Research

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Working Papers

Dogs and Cats Living Together: A Defense of Cash-Flow Predictability

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

Articles

12. Modeling Corporate Bond Returns (JF forth) w/ Kelly and Palhares

11. Understanding Momentum and Reversal (JFE 2021) w/ Kelly and Moskowitz

10. Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns (AERI 2020) w/ Turner

9. Characteristics are Covariances: A Unified Model of Risk and Return (JFE 2019) w/ Kelly and Su)

8. The Liquidity Effects of Official Bond Market Intervention (JFQA 2018) w/ DePooter and Martin

7. Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (JMCB 2017) w/ Kim

6. Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly

5. The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (JoE 2015) w/ Kelly

4. The Demand for Youth: Explaining Age Differences in the Volatility of Hours (AER 2013) w/ Jaimovich and Siu

3. Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly

2. Uncertainty over Models and Data: The Rise and Fall of American Inflation (JMCB 2012)

1. Estimating the Market-Perceived Monetary Policy Rule (AEJMacro 2011) w/ Hamilton and Borger

Non-Refereed Articles

1. Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment (CFR 2022) w/ Kelly

Older Working Papers