NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Bryan T. Kelly

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers and Chapters

February 2016Excess Volatility: Beyond Discount Rates
with Stefano Giglio: w22045
January 2016Intermediary Asset Pricing: New Evidence from Many Asset Classes
with Zhiguo He, Asaf Manela: w21920
February 2015Systemic Risk and the Macroeconomy: An Empirical Evaluation
with Stefano Giglio, Seth Pruitt: w20963

Published: Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471. citation courtesy of

April 2014The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
with Bernard Herskovic, Hanno Lustig, Stijn Van Nieuwerburgh: w20076

Published: Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283. citation courtesy of

January 2014The Price of Political Uncertainty: Theory and Evidence from the Option Market
with Lubos Pastor, Pietro Veronesi: w19812
September 2013Firm Volatility in Granular Networks
with Hanno Lustig, Stijn Van Nieuwerburgh: w19466
August 2013Tail Risk and Asset Prices
with Hao Jiang: w19375

Published: Tail Risk and Asset Prices* Bryan Kelly University of Chicago and NBER Hao Jiang Rev. Financ. Stud. (2014)

April 2013Shaping Liquidity: On the Causal Effects of Voluntary Disclosure
with Karthik Balakrishnan, Mary B. Billings, Alexander Ljungqvist: w18984

Published: Karthik Balakrishnan & Mary Brooke Billings & Bryan Kelly & Alexander Ljungqvist, 2014. "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," Journal of Finance, American Finance Association, vol. 69(5), pages 2237-2278, October. citation courtesy of

June 2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
with Hanno Lustig, Stijn Van Nieuwerburgh: w17149

Published: Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2016. "Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees," American Economic Review, American Economic Association, vol. 106(6), pages 1278-1319, June. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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