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Stefano Giglio

Yale School of Management

135 Prospect Street

P.O. Box 208200

New Haven, CT 06520-8200

United States

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  • Yale School of Management

  • National Bureau of Economic Research (NBER)

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

19

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11,041

CITATIONS
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124

Scholarly Papers (19)

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1.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Downloads 2,265 ( 4,457)
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, University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 2,249 (4,411)
Citation 2

Abstract:

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

Systemic Risk and the Macroeconomy: An Empirical Evaluation

NBER Working Paper No. w20963
Number of pages: 64 Posted: 23 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, University of Chicago - Booth School of Business and Arizona State University (ASU) - Finance Department
Downloads 16 (482,195)
Citation 2

Abstract:

2.

Excess Volatility: Beyond Discount Rates

Downloads 1,767 ( 6,865)

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 University of Chicago - Booth School of Business
Downloads 1,753 (6,819)

Abstract:

excess volatility, discount rates, term structure

Excess Volatility: Beyond Discount Rates

NBER Working Paper No. w22045
Number of pages: 86 Posted: 01 Mar 2016
Stefano Giglio and Bryan T. Kelly
Yale School of Management and University of Chicago - Booth School of Business
Downloads 14 (493,957)

Abstract:

3.

No News Is News: Do Markets Underreact to Nothing?

Downloads 1,348 ( 10,725)
Citation 1

No News Is News: Do Markets Underreact to Nothing?

Chicago Booth Research Paper No. 12-41, Fama-Miller Working Paper, Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 73 Posted: 01 Sep 2012 Last Revised: 11 Sep 2014
Stefano Giglio and Kelly Shue
Yale School of Management and University of Chicago - Booth School of Business
Downloads 1,339 (10,615)
Citation 1

Abstract:

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

No News is News: Do Markets Underreact to Nothing?

NBER Working Paper No. w18914
Posted: 22 Mar 2013
Stefano Giglio and Kelly Shue
Yale School of Management and University of Chicago - Booth School of Business
Downloads 9 (522,210)
Citation 1

Abstract:

4.

The Performance of Italian Family Firms

Downloads 921 ( 19,356)
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 890 (19,994)
Citation 8

Abstract:

Family firms, corporate performance, management style

The Performance of Italian Family Firms

CEPR Discussion Paper No. 5786
Number of pages: 32 Posted: 27 Sep 2006
Carlo A. Favero, Stefano Giglio, Maddalena Honorati and Fausto Panunzi
Bocconi University - Department of Finance, Yale School of Management, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 31 (400,994)
Citation 8

Abstract:

Family firms, corporate performance, management style

5.

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

Downloads 730 ( 27,159)

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

Chicago Booth Research Paper No. 17-22
Number of pages: 81 Posted: 05 Aug 2015 Last Revised: 22 Jul 2017
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 676 (29,759)

Abstract:

Climate Change, Discount Rate, Real Estate

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

CESifo Working Paper Series No. 5608
Number of pages: 81 Posted: 21 Dec 2015
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 38 (372,580)

Abstract:

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

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

NBER Working Paper No. w21767
Number of pages: 81 Posted: 30 Nov 2015
Stefano Giglio, Matteo Maggiori, Johannes Stroebel and Andreas Weber
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 16 (482,195)

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) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 0

Abstract:

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

6.

An Intertemporal CAPM with Stochastic Volatility

Downloads 718 ( 27,841)
Citation 16

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 707 (27,973)
Citation 16

Abstract:

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

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411
Number of pages: 61 Posted: 22 Sep 2012
John Y. Campbell, Stefano Giglio, Christopher Polk and Robert Turley
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 11 (511,275)
Citation 16

Abstract:

An Intertemporal CAPM with Stochastic Volatility

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

Abstract:

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

7.

Very Long-Run Discount Rates

Downloads 716 ( 27,942)
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 702 (28,258)
Citation 1

Abstract:

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

Very Long-Run Discount Rates

NBER Working Paper No. w20133
Number of pages: 48 Posted: 19 May 2014
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU)
Downloads 14 (493,957)
Citation 1

Abstract:

8.

Hard Times

Downloads 558 ( 39,038)
Citation 12

Hard Times

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 20 Mar 2011 Last Revised: 24 Dec 2011
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 344 (70,084)
Citation 12

Abstract:

Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
Number of pages: 50 Posted: 13 Sep 2012
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 172 (144,250)
Citation 12

Abstract:

Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 42 (358,160)
Citation 12

Abstract:

9.

The Price of Variance Risk

Downloads 324 ( 75,676)
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, University of North Carolina Kenan-Flagler Business School and Federal Reserve Board
Downloads 312 (78,368)
Citation 1

Abstract:

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

The Price of Variance Risk

NBER Working Paper No. w21182
Number of pages: 74 Posted: 18 May 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, University of North Carolina Kenan-Flagler Business School and Federal Reserve Board
Downloads 12 (505,522)
Citation 1

Abstract:

10.

Inference on Risk Premia in the Presence of Omitted Factors

Downloads 284 ( 87,718)

Inference on Risk Premia in the Presence of Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 53 Posted: 08 Nov 2016 Last Revised: 20 May 2017
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 271 (91,874)

Abstract:

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

Inference on Risk Premia in the Presence of Omitted Factors

NBER Working Paper No. w23527
Number of pages: 76 Posted: 19 Jun 2017
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 13 (505,522)

Abstract:

11.

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

Downloads 283 ( 88,055)

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 276 (90,067)

Abstract:

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

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

NBER Working Paper No. w20154
Number of pages: 89 Posted: 26 May 2014
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU)
Downloads 7 (532,927)

Abstract:

12.

Intangible Capital, Relative Asset Shortages and Bubbles

Downloads 140 (172,010)
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 95 (230,961)
Citation 2

Abstract:

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

Intangible Capital, Relative Asset Shortages and Bubbles

IMF Working Paper No. 11/271
Number of pages: 39 Posted: 20 Dec 2011
Stefano Giglio and Tiago Severo
Yale School of Management and International Monetary Fund (IMF)
Downloads 45 (347,988)
Citation 2

Abstract:

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

13.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009
John Y. Campbell, Stefano Giglio and Parag A. Pathak
Harvard University - Department of Economics, Yale School of Management and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 89 (214,197)
Citation 74

Abstract:

14.

Asset Pricing in the Frequency Domain: Theory and Empirics

Chicago Booth Research Paper No. 15-30, Fama-Miller Working Paper
Number of pages: 66 Posted: 13 Aug 2015
Ian L. Dew-Becker and Stefano Giglio
Northwestern University - Department of Economics and Yale School of Management
Downloads 42 (227,786)
Citation 3

Abstract:

15.

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

CEPR Discussion Paper No. 5793
Number of pages: 41 Posted: 10 Oct 2006
Carlo A. Favero and Stefano Giglio
Bocconi University - Department of Finance and Yale School of Management
Downloads 25 (418,263)
Citation 1

Abstract:

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

16.

Asset Pricing in the Frequency Domain: Theory and Empirics

NBER Working Paper No. w19416
Number of pages: 51 Posted: 06 Sep 2013
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 9 (485,351)
Citation 3

Abstract:

17.

Uncertainty Shocks as Second-Moment News Shocks

Number of pages: 64 Posted: 12 Jun 2017
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 0 (404,141)

Abstract:

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

18.

Taming the Factor Zoo

Number of pages: 56 Posted: 20 Mar 2017 Last Revised: 05 Apr 2017
Guanhao Feng, Stefano Giglio and Dacheng Xiu
University of Chicago, Booth School of Business, Students, Yale School of Management and University of Chicago - Booth School of Business
Downloads 0 (27,617)

Abstract:

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

19.

Credit Default Swap Spreads and Systemic Financial Risk

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

Abstract:

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