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economics research by Seth Pruitt

Seth Pruitt

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Papers

  • 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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