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

34

DOWNLOADS
Rank 228

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Top 228

in Total Papers Downloads

58,325

CITATIONS
Rank 803

SSRN RANKINGS

Top 803

in Total Papers Citations

769

Scholarly Papers (34)

1.
Downloads 9,361 ( 497)
Citation 2

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: 02 Aug 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 8,802 (541)
Citation 2

Abstract:

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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

Swiss Finance Institute Research Paper No. 18-71, Yale ICF Working Paper No. 2018-20
Number of pages: 69 Posted: 09 Nov 2018 Last Revised: 02 Aug 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 531 (50,413)

Abstract:

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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: 79 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 28 (488,108)
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2.

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 3,100 (3,415)
Citation 13

Abstract:

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Volatility, ARCH, Forecasting, Forecast Evaluation

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 2,805 (3,965)
Citation 1

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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 123 (228,520)
Citation 4

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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 23 (517,998)
Citation 1

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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 (681,444)
Citation 6
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options, political uncertainty

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

American Economic Review, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-12
Number of pages: 70 Posted: 15 Feb 2011 Last Revised: 14 Nov 2015
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2,478 (4,866)
Citation 6

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 177 (168,847)

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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 104 (258,360)

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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 31 (472,215)

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 (666,990)
Citation 5
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financial crisis, government bailout, option pricing models, systemic risk, too-big-to-fail

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

Journal of Financial Economics (JFE), Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-54
Number of pages: 53 Posted: 12 Nov 2012 Last Revised: 15 Nov 2015
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2,719 (4,170)
Citation 1

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 26 (499,667)
Citation 5

Abstract:

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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 2,509 (4,775)
Citation 5

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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 29 (482,606)
Citation 8

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7.
Downloads 2,506 ( 4,887)
Citation 15

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 2,423 (5,065)
Citation 5

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 83 (299,602)
Citation 1

Abstract:

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8.

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 2,445 (5,091)
Citation 14

Abstract:

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

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 2,364 (5,392)
Citation 12

Abstract:

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

10.
Downloads 2,303 ( 5,635)
Citation 9

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 2,285 (5,600)
Citation 1

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 18 (550,172)
Citation 1

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11.

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 2,274 (5,750)
Citation 2

Abstract:

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Hedge fund, tail risk, performance evaluation

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 Stockholm School of Economics
Downloads 1,785 (8,511)
Citation 7

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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 Stockholm School of Economics
Downloads 297 (100,813)
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
London Business School, New York University, Yale SOM and Stockholm School of Economics
Downloads 192 (156,765)
Citation 2

Abstract:

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

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
AQR Capital Management, LLC and Yale SOM
Downloads 2,131 (6,389)
Citation 3

Abstract:

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factor momentum, time series momentum, stock price momentum

14.
Downloads 1,993 ( 7,190)
Citation 8

Firm Volatility in Granular Networks

Chicago Booth Research Paper No. 12-56, Fama-Miller Working Paper
Number of pages: 65 Posted: 07 Dec 2012 Last Revised: 14 Jan 2019
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 1,966 (7,210)
Citation 2

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: 55 Posted: 28 Sep 2013
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 27 (493,772)
Citation 1

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15.
Downloads 1,977 ( 7,294)
Citation 75

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 1,768 (8,648)
Citation 9

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 204 (148,042)

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 (639,186)
Citation 67
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analyst coverage, Asymmetric-information asset pricing, liquidity

16.
Downloads 1,860 ( 8,100)
Citation 7

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 1,499 (11,303)
Citation 7

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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 361 (80,875)

Abstract:

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

17.

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 1,828 (8,341)
Citation 5

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18.
Downloads 1,667 ( 9,680)
Citation 75

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 1,590 (10,281)

Abstract:

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

Tail Risk and Asset Prices

NBER Working Paper No. w19375
Number of pages: 51 Posted: 30 Aug 2013
Bryan T. Kelly and Hao Jiang
Yale SOM and Michigan State University
Downloads 77 (313,632)
Citation 3

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19.

Instrumented Principal Component Analysis

Number of pages: 33 Posted: 09 Jun 2017 Last Revised: 11 Jun 2017
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 1,473 (11,852)
Citation 9

Abstract:

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

20.

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, AQR Capital Management and AQR Capital Management, LLC
Downloads 1,294 (14,547)
Citation 1

Abstract:

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CDS, credit risk, implied volatility

21.

Autoencoder Asset Pricing Models

Yale ICF Working Paper No. 2019-04
Number of pages: 32 Posted: 07 Mar 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 1,282 (14,770)
Citation 1

Abstract:

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

22.

Dynamic Equicorrelation

NYU Working Paper No. FIN-08-038, Chicago Booth Research Paper No. 12-07, Fama-Miller Working Paper
Number of pages: 40 Posted: 09 Mar 2009 Last Revised: 10 Nov 2015
Robert F. Engle and Bryan T. Kelly
New York University - Leonard N. Stern School of Business - Department of Economics and Yale SOM
Downloads 1,115 (18,278)
Citation 43

Abstract:

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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 1,072 (19,385)
Citation 4

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24.
Downloads 821 ( 28,544)
Citation 4

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 - Leonard N. Stern School of Business - Department of Economics, 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 765 (30,990)
Citation 1

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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 - Leonard N. Stern School of Business - Department of Economics, 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 39 (435,452)
Citation 1

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 - Leonard N. Stern School of Business - Department of Economics, 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 16 (563,131)
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Hedging Climate Change News

CEPR Discussion Paper No. DP13730
Number of pages: 49 Posted: 22 May 2019
New York University - Leonard N. Stern School of Business - Department of Economics, 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 1 (681,444)
Citation 1
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Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Mays Business School Research Paper No. 3117188, 29th Annual Conference on Financial Economics & Accounting 2018, Yale ICF Working Paper No. 2018-05
Number of pages: 65 Posted: 14 Feb 2018 Last Revised: 02 Aug 2019
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 515 (52,417)

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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 17 (556,701)
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26.

Understanding Momentum and Reversal

Yale ICF Working Paper No. 2018-18
Number of pages: 1 Posted: 04 Nov 2018 Last Revised: 02 Aug 2019
Bryan T. Kelly, Tobias J. Moskowitz and Seth Pruitt
Yale SOM, Yale University, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 501 (55,055)

Abstract:

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momentum, factor model, conditional betas, conditional expected returns, IPCA

Measuring Technological Innovation over the Long Run

Yale ICF Working Paper No. 2018-19
Number of pages: 78 Posted: 05 Dec 2018
Yale SOM, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and University of Chicago
Downloads 408 (70,505)

Abstract:

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Measuring Technological Innovation Over the Long Run

NBER Working Paper No. w25266
Number of pages: 79 Posted: 19 Nov 2018
Yale SOM, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and University of Chicago
Downloads 43 (419,097)
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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 Stockholm School of Economics
Downloads 153 (191,668)

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
London Business School, New York University, Yale SOM and Stockholm School of Economics
Downloads 67 (339,607)
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
London Business School, New York University, Yale SOM and Stockholm School of Economics
Downloads 17 (556,701)
Citation 17

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29.

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 230 (132,127)

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30.

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 Stockholm School of Economics
Downloads 96 (270,823)

Abstract:

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31.

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 61 (352,016)
Citation 2

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32.

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 27 (480,068)
Citation 13

Abstract:

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33.

Characteristics are Covariances: A Unified Model of Risk and Return

NBER Working Paper No. w24540
Number of pages: 60 Posted: 23 Apr 2018
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 23 (501,923)
Citation 3
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34.

Firm Volatility in Granual Networks

CEPR Discussion Paper No. DP12284
Number of pages: 50 Posted: 11 Sep 2017
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 0 (667,153)
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aggregate volatility, firm size distribution, Firm volatility, granularity, networks

Other Papers (1)

Total Downloads: 787
1.

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
Number of pages: 54 Posted: 20 May 2019 Last Revised: 07 Aug 2019
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 787 (57,184)

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