Bryan T. Kelly

Too Systemic to Fail: What Option Markets Imply About Sector-Wide Government Guarantees

Year: 2011
Journal: American Economic Review
Authors: Bryan T. Kelly; Hanno Lustig; Stijn Van Nieuwerburgh

Shaping Liquidity on the Causal Effects of Voluntary Disclosure

Year: 2013
Journal: Journal of Finance
Authors: Karthik Balakrishnan; Mary B. Billings; Bryan T. Kelly; Alexander Ljungqvist

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications

Year: 2014
Journal: Journal of Financial Economics
Authors: Bernard Herskovic; Bryan T. Kelly; Hanno Lustig; Stijn Van Nieuwerburgh

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Year: 2015
Journal: Journal of Financial Economics
Authors: Stefano Giglio; Bryan T. Kelly; Seth Pruitt

Text as Data

Year: 2017
Journal: Journal of Economic Literature
Authors: Matthew Gentzkow; Bryan T. Kelly; Matt Taddy

Hedging Climate Change News

Year: 2019
Journal: Review of Financial Studies
Authors: Robert F. Engle III; Stefano Giglio; Bryan T. Kelly; Heebum Lee; Johannes Stroebel

Predicting Returns with Text Data

Year: 2019
Journal: No Journal Matched
Authors: Zheng Tracy Ke; Bryan T. Kelly; Dacheng Xiu

Hedging Macroeconomic and Financial Uncertainty and Volatility

Year: 2019
Journal: Journal of Financial Economics
Authors: Ian Dewbecker; Stefano Giglio; Bryan T. Kelly

Text Selection

Year: 2019
Journal: No Journal Matched
Authors: Bryan T. Kelly; Asaf Manela; Alan Moreira

The Structure of Economic News

Year: 2020
Journal: No Journal Matched
Authors: Leland Bybee; Bryan T. Kelly; Asaf Manela; Dacheng Xiu

Principal Portfolios

Year: 2020
Journal: Journal of Finance
Authors: Bryan T. Kelly; Semyon Malamud; Lasse H. Pedersen

Climate Finance

Year: 2020
Journal: Annual Review of Financial Economics
Authors: Stefano Giglio; Bryan T. Kelly; Johannes Stroebel

Business News and Business Cycles

Year: 2021
Journal: Journal of Finance
Authors: Leland Bybee; Bryan T. Kelly; Asaf Manela; Dacheng Xiu

A Factor Model for Option Returns

Year: 2021
Journal: Journal of Financial Economics
Authors: Matthias Buechner; Bryan T. Kelly

Is There a Replication Crisis in Finance?

Year: 2021
Journal: Journal of Finance
Authors: Theis Ingerslev Jensen; Bryan T. Kelly; Lasse Heje Pedersen

The Virtue of Complexity in Return Prediction

Year: 2022
Journal: Journal of Finance
Authors: Bryan T. Kelly; Semyon Malamud; Kangying Zhou

Equity Term Structures Without Dividend Strips Data

Year: 2023
Journal: No Journal Matched
Authors: Stefano Giglio; Bryan T. Kelly; Serhiy Kozak

Financial Machine Learning

Year: 2023
Journal: No Journal Matched
Authors: Bryan T. Kelly; Dacheng Xiu

Machine Forecast Disagreement

Year: 2023
Journal: No Journal Matched
Authors: Turan G. Bali; Bryan T. Kelly; Mathis Mrke; Jamil Rahman

Complexity in Factor Pricing Models

Year: 2023
Journal: No Journal Matched
Authors: Antoine Didisheim; Shikun Barry Ke; Bryan T. Kelly; Semyon Malamud