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

47

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Rank 79

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in Total Papers Downloads

116,158

SSRN CITATIONS
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2,230

CROSSREF CITATIONS

1,302

Scholarly Papers (47)

1.
Downloads 14,577 ( 309)
Citation 115

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 14,476 (307)
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

Number of pages: 80 Posted: 26 Dec 2018 Last Revised: 25 Nov 2021
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 101 (334,326)
Citation 64

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2.

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 6,753 (1,290)
Citation 30

Abstract:

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

3.
Downloads 6,246 ( 1,463)
Citation 5

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 6,205 (1,457)

Abstract:

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

Predicting Returns with Text Data

Number of pages: 55 Posted: 03 Sep 2019 Last Revised: 21 Jul 2021
Zheng Tracy Ke, Bryan T. Kelly and Dacheng Xiu
Harvard University, Yale SOM and University of Chicago - Booth School of Business
Downloads 41 (536,997)
Citation 1

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4.
Downloads 5,353 ( 1,893)
Citation 2

Is There a Replication Crisis in Finance?

NYU Stern School of Business Forthcoming
Number of pages: 113 Posted: 05 Mar 2021 Last Revised: 23 Jun 2021
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
Downloads 5,341 (1,875)

Abstract:

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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?

Number of pages: 54 Posted: 08 Feb 2021 Last Revised: 18 Nov 2021
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
Downloads 12 (737,719)
Citation 1
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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 4,247 (2,867)
Citation 18

Abstract:

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

6.

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 3,659 (3,701)
Citation 17

Abstract:

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factor momentum, time series momentum, stock price momentum

7.
Downloads 3,477 ( 4,057)
Citation 105

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 3,355 (4,191)
Citation 7

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Text as Data

Number of pages: 54 Posted: 27 Mar 2017 Last Revised: 08 Aug 2021
Matthew Gentzkow, Bryan T. Kelly and Matt Taddy
Stanford University, Yale SOM and University of Chicago
Downloads 122 (294,417)
Citation 78

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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 3,406 (4,186)
Citation 25

Abstract:

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

9.

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 3,342 (4,325)
Citation 35

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 3,041 (5,003)
Citation 3

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 134 (272,738)
Citation 3

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

Number of pages: 69 Posted: 17 Jan 2014 Last Revised: 21 Aug 2021
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 33 (581,107)
Citation 12

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

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 (815,011)
Citation 23
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options, political uncertainty

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 2,989 (5,144)
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

Number of pages: 66 Posted: 28 Apr 2014 Last Revised: 10 Nov 2021
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 40 (542,182)
Citation 47

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12.

(Re-)Imag(in)ing Price Trends

Chicago Booth Research Paper No. 21-01
Number of pages: 67 Posted: 04 Jan 2021 Last Revised: 17 Aug 2021
Jingwen Jiang, Bryan T. Kelly and Dacheng Xiu
University of Chicago, Yale SOM and University of Chicago - Booth School of Business
Downloads 2,981 (5,280)
Citation 3

Abstract:

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

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 2,551 (6,674)
Citation 9

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 186 (206,939)
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 109 (317,326)

Abstract:

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

Number of pages: 59 Posted: 20 Jun 2011 Last Revised: 11 Nov 2021
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 34 (575,231)
Citation 13

Abstract:

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

Number of pages: 58 Posted: 28 Sep 2012
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 2 (825,714)
Citation 24
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financial crisis, government bailout, option pricing models, systemic risk, too-big-to-fail

14.
Downloads 2,881 ( 5,550)
Citation 11

Business News and Business Cycles

Number of pages: 65 Posted: 07 Sep 2019 Last Revised: 23 Sep 2021
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 2,856 (5,532)
Citation 3

Abstract:

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

The Structure of Economic News

Number of pages: 55 Posted: 22 Jan 2020 Last Revised: 18 Nov 2021
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 18 (687,782)
Citation 5
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Business News and Business Cycles

Number of pages: 66 Posted: 11 Oct 2021 Last Revised: 18 Nov 2021
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 7 (780,652)
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15.

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 2,879 (5,557)
Citation 41

Abstract:

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

16.
Downloads 2,758 ( 6,000)
Citation 4

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 2,539 (6,718)
Citation 2

Abstract:

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

Climate Finance

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 197 (196,538)

Abstract:

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Climate Finance

Number of pages: 32 Posted: 21 Dec 2020 Last Revised: 19 Nov 2021
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 19 (679,972)
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Climate Finance

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 (815,011)
Citation 3
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17.
Downloads 2,713 ( 6,149)
Citation 45

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 2,533 (6,741)
Citation 12

Abstract:

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Climate Risk, Hedge Portfolio

Hedging Climate Change News

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 129 (282,193)
Citation 7

Abstract:

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climate risk

Hedging Climate Change News

Number of pages: 47 Posted: 08 Apr 2019 Last Revised: 25 Oct 2021
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 49 (498,849)
Citation 2

Abstract:

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Hedging Climate Change News

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 (825,714)
Citation 36
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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 2,646 (6,262)
Citation 10

Abstract:

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systemic risk, measures, quantile regression, predictive regression, macroeconomic downturns

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Number of pages: 64 Posted: 23 Feb 2015 Last Revised: 13 Oct 2021
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 43 (527,031)
Citation 39

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19.
Downloads 2,642 ( 6,395)
Citation 22

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 2,572 (6,577)
Citation 15

Abstract:

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

Firm Volatility in Granular Networks

Number of pages: 70 Posted: 28 Sep 2013 Last Revised: 10 Sep 2021
Yale SOM, Stanford Graduate School of Business and Columbia University Graduate School of Business
Downloads 70 (418,408)
Citation 2

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20.
Downloads 2,523 ( 6,911)
Citation 26

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 2,499 (6,900)
Citation 22

Abstract:

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excess volatility, discount rates, term structure

Excess Volatility: Beyond Discount Rates

Number of pages: 86 Posted: 01 Mar 2016 Last Revised: 28 Mar 2021
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 24 (641,362)
Citation 3

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21.

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 2,506 (6,986)
Citation 3

Abstract:

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Hedge fund, tail risk, performance evaluation

22.

Can Machines 'Learn' Finance?

Journal of Investment Management
Number of pages: 21 Posted: 02 Jul 2020 Last Revised: 05 Mar 2021
AQR Capital Management, LLC, Yale SOM and Yale University, Yale SOMAQR Capital
Downloads 2,456 (7,220)
Citation 2

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23.
Downloads 2,438 ( 7,293)
Citation 1

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 2,416 (7,278)
Citation 1

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

Principal Portfolios

Number of pages: 72 Posted: 22 Jun 2020 Last Revised: 18 Nov 2021
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 22 (656,540)
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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 Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 1,853 (11,159)
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
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 310 (125,008)
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
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 197 (196,538)
Citation 4

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

25.
Downloads 2,118 ( 9,157)
Citation 90

Testing Asymmetric-Information Asset Pricing Models

Number of pages: 56 Posted: 09 Jan 2009 Last Revised: 16 Jul 2011
Yale SOM and Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 1,895 (10,784)
Citation 10

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
Yale SOM and Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 218 (178,728)

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Testing Asymmetric-Information Asset Pricing Models

Number of pages: 46 Posted: 18 Feb 2009
Yale SOM and Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 5 (797,649)
Citation 79
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analyst coverage, Asymmetric-information asset pricing, liquidity

26.

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 2,065 (9,515)
Citation 44

Abstract:

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27.
Downloads 1,991 ( 10,136)
Citation 11

The Value of Research

EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 06 Mar 2008 Last Revised: 18 May 2010
Yale SOM and Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 1,593 (14,183)
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
Yale SOM and Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 398 (94,402)

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

28.

Understanding Momentum and Reversals

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 32 Posted: 19 Jun 2020 Last Revised: 24 Feb 2021
Yale SOM, Yale University, Yale SOMAQR Capital and Arizona State University (ASU) - Finance Department
Downloads 1,836 (11,541)
Citation 2

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

29.
Downloads 1,823 ( 11,668)
Citation 112

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 1,690 (12,924)
Citation 33

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

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 133 (274,314)
Citation 12

Abstract:

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30.

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 1,798 (11,932)
Citation 11

Abstract:

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31.

Factor Models, Machine Learning, and Asset Pricing

Number of pages: 38 Posted: 18 Oct 2021 Last Revised: 08 Nov 2021
Stefano Giglio, Bryan T. Kelly and Dacheng Xiu
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business
Downloads 1,685 (13,398)

Abstract:

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

32.

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 1,637 (13,843)
Citation 10

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CDS, credit risk, implied volatility

33.

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, AQR Capital Management, LLC and Arizona State University (ASU) - Finance Department
Downloads 1,529 (15,520)
Citation 5

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

34.
Downloads 1,424 ( 17,218)
Citation 13

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 1,282 (19,809)
Citation 1

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Measuring Technological Innovation Over the Long Run

Number of pages: 68 Posted: 19 Nov 2018 Last Revised: 05 Nov 2021
Yale SOM, Northwestern University - Kellogg School of Management - Department of Finance, Stanford University and University of Chicago
Downloads 142 (260,367)
Citation 6

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35.

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 1,241 (21,145)
Citation 57

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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 1,112 (24,507)
Citation 9

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Hedge funds, information environment, market efficiency, information acquisition, analyst coverage

Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment

Number of pages: 69 Posted: 02 May 2018 Last Revised: 02 Aug 2021
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 31 (593,106)
Citation 1

Abstract:

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37.
Downloads 858 ( 35,911)
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 842 (36,292)
Citation 1

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

Text Selection

Number of pages: 58 Posted: 03 Dec 2019 Last Revised: 19 Nov 2021
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 16 (703,842)

Abstract:

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38.
Downloads 804 ( 39,345)

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 799 (39,136)

Abstract:

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Option Return; Factor Model; Return Predictability; IPCA

A Factor Model for Option Returns

Number of pages: 64 Posted: 18 Oct 2021 Last Revised: 18 Nov 2021
Matthias Büchner and Bryan T. Kelly
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Yale SOM
Downloads 5 (797,649)
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39.

Equity Term Structures without Dividend Strips Data

Number of pages: 46 Posted: 12 Mar 2020 Last Revised: 24 Mar 2021
Stefano Giglio, Bryan T. Kelly and Serhiy Kozak
Yale School of Management, Yale SOM and University of Maryland - Robert H. Smith School of Business
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Citation 10

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equity strips, risk premia, dividend claims, term structure

40.

Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text

Johns Hopkins Carey Business School Research Paper No. 21-09
Number of pages: 58 Posted: 02 Aug 2021 Last Revised: 14 Sep 2021
Leland Bybee, Bryan T. Kelly and Yinan Su
Yale School of Management, Yale SOM and Johns Hopkins University - Carey Business School
Downloads 546 (65,774)

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

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 302 (128,665)
Citation 3

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Hedging Macroeconomic and Financial Uncertainty and Volatility

Number of pages: 76 Posted: 30 Sep 2019 Last Revised: 05 Dec 2021
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 20 (671,989)

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Hedging Macroeconomic and Financial Uncertainty and Volatility

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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42.

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 270 (145,304)
Citation 2

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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 Centre for Economic Policy Research (CEPR)Stockholm School of Economics
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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 Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 67 (428,624)
Citation 1

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Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Number of pages: 54 Posted: 20 Apr 2013 Last Revised: 15 Nov 2021
Rice University - Jesse H. Jones Graduate School of Business, New York University, Yale SOM and Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 22 (656,540)
Citation 55

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44.

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 Centre for Economic Policy Research (CEPR)Stockholm School of Economics
Downloads 107 (319,495)

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45.

Intermediary Asset Pricing: New Evidence from Many Asset Classes

Number of pages: 69 Posted: 25 Jan 2016 Last Revised: 24 Nov 2021
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 79 (386,561)
Citation 146

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46.

Characteristics are Covariances: A Unified Model of Risk and Return

Number of pages: 60 Posted: 23 Apr 2018 Last Revised: 22 Jul 2021
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 63 (436,902)
Citation 52

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47.

Firm Volatility in Granual Networks

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