Aggregate dividend-price ratios forecasts returns and net-repurchases cash flows between firms and the household [SSRN]
Category: working paper
Reconciling TRACE bond returns (WP) w/ Kelly
Publicly available bond data are different than bond data used by asset managers. [SSRN]
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]
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]
The Pseudo-Information Filter (WP)
The pseudo-information filter offers significant computational advantages over the Kalman filter when the data are high-dimensional. [draft]
Markup Variation and Endogenous Fluctuations in the Price of Investment Goods (WP) w/ Floetotto and Jaimovich
The price of investment goods relative to consumptions goods is driven by both exogenous technology shocks and endogenous markup fluctuations due to changes in the relative competitive environment. [draft]
Seth Pruitt 