Publicly available bond data are different than bond data used by asset managers. [SSRN]
Category: factor models
The Cost of ESG Investing (WP) w/ Lindsey and Schiller
ESG information is not yet beta, so optimal portfolios can be tilted to have better ESG performance without sacrificing return performance [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 2023) w/ Kelly and Palhares
Instrumented Principal Component Analysis (WP) w/ Kelly and Su
Factor estimation using instrumental data to capture both cross-sectional and time-series variation in factor loadings [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]
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]
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 