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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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Systemic risk and the macroeconomy : an empirical evaluation
Giglio, Stefano; Kelly, Bryan T.; Pruitt, Seth - In: Journal of financial economics 119 (2016) 3, pp. 457-471
Persistent link: https://www.econbiz.de/10011589904
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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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Intermediary asset pricing : new evidence from many asset classes
He, Zhiguo; Kelly, Bryan T.; Manela, Asaf - In: Journal of financial economics 126 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011751867
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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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Sophisticated investors and market efficiency : evidence from a natural experiment
Chen, Yong; Kelly, Bryan T.; Wu, Wei - In: Journal of financial economics 138 (2020) 2, pp. 316-341
Persistent link: https://www.econbiz.de/10012652869
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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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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
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As certain as debt and taxes : estimating the tax sensitivity of leverage from state tax changes
Heider, Florian; Ljungqvist, Alexander - In: Journal of financial economics 118 (2015) 3, pp. 658-683
Persistent link: https://www.econbiz.de/10011480553
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IPO allocations : discriminatory or discretionary?
Ljungqvist, Alexander; Wilhelm, William J. - In: Journal of financial economics 65 (2002) 2, pp. 167-201
Persistent link: https://www.econbiz.de/10001693004