Working Papers

A Conditional Factor Model of Corporate Bond Returns (WP) w/ Kelly and Palhares

Understanding Momentum and Reversal (WP) w/ Kelly and Moskowitz

• SSRN

Instrumented Principal Component Analysis (WP) w/ Kelly and Su

• NEW VERSION COMING SOON
• SSRN
• Example code folder

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

• SSRN

Articles

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

• Winner of 2018 Best Paper, Red Rocks Finance Conference
• SSRN
• Example code folder
• Coverage: ASUNow

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

• Article
• SSRN

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

• Lead Article
• SSRN
• Code and Data

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

• Lead Article
• Winner of the 2016 Best Paper in JFE, Fama/DFA Prize (First Place)
• SSRN
• Data
• Code

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

• Article
• SSRN
• Errata
• Web Appendix
• Code

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

• Article
• Draft
• Data and Code

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)

• Article
• Draft

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

• Lead Article
• Draft
• Web Appendix
• Data and Code

Older Working Papers

• Markup Variation and Endogenous Fluctuations in the Price of Investment Goods (WP) w/ Floetotto and Jaimovich
• The Pseudo-Information Filter (WP)