract:

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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
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 39 (484,795)
Citation 1

Abstract:

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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
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Stockholm School of Economics
Downloads 1,821 (9,593)
Citation 5

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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
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Stockholm School of Economics
Downloads 303 (111,416)
Citation 2

Abstract:

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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
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Stockholm School of Economics
Downloads 193 (175,134)
Citation 3

Abstract:

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

17.
Downloads 2,048 ( 8,061)
Citation 79

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 Stockholm School of Economics
Downloads 1,832 (9,505)
Citation 11

Abstract:

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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 Stockholm School of Economics
Downloads 211 (160,869)

Abstract:

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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 Stockholm School of Economics
Downloads 5 (712,554)
Citation 67
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analyst coverage, Asymmetric-information asset pricing, liquidity

18.

Instrumented Principal Component Analysis

Number of pages: 69 Posted: 09 Jun 2017 Last Revised: 04 Aug 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 2,034 (8,185)
Citation 16

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

19.
Downloads 1,925 ( 8,959)
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 and Alexander Ljungqvist
Yale SOM and Stockholm School of Economics
Downloads 1,546 (12,454)
Citation 11

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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 Stockholm School of Economics
Downloads 379 (86,446)

Abstract:

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

20.

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 1,924 (8,964)
Citation 33

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21.
Downloads 1,751 ( 10,458)
Citation 20

Hedging Climate Change News

Yale ICF Working Paper No. 2019-02
Number of pages: 43 Posted: 17 Jan 2019 Last Revised: 02 Aug 2019
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 1,636 (11,409)
Citation 6

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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
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 93 (313,330)
Citation 5

Abstract:

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climate risk

Hedging Climate Change News

NBER Working Paper No. w25734
Number of pages: 47 Posted: 08 Apr 2019
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 20 (597,499)
Citation 1

Abstract:

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Hedging Climate Change News

CEPR Discussion Paper No. DP13730
Number of pages: 49 Posted: 22 May 2019
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 (741,496)
Citation 13
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22.
Downloads 1,735 ( 10,611)
Citation 100

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 1,635 (11,409)
Citation 12

Abstract:

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

NBER Working Paper No. w19375
Number of pages: 51 Posted: 30 Aug 2013 Last Revised: 15 Jun 2020
Bryan T. Kelly and Hao Jiang
Yale SOM and Michigan State University
Downloads 100 (296,671)
Citation 17

Abstract:

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23.
Downloads 1,599 ( 12,049)
Citation 2

The Structure of Economic News

Number of pages: 54 Posted: 07 Sep 2019 Last Revised: 10 Jun 2020
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 1,585 (11,985)

Abstract:

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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: 12 Feb 2020
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 14 (641,725)
Citation 2
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24.

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, Kepos Capital and AQR Capital Management, LLC
Downloads 1,449 (14,090)
Citation 5

Abstract:

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CDS, credit risk, implied volatility

25.

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 1,439 (14,247)
Citation 7

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26.
Downloads 1,225 ( 18,210)

Principal Portfolios

Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 71 Posted: 06 Aug 2020 Last Revised: 29 Sep 2020
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 1,206 (18,335)

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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
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 19 (604,792)
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27.

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 1,160 (19,769)
Citation 54

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Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Journal of Financial Economics (JFE), Forthcoming, 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: 09 Feb 2020
Yong Chen, Bryan T. Kelly and Wei Wu
Texas A&M University - Department of Finance, Yale SOM and Texas A&M University
Downloads 895 (28,614)
Citation 4

Abstract:

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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 26 (555,938)
Citation 1

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29.
Downloads 855 ( 30,851)
Citation 5

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
Yale SOM, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and University of Chicago
Downloads 805 (33,013)
Citation 1

Abstract:

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Measuring Technological Innovation Over the Long Run

NBER Working Paper No. w25266
Number of pages: 68 Posted: 19 Nov 2018
Yale SOM, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and University of Chicago
Downloads 50 (437,526)
Citation 4
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30.

Can Machines 'Learn' Finance?

Number of pages: 21 Posted: 02 Jul 2020
Ronen Israel, Bryan T. Kelly and Tobias J. Moskowitz
AQR Capital Management, LLC, Yale SOM and Yale University, Yale SOM
Downloads 704 (40,271)

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31.

Understanding Momentum and Reversals

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 42 Posted: 19 Jun 2020 Last Revised: 08 Jul 2020
Bryan T. Kelly, Tobias J. Moskowitz and Seth Pruitt
Yale SOM, Yale University, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 491 (64,041)

Abstract:

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

32.
Downloads 295 (115,789)
Citation 1

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 291 (116,859)
Citation 1

Abstract:

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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
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 4 (720,964)
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33.

A Factor Model for Option Returns

Number of pages: 53 Posted: 05 Sep 2019 Last Revised: 08 Sep 2020
Matthias B├╝chner and Bryan T. Kelly
University of Warwick - Finance Group and Yale SOM
Downloads 272 (125,621)

Abstract:

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Option Return; Factor Model; Return Predictability; IPCA

34.

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 249 (137,616)
Citation 2

Abstract:

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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
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Stockholm School of Economics
Downloads 153 (214,695)

Abstract:

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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
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Stockholm School of Economics
Downloads 67 (378,522)
Citation 1

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
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Stockholm School of Economics
Downloads 19 (604,792)
Citation 43

Abstract:

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36.

Equity Term Structures without Dividend Strips Data

Number of pages: 44 Posted: 12 Mar 2020
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 210 (162,628)
Citation 4

Abstract:

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equity strips, risk premia, dividend claims, term structure

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 191 (176,743)
Citation 2

Abstract:

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Hedging Macroeconomic and Financial Uncertainty and Volatility

NBER Working Paper No. w26323
Number of pages: 76 Posted: 30 Sep 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 7 (696,387)
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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
Downloads 1 (755,688)
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38.

Shaping Liquidity: On the Casual Effects of Voluntary Disclosure

NYU Working Paper No. 2451/31614
Number of pages: 48 Posted: 10 Sep 2013
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Stockholm School of Economics
Downloads 100 (294,697)

Abstract:

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39.

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 50 (430,127)
Citation 75

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40.

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
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Citation 32
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41.

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
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Citation 1
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aggregate volatility, firm size distribution, Firm volatility, granularity, networks