Stefano Giglio

Yale School of Management

Frederic D. Wolfe Professor of Finance and 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

43

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60,992

TOTAL CITATIONS
Rank 112

SSRN RANKINGS

Top 112

in Total Papers Citations

1,920

Scholarly Papers (43)

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1.

Factor Models, Machine Learning, and Asset Pricing

Downloads 12,653 ( 815)
Citation 43

Factor Models, Machine Learning, and Asset Pricing

Annual Review of Financial Economics, Vol. 14, pp. 337-368, 2022
Posted: 10 Nov 2022
Stefano Giglio, Bryan T. Kelly and Dacheng Xiu
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business

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Factor Models, Machine Learning, and Asset Pricing

Number of pages: 35 Posted: 18 Oct 2021 Last Revised: 18 Feb 2022
Stefano Giglio, Bryan T. Kelly and Dacheng Xiu
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business
Downloads 12,653 (807)
Citation 43

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asset pricing, machine learning, factor models, stochastic discount factor, risk premium

2.

Hedging Climate Change News

Downloads 6,567 ( 2,484)
Citation 448

Hedging Climate Change News

Yale ICF Working Paper No. 2019-02
Number of pages: 46 Posted: 17 Jan 2019 Last Revised: 08 Feb 2023
Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly and Johannes Stroebel
New York University (NYU) - Department of Finance, Yale School of Management, New York University (NYU) - Department of Finance, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 6,139 (2,764)
Citation 60

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Climate Risk, Hedge Portfolio

Hedging Climate Change News

CESifo Working Paper No. 7655
Number of pages: 48 Posted: 25 Jul 2019
Robert F. Engle, Stefano Giglio, Heebum Lee, Bryan T. Kelly and Johannes Stroebel
New York University (NYU) - Department of Finance, Yale School of Management, New York University (NYU) - Department of Finance, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 237 (276,554)
Citation 20

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climate risk

Hedging Climate Change News

NBER Working Paper No. w25734
Number of pages: 47 Posted: 08 Apr 2019 Last Revised: 26 Apr 2023
Robert F. Engle, Stefano Giglio, Bryan T. Kelly, Heebum Lee and Johannes Stroebel
New York University (NYU) - Department of Finance, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 188 (345,477)
Citation 7

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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 (NYU) - Department of Finance, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 3 (1,379,145)
Citation 361
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3.

Climate Finance

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Citation 196

Climate Finance

Annual Review of Financial Economics, Vol. 13, pp. 15-36, 2021
Posted: 09 Nov 2021
Stefano Giglio, Bryan Kelly and Johannes Stroebel
Yale School of Management, Yale University and New York University (NYU) - Leonard N. Stern School of Business

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Climate Finance

NYU Stern School of Business Forthcoming
Number of pages: 31 Posted: 14 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 4,977 (3,995)
Citation 31

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Climate Change, Climate Risk, Physical Risk, Transition Risk, ESG

Climate Finance

CESifo Working Paper No. 8772
Number of pages: 33 Posted: 28 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 281 (232,778)

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Climate Finance

NBER Working Paper No. w28226
Number of pages: 32 Posted: 21 Dec 2020 Last Revised: 15 Feb 2023
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 95 (602,653)
Citation 1

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Climate Finance

CEPR Discussion Paper No. DP15557
Number of pages: 34 Posted: 23 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 5 (1,366,391)
Citation 164
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4.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 75 Posted: 20 Mar 2017 Last Revised: 29 Jul 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 4,401 (4,962)
Citation 18

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

5.

Test Assets and Weak Factors

Downloads 3,644 ( 6,788)
Citation 20

Test Assets and Weak Factors

Chicago Booth Research Paper 21-04
Number of pages: 127 Posted: 20 Jan 2021 Last Revised: 29 Sep 2023
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 3,479 (7,201)

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Supervised PCA, risk premium, stochastic discount factor, APT, Ridge, Lasso

Test Assets and Weak Factors

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-79
Number of pages: 101 Posted: 12 Jul 2021
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 97 (594,365)

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Supervised PCA, SPCA, PCA, risk premium, factor models, APT, Ridge, Lasso, stochastic discount factor

Test Assets and Weak Factors

NBER Working Paper No. w29002
Number of pages: 49 Posted: 12 Jul 2021 Last Revised: 31 Mar 2023
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 67 (743,566)

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Test Assets and Weak Factors

CEPR Discussion Paper No. DP16307
Number of pages: 103 Posted: 14 Jul 2021
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1 (1,394,948)
Citation 20
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6.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Downloads 2,995 ( 9,276)
Citation 49

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 2,878 (9,650)
Citation 10

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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 Last Revised: 13 Apr 2023
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 117 (516,660)
Citation 39

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7.

Excess Volatility: Beyond Discount Rates

Downloads 2,931 ( 9,555)
Citation 25

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: 30 Jul 2019
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 2,848 (9,791)
Citation 22

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excess volatility, discount rates, term structure

Excess Volatility: Beyond Discount Rates

NBER Working Paper No. w22045
Number of pages: 86 Posted: 01 Mar 2016 Last Revised: 27 Mar 2023
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 83 (656,787)
Citation 3

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8.

Asset Pricing with Omitted Factors

Downloads 2,180 (15,427)
Citation 14

Asset Pricing with Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 39 Posted: 08 Nov 2016 Last Revised: 17 Sep 2019
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 2,018 (17,099)
Citation 11

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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 Last Revised: 15 Apr 2023
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 162 (395,105)
Citation 3

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9.

Equity Term Structures without Dividend Strips Data

Downloads 2,034 (17,216)
Citation 29

Equity Term Structures without Dividend Strips Data

Journal of Finance, Forthcoming
Number of pages: 113 Posted: 12 Mar 2020 Last Revised: 09 Aug 2024
Stefano Giglio, Bryan T. Kelly and Serhiy Kozak
Yale School of Management, Yale SOM and University of Maryland - Robert H. Smith School of Business
Downloads 2,011 (17,189)
Citation 18

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equity strips, risk premia, dividend claims, term structure

Equity Term Structures Without Dividend Strips Data

NBER Working Paper No. w31119
Number of pages: 68 Posted: 10 Apr 2023 Last Revised: 13 Jul 2023
Stefano Giglio, Bryan T. Kelly and Serhiy Kozak
Yale School of Management, Yale SOM and University of Maryland
Downloads 23 (1,153,075)
Citation 11

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10.

No News Is News: Do Markets Underreact to Nothing?

Downloads 1,845 (20,132)
Citation 7

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 1,786 (20,757)

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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 Last Revised: 08 Mar 2023
Stefano Giglio and Kelly Shue
Yale School of Management and Yale School of Management
Downloads 59 (796,039)
Citation 7

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11.

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

Downloads 1,818 (20,574)
Citation 219

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) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,501 (27,077)
Citation 6

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Climate Change, Discounting, Cost-Benefit Analysis, Real Estate

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: 24 Jun 2023
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 200 (326,014)
Citation 75

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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) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 117 (516,660)
Citation 103

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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

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) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
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Citation 35
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asset pricing, climate change, cost-benefit analysis, declining discount rates, environmental economics, real estate

12.

Biodiversity Risk

Downloads 1,621 (24,556)
Citation 2

Biodiversity Risk

Number of pages: 69 Posted: 18 Apr 2023 Last Revised: 13 May 2023
Stefano Giglio, Theresa Kuchler, Johannes Stroebel and Xuran Zeng
Yale School of Management, New York University (NYU), New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,584 (25,025)

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Biodiversity Risk

NBER Working Paper No. w31137
Number of pages: 56 Posted: 17 Apr 2023 Last Revised: 01 May 2023
Stefano Giglio, Theresa Kuchler, Johannes Stroebel and Xuran Zeng
Yale School of Management, New York University (NYU), New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 37 (987,242)
Citation 2

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13.

Thousands of Alpha Tests

Chicago Booth Research Paper No. 18-09, Yale ICF Working Paper No. 2018-16
Number of pages: 91 Posted: 17 Oct 2018 Last Revised: 26 Mar 2020
Stefano Giglio, Yuan Liao and Dacheng Xiu
Yale School of Management, Rutgers, The State University of New Jersey - Department of Economics and University of Chicago - Booth School of Business
Downloads 1,372 (31,439)
Citation 56

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Data Snooping, Multiple Testing, Alpha Testing, Factor Models, Hedge Fund Performance, False Discovery Rate, Machine Learning, Missing Data, Wild-Bootstrap, Matrix Completion

14.

Prediction When Factors are Weak

Downloads 1,364 (31,731)

Prediction When Factors are Weak

Chicago Booth Research Paper No. 23-04
Number of pages: 66 Posted: 30 Mar 2023 Last Revised: 07 Apr 2023
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,015 (47,969)

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Supervised PCA, PCA, PLS, weak factors, marginal screening

Prediction When Factors are Weak

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-47
Number of pages: 77 Posted: 03 Apr 2023
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 349 (184,228)

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Supervised PCA, PCA, PLS, weak factors, marginal screening

15.

The Performance of Italian Family Firms

Downloads 1,055 (46,079)
Citation 4

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 Economics, Yale School of Management and Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 1,015 (47,893)
Citation 4

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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 Economics, Yale School of Management, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 40 (956,421)
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Family firms, corporate performance, management style

16.

Very Long-Run Discount Rates

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Citation 2

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) - Leonard N. Stern School of Business
Downloads 891 (57,405)
Citation 1

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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 Last Revised: 07 Jul 2023
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 111 (538,202)
Citation 1

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17.

Five Facts About Beliefs and Portfolios

Downloads 984 (50,886)
Citation 115

Five Facts About Beliefs and Portfolios

Yale ICF Working Paper No. 2019-05, Wharton Pension Research Council Working Paper No. 2019-07, NYU Stern School of Business
Number of pages: 76 Posted: 08 Mar 2019 Last Revised: 17 Sep 2020
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Stephen P. Utkus
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 719 (76,519)
Citation 8

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

Five Facts About Beliefs and Portfolios

CESifo Working Paper No. 7666
Number of pages: 78 Posted: 25 Jul 2019
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Stephen P. Utkus
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 167 (384,597)

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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 Last Revised: 06 May 2023
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Stephen P. Utkus
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 93 (611,045)
Citation 91

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Five Facts About Beliefs and Portfolios

CEPR Discussion Paper No. DP13657
Number of pages: 72 Posted: 09 Apr 2019 Last Revised: 02 Mar 2020
Matteo Maggiori, Johannes Stroebel, Stefano Giglio and Stephen P. Utkus
Harvard University, New York University (NYU) - Leonard N. Stern School of Business, Yale School of Management and University of Pennsylvania
Downloads 5 (1,366,391)
Citation 16
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18.

Four Facts About ESG Beliefs and Investor Portfolios

Downloads 956 (52,936)
Citation 1

Four Facts About ESG Beliefs and Investor Portfolios

Wharton Pension Research Council Working Paper No. 2023-04
Number of pages: 48 Posted: 11 Apr 2023
Stefano Giglio, Matteo Maggiori, Johannes Stroebel, Zhenhao Tan, Stephen P. Utkus and Xiao Xu
Yale School of Management, Stanford Graduate School of Business, New York University (NYU) - Leonard N. Stern School of Business, Yale University, University of Pennsylvania and Vanguard
Downloads 621 (92,387)

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Surveys, Expectations, Climate Finance, ESG, Sustainable Finance.

Four Facts About ESG Beliefs and Investor Portfolios

Number of pages: 46 Posted: 13 Apr 2023
Stefano Giglio, Matteo Maggiori, Johannes Stroebel, Zhenhao Tan, Stephen P. Utkus, Xiao Xu and Xiao Xu
Yale School of Management, Stanford Graduate School of Business, New York University (NYU) - Leonard N. Stern School of Business, Yale University, University of Pennsylvania and Columbia UniversityColumbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads 308 (211,108)

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Four Facts About ESG Beliefs and Investor Portfolios

NBER Working Paper No. w31114
Number of pages: 47 Posted: 10 Apr 2023 Last Revised: 08 Jul 2023
Stefano Giglio, Matteo Maggiori, Johannes Stroebel, Zhenhao Tan, Stephen P. Utkus and Xiao Xu
Yale School of Management, Stanford Graduate School of Business, New York University (NYU) - Leonard N. Stern School of Business, Yale University, University of Pennsylvania and Vanguard
Downloads 27 (1,101,643)
Citation 1
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19.

An Intertemporal CAPM with Stochastic Volatility

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Citation 40

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 868 (59,512)
Citation 3

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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 Last Revised: 23 Apr 2023
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 79 (676,488)

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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 3 (1,379,145)
Citation 37
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ICAPM, stochastic volatility, time-varying expected returns, value premium

20.

Inside the Mind of a Stock Market Crash

Downloads 809 (66,516)
Citation 2

Inside the Mind of a Stock Market Crash

NBER Working Paper No. w27272
Number of pages: 23 Posted: 02 Jun 2020 Last Revised: 09 Jul 2023
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Stephen P. Utkus
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 491 (123,996)

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Inside the Mind of a Stock Market Crash

CESifo Working Paper No. 8334
Number of pages: 24 Posted: 05 Jun 2020
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Stephen P. Utkus
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 316 (205,251)

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surveys, expectations, sentiment, behavioural finance, trading, rare disasters

Inside the Mind of a Stock Market Crash

CEPR Discussion Paper No. DP14813
Number of pages: 25 Posted: 28 May 2020
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Stephen P. Utkus
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 2 (1,386,022)
Citation 2
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behavioral finance, Expectations, Rare Disasters, sentiment, Surveys, Trading

21.

Hard Times

Downloads 733 (75,809)
Citation 36

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 422 (148,692)

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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 225 (291,060)
Citation 31

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010 Last Revised: 30 Apr 2023
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 86 (642,519)
Citation 5

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22.

Hedging Macroeconomic and Financial Uncertainty and Volatility

Downloads 619 (94,051)
Citation 40

Hedging Macroeconomic and Financial Uncertainty and Volatility

Yale ICF Working Paper No. 2018-21
Number of pages: 62 Posted: 09 Dec 2018 Last Revised: 02 Aug 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 487 (125,237)
Citation 5

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Hedging Macroeconomic and Financial Uncertainty and Volatility

NBER Working Paper No. w26323
Number of pages: 76 Posted: 30 Sep 2019 Last Revised: 05 Jun 2022
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 130 (475,047)

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Hedging Macroeconomic and Financial Uncertainty and Volatility

CEPR Discussion Paper No. DP15239
Number of pages: 88 Posted: 12 Sep 2020
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 2 (1,386,022)
Citation 35
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23.

The Price of Variance Risk

Downloads 516 (118,315)
Citation 30

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 439 (141,947)
Citation 2

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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 Last Revised: 19 May 2023
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 77 (686,722)
Citation 28

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24.

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

Downloads 484 (127,726)
Citation 8

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) - Leonard N. Stern School of Business
Downloads 423 (148,278)
Citation 2

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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 Last Revised: 26 Jan 2023
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 61 (782,265)
Citation 6

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25.

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios

Downloads 441 (142,797)
Citation 9

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios

Number of pages: 53 Posted: 05 Dec 2022
Georgij Alekseev, Stefano Giglio, Quinn Maingi, Julia Selgrad and Johannes Stroebel
New York University (NYU) - Leonard N. Stern School of Business, Yale School of Management, Marshall School of Business - University of Southern California, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 415 (151,581)

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Hedge portfolio, climate risk, demand elasticity, mimicking portfolio

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios

NBER Working Paper No. w30703
Number of pages: 54 Posted: 05 Dec 2022 Last Revised: 24 May 2023
Georgij Alekseev, Stefano Giglio, Quinn Maingi, Julia Selgrad and Johannes Stroebel
New York University (NYU) - Leonard N. Stern School of Business, Yale School of Management, Marshall School of Business - University of Southern California, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 26 (1,114,111)
Citation 9

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26.

Uncertainty Shocks as Second-Moment News Shocks

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Citation 35

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 161 (397,273)
Citation 1

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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 Last Revised: 08 Jan 2023
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 90 (624,131)
Citation 34

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27.

Intangible Capital, Relative Asset Shortages and Bubbles

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Citation 8

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 141 (444,210)

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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 96 (598,594)
Citation 8

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

28.

Taming the Factor Zoo: A Test of New Factors

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Citation 233

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019 Last Revised: 15 Feb 2023
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 204 (320,032)
Citation 6

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Taming the Factor Zoo: A Test of New Factors

CEPR Discussion Paper No. DP14266
Number of pages: 49 Posted: 14 Jan 2020
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityU), Yale School of Management and University of Chicago - Booth School of Business
Downloads 2 (1,386,022)
Citation 227
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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

29.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 15 Aug 2022
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 184 (353,444)
Citation 154

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30.

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 170 (379,136)
Citation 1

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31.

The Collateral Rule: Theory for the Credit Default Swap Market

Number of pages: 24 Posted: 25 Aug 2020
Chuan Du, Agostino Capponi and Stefano Giglio
Board of Governors of the Federal Reserve System, Columbia University - Department of Industrial Engineering and Operations Research and Yale School of Management
Downloads 107 (549,280)
Citation 5

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CDS, Collateral Requirement

32.

Recent Developments in Financial Risk and the Real Economy

Downloads 106 (553,150)
Citation 1

Recent Developments in Financial Risk and the Real Economy

Number of pages: 32 Posted: 29 Nov 2023
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 87 (637,792)

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uncertainty, volatility, skewness, cliquet, options, crash risk, term structure, variance risk premium

Recent Developments in Financial Risk and the Real Economy

NBER Working Paper No. w31878
Number of pages: 34 Posted: 20 Nov 2023
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 19 (1,206,672)
Citation 1
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33.

Asset Pricing in the Frequency Domain: Theory and Empirics

NBER Working Paper No. w19416
Number of pages: 51 Posted: 06 Sep 2013 Last Revised: 22 Jul 2023
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 74 (692,390)
Citation 46

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34.

Climate Transition Risks and the Energy Sector

Number of pages: 75 Posted: 21 Feb 2025
Viral V. Acharya, Viral V. Acharya, Stefano Giglio, Stefano Pastore, Johannes Stroebel, Zhenhao Tan and Tiffany Yong
New York University (NYU) - Leonard N. Stern School of Business, Yale School of Management, New York University (NYU) - Department of Finance, New York University (NYU), Yale University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 67 (731,187)

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35.

Nature Loss and Climate Change: The Twin-Crises Multiplier

Downloads 55 (815,989)

Nature Loss and Climate Change: The Twin-Crises Multiplier

CESifo Working Paper Series No. 11619
Number of pages: 11 Posted: 24 Jan 2025
Stefano Giglio, Theresa Kuchler, Johannes Stroebel and Olivier Wang
Yale School of Management, New York University (NYU), New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 43 (927,213)

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climate change, biodiversity loss

Nature Loss and Climate Change: The Twin-Crises Multiplier

NBER Working Paper No. w33361
Number of pages: 10 Posted: 22 Jan 2025
Stefano Giglio, Theresa Kuchler, Johannes Stroebel and Olivier Wang
Yale School of Management, New York University (NYU), New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 12 (1,310,426)
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36.

Climate Transition Risks and the Energy Sector

CESifo Working Paper No. 11646
Number of pages: 77 Posted: 10 Feb 2025
Viral V. Acharya, Stefano Giglio, Stefano Pastore, Johannes Stroebel, Zhenhao Tan and Tiffany Yong
NYU Stern School of Business, Yale School of Management, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business, Yale University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 52 (830,941)

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climate change, renewable energy, green transition, policy uncertainty, fossil fuel firms, brown firms, carbon tax, drilling restrictions, oil prices

37.

Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data

Downloads 42 (914,592)
Citation 17

Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data

NBER Working Paper No. w27864
Number of pages: 29 Posted: 28 Sep 2020 Last Revised: 03 Apr 2023
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 42 (936,686)

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Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data

CEPR Discussion Paper No. DP16306
Number of pages: 40 Posted: 14 Jul 2021
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
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Citation 17
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38.

The Economics of Biodiversity Loss

NBER Working Paper No. w32678
Number of pages: 66 Posted: 15 Jul 2024
Stefano Giglio, Theresa Kuchler, Johannes Stroebel and Olivier Wang
Yale School of Management, New York University (NYU), New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 31 (1,025,367)
Citation 5
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39.

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 Economics and Yale School of Management
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Fiscal policy, term structure, regime-switching, Bayesian estimation

40.

What Drives Booms and Busts in Value?

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What Drives Booms and Busts in Value?

NBER Working Paper No. w31859
Number of pages: 56 Posted: 14 Nov 2023
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
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What Drives Booms and Busts in Value?

Posted: 23 Mar 2023 Last Revised: 04 Nov 2023
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 0 (118,163)

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Value, intertemporal CAPM, industry decomposition

41.

Risk Preferences Implied by Synthetic Options

NBER Working Paper No. w31833
Number of pages: 67 Posted: 06 Nov 2023
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 16 (1,205,729)
Citation 2
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42.

Climate Transition Risks and the Energy Sector

NBER Working Paper No. w33413
Number of pages: 76 Posted: 04 Feb 2025
Viral V. Acharya, Viral V. Acharya, Stefano Giglio, Stefano Pastore, Johannes Stroebel, Zhenhao Tan and Tiffany Yong
New York University (NYU) - Leonard N. Stern School of Business, Yale School of Management, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business, Yale University and New York University (NYU) - Leonard N. Stern School of Business
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43.

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

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