Details about Stefano Giglio

Access statistics for papers by Stefano Giglio.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pgi162

Working Papers

2025

1. Climate Transition Risks and the Energy Sector
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Nature Loss and Climate Change: The Twin-Crises Multiplier
   NBER Working Papers, National Bureau of Economic Research, Inc

2024

3. The Economics of Biodiversity Loss
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2023

4. Biodiversity Risk
   NBER Working Papers, National Bureau of Economic Research, Inc
5. Equity Term Structures without Dividend Strips Data
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
6. Four Facts About ESG Beliefs and Investor Portfolios
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
7. Recent Developments in Financial Risk and the Real Economy
   NBER Working Papers, National Bureau of Economic Research, Inc
8. Risk Preferences Implied by Synthetic Options
   NBER Working Papers, National Bureau of Economic Research, Inc
9. What Drives Booms and Busts in Value?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2022

10. A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)

2021

11. 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 (11)
12. Test Assets and Weak Factors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (11)

2020

13. 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)
    See also Journal Article Climate Finance, Annual Review of Financial Economics, Annual Reviews (2021) (2021)
14. Hedging macroeconomic and financial uncertainty and volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (8)
    See also Journal Article Hedging macroeconomic and financial uncertainty and volatility, Journal of Financial Economics, Elsevier (2021) View citations (22) (2021)
15. Inside the Mind of a Stock Market Crash
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (27)
    CESifo Working Paper Series, CESifo (2020) View citations (27)
    Papers, arXiv.org (2020) View citations (27)
16. Taming the Factor Zoo: A Test of New Factors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (191)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (60)
    See also Journal Article Taming the Factor Zoo: A Test of New Factors, Journal of Finance, American Finance Association (2020) View citations (190) (2020)

2019

17. Five Facts About Beliefs and Portfolios
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (42)
    Also in CESifo Working Paper Series, CESifo (2019) View citations (42)
    NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (42)
    See also Journal Article Five Facts about Beliefs and Portfolios, American Economic Review, American Economic Association (2021) View citations (94) (2021)
18. Hedging Climate Change News
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (29)
    Also in CESifo Working Paper Series, CESifo (2019) View citations (29)
    NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (29)
    See also Journal Article Hedging Climate Change News, The Review of Financial Studies, Society for Financial Studies (2020) View citations (333) (2020)

2018

19. An Intertemporal CAPM with stochastic volatility
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (92)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (14)
    NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (55)
    See also Journal Article An intertemporal CAPM with stochastic volatility, Journal of Financial Economics, Elsevier (2018) View citations (92) (2018)

2017

20. Inference on Risk Premia in the Presence of Omitted Factors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
21. Uncertainty Shocks as Second-Moment News Shocks
    2017 Meeting Papers, Society for Economic Dynamics View citations (20)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (20)
    See also Journal Article Uncertainty Shocks as Second-Moment News Shocks, The Review of Economic Studies, Review of Economic Studies Ltd (2020) View citations (79) (2020)

2016

22. Contractionary Volatility or Volatile Contractions?
    2016 Meeting Papers, Society for Economic Dynamics View citations (6)
23. Credit default swap spreads and systemic financial risk
    ESRB Working Paper Series, European Systemic Risk Board View citations (13)
    Also in Proceedings, Federal Reserve Bank of Chicago (2011) View citations (50)
24. Excess Volatility: Beyond Discount Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Excess Volatility: Beyond Discount Rates, The Quarterly Journal of Economics, President and Fellows of Harvard College (2018) View citations (25) (2018)

2015

25. Climate Change and Long-Run Discount Rates: Evidence from Real Estate
    Working Paper, Harvard University OpenScholar View citations (40)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (40)
    CESifo Working Paper Series, CESifo (2015) View citations (42)
    NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (40)
    See also Journal Article Climate Change and Long-Run Discount Rates: Evidence from Real Estate, The Review of Financial Studies, Society for Financial Studies (2021) View citations (91) (2021)
26. Systemic Risk and the Macroeconomy: An Empirical Evaluation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
    See also Journal Article Systemic risk and the macroeconomy: An empirical evaluation, Journal of Financial Economics, Elsevier (2016) View citations (313) (2016)
27. The Price of Variance Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (52)
    See also Journal Article The price of variance risk, Journal of Financial Economics, Elsevier (2017) View citations (61) (2017)

2014

28. No-Bubble Condition: Model-Free Tests in Housing Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (29)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (12)
    Working Paper, Harvard University OpenScholar View citations (29)
    See also Journal Article No‐Bubble Condition: Model‐Free Tests in Housing Markets, Econometrica, Econometric Society (2016) View citations (37) (2016)
29. Very Long Run Discount Rates
    2014 Meeting Papers, Society for Economic Dynamics View citations (23)
    Also in Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014) View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (28)

2013

30. Asset Pricing in the Frequency Domain: Theory and Empirics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) View citations (13)
    See also Journal Article Asset Pricing in the Frequency Domain: Theory and Empirics, The Review of Financial Studies, Society for Financial Studies (2016) View citations (92) (2016)
31. 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 Hard Times, The Review of Asset Pricing Studies, Society for Financial Studies (2013) View citations (7) (2013)
32. No News is News: Do Markets Underreact to Nothing?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2011

33. Forced Sales and House Prices
    Scholarly Articles, Harvard University Department of Economics View citations (377)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (56)
    See also Journal Article Forced Sales and House Prices, American Economic Review, American Economic Association (2011) View citations (412) (2011)
34. Intangible Capital, Relative Asset Shortages and Bubbles
    IMF Working Papers, International Monetary Fund View citations (2)
    Also in Levine's Working Paper Archive, David K. Levine (2011) View citations (2)
    See also Journal Article Intangible capital, relative asset shortages and bubbles, Journal of Monetary Economics, Elsevier (2012) View citations (20) (2012)

2006

35. 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 (4)
36. The Performance of Italian Family Firms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)

Journal Articles

2021

1. Asset Pricing with Omitted Factors
   Journal of Political Economy, 2021, 129, (7), 1947 - 1990 View citations (64)
2. Climate Change and Long-Run Discount Rates: Evidence from Real Estate
   (Abrupt climate change)
   The Review of Financial Studies, 2021, 34, (8), 3527-3571 View citations (91)
   See also Working Paper Climate Change and Long-Run Discount Rates: Evidence from Real Estate, Working Paper (2015) View citations (40) (2015)
3. Climate Finance
   Annual Review of Financial Economics, 2021, 13, (1), 15-36
   See also Working Paper Climate Finance, NBER Working Papers (2020) (2020)
4. Five Facts about Beliefs and Portfolios
   American Economic Review, 2021, 111, (5), 1481-1522 View citations (94)
   See also Working Paper Five Facts About Beliefs and Portfolios, CEPR Discussion Papers (2019) View citations (42) (2019)
5. Hedging macroeconomic and financial uncertainty and volatility
   Journal of Financial Economics, 2021, 142, (1), 23-45 View citations (22)
   See also Working Paper Hedging macroeconomic and financial uncertainty and volatility, CEPR Discussion Papers (2020) View citations (1) (2020)
6. The joint dynamics of investor beliefs and trading during the COVID-19 crash
   Proceedings of the National Academy of Sciences, 2021, 118, (4), e2010316118 View citations (22)
7. Thousands of Alpha Tests
   (The performance of hedge funds: Risk, return, and incentives)
   The Review of Financial Studies, 2021, 34, (7), 3456-3496 View citations (20)
   See also Chapter Thousands of Alpha Tests, NBER Chapters, 2021, 3456 (2021) View citations (23) (2021)

2020

8. Hedging Climate Change News
   The Review of Financial Studies, 2020, 33, (3), 1184-1216 View citations (333)
   See also Working Paper Hedging Climate Change News, CEPR Discussion Papers (2019) View citations (29) (2019)
9. Reply to “Rational Bubbles in UK Housing Markets”
   Econometrica, 2020, 88, (4), 1767-1770 View citations (1)
10. Taming the Factor Zoo: A Test of New Factors
    Journal of Finance, 2020, 75, (3), 1327-1370 View citations (190)
    See also Working Paper Taming the Factor Zoo: A Test of New Factors, CEPR Discussion Papers (2020) View citations (191) (2020)
11. Uncertainty Shocks as Second-Moment News Shocks
    The Review of Economic Studies, 2020, 87, (1), 40-76 View citations (79)
    See also Working Paper Uncertainty Shocks as Second-Moment News Shocks, 2017 Meeting Papers (2017) View citations (20) (2017)

2018

12. An intertemporal CAPM with stochastic volatility
    Journal of Financial Economics, 2018, 128, (2), 207-233 View citations (92)
    See also Working Paper An Intertemporal CAPM with stochastic volatility, LSE Research Online Documents on Economics (2018) View citations (92) (2018)
13. Excess Volatility: Beyond Discount Rates
    The Quarterly Journal of Economics, 2018, 133, (1), 71-127 View citations (25)
    See also Working Paper Excess Volatility: Beyond Discount Rates, NBER Working Papers (2016) View citations (1) (2016)

2017

14. The price of variance risk
    Journal of Financial Economics, 2017, 123, (2), 225-250 View citations (61)
    See also Working Paper The Price of Variance Risk, NBER Working Papers (2015) View citations (52) (2015)

2016

15. Asset Pricing in the Frequency Domain: Theory and Empirics
    The Review of Financial Studies, 2016, 29, (8), 2029-2068 View citations (92)
    See also Working Paper Asset Pricing in the Frequency Domain: Theory and Empirics, NBER Working Papers (2013) View citations (12) (2013)
16. No‐Bubble Condition: Model‐Free Tests in Housing Markets
    Econometrica, 2016, 84, 1047-1091 View citations (37)
    See also Working Paper No-Bubble Condition: Model-Free Tests in Housing Markets, CEPR Discussion Papers (2014) View citations (29) (2014)
17. Systemic risk and the macroeconomy: An empirical evaluation
    Journal of Financial Economics, 2016, 119, (3), 457-471 View citations (313)
    See also Working Paper Systemic Risk and the Macroeconomy: An Empirical Evaluation, NBER Working Papers (2015) View citations (23) (2015)

2015

18. Editor's Choice Very Long-Run Discount Rates
    The Quarterly Journal of Economics, 2015, 130, (1), 1-53 View citations (43)

2014

19. Editor's Choice No News Is News: Do Markets Underreact to Nothing?
    The Review of Financial Studies, 2014, 27, (12), 3389-3440 View citations (33)

2013

20. Hard Times
    The Review of Asset Pricing Studies, 2013, 3, (1), 95-132 View citations (7)
    See also Working Paper Hard Times, Scholarly Articles (2013) View citations (15) (2013)

2012

21. Intangible capital, relative asset shortages and bubbles
    Journal of Monetary Economics, 2012, 59, (3), 303-317 View citations (20)
    See also Working Paper Intangible Capital, Relative Asset Shortages and Bubbles, IMF Working Papers (2011) View citations (2) (2011)

2011

22. Forced Sales and House Prices
    American Economic Review, 2011, 101, (5), 2108-31 View citations (412)
    See also Working Paper Forced Sales and House Prices, Scholarly Articles (2011) View citations (377) (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 (23)
   See also Journal Article Thousands of Alpha Tests, Society for Financial Studies (2021) View citations (20) (2021)