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Seth Pruitt

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Reconciling TRACE bond returns (WP) w/ Kelly

Publicly available bond data are different than bond data used by asset managers. [SSRN]

  • sethpruittnet
  • March 29, 2022May 16, 2022

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]

  • sethpruittnet
  • November 30, 2021September 12, 2022

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]

  • sethpruittnet
  • May 1, 2021May 11, 2021

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]

  • sethpruittnet
  • October 28, 2020May 16, 2022

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]

  • sethpruittnet
  • June 28, 2020June 14, 2021

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]

  • sethpruittnet
  • June 1, 2020October 28, 2020

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]

  • sethpruittnet
  • December 1, 2019September 1, 2021

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]

  • sethpruittnet
  • February 5, 2018April 6, 2021

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]

  • sethpruittnet
  • June 1, 2017June 29, 2020

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]

  • sethpruittnet
  • March 31, 2016September 1, 2021

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Papers

  • 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 forth) 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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