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Testing asymmetric-information asset pricing models
Kelly, Bryan T.; Ljungqvist, Alexander - In: The review of financial studies 25 (2012) 5, pp. 1366-1413
Persistent link: https://www.econbiz.de/10009536415
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Tail risk and asset prices
Kelly, Bryan T.; Jiang, Hao - In: The review of financial studies 27 (2014) 10, pp. 2842-2871
Persistent link: https://www.econbiz.de/10010530175
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The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - 2014
Persistent link: https://www.econbiz.de/10010360039
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Market expectations in the cross-section of present values
Kelly, Bryan T.; Pruitt, Seth - In: The journal of finance : the journal of the American … 68 (2013) 5, pp. 1721-1756
Persistent link: https://www.econbiz.de/10010204047
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Intermediary asset pricing : new evidence from many asset classes
He, Zhiguo; Kelly, Bryan T.; Manela, Asaf - 2016
Persistent link: https://www.econbiz.de/10011434778
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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan T.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: The American economic review 106 (2016) 6, pp. 1278-1319
Persistent link: https://www.econbiz.de/10011537896
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Systemic risk and the macroeconomy : an empirical evaluation
Giglio, Stefano; Kelly, Bryan T.; Pruitt, Seth - 2015
Persistent link: https://www.econbiz.de/10010499541
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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan T.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2011
Persistent link: https://www.econbiz.de/10009231439
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Excess volatility : beyond discount rates
Giglio, Stefano; Kelly, Bryan T. - 2016
Persistent link: https://www.econbiz.de/10011451780
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Business News and Business Cycles
Bybee, Leland; Kelly, Bryan T.; Manela, Asaf; Xiu, Dacheng - National Bureau of Economic Research - 2021
We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984-2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of...
Persistent link: https://www.econbiz.de/10012660022