Aggregate dividend-price ratios forecasts returns and net-repurchases cash flows between firms and the household [SSRN]
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]
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]
Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns (AERI 2020) w/ Turner
Households experience less earnings risk than primary earners alone, because of intra-household insurance along the intensive and extensive margins. [publication] [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]
Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (JMCB 2017) w/ Kim
With the onset of the ZLB, we find a decrease in the perceived monetary policy response to inflation, using surveys of professional forecasts to sidestep data censorship. [publication] [SSRN]
Seth Pruitt 