Author Page for Stefano Giglio

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

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Citation 38

Abstract:

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 173 (295,497)

Citation 15

Abstract:

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 138 (356,980)

Citation 6

Abstract:

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

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Citation 166

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Abstract:

3.

Climate Finance

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Citation 114

5

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

Abstract:

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

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Citation 30

Abstract:

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 245 (214,657)

Abstract:

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

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Citation 1

Abstract:

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

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Citation 83

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Abstract:

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

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Citation 18

Abstract:

5.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

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Citation 136

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

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Citation 10

Abstract:

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

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Citation 39

Abstract:

6.

Excess Volatility: Beyond Discount Rates

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Citation 46

2

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

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Citation 22

Abstract:

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

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Citation 3

Abstract:

7.

Test Assets and Weak Factors

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Citation 5

4

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 2,158 (12,269)

Abstract:

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 56 (643,614)

Abstract:

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

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Abstract:

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

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Citation 3

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Abstract:

8.

Asset Pricing with Omitted Factors

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Citation 106

2

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 1,640 (18,928)

Citation 11

Abstract:

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

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Citation 3

Abstract:

9.

No News Is News: Do Markets Underreact to Nothing?

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Citation 35

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

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Citation 1

Abstract:

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

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Citation 7

Abstract:

10.

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

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Citation 170

4

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

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Citation 5

Abstract:

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

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Citation 57

Abstract:

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

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Citation 93

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

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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Abstract:

11.

Equity Term Structures without Dividend Strips Data

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Citation 18

2

Equity Term Structures without Dividend Strips Data

Number of pages: 67 Posted: 12 Mar 2020 Last Revised: 03 Apr 2023

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 1,490 (21,920)

Citation 11

Abstract:

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

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Citation 7

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Abstract:

12.

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

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Citation 43

Abstract:

13.

The Performance of Italian Family Firms

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Citation 2

2

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)

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Citation 4

Abstract:

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

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14.

Very Long-Run Discount Rates

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Citation 1

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

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Citation 1

Abstract:

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

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Citation 1

Abstract:

15.

An Intertemporal CAPM with Stochastic Volatility

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Citation 113

3

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 841 (49,827)

Citation 3

Abstract:

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 52 (661,158)

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, Yale School of Management, London School of Economics and Dodge & Cox Funds

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Citation 37

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16.

Five Facts About Beliefs and Portfolios

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Citation 81

4

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 634 (72,425)

Citation 4

Abstract:

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 138 (356,980)

Abstract:

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 57 (632,441)

Citation 82

Abstract:

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

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Citation 16

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17.

Inside the Mind of a Stock Market Crash

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Citation 4

3

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 433 (115,619)

Abstract:

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 273 (191,920)

Abstract:

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

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Citation 2

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Abstract:

18.

Hard Times

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Citation 29

3

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 399 (127,327)

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, Yale School of Management and London School of Economics

Downloads 211 (246,906)

Citation 24

Abstract:

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

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Citation 5

Abstract:

19.

Prediction When Factors are Weak

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Citation 2

2

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 506 (96,239)

Abstract:

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

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Abstract:

20.

Four Facts About ESG Beliefs and Investor Portfolios

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3

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 376 (136,211)

Abstract:

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 168 (302,983)

Abstract:

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

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21.

The Price of Variance Risk

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Citation 83

2

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

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Citation 1

Abstract:

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

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Citation 28

Abstract:

22.

Hedging Macroeconomic and Financial Uncertainty and Volatility

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Citation 26

3

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 397 (128,054)

Citation 4

Abstract:

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 53 (655,238)

Abstract:

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

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Citation 24

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23.

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

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Citation 27

2

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 388 (131,428)

Citation 2

Abstract:

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

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Citation 6

Abstract:

24.

Biodiversity Risk

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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 308 (169,719)

Abstract:

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

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25.

Intangible Capital, Relative Asset Shortages and Bubbles

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Citation 15

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 129 (376,245)

Abstract:

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)

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Citation 4

Abstract:

26.

Uncertainty Shocks as Second-Moment News Shocks

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Citation 71

2

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 139 (356,980)

Abstract:

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

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Citation 34

Abstract:

27.

A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios

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Citation 4

2

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, New York University (NYU) - New York 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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Abstract:

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, New York University (NYU) - New York 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 4

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28.

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 165 (307,708)

Citation 116

Abstract:

29.

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 150 (333,355)

Citation 1

Abstract:

30.

Taming the Factor Zoo: A Test of New Factors

Downloads 136 (360,261)

Citation 199

2

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 135 (363,189)

Citation 6

Abstract:

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

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Citation 164

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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

Yale University, Columbia University - Department of Industrial Engineering and Operations Research and Yale School of Management

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Citation 4

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32.

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

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Citation 36

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33.

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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

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Abstract:

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

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34.

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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35.

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

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Citation 13

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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

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Abstract:

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 11

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36.

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

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37.

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

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38.

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

Stefano Giglio

Yale School of Management

National Bureau of Economic Research (NBER)

Centre for Economic Policy Research (CEPR)

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