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Risk exposures from risk disclosures: What they said and how they said it (WP) w/ Mazumder and Ross

Public 10-K text predicts firm betas, using two distinct methods of NLP. [SSRN]

sethpruittnet
November 20, 2023April 29, 2024

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Risk exposures from risk disclosures: What they said and how they said it (WP) w/ Mazumder and Ross
Dogs and Cats Living Together: A Defense of Cash-Flow Predictability (WP)
Reconciling TRACE bond returns (WP) w/ Kelly
The Cost of ESG Investing (WP) w/ Lindsey and Schiller
Instrumented Principal Component Analysis (WP) w/ Kelly and Su
Modeling Corporate Bond Returns (JF 2023) w/ Kelly and Palhares
Understanding Momentum and Reversal (JFE 2021) w/ Kelly and Moskowitz
Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns (AERI 2020) w/ Turner
Characteristics are Covariances: A Unified Model of Risk and Return (JFE 2019) w/ Kelly and Su
The Liquidity Effects of Official Bond Market Intervention (JFQA 2018) w/ DePooter and Martin
Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (JMCB 2017) w/ Kim
Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly
The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (JoE 2015) w/ Kelly
The Demand for Youth: Explaining Age Differences in the Volatility of Hours (AER 2013) w/ Jaimovich and Siu
Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly
Uncertainty over Models and Data: The Rise and Fall of American Inflation (JMCB 2012)
Estimating the Market-Perceived Monetary Policy Rule (AEJMacro 2011) w/ Hamilton and Borger
The Pseudo-Information Filter (WP)
Markup Variation and Endogenous Fluctuations in the Price of Investment Goods (WP) w/ Floetotto and Jaimovich

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