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Stefano Giglio

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

  • University of Chicago - Booth School of Business

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

19

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CITATIONS
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124

Scholarly Papers (19)

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1.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Downloads 2,250 ( 4,471)
Citation 2

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 2,234 (4,426)
Citation 2

Abstract:

systemic risk, measures, quantile regression, predictive regression, macroeconomic downturns

Systemic Risk and the Macroeconomy: An Empirical Evaluation

NBER Working Paper No. w20963
Number of pages: 64 Posted: 23 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 16 (479,297)
Citation 2

Abstract:

2.

Excess Volatility: Beyond Discount Rates

Downloads 1,727 ( 7,085)

Excess Volatility: Beyond Discount Rates

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-13
Number of pages: 70 Posted: 06 Mar 2015 Last Revised: 18 Jan 2017
Stefano Giglio and Bryan T. Kelly
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,713 (7,037)

Abstract:

excess volatility, discount rates, term structure

Excess Volatility: Beyond Discount Rates

NBER Working Paper No. w22045
Number of pages: 86 Posted: 01 Mar 2016
Stefano Giglio and Bryan T. Kelly
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 14 (491,014)

Abstract:

3.

No News Is News: Do Markets Underreact to Nothing?

Downloads 1,338 ( 10,756)
Citation 1

No News Is News: Do Markets Underreact to Nothing?

Chicago Booth Research Paper No. 12-41, Fama-Miller Working Paper, Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 73 Posted: 01 Sep 2012 Last Revised: 11 Sep 2014
Stefano Giglio and Kelly Shue
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,329 (10,662)
Citation 1

Abstract:

limited attention, no news, underreaction, merger arbitrage, hazard rates

No News is News: Do Markets Underreact to Nothing?

NBER Working Paper No. w18914
Posted: 22 Mar 2013
Stefano Giglio and Kelly Shue
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 9 (519,199)
Citation 1

Abstract:

4.

The Performance of Italian Family Firms

Downloads 920 ( 19,233)
Citation 8

The Performance of Italian Family Firms

ECGI - Finance Working Paper No. 127/2006
Number of pages: 34 Posted: 21 Jul 2006
Fausto Panunzi, Carlo A. Favero, Stefano Giglio and Maddalena Honorati
Bocconi University - Department of Economics, Bocconi University - Department of Finance, University of Chicago - Booth School of Business and Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 889 (19,850)
Citation 8

Abstract:

Family firms, corporate performance, management style

The Performance of Italian Family Firms

CEPR Discussion Paper No. 5786
Number of pages: 32 Posted: 27 Sep 2006
Carlo A. Favero, Stefano Giglio, Maddalena Honorati and Fausto Panunzi
Bocconi University - Department of Finance, University of Chicago - Booth School of Business, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 31 (398,421)
Citation 8

Abstract:

Family firms, corporate performance, management style

5.

Very Long-Run Discount Rates

Downloads 715 ( 27,728)
Citation 1

Very Long-Run Discount Rates

Fama-Miller Working Paper
Number of pages: 106 Posted: 28 Oct 2013 Last Revised: 03 Nov 2014
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
University of Chicago - Booth School of Business, Harvard University and New York University (NYU)
Downloads 701 (28,023)
Citation 1

Abstract:

Cost-Benefit Analysis, Asset Pricing, Environmental Economics, Climate Change, Real Estate, House Prices Risk and Return

Very Long-Run Discount Rates

NBER Working Paper No. w20133
Number of pages: 48 Posted: 19 May 2014
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
University of Chicago - Booth School of Business, Harvard University and New York University (NYU)
Downloads 14 (491,014)
Citation 1

Abstract:

6.

An Intertemporal CAPM with Stochastic Volatility

Downloads 712 ( 27,876)
Citation 16

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, University of Chicago - Booth School of Business, London School of Economics and Harvard University
Downloads 701 (28,023)
Citation 16

Abstract:

ICAPM, time-varying expected returns, stochastic volatility, value premium

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411
Number of pages: 61 Posted: 22 Sep 2012
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, University of Chicago - Booth School of Business, London School of Economics and Harvard University
Downloads 11 (508,203)
Citation 16

Abstract:

An Intertemporal CAPM with Stochastic Volatility

CEPR Discussion Paper No. DP10681
Number of pages: 62 Posted: 29 Jun 2015
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, University of Chicago - Booth School of Business, London School of Economics and Dodge & Cox Funds
Downloads 0
Citation 16

Abstract:

ICAPM, stochastic volatility, time-varying expected returns, value premium

7.

Climate Change and Long-Run Discount Rates: Evidence from Real Estate

Downloads 706 ( 28,198)

Climate Change and Long-Run Discount Rates: Evidence from Real Estate

Number of pages: 80 Posted: 05 Aug 2015 Last Revised: 10 May 2017
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
University of Chicago - Booth School of Business, Harvard University, New York University (NYU) and New York University (NYU), Leonard N. Stern School of Business, Students
Downloads 652 (30,941)

Abstract:

Climate Change, Discount Rate, Real Estate

Climate Change and Long-Run Discount Rates: Evidence from Real Estate

CESifo Working Paper Series No. 5608
Number of pages: 81 Posted: 21 Dec 2015
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
University of Chicago - Booth School of Business, Harvard University, New York University (NYU) and New York University (NYU), Leonard N. Stern School of Business, Students
Downloads 38 (370,123)

Abstract:

environmental economics, declining discount rates, climate change, real estate, cost-benefit analysis, asset pricing

Climate Change and Long-Run Discount Rates: Evidence from Real Estate

NBER Working Paper No. w21767
Number of pages: 81 Posted: 30 Nov 2015
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
University of Chicago - Booth School of Business, Harvard University, New York University (NYU) and New York University (NYU), Leonard N. Stern School of Business, Students
Downloads 16 (479,297)

Abstract:

Climate Change and Long-Run Discount Rates: Evidence from Real Estate

CEPR Discussion Paper No. DP10958
Number of pages: 83 Posted: 01 Dec 2015
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
University of Chicago - Booth School of Business, Harvard University, New York University (NYU) and New York University (NYU), Leonard N. Stern School of Business, Students
Downloads 0

Abstract:

asset pricing, climate change, cost-benefit analysis, declining discount rates, environmental economics, real estate

8.

Hard Times

Downloads 558 ( 38,754)
Citation 12

Hard Times

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 20 Mar 2011 Last Revised: 24 Dec 2011
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, University of Chicago - Booth School of Business and London School of Economics
Downloads 344 (69,551)
Citation 12

Abstract:

Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
Number of pages: 50 Posted: 13 Sep 2012
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, University of Chicago - Booth School of Business and London School of Economics
Downloads 172 (143,271)
Citation 12

Abstract:

Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, University of Chicago - Booth School of Business and London School of Economics
Downloads 42 (355,753)
Citation 12

Abstract:

9.

The Price of Variance Risk

Downloads 323 ( 75,411)
Citation 1

The Price of Variance Risk

Chicago Booth Research Paper No. 15-31, Fama-Miller Working Paper
Number of pages: 74 Posted: 26 Jul 2014 Last Revised: 09 Oct 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, University of Chicago - Booth School of Business, University of North Carolina Kenan-Flagler Business School and Federal Reserve Board
Downloads 311 (78,082)
Citation 1

Abstract:

variance swaps, volatility pricing, VIX, asset pricing, disasters

The Price of Variance Risk

NBER Working Paper No. w21182
Number of pages: 74 Posted: 18 May 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, University of Chicago - Booth School of Business, University of North Carolina Kenan-Flagler Business School and Federal Reserve Board
Downloads 12 (502,482)
Citation 1

Abstract:

10.

No-Bubble Condition: Model-Free Tests in Housing Markets

Downloads 279 ( 88,765)

No-Bubble Condition: Model-Free Tests in Housing Markets

Fama-Miller Working Paper
Number of pages: 97 Posted: 17 May 2014 Last Revised: 21 Oct 2015
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
University of Chicago - Booth School of Business, Harvard University and New York University (NYU)
Downloads 272 (90,859)

Abstract:

Asset Pricing, Real Estate, Rational Bubbles, House Prices, Financial Crisis

No-Bubble Condition: Model-Free Tests in Housing Markets

NBER Working Paper No. w20154
Number of pages: 89 Posted: 26 May 2014
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
University of Chicago - Booth School of Business, Harvard University and New York University (NYU)
Downloads 7 (529,830)

Abstract:

11.

Inference on Risk Premia in the Presence of Omitted Factors

Downloads 261 ( 95,453)

Inference on Risk Premia in the Presence of Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 53 Posted: 08 Nov 2016 Last Revised: 20 May 2017
Stefano Giglio and Dacheng Xiu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 260 (95,350)

Abstract:

Three-Pass Estimator, Empirical Asset Pricing Models, PCA, Latent Factors, Omitted Factors, Fama-MacBeth Regression

Inference on Risk Premia in the Presence of Omitted Factors

NBER Working Paper No. w23527
Number of pages: 76 Posted: 19 Jun 2017
Stefano Giglio and Dacheng Xiu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1 (568,162)

Abstract:

12.

Intangible Capital, Relative Asset Shortages and Bubbles

Downloads 139 (171,868)
Citation 2

Intangible Capital, Relative Asset Shortages and Bubbles

Number of pages: 35 Posted: 09 Apr 2011
Stefano Giglio and Tiago Severo
University of Chicago - Booth School of Business and International Monetary Fund (IMF)
Downloads 94 (230,999)
Citation 2

Abstract:

Intangible Capital, Asset Shortages, Rational Bubbles, Financial Constraints, Technological Change, Dynamic Inefficiency

Intangible Capital, Relative Asset Shortages and Bubbles

IMF Working Paper No. 11/271
Number of pages: 39 Posted: 20 Dec 2011
Stefano Giglio and Tiago Severo
University of Chicago - Booth School of Business and International Monetary Fund (IMF)
Downloads 45 (345,670)
Citation 2

Abstract:

Asset prices, Bonds, Capital, Capital markets, Developed countries, Economic models, Financial assets

13.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009
John Y. Campbell, Stefano Giglio and Parag A. Pathak
Harvard University - Department of Economics, University of Chicago - Booth School of Business and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 89 (214,159)
Citation 74

Abstract:

14.

Asset Pricing in the Frequency Domain: Theory and Empirics

Chicago Booth Research Paper No. 15-30, Fama-Miller Working Paper
Number of pages: 66 Posted: 13 Aug 2015
Ian L. Dew-Becker and Stefano Giglio
Northwestern University - Department of Economics and University of Chicago - Booth School of Business
Downloads 42 (227,833)
Citation 3

Abstract:

15.

Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods

CEPR Discussion Paper No. 5793
Number of pages: 41 Posted: 10 Oct 2006
Carlo A. Favero and Stefano Giglio
Bocconi University - Department of Finance and University of Chicago - Booth School of Business
Downloads 25 (415,617)
Citation 1

Abstract:

Fiscal policy, term structure, regime-switching, Bayesian estimation

16.

Asset Pricing in the Frequency Domain: Theory and Empirics

NBER Working Paper No. w19416
Number of pages: 51 Posted: 06 Sep 2013
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and University of Chicago - Booth School of Business
Downloads 9 (482,433)
Citation 3

Abstract:

17.

Uncertainty Shocks as Second-Moment News Shocks

Number of pages: 64 Posted: 12 Jun 2017
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and University of Chicago - Booth School of Business
Downloads 0 (415,617)

Abstract:

Uncertainty, macroeconomy, volatility, realized volatility, VIX, news shocks, vector autoregressions

18.

Taming the Factor Zoo

Number of pages: 56 Posted: 20 Mar 2017 Last Revised: 05 Apr 2017
Guanhao Feng, Stefano Giglio and Dacheng Xiu
University of Chicago, Booth School of Business, Students, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 0 (30,650)

Abstract:

Factors, Risk Price, Post-Selection Inference, Regularized Two-Pass Estimation, Machine Learning, LASSO

19.

Credit Default Swap Spreads and Systemic Financial Risk

Chicago Booth Research Paper No. 12-45, Fama-Miller Working Paper
Posted: 13 Sep 2012
Stefano Giglio
University of Chicago - Booth School of Business

Abstract:

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