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

SCHOLARLY PAPERS

25

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15,683

CITATIONS
Rank 4,090

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Top 4,090

in Total Papers Citations

132

Scholarly Papers (25)

1.

Taming the Factor Zoo: A Test of New Factors

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

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

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,493 (4,720)
Citation 2

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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
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 27 (484,608)
Citation 2

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Excess Volatility: Beyond Discount Rates

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-13
Number of pages: 70 Posted: 06 Mar 2015 Last Revised: 18 Jan 2017
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 2,262 (5,549)

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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
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 17 (546,045)

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4.
Downloads 1,512 ( 11,112)
Citation 2

No News Is News: Do Markets Underreact to Nothing?

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

Abstract:

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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
Stefano Giglio and Kelly Shue
Yale School of Management and Yale School of Management
Downloads 14 (565,239)
Citation 2

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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
Yale School of Management, Harvard University, Stanford University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 965 (21,764)

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

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

CESifo Working Paper Series No. 5608
Number of pages: 81 Posted: 21 Dec 2015
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 44 (407,746)

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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

NBER Working Paper No. w21767
Number of pages: 81 Posted: 30 Nov 2015 Last Revised: 02 Dec 2015
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
Downloads 18 (539,689)

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

CEPR Discussion Paper No. DP10958
Number of pages: 83 Posted: 01 Dec 2015
Yale School of Management, Harvard University, New York University (NYU) and New York University (NYU) - Leonard N. Stern School of Business
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asset pricing, climate change, cost-benefit analysis, declining discount rates, environmental economics, real estate

6.
Downloads 948 ( 22,752)
Citation 8

The Performance of Italian Family Firms

ECGI - Finance Working Paper No. 127/2006
Number of pages: 34 Posted: 21 Jul 2006
Bocconi University - Department of Economics, Bocconi University - Department of Finance, Yale School of Management and Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 917 (23,444)
Citation 8

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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
Bocconi University - Department of Finance, Yale School of Management, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 31 (463,544)
Citation 8
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Family firms, corporate performance, management style

7.
Downloads 779 ( 30,071)
Citation 18

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 767 (30,235)
Citation 18

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

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An Intertemporal CAPM with Stochastic Volatility

CEPR Discussion Paper No. DP10681
Number of pages: 62 Posted: 29 Jun 2015
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Dodge & Cox Funds
Downloads 0
Citation 18
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ICAPM, stochastic volatility, time-varying expected returns, value premium

8.
Downloads 765 ( 30,842)
Citation 1

Very Long-Run Discount Rates

Fama-Miller Working Paper
Number of pages: 106 Posted: 28 Oct 2013 Last Revised: 03 Nov 2014
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU)
Downloads 743 (31,618)
Citation 1

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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
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU)
Downloads 22 (514,559)
Citation 1

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9.
Downloads 581 ( 44,626)
Citation 13

Hard Times

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 20 Mar 2011 Last Revised: 24 Dec 2011
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 351 (82,036)
Citation 13

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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 183 (160,928)
Citation 13

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 47 (396,734)
Citation 13

Abstract:

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10.
Downloads 502 ( 53,713)

Asset Pricing with Omitted Factors

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

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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
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 13 (571,786)
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11.
Downloads 447 ( 62,424)

Hedging Climate Change News

Number of pages: 43 Posted: 17 Jan 2019 Last Revised: 16 May 2019
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, New York University (NYU) - Leonard N. Stern School of Business, Students, Yale SOM and New York University (NYU)
Downloads 432 (64,481)

Abstract:

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Climate Risk, Hedge Portfolio

Hedging Climate Change News

NBER Working Paper No. w25734
Number of pages: 47 Posted: 08 Apr 2019
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU)
Downloads 14 (565,239)
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Hedging Climate Change News

CEPR Discussion Paper No. DP13730
Number of pages: 49 Posted: 22 May 2019
New York University - Leonard N. Stern School of Business - Department of Economics, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU)
Downloads 1 (664,922)
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12.
Downloads 359 ( 80,554)
Citation 1

The Price of Variance Risk

Chicago Booth Research Paper No. 15-31, Fama-Miller Working Paper
Number of pages: 74 Posted: 26 Jul 2014 Last Revised: 09 Oct 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 343 (84,328)
Citation 1

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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
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 16 (552,392)
Citation 1

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

Fama-Miller Working Paper
Number of pages: 97 Posted: 17 May 2014 Last Revised: 21 Oct 2015
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU)
Downloads 319 (91,512)

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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
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU)
Downloads 9 (598,010)

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14.

Thousands of Alpha Tests

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

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

15.

The Collateral Rule: An Empirical Analysis of the CDS Market

Number of pages: 57 Posted: 14 Nov 2017
Columbia University, AQR Capital Management, LLC, Yale School of Management and Commodity Futures Trading Commission (CFTC)
Downloads 172 (170,134)

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

Intangible Capital, Relative Asset Shortages and Bubbles

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

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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 50 (386,042)
Citation 2

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

Five Facts About Beliefs and Portfolios

Number of pages: 76 Posted: 08 Mar 2019 Last Revised: 06 Apr 2019
Yale School of Management, Harvard University, New York University (NYU) and Vanguard Center for Investor Research
Downloads 103 (255,797)

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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
Yale School of Management, Harvard University, New York University (NYU) and Vanguard Center for Investor Research
Downloads 12 (578,349)
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Five Facts About Beliefs and Portfolios

CEPR Discussion Paper No. DP13657
Number of pages: 79 Posted: 09 Apr 2019
Harvard University, New York University (NYU), Yale School of Management and Vanguard Center for Investor Research
Downloads 2 (651,106)
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18.

Forced Sales and House Prices

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

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19.

Asset Pricing in the Frequency Domain: Theory and Empirics

Chicago Booth Research Paper No. 15-30, Fama-Miller Working Paper
Number of pages: 66 Posted: 13 Aug 2015
Ian L. Dew-Becker and Stefano Giglio
Northwestern University - Department of Economics and Yale School of Management
Downloads 109 (244,385)
Citation 4

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Uncertainty Shocks as Second-Moment News Shocks

Number of pages: 64 Posted: 12 Jun 2017
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 85 (290,230)

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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
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 16 (552,392)
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21.

Hedging Macroeconomic and Financial Uncertainty and Volatility

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

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22.

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

CEPR Discussion Paper No. 5793
Number of pages: 41 Posted: 10 Oct 2006
Carlo A. Favero and Stefano Giglio
Bocconi University - Department of Finance and Yale School of Management
Downloads 25 (481,933)
Citation 1
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Fiscal policy, term structure, regime-switching, Bayesian estimation

23.

Asset Pricing in the Frequency Domain: Theory and Empirics

NBER Working Paper No. w19416
Number of pages: 51 Posted: 06 Sep 2013
Ian Dew-Becker and Stefano Giglio
Downloads 14 (543,959)
Citation 4

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24.

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 8 (579,523)
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25.

Credit Default Swap Spreads and Systemic Financial Risk

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

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