Details about Stefano Giglio

Access statistics for papers by Stefano Giglio.

Last updated 2019-08-17. Update your information in the RePEc Author Service.

Short-id: pgi162

Working Papers

2019

1. Five Facts About Beliefs and Portfolios
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (4)
   CESifo Working Paper Series, CESifo Group Munich (2019) View citations (4)
2. Hedging Climate Change News
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019)
   CESifo Working Paper Series, CESifo Group Munich (2019)
3. Hedging Macroeconomic and Financial Uncertainty and Volatility
   NBER Working Papers, National Bureau of Economic Research, Inc
4. Taming the Factor Zoo: A Test of New Factors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2017

5. Inference on Risk Premia in the Presence of Omitted Factors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
6. Uncertainty Shocks as Second-Moment News Shocks
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
   Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (9)

2016

7. Contractionary Volatility or Volatile Contractions?
   2016 Meeting Papers, Society for Economic Dynamics View citations (4)
8. Credit default swap spreads and systemic financial risk
   ESRB Working Paper Series, European Systemic Risk Board View citations (3)
   Also in Proceedings, Federal Reserve Bank of Chicago (2011) View citations (39)
9. 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

10. An Intertemporal CAPM with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (48)
    See also Journal Article in Journal of Financial Economics (2018)
11. Climate Change and Long-Run Discount Rates: Evidence from Real Estate
    CESifo Working Paper Series, CESifo Group Munich View citations (18)
    Also in Working Paper, Harvard University OpenScholar (2015) View citations (16)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (16)
    NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (16)
12. Systemic Risk and the Macroeconomy: An Empirical Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Journal Article in Journal of Financial Economics (2016)
13. The Price of Variance Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
    See also Journal Article in Journal of Financial Economics (2017)

2014

14. No-Bubble Condition: Model-free Tests in Housing Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    Also in Working Paper, Harvard University OpenScholar View citations (3)
    See also Journal Article in Econometrica (2016)
15. Very Long Run Discount Rates
    2014 Meeting Papers, Society for Economic Dynamics View citations (2)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (15)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (16)

2013

16. Asset Pricing in the Frequency Domain: Theory and Empirics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) View citations (5)
    See also Journal Article in Review of Financial Studies (2016)
17. 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)
18. No News is News: Do Markets Underreact to Nothing?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2011

19. Forced Sales and House Prices
    Scholarly Articles, Harvard University Department of Economics View citations (201)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (44)
    See also Journal Article in American Economic Review (2011)
20. 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

21. 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)
22. The Performance of Italian Family Firms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)

Journal Articles

2018

1. An intertemporal CAPM with stochastic volatility
   Journal of Financial Economics, 2018, 128, (2), 207-233 View citations (8)
   See also Working Paper (2015)
2. Excess Volatility: Beyond Discount Rates
   The Quarterly Journal of Economics, 2018, 133, (1), 71-127 View citations (1)
   See also Working Paper (2016)

2017

3. The price of variance risk
   Journal of Financial Economics, 2017, 123, (2), 225-250 View citations (9)
   See also Working Paper (2015)

2016

4. Asset Pricing in the Frequency Domain: Theory and Empirics
   Review of Financial Studies, 2016, 29, (8), 2029-2068 View citations (25)
   See also Working Paper (2013)
5. No‐Bubble Condition: Model‐Free Tests in Housing Markets
   Econometrica, 2016, 84, 1047-1091 View citations (13)
   See also Working Paper (2014)
6. Systemic risk and the macroeconomy: An empirical evaluation
   Journal of Financial Economics, 2016, 119, (3), 457-471 View citations (51)
   See also Working Paper (2015)

2015

7. Editor's Choice Very Long-Run Discount Rates
   The Quarterly Journal of Economics, 2015, 130, (1), 1-53 View citations (36)

2014

8. Editor's Choice No News Is News: Do Markets Underreact to Nothing?
   Review of Financial Studies, 2014, 27, (12), 3389-3440 View citations (10)

2013

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

2012

10. Intangible capital, relative asset shortages and bubbles
    Journal of Monetary Economics, 2012, 59, (3), 303-317 View citations (15)
    See also Working Paper (2011)

2011

11. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 View citations (219)
    See also Working Paper (2011)