Stefano Giglio

Yale School of Management

135 Prospect Street

P.O. Box 208200

New Haven, CT 06520-8200

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • Yale School of Management

  • National Bureau of Economic Research (NBER)

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

31

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712

Scholarly Papers (31)

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1.

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 4,751 (2,707)

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

2.

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 3,769 (3,986)
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

3.

Climate Finance

Downloads 3,515 ( 4,496)
Citation 4

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 3,279 (4,993)
Citation 2

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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 214 (198,562)

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Climate Finance

NBER Working Paper No. w28226
Number of pages: 32 Posted: 21 Dec 2020 Last Revised: 18 Feb 2022
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 19 (733,608)
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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 3 (900,336)
Citation 3
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4.

Hedging Climate Change News

Downloads 3,468 ( 4,608)
Citation 45

Hedging Climate Change News

Yale ICF Working Paper No. 2019-02
Number of pages: 43 Posted: 17 Jan 2019 Last Revised: 02 Aug 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 3,236 (5,094)
Citation 12

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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 136 (292,907)
Citation 7

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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: 25 Apr 2022
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 94 (380,219)
Citation 2

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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 2 (915,112)
Citation 36
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5.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Downloads 2,732 ( 6,846)
Citation 100

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 2,679 (6,930)
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 2022
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 53 (520,270)
Citation 39

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6.

Excess Volatility: Beyond Discount Rates

Downloads 2,578 ( 7,519)
Citation 26

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 2,545 (7,543)
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: 28 Mar 2021
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 33 (626,784)
Citation 3

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7.

No News Is News: Do Markets Underreact to Nothing?

Downloads 1,618 ( 15,812)
Citation 21

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 1,595 (15,870)

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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: 07 Mar 2022
Stefano Giglio and Kelly Shue
Yale School of Management and Yale School of Management
Downloads 23 (699,615)
Citation 7

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8.

Test Assets and Weak Factors

Downloads 1,532 ( 17,240)
Citation 1

Test Assets and Weak Factors

Chicago Booth Research Paper 21-04
Number of pages: 110 Posted: 20 Jan 2021 Last Revised: 23 Jun 2022
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 1,485 (17,695)

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

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 37 (602,117)

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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 2022
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 10 (820,175)
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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 and University of Chicago - Booth School of Business
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9.

Asset Pricing with Omitted Factors

Downloads 1,463 ( 18,411)
Citation 26

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 1,384 (19,654)
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 2022
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 79 (423,045)
Citation 3

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10.

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

Downloads 1,363 ( 20,438)
Citation 74

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 1,249 (22,942)
Citation 4

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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 2022
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 60 (490,716)
Citation 23

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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 54 (515,763)

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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
Downloads 0
Citation 35
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asset pricing, climate change, cost-benefit analysis, declining discount rates, environmental economics, real estate

11.

The Performance of Italian Family Firms

Downloads 995 ( 32,392)
Citation 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 Finance, Yale School of Management and Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 964 (33,395)
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 Finance, Yale School of Management, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 31 (639,807)
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Family firms, corporate performance, management style

12.

Very Long-Run Discount Rates

Downloads 863 ( 39,623)
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) - Leonard N. Stern School of Business
Downloads 793 (43,789)
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 2022
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 70 (452,987)
Citation 1

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13.

An Intertemporal CAPM with Stochastic Volatility

Downloads 853 ( 40,223)
Citation 75

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 822 (41,758)
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 2022
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 30 (646,689)

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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 1 (931,728)
Citation 37
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ICAPM, stochastic volatility, time-varying expected returns, value premium

14.

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 - New Brunswick/Piscataway and University of Chicago - Booth School of Business
Downloads 825 (42,122)
Citation 19

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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

15.

Equity Term Structures without Dividend Strips Data

Number of pages: 46 Posted: 12 Mar 2020 Last Revised: 24 Mar 2021
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 804 (43,596)
Citation 11

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equity strips, risk premia, dividend claims, term structure

16.

Five Facts About Beliefs and Portfolios

Downloads 656 ( 56,999)
Citation 22

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 511 (77,322)
Citation 5

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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 117 (327,686)

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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: 07 May 2022
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 26 (675,818)
Citation 1

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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 2 (915,112)
Citation 16
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17.

Inside the Mind of a Stock Market Crash

Downloads 643 ( 58,477)
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 2022
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 396 (104,587)

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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 246 (173,571)

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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 1 (931,728)
Citation 2
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behavioral finance, Expectations, Rare Disasters, sentiment, Surveys, Trading

18.

Hard Times

Downloads 622 ( 61,013)
Citation 21

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 371 (112,663)

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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 192 (219,399)
Citation 15

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010 Last Revised: 30 Apr 2022
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 59 (494,712)
Citation 5

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19.

The Price of Variance Risk

Downloads 422 ( 97,995)
Citation 54

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 393 (105,485)
Citation 1

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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 2022
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 29 (653,622)
Citation 28

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20.

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

Downloads 371 (113,491)
Citation 26

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 354 (118,836)
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: 28 Jul 2022
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 17 (751,483)
Citation 6

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21.

Hedging Macroeconomic and Financial Uncertainty and Volatility

Downloads 368 (114,588)
Citation 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 330 (128,383)
Citation 3

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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 37 (602,117)

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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 1 (931,728)
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22.

Intangible Capital, Relative Asset Shortages and Bubbles

Downloads 173 (240,078)
Citation 14

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 106 (351,318)

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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 67 (463,699)
Citation 3

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

23.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 14 Feb 2021
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 142 (282,139)
Citation 57

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24.

Uncertainty Shocks as Second-Moment News Shocks

Downloads 139 (286,950)
Citation 36

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 115 (331,722)

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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: 10 Jul 2022
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 24 (691,563)
Citation 34

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25.

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 128 (305,533)
Citation 1

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26.

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 and Yale School of Management
Downloads 69 (450,778)
Citation 1

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CDS, Collateral Requirement

27.

Taming the Factor Zoo: A Test of New Factors

Downloads 57 (495,144)
Citation 70

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019 Last Revised: 14 Feb 2022
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 56 (507,168)
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 1 (931,728)
Citation 64
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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

28.

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 2022
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
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Citation 14

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29.

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

30.

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

Downloads 11 (780,705)
Citation 1

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: 19 Feb 2022
Ian Dew-Becker and Stefano Giglio
Kellogg School of Management - Department of Finance and Yale School of Management
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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 1
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31.

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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