Market Expectations in the Cross Section of Present Values

By Bryan T. Kelly, Seth Pruitt. 2012

473 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Guofu Zhou
2. Bryan T. Kelly
3. Jun Tu
4. D. Xiu
5. Shihao Gu
6. Seth Pruitt
7. Fuwei Jiang
8. Dashan Huang

In Finance

1. Guofu Zhou
2. Jun Tu
3. Bryan T. Kelly
4. D. Xiu
5. Shihao Gu
6. Seth Pruitt
7. Dashan Huang
8. Alan Moreira

Citations in the corpus

• A unified measure of Fed monetary policy shocks (2019, background): “3See Wold (1966, 1975) and Kelly and Pruitt (2013, 2015) for applications to equity returns. applicability.”
• The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (2015, methodology): “We follow Kelly and Pruitt (2010a) where more details are presented, and so the crosssectional present value system is constructed as follows: Using the Campbell and Shiller (1988) approximation, an asset’s log price-dividend ratio at time t is linearly related to the conditional expectations of fut”
• Empirical Asset Pricing via Machine Learning (2018, methodology): “For select long-short factor portfolios (e.g., SMB), constrained linear methods such as PLS perform comparatively well (consistent with the findings of Kelly and Pruitt, 2013).”
• Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “Statistically, the partial least squares (PLS) method pioneered by Wold (1966, 1975) and extended by Kelly and Pruitt (2013, 2014) does exactly this job.”
• Volatility‐Managed Portfolios (2017, background): “22 A range in this literature would put an upper bound at around 13% for the R2 at the yearly horizon; see Kelly and Pruitt (2013).”
• Robust econometric inference for stock return predictability (2011, unknown): “Moreover, the recent contribution of Kelly and Pruitt (2013) also utilizes a multivariate system of predictive regressions.”
• Stock return predictability from a mixed model perspective (2020, unknown): “, 1 , , , , i M i M i M i M r x      (28)”
• Investor Attention and Stock Returns (2020, unknown): “As shown byWold (1966), the pioneer of the PLS method; Kelly and Pruitt (2013), (2015); and Light, Maslov, and Rytchkov (2017), among others, PLS is an efficient method for obtaining the aggregated attention from all individual proxies.”
• Downside Variance Risk Premium (2015, unknown): “…U.S. Treasury Bill yields; default spread (dfst), defined as the difference between BBB and AAA corporate bond yields; CPI inflation (inflt); and, finally, Kelly and Pruitt (2013) partial least-squares-based, cross-sectional in-sample and out-of-sample predictors (kpist and kpost, respectively).”