Seth Pruitt

Arizona State University (ASU) - Finance Department

Assistant Professor

W. P. Carey School of Business

PO Box 873906

Tempe, AZ 85287-3906

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 2,479

SSRN RANKINGS

Top 2,479

in Total Papers Downloads

16,625

SSRN CITATIONS
Rank 3,306

SSRN RANKINGS

Top 3,306

in Total Papers Citations

227

CROSSREF CITATIONS

171

Scholarly Papers (18)

1.

Characteristics Are Covariances: A Unified Model of Risk and Return

Number of pages: 58 Posted: 07 Sep 2017 Last Revised: 20 Oct 2018
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 3,588 (3,389)
Citation 15

Abstract:

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Cross section of returns, latent factors, anomaly, factor model, conditional betas, PCA, BARRA

2.

The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-19
Number of pages: 61 Posted: 22 Jun 2011 Last Revised: 16 May 2019
Bryan T. Kelly and Seth Pruitt
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,774 (5,296)
Citation 37

Abstract:

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forecast, many predictors, factor model, Kalman filter, constrained least squares, principal components, partial least squares

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,614 (5,717)
Citation 9

Abstract:

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systemic risk, measures, quantile regression, predictive regression, macroeconomic downturns

Systemic Risk and the Macroeconomy: An Empirical Evaluation

NBER Working Paper No. w20963
Number of pages: 64 Posted: 23 Feb 2015 Last Revised: 12 Apr 2021
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 39 (512,196)
Citation 38

Abstract:

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4.

Instrumented Principal Component Analysis

Number of pages: 71 Posted: 09 Jun 2017 Last Revised: 28 Dec 2020
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 2,515 (6,235)
Citation 20

Abstract:

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factor model, principal components, tensor, asymptotic theory, international macroeconomics, dynamic loading

5.

Market Expectations in the Cross Section of Present Values

Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 11-08, AFA 2013 San Diego Meetings Paper, Fama-Miller Working Paper
Number of pages: 52 Posted: 02 Feb 2011 Last Revised: 11 Sep 2012
Bryan T. Kelly and Seth Pruitt
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 1,983 (9,224)
Citation 44

Abstract:

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6.

Understanding Momentum and Reversals

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 32 Posted: 19 Jun 2020 Last Revised: 24 Feb 2021
Yale SOM, Yale University, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 1,138 (22,113)
Citation 1

Abstract:

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momentum, reversal, factor model, conditional betas, conditional ex- pected returns, IPCA

7.

Modeling Corporate Bond Returns

Number of pages: 52 Posted: 14 Dec 2020 Last Revised: 29 Dec 2020
Bryan T. Kelly, Diogo Palhares and Seth Pruitt
Yale SOM, AQR Capital Management, LLC and Arizona State University (ASU) - Finance Department
Downloads 716 (42,236)
Citation 3

Abstract:

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corporate bond, factor model, bond portfolio, credit risk, IPCA

8.

The Liquidity Effects of Official Bond Market Intervention

FRB International Finance Discussion Paper No. 1138
Number of pages: 51 Posted: 08 Sep 2012 Last Revised: 06 May 2016
Board of Governors of the Federal Reserve System, Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 439 (78,455)
Citation 10

Abstract:

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Securities Markets Programme, European Central Bank, bond, liquidity risk, search and matching

Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns

Number of pages: 50 Posted: 30 Jan 2018 Last Revised: 26 Jun 2019
Seth Pruitt and Nick Turner
Arizona State University (ASU) - Finance Department and Board of Governors of the Federal Reserve System
Downloads 159 (220,485)
Citation 3

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earnings risk, idiosyncratic earnings shocks, household, skewness, added worker effect

The Nature of Household Labor Income Risk

FEDS Working Paper No. 2018-034
Number of pages: 51 Posted: 07 Jun 2018 Last Revised: 29 Apr 2020
Seth Pruitt and Nick Turner
Arizona State University (ASU) - Finance Department and Board of Governors of the Federal Reserve System
Downloads 35 (532,613)

Abstract:

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Earnings risk, Household labor dynamics

10.

The Pseudo-Information Filter

Number of pages: 10 Posted: 08 Jun 2012
Seth Pruitt
Arizona State University (ASU) - Finance Department
Downloads 155 (224,965)

Abstract:

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Moore-Penrose pseudo-inverse, information filter, Kalman filter, high dimensional, pseudo-information filter

11.

Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero

CAMA Working Paper Series Paper 53/2013
Number of pages: 28 Posted: 21 Aug 2013 Last Revised: 02 Oct 2016
Jinill Kim and Seth Pruitt
Korea University and Arizona State University (ASU) - Finance Department
Downloads 146 (236,147)
Citation 6

Abstract:

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monetary policy, policy rule, survey data, market perceptions, censoring, zero lower bound, Blue Chip survey

12.

Cheap Talk and the Efficacy of the ECB's Securities Market Programme: Did Bond Purchases Matter?

FRB International Finance Discussion Paper No. 1139
Number of pages: 99 Posted: 08 Oct 2015
Board of Governors of the Federal Reserve System, Columbia University - Columbia Business School, Federal Reserve Board - International Finance Division and Arizona State University (ASU) - Finance Department
Downloads 106 (300,012)
Citation 2

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Monetary policy, interest rates, recession, European Central Bank, asset purchases, euro area

13.

Uncertainty Over Models and Data: The Rise and Fall of American Inflation

FRB International Finance Discussion Paper No. 962
Number of pages: 43 Posted: 27 Jan 2009
Seth Pruitt
Arizona State University (ASU) - Finance Department
Downloads 49 (458,335)
Citation 3

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Data uncertainty, data revisions, real time data, optimal control, parameter uncertainty, learning, extended kalman filter, Markov-chain monte carlo

14.

Markup Variation and Endogenous Fluctuations in the Price of Investment Goods

FRB International Finance Discussion Paper No. 968
Number of pages: 23 Posted: 16 Jun 2009
Max Floetotto, Nir Jaimovich and Seth Pruitt
Stanford University, University of Zurich and Arizona State University (ASU) - Finance Department
Downloads 47 (466,460)
Citation 6

Abstract:

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Price of investment, business cycle, firm dynamics, markup

15.

The Market-Perceived Monetary Policy Rule

FRB International Finance Discussion Paper No. 982
Number of pages: 36 Posted: 17 Nov 2009
University of California at San Diego, Arizona State University (ASU) - Finance Department and Department of Homeland Security - Office of Immigration Statistics
Downloads 37 (510,625)
Citation 3

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Monetary policy rule, market perceptions, Taylor Rule, Fed funds futures

16.

Characteristics are Covariances: A Unified Model of Risk and Return

NBER Working Paper No. w24540
Number of pages: 60 Posted: 23 Apr 2018
Bryan T. Kelly, Seth Pruitt and Yinan Su
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 31 (541,036)
Citation 51

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The Demand for Youth: Implications for the Hours Volatility Puzzle

FRB International Finance Discussion Paper No. 964
Number of pages: 44 Posted: 06 Feb 2009
Seth Pruitt, Nir Jaimovich and Henry Siu
Arizona State University (ASU) - Finance Department, University of Zurich and University of British Columbia (UBC) - Vancouver School of Economics
Downloads 20 (629,266)

Abstract:

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Business cycle, demographics, capital-experience complementarity, labor demand

The Demand for Youth: Implications for the Hours Volatility Puzzle

NBER Working Paper No. w14697
Number of pages: 41 Posted: 31 Jan 2009 Last Revised: 28 Feb 2021
Nir Jaimovich, Seth Pruitt and Henry Siu
University of Zurich, Arizona State University (ASU) - Finance Department and University of British Columbia (UBC) - Vancouver School of Economics
Downloads 10 (706,979)

Abstract:

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18.

Estimating the Market-Perceived Monetary Policy Rule

NBER Working Paper No. w16412
Number of pages: 37 Posted: 04 Oct 2010
James D. Hamilton, Seth Pruitt and Scott Borger
University of California at San Diego, Arizona State University (ASU) - Finance Department and affiliation not provided to SSRN
Downloads 24 (582,562)
Citation 2

Abstract:

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