Details about Stefano Giglio

Access statistics for papers by Stefano Giglio.

Last updated 2021-08-26. Update your information in the RePEc Author Service.

Short-id: pgi162

Working Papers

2021

1. Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (2)
2. Test Assets and Weak Factors
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)

2020

3. Climate Finance
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020)
   CESifo Working Paper Series, CESifo (2020)
4. Hedging macroeconomic and financial uncertainty and volatility
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (4)
5. Inside the Mind of a Stock Market Crash
   Papers, arXiv.org View citations (7)
   Also in CESifo Working Paper Series, CESifo (2020) View citations (6)
   NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (6)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (5)
6. Taming the Factor Zoo: A Test of New Factors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (39)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (51)
   See also Journal Article in Journal of Finance (2020)

2019

7. Five Facts About Beliefs and Portfolios
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (23)
   Also in CESifo Working Paper Series, CESifo (2019) View citations (23)
   NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (23)
   See also Journal Article in American Economic Review (2021)
8. Hedging Climate Change News
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
   Also in CESifo Working Paper Series, CESifo (2019) View citations (11)
   NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (11)
   See also Journal Article in Review of Financial Studies (2020)

2018

9. An Intertemporal CAPM with stochastic volatility
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (43)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (49)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (8)
   See also Journal Article in Journal of Financial Economics (2018)

2017

10. Inference on Risk Premia in the Presence of Omitted Factors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
11. Uncertainty Shocks as Second-Moment News Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (14)
    See also Journal Article in Review of Economic Studies (2020)

2016

12. Contractionary Volatility or Volatile Contractions?
    2016 Meeting Papers, Society for Economic Dynamics View citations (5)
13. Credit default swap spreads and systemic financial risk
    ESRB Working Paper Series, European Systemic Risk Board View citations (5)
    Also in Proceedings, Federal Reserve Bank of Chicago (2011) View citations (41)
14. Excess Volatility: Beyond Discount Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in The Quarterly Journal of Economics (2018)

2015

15. Climate Change and Long-Run Discount Rates: Evidence from Real Estate
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (26)
    Working Paper, Harvard University OpenScholar (2015) View citations (26)
    CESifo Working Paper Series, CESifo (2015) View citations (28)
16. Systemic Risk and the Macroeconomy: An Empirical Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
    See also Journal Article in Journal of Financial Economics (2016)
17. The Price of Variance Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (52)
    See also Journal Article in Journal of Financial Economics (2017)

2014

18. No-Bubble Condition: Model-free Tests in Housing Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    Also in Working Paper, Harvard University OpenScholar View citations (3)
    See also Journal Article in Econometrica (2016)
19. Very Long Run Discount Rates
    2014 Meeting Papers, Society for Economic Dynamics View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (20)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (19)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) View citations (19)

2013

20. Asset Pricing in the Frequency Domain: Theory and Empirics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) View citations (6)
    See also Journal Article in Review of Financial Studies (2016)
21. Hard Times
    Scholarly Articles, Harvard University Department of Economics View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (2)
    See also Journal Article in Review of Asset Pricing Studies (2013)
22. No News is News: Do Markets Underreact to Nothing?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2011

23. Forced Sales and House Prices
    Scholarly Articles, Harvard University Department of Economics View citations (257)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (46)
    See also Journal Article in American Economic Review (2011)
24. Intangible Capital, Relative Asset Shortages and Bubbles
    Levine's Working Paper Archive, David K. Levine View citations (2)
    Also in IMF Working Papers, International Monetary Fund (2011)
    See also Journal Article in Journal of Monetary Economics (2012)

2006

25. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006) View citations (2)
26. The Performance of Italian Family Firms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)

Journal Articles

2021

1. Asset Pricing with Omitted Factors
   Journal of Political Economy, 2021, 129, (7), 1947 - 1990 View citations (8)
2. Five Facts about Beliefs and Portfolios
   American Economic Review, 2021, 111, (5), 1481-1522 View citations (6)
   See also Working Paper (2019)
3. The joint dynamics of investor beliefs and trading during the COVID-19 crash
   Proceedings of the National Academy of Sciences, 2021, 118, (4), e2010316118

2020

4. Hedging Climate Change News
   Review of Financial Studies, 2020, 33, (3), 1184-1216 View citations (23)
   See also Working Paper (2019)
5. Reply to “Rational Bubbles in UK Housing Markets”
   Econometrica, 2020, 88, (4), 1767-1770
6. Taming the Factor Zoo: A Test of New Factors
   Journal of Finance, 2020, 75, (3), 1327-1370 View citations (36)
   See also Working Paper (2020)
7. Uncertainty Shocks as Second-Moment News Shocks
   Review of Economic Studies, 2020, 87, (1), 40-76 View citations (16)
   See also Working Paper (2017)

2018

8. An intertemporal CAPM with stochastic volatility
   Journal of Financial Economics, 2018, 128, (2), 207-233 View citations (43)
   See also Working Paper (2018)
9. Excess Volatility: Beyond Discount Rates
   The Quarterly Journal of Economics, 2018, 133, (1), 71-127 View citations (5)
   See also Working Paper (2016)

2017

10. The price of variance risk
    Journal of Financial Economics, 2017, 123, (2), 225-250 View citations (38)
    See also Working Paper (2015)

2016

11. Asset Pricing in the Frequency Domain: Theory and Empirics
    Review of Financial Studies, 2016, 29, (8), 2029-2068 View citations (56)
    See also Working Paper (2013)
12. No‐Bubble Condition: Model‐Free Tests in Housing Markets
    Econometrica, 2016, 84, 1047-1091 View citations (24)
    See also Working Paper (2014)
13. Systemic risk and the macroeconomy: An empirical evaluation
    Journal of Financial Economics, 2016, 119, (3), 457-471 View citations (134)
    See also Working Paper (2015)

2015

14. Editor's Choice Very Long-Run Discount Rates
    The Quarterly Journal of Economics, 2015, 130, (1), 1-53 View citations (41)

2014

15. Editor's Choice No News Is News: Do Markets Underreact to Nothing?
    Review of Financial Studies, 2014, 27, (12), 3389-3440 View citations (17)

2013

16. Hard Times
    Review of Asset Pricing Studies, 2013, 3, (1), 95-132 View citations (7)
    See also Working Paper (2013)

2012

17. Intangible capital, relative asset shortages and bubbles
    Journal of Monetary Economics, 2012, 59, (3), 303-317 View citations (17)
    See also Working Paper (2011)

2011

18. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 View citations (276)
    See also Working Paper (2011)

Chapters

2021

1. Thousands of Alpha Tests
   A chapter in Big Data: Long-Term Implications for Financial Markets and Firms, 2021, pp 3456 View citations (3)