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Details about Stefano Giglio

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Homepage:https://sites.google.com/view/stefanogiglio/
Workplace:School of Management, Yale University, (more information at EDIRC)

Access statistics for papers by Stefano Giglio.

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

Short-id: pgi162


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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 Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) Downloads View citations (2)
  2. Test Assets and Weak Factors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads

2020

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

    See also Journal Article in Journal of Finance (2020)

2019

  1. Five Facts About Beliefs and Portfolios
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (23)
    Also in CESifo Working Paper Series, CESifo (2019) Downloads View citations (23)
    NBER Working Papers, National Bureau of Economic Research, Inc (2019) Downloads View citations (23)

    See also Journal Article in American Economic Review (2021)
  2. Hedging Climate Change News
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    Also in CESifo Working Paper Series, CESifo (2019) Downloads View citations (11)
    NBER Working Papers, National Bureau of Economic Research, Inc (2019) Downloads View citations (11)

    See also Journal Article in Review of Financial Studies (2020)

2018

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

    See also Journal Article in Journal of Financial Economics (2018)

2017

  1. Inference on Risk Premia in the Presence of Omitted Factors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
  2. Uncertainty Shocks as Second-Moment News Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) Downloads View citations (14)

    See also Journal Article in Review of Economic Studies (2020)

2016

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

2015

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

2014

  1. No-Bubble Condition: Model-free Tests in Housing Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    Also in Working Paper, Harvard University OpenScholar Downloads View citations (3)

    See also Journal Article in Econometrica (2016)
  2. Very Long Run Discount Rates
    2014 Meeting Papers, Society for Economic Dynamics Downloads View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (20)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (19)
    Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) Downloads View citations (19)

2013

  1. Asset Pricing in the Frequency Domain: Theory and Empirics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) Downloads View citations (6)

    See also Journal Article in Review of Financial Studies (2016)
  2. Hard Times
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (2)

    See also Journal Article in Review of Asset Pricing Studies (2013)
  3. No News is News: Do Markets Underreact to Nothing?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2011

  1. Forced Sales and House Prices
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (257)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (46)

    See also Journal Article in American Economic Review (2011)
  2. Intangible Capital, Relative Asset Shortages and Bubbles
    Levine's Working Paper Archive, David K. Levine Downloads View citations (2)
    Also in IMF Working Papers, International Monetary Fund (2011) Downloads

    See also Journal Article in Journal of Monetary Economics (2012)

2006

  1. 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 Downloads View citations (4)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006) Downloads View citations (2)
  2. The Performance of Italian Family Firms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)

Journal Articles

2021

  1. Asset Pricing with Omitted Factors
    Journal of Political Economy, 2021, 129, (7), 1947 - 1990 Downloads View citations (8)
  2. Five Facts about Beliefs and Portfolios
    American Economic Review, 2021, 111, (5), 1481-1522 Downloads 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 Downloads

2020

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

2018

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

2017

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

2016

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

2015

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

2014

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

2013

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

2012

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

2011

  1. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 Downloads 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)
 
Page updated 2022-01-19