Publicly available bond data are different than bond data used by asset managers. [SSRN]
Category: working paper
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]
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]
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 