Working Papers
Reconciling TRACE bond returns (WP) w/ Kelly
- SSRN
- Publicly available data: This includes characteristics and returns, an in-sample factor/Gamma estimates
The Cost of ESG Investing (WP) w/ Lindsey and Schiller
- SSRN
- Coverage: Institutional Investor
Instrumented Principal Component Analysis (WP) w/ Kelly and Su
- R&R, Journal of Econometrics
- SSRN
- Example Matlab code folder
- Pruitt’s Python code
- Contributed Python code
Articles
12. Modeling Corporate Bond Returns (JF forth) w/ Kelly and Palhares
- SSRN
- Code and Data (for publicly available data, see this paper)
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
- Article
- SSRN
- Code and Data
- Coverage: ASUNow
9. Characteristics are Covariances: A Unified Model of Risk and Return (JFE 2019) w/ Kelly and Su)
- Lead Article
- Winner of the 2019 Best Paper in JFE, Fama/DFA Prize (First Place)
- Winner of 2018 Best Paper, Red Rocks Finance Conference
- SSRN
- Code and Data
- Coverage: ASUNow 2, ASUNow 1
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
3. Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly
- Lead Article
- Winner of 2012 AQR Insight Award First Prize
- Awarded Q Group 2011 Research Grant
- SSRN
- Code
- Data
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
Seth Pruitt 