Factor estimation using instrumental data to capture both cross-sectional and time-series variation in factor loadings [SSRN]
Author: sethpruittnet
Understanding Momentum and Reversal (JFE forth) w/ Kelly and Moskowitz
We show that the momentum and long-term reversal effects are explained by a conditional factor pricing model. [SSRN]
Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns (AERI 2020) w/ Turner
Households experience less earnings risk than primary earners alone, because of intra-household insurance along the intensive and extensive margins. [publication] [SSRN]
Characteristics are Covariances: A Unified Model of Risk and Return (JFE 2019) w/ Kelly and Su
Stock characteristics are connected to expected returns because they tell us about covariance with aggregate factors. [publication] [SSRN]
Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (JMCB 2017) w/ Kim
With the onset of the ZLB, we find a decrease in the perceived monetary policy response to inflation, using surveys of professional forecasts to sidestep data censorship. [publication] [SSRN]
The Liquidity Effects of Official Bond Market Intervention (JFQA 2018) w/ DePooter and Martin
We find significant liquidity effects to ECB sovereign bond purchases, using a search-based asset pricing model to understand the mechanism. [publication] [SSRN]
Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly
We evaluate a wide array of systemic risk indicators and their ability to forecast the quantiles of real activity, and propose methods for combining them that show there is a latent systemic risk factor that is robustly related to future macroeconomic downside risk. [publication] [SSRN]
The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (JoE 2015) w/ Kelly
The 3PRF is a simple least squares forecaster using many predictor variables that directly estimates the relevant forecast factors and is asymptotically normal for the best possible forecast. [publication] [SSRN]
The Demand for Youth: Explaining Age Differences in the Volatility of Hours (AER 2013) w/ Jaimovich and Siu
Young workers' hours and wages are more cyclically volatile than prime-aged workers' and a successful explanation of these facts comes from differential demand for young and prime-aged labor. [publication] [draft]
Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly
Returns and cash flows are robustly predicted by valuation ratio cross sections, which expose growth and value assets' different exposures to economic shocks, with the implication that discount rates are less persistent than implied by leading asset pricing models. [publication] [SSRN]
