Stefano Giglio

Yale School of Management

135 Prospect Street

P.O. Box 208200

New Haven, CT 06520-8200

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • Yale School of Management

  • National Bureau of Economic Research (NBER)

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 2,022

SSRN RANKINGS

Top 2,022

in Total Papers Downloads

15,683

CITATIONS
Rank 4,090

SSRN RANKINGS

Top 4,090

in Total Papers Citations

132

Scholarly Papers (25)

Actions:
Email selected abstracts
1.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 74 Posted: 20 Mar 2017 Last Revised: 10 Feb 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 2,626 (4,401)

Abstract:

Loading...

Factors, Stochastic Discount Factor, Post-Selection Inference, Regularized Two-Pass Estimation, Variable Selection, Machine Learning, LASSO, Elastic Net, PCA

2.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Downloads 2,520 ( 4,723)
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
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,493 (4,720)
Citation 2

Abstract:

Loading...

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
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 27 (484,608)
Citation 2

Abstract:

Loading...

3.

Excess Volatility: Beyond Discount Rates

Downloads 2,279 ( 5,594)

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
Yale School of Management and Yale SOM
Downloads 2,262 (5,549)

Abstract:

Loading...

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
Yale School of Management and Yale SOM
Downloads 17 (546,045)

Abstract:

Loading...

4.

No News Is News: Do Markets Underreact to Nothing?

Downloads 1,512 ( 11,112)
Citation 2

No News Is News: Do Markets Underreact to Nothing?

Chicago Booth Research Paper No. 12-41, Midwest Finance Association 2013 Annual Meeting Paper, Fama-Miller Working Paper
Number of pages: 73 Posted: 01 Sep 2012 Last Revised: 11 Sep 2014
Stefano Giglio and Kelly Shue
Yale School of Management and Yale School of Management
Downloads 1,498 (11,061)
Citation 2

Abstract:

Loading...

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

No News is News: Do Markets Underreact to Nothing?

NBER Working Paper No. w18914
Number of pages: 64 Posted: 22 Mar 2013
Stefano Giglio and Kelly Shue
Yale School of Management and Yale School of Management
Downloads 14 (565,239)
Citation 2

Abstract:

Loading...

5.

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

Downloads 1,027 ( 20,162)

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

Chicago Booth Research Paper No. 17-22
Number of pages: 123 Posted: 05 Aug 2015 Last Revised: 09 Mar 2018
Stefano Giglio, Matteo Maggiori, Krishna Rao, Johannes Stroebel and Andreas Weber
Yale School of Management, Harvard University, Stanford University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 965 (21,764)

Abstract:

Loading...

Climate Change, Discounting, Cost-Benefit Analysis, 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
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 44 (407,746)

Abstract:

Loading...

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 Last Revised: 02 Dec 2015
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 18 (539,689)

Abstract:

Loading...

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
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

6.

The Performance of Italian Family Firms

Downloads 948 ( 22,752)
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, Yale School of Management and Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 917 (23,444)
Citation 8

Abstract:

Loading...

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, Yale School of Management, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 31 (463,544)
Citation 8
  • Add to Cart

Abstract:

Loading...

Family firms, corporate performance, management style

7.

An Intertemporal CAPM with Stochastic Volatility

Downloads 779 ( 30,071)
Citation 18

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, Yale School of Management, London School of Economics and Harvard University
Downloads 767 (30,235)
Citation 18

Abstract:

Loading...

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, Yale School of Management, London School of Economics and Harvard University
Downloads 12 (578,349)
Citation 18

Abstract:

Loading...

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, Yale School of Management, London School of Economics and Dodge & Cox Funds
Downloads 0
Citation 18
  • Add to Cart

Abstract:

Loading...

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

8.

Very Long-Run Discount Rates

Downloads 765 ( 30,842)
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
Yale School of Management, Harvard University and New York University (NYU)
Downloads 743 (31,618)
Citation 1

Abstract:

Loading...

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
Yale School of Management, Harvard University and New York University (NYU)
Downloads 22 (514,559)
Citation 1

Abstract:

Loading...

9.

Hard Times

Downloads 581 ( 44,626)
Citation 13

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, Yale School of Management and London School of Economics
Downloads 351 (82,036)
Citation 13

Abstract:

Loading...

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, Yale School of Management and London School of Economics
Downloads 183 (160,928)
Citation 13

Abstract:

Loading...

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, Yale School of Management and London School of Economics
Downloads 47 (396,734)
Citation 13

Abstract:

Loading...

10.

Asset Pricing with Omitted Factors

Downloads 502 ( 53,713)

Asset Pricing with Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 94 Posted: 08 Nov 2016 Last Revised: 31 May 2018
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 489 (54,943)

Abstract:

Loading...

Three-Pass Estimator, Regularized Mimicking Portfolio, Latent Factors, Omitted Factors, Measurement Error, Fama-MacBeth Regression, Principal Component 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
Yale School of Management and University of Chicago - Booth School of Business
Downloads 13 (571,786)
  • Add to Cart

Abstract:

Loading...

11.

Hedging Climate Change News

Downloads 447 ( 62,424)

Hedging Climate Change News

Number of pages: 43 Posted: 17 Jan 2019 Last Revised: 16 May 2019
Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly and Johannes Stroebel
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, New York University (NYU) - Leonard N. Stern School of Business, Students, Yale SOM and New York University (NYU)
Downloads 432 (64,481)

Abstract:

Loading...

Climate Risk, Hedge Portfolio

Hedging Climate Change News

NBER Working Paper No. w25734
Number of pages: 47 Posted: 08 Apr 2019
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU)
Downloads 14 (565,239)
  • Add to Cart

Abstract:

Loading...

Hedging Climate Change News

CEPR Discussion Paper No. DP13730
Number of pages: 49 Posted: 22 May 2019
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU)
Downloads 1 (664,922)
  • Add to Cart

Abstract:

Loading...

12.

The Price of Variance Risk

Downloads 359 ( 80,554)
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, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 343 (84,328)
Citation 1

Abstract:

Loading...

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, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 16 (552,392)
Citation 1

Abstract:

Loading...

13.

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

Downloads 328 ( 89,303)

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
Yale School of Management, Harvard University and New York University (NYU)
Downloads 319 (91,512)

Abstract:

Loading...

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
Yale School of Management, Harvard University and New York University (NYU)
Downloads 9 (598,010)

Abstract:

Loading...

14.

Thousands of Alpha Tests

Chicago Booth Research Paper No. 18-09
Number of pages: 61 Posted: 17 Oct 2018 Last Revised: 03 Mar 2019
Stefano Giglio, Yuan Liao and Dacheng Xiu
Yale School of Management, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and University of Chicago - Booth School of Business
Downloads 176 (166,630)

Abstract:

Loading...

Data Snooping, Multiple Testing, Alpha Testing, Factor Models, Hedge Fund Performance, False Discovery Rate, Machine Learning

15.

The Collateral Rule: An Empirical Analysis of the CDS Market

Number of pages: 57 Posted: 14 Nov 2017
Agostino Capponi, W. Cheng, Stefano Giglio and Richard Haynes
Columbia University, AQR Capital Management, LLC, Yale School of Management and Commodity Futures Trading Commission (CFTC)
Downloads 172 (170,134)

Abstract:

Loading...

Collateral Requirements, Clearinghouse, Credit Default Swaps, Value at Risk

16.

Intangible Capital, Relative Asset Shortages and Bubbles

Downloads 147 (194,275)
Citation 2

Intangible Capital, Relative Asset Shortages and Bubbles

Number of pages: 35 Posted: 09 Apr 2011
Stefano Giglio and Tiago Severo
Yale School of Management and International Monetary Fund (IMF)
Downloads 97 (266,429)
Citation 2

Abstract:

Loading...

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
Yale School of Management and International Monetary Fund (IMF)
Downloads 50 (386,042)
Citation 2

Abstract:

Loading...

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

17.

Five Facts About Beliefs and Portfolios

Downloads 117 (232,209)

Five Facts About Beliefs and Portfolios

Number of pages: 76 Posted: 08 Mar 2019 Last Revised: 06 Apr 2019
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Stephen P. Utkus
Yale School of Management, Harvard University, New York University (NYU) and Vanguard Center for Investor Research
Downloads 103 (255,797)

Abstract:

Loading...

Surveys, Expectations, Sentiment, Behavioral Finance, Discount Rates, Rare Disasters

Five Facts About Beliefs and Portfolios

NBER Working Paper No. w25744
Number of pages: 77 Posted: 15 Apr 2019
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Stephen P. Utkus
Yale School of Management, Harvard University, New York University (NYU) and Vanguard Center for Investor Research
Downloads 12 (578,349)
  • Add to Cart

Abstract:

Loading...

Five Facts About Beliefs and Portfolios

CEPR Discussion Paper No. DP13657
Number of pages: 79 Posted: 09 Apr 2019
Matteo Maggiori, Johannes Stroebel, Stefano Giglio and Stephen P. Utkus
Harvard University, New York University (NYU), Yale School of Management and Vanguard Center for Investor Research
Downloads 2 (651,106)
  • Add to Cart

Abstract:

Loading...

18.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 16 Aug 2010
John Y. Campbell, Stefano Giglio and Parag A. Pathak
Harvard University - Department of Economics, Yale School of Management and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 114 (236,736)
Citation 76

Abstract:

Loading...

19.

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 Yale School of Management
Downloads 109 (244,385)
Citation 4

Abstract:

Loading...

20.

Uncertainty Shocks as Second-Moment News Shocks

Downloads 101 (257,675)

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 Yale School of Management
Downloads 85 (290,230)

Abstract:

Loading...

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

Uncertainty Shocks as Second-Moment News Shocks

NBER Working Paper No. w23796
Number of pages: 63 Posted: 11 Sep 2017
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 16 (552,392)
  • Add to Cart

Abstract:

Loading...

21.

Hedging Macroeconomic and Financial Uncertainty and Volatility

Number of pages: 62 Posted: 09 Dec 2018 Last Revised: 06 Apr 2019
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 27 (471,349)

Abstract:

Loading...

22.

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 Yale School of Management
Downloads 25 (481,933)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

23.

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 Yale School of Management
Downloads 14 (543,959)
Citation 4

Abstract:

Loading...

24.

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 8 (579,523)
  • Add to Cart

Abstract:

Loading...

25.

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
Yale School of Management

Abstract:

Loading...