{"id":101,"date":"2018-10-29T21:39:34","date_gmt":"2018-10-29T21:39:34","guid":{"rendered":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/?page_id=101"},"modified":"2018-11-16T20:12:53","modified_gmt":"2018-11-16T20:12:53","slug":"seth-pruitt","status":"publish","type":"page","link":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/seth-pruitt\/","title":{"rendered":"Seth Pruitt"},"content":{"rendered":"<p><img loading=\"lazy\" class=\"alignnone wp-image-102 \" style=\"float: left; margin: 5px 15px 5px 0px;\" src=\"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-content\/uploads\/2018\/10\/2400780-300x300.png\" alt=\"Seth Pruitt\" width=\"175\" height=\"175\" srcset=\"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-content\/uploads\/2018\/10\/2400780-300x300.png 300w, https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-content\/uploads\/2018\/10\/2400780-150x150.png 150w, https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-content\/uploads\/2018\/10\/2400780.png 596w\" sizes=\"(max-width: 175px) 100vw, 175px\" \/><\/p>\n<p>Seth Pruitt is an assistant professor in the Department of Finance at the W. P. Carey School of Business at Arizona State University. Prior to this, he was senior economist at the Federal Reserve Board of Governors. He received his doctorate in economics from the University of California, San Diego in 2008.<\/p>\n<p>His research focuses on asset pricing, macroeconomics, and econometrics and has been published in leading journals such as <i>American Economic Review<\/i>, <i>Journal of Finance<\/i>, and <i>Journal of Financial Economics<\/i>. His awards include: 2016 Best Paper in JFE, Fama\/DFA (First Prize); 2012 AQR Insight Award (First Prize).<\/p>\n<hr \/>\n<h2><b>Referred articles:<\/b><\/h2>\n<ul>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2143326\">\u201cThe Liquidity Effects of Official Bond Market Intervention\u201d<\/a> <i>Journal of Financial and Quantitative Analysis<\/i>, Feb 2018, 53(1): 243-268. (with<a href=\"https:\/\/www.federalreserve.gov\/econres\/michiel-de-pooter.htm\"> M. De Pooter<\/a> and R. Martin)<\/li>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/jmcb.12391\">\u201cEstimating Monetary Policy Rules When Interest Rates Are Stuck at Zero\u201d<\/a> <i>Journal of Money, Credit and Banking<\/i>, June 2017, 49(4): 585-602. lead article (with<a href=\"http:\/\/econ.korea.ac.kr\/?page=prof&amp;profid=jikim\"> J. Kim<\/a>)<\/li>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0304405X16000143?via%3Dihub\"> \u201cSystemic Risk and the Macroeconomy: An Empirical Evaluation\u201d<\/a> <i>Journal of Financial Economics<\/i>, March 2016, 119(3): 457-471 lead article (with<a href=\"https:\/\/sites.google.com\/view\/stefanogiglio\/\"> S. Giglio<\/a> and<a href=\"https:\/\/www.bryankellyacademic.org\/\"> B. Kelly<\/a>)<a href=\"http:\/\/jfe.rochester.edu\/fama16.htm\"> Winner of the 2016 Best Paper in JFE, Fama\/DFA Prize (First Place)<\/a>;<a href=\"http:\/\/www.q-group.org\/roger-f-murray-prize\/\"> Winner of the 2015 Roger F. Murray Q-Group Prize 2015<\/a><\/li>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0304407615000354?via%3Dihub\">\u201cThe Three-Pass Regression Filter: A New Approach to Forecasting with Many Predictors\u201d<\/a> <i>Journal of Econometrics<\/i>, June 2015, 186(2): 294-316 (with<a href=\"https:\/\/www.bryankellyacademic.org\/\"> B. Kelly<\/a>)<\/li>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/www.aeaweb.org\/articles?id=10.1257\/aer.103.7.3022\">\u201cThe Demand for Youth: Explaining Age Differences in the Volatility of Hours\u201d<\/a> <i>American Economic Review<\/i>, December 2013, 103(7): 3022-3044 (with<a href=\"http:\/\/www.nirjaimovich.com\/\"> N. Jaimovich<\/a> and<a href=\"http:\/\/faculty.arts.ubc.ca\/hsiu\/\"> H. Siu<\/a>)<\/li>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1752543\"> \u201cMarket Expectations in the Cross Section of Present Values\u201d<\/a> <i>Journal of Finance<\/i>, October 2013, 68(5): 1721-1756 lead article (with<a href=\"https:\/\/www.bryankellyacademic.org\/\"> B. Kelly<\/a>)<a href=\"https:\/\/www.aqr.com\/About-Us\/AQR-Insight-Award\/2012\/First-Prize\"> Winner of the 2012 AQR Insight Award First Prize<\/a>;<a href=\"http:\/\/www.q-group.org\/recently-funded\/#2011\"> Awarded 2011 Q Group research grant<\/a> (per law, Pruitt did not accept grant money)<\/li>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/abs\/10.1111\/j.1538-4616.2011.00490.x\">\u201cUncertainty over Models and Data: The Rise and Fall of American Inflation\u201d<\/a> <i>Journal of Money, Credit and Banking<\/i>, Mar-Apr 2012, 44(2-3): 341-365<\/li>\n<li style=\"margin-top: 10px;\"><a style=\"background-color: #ffffff;\" href=\"https:\/\/www.aeaweb.org\/articles?id=10.1257\/mac.3.3.1\">\u201cEstimating the Market-Perceived Monetary Policy Rule\u201d<\/a> <i>American Economic Journal: Macroeconomics<\/i>, July 2011, 3(3): 1-28 lead article (with<a style=\"background-color: #ffffff;\" href=\"http:\/\/econweb.ucsd.edu\/~jhamilto\/\"> J. Hamilton<\/a> and S. Borger)<\/li>\n<\/ul>\n<h2><b>Working papers:<\/b><\/h2>\n<ul>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3032013\">\u201cCharacteristics are Covariances: A Unified Model of Risk and Return\u201d<\/a> (with<a href=\"https:\/\/www.bryankellyacademic.org\/\"> B. Kelly<\/a> and Y. Su)<\/li>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2983919\">\u201cInstrumented Principal Component Analysis\u201d<\/a> (with<a href=\"https:\/\/www.bryankellyacademic.org\/\"> B. Kelly<\/a> and Y. Su)<\/li>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3107794\">\u201cThe Nature of Household Labor Income Risk\u201d<\/a> (with<a href=\"https:\/\/www.federalreserve.gov\/econres\/nick-turner.htm\"> N. Turner<\/a>)<\/li>\n<li style=\"margin-top: 10px;\"><a style=\"background-color: #ffffff;\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2899862\">\u201cMacroeconomic News in the Cross Section of Firm Assets\u201d<\/a> (with Y. Hou,<a style=\"background-color: #ffffff;\" href=\"https:\/\/isearch.asu.edu\/profile\/1271069\"> A. Hugon<\/a> and<a style=\"background-color: #ffffff;\" href=\"https:\/\/www.kellogg.northwestern.edu\/faculty\/directory\/lyle_matthew.aspx\"> M. Lyle<\/a>)<\/li>\n<\/ul>\n<h2><b>Older working papers:<\/b><\/h2>\n<ul>\n<li style=\"margin-top: 10px;\"><a href=\"https:\/\/www.federalreserve.gov\/pubs\/ifdp\/2009\/968\/ifdp968.pdf\"> \u201cMarkup Variation and Endogenous Fluctuations in the Price of Investment Goods\u201d<\/a> (with M. Floetotto and<a href=\"http:\/\/www.nirjaimovich.com\/\"> N. Jaimovich<\/a>)<\/li>\n<li style=\"margin-top: 10px;\"><a style=\"background-color: #ffffff;\" href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2080107\">\u201cThe Pseudo-Information Filter\u201d<\/a><\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>Seth Pruitt is an assistant professor in the Department of Finance at the W. P. Carey School of Business at Arizona State University. Prior to this, he was senior economist at the Federal Reserve Board of Governors. He received his doctorate in economics from the University of California, San Diego in 2008. His research focuses &hellip; <a href=\"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/seth-pruitt\/\"><\/a><\/p>\n","protected":false},"author":3,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"template-custom.php","meta":{"spay_email":""},"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/PapNBq-1D","_links":{"self":[{"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/pages\/101"}],"collection":[{"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/comments?post=101"}],"version-history":[{"count":8,"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/pages\/101\/revisions"}],"predecessor-version":[{"id":9221,"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/pages\/101\/revisions\/9221"}],"wp:attachment":[{"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/media?parent=101"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}