Publicly available bond data are different than bond data used by asset managers. [SSRN]
Category: asset pricing
The Cost of ESG Investing (WP) w/ Lindsey and Schiller
Conditional-model-implied tangency portfolios can be tilted to achieve ESG mandates with no cost, because the multitude of ESG measures do not predict returns [SSRN]
Understanding Momentum and Reversal (JFE 2021) w/ Kelly and Moskowitz
We show that the momentum and long-term reversal effects are explained by a conditional factor pricing model. [publication] [SSRN]
Modeling Corporate Bond Returns (JF forth) w/ Kelly and Palhares
We show that corporate bond returns are well-explained by a conditional factor pricing model. [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]
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]
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]
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]
Seth Pruitt 