His research interests include theoretical and empirical asset pricing; models of tail risk, volatility and correlation dynamics; and asymmetric information in asset markets. He is a faculty research fellow at the NBER and an associate editor of the Journal of Financial Econometrics. Kelly is the recipient of the 2012 AQR Insight Award, and has received various other research awards including the JPMorgan Best Paper Award from the WFA, the Q-group Research Award, the Arnold Zellner Award (honorable mention), the David M. Graifman award for best dissertation in finance at NYU Stern, the Herman E. Kroos award for best dissertation across disciplines at NYU Stern, and the Shmuel Kandel Prize, and various research grants.
Prior to his doctoral studies, Kelly worked in Morgan Stanley's investment banking division and in the sales and trading division of UBS. He holds an M.A. in economics from University of California, San Diego and an A.B. in economics (with honors) from the University of Chicago.Kelly teaches Investments at Booth, and previously taught the undergraduate Foundations of Financial Markets course at Stern, for which he received a commendation for teaching excellence.