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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45
Persistent link: https://www.econbiz.de/10012650655
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Understanding momentum and reversal
Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743
Persistent link: https://www.econbiz.de/10013259592
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The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of financial economics 119 (2016) 2, pp. 249-283
Persistent link: https://www.econbiz.de/10011589843
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Characteristics are covariances: a unified model of risk and return
Kelly, Bryan T.; Pruitt, Seth; Su, Yinan - In: Journal of financial economics 134 (2019) 3, pp. 501-524
Persistent link: https://www.econbiz.de/10012168621
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A factor model for option returns
Büchner, Matthias; Kelly, Bryan T. - In: Journal of financial economics 143 (2022) 3, pp. 1140-1161
Persistent link: https://www.econbiz.de/10013402153