NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Bryan T. Kelly

University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
Tel: 773/702-8359

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

March 2017Text as Data
with Matthew Gentzkow, Matt Taddy: w23276
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

Published: Zhiguo He & Arvind Krishnamurthy, 2013. "Intermediary Asset Pricing," American Economic Review, vol 103(2), pages 732-770.

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

Published: Bryan Kelly & Ľuboš Pástor & Pietro Veronesi, 2016. "The Price of Political Uncertainty: Theory and Evidence from the Option Market," Journal of Finance, American Finance Association, vol. 71(5), pages 2417-2480, October. citation courtesy of

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

 
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