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Stefano Giglio

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Stefano Giglio & Kelly Shue, 2013. "No News is News: Do Markets Underreact to Nothing?," NBER Working Papers 18914, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Something happening in reaction to nothing
      by Economic Logician in Economic Logic on 2013-04-15 19:55:00
  2. Stefano Giglio & Bryan T. Kelly & Johannes Stroebel, 2020. "Climate Finance," NBER Working Papers 28226, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Climate Finance
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10
  3. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very Long-Run Discount Rates," NBER Working Papers 20133, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. How much is our distant future worth?
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2014-08-11 17:10:42
    2. Climate Finance
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10
  4. Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo & Weber, Andreas, 2015. "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CEPR Discussion Papers 10958, C.E.P.R. Discussion Papers.

    Mentioned in:

    1. Climate Finance
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10
  5. Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. The mythic quest for early warnings
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2015-04-13 17:40:01
  6. Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020. "Hedging Climate Change News," The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.

    Mentioned in:

    1. Climate Finance
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2015. "Editor's Choice Very Long-Run Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(1), pages 1-53.

    Mentioned in:

    1. > Environmental and Natural Resource Economics > Climate economics > Discounting
  2. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020. "Inside the Mind of a Stock Market Crash," CESifo Working Paper Series 8334, CESifo.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Economic consequences > Stock market

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. John Y. Campbell & Stefano Giglio & Parag Pathak, 2011. "Forced Sales and House Prices," American Economic Review, American Economic Association, vol. 101(5), pages 2108-2131, August.

    Mentioned in:

    1. Forced Sales and House Prices (AER 2011) in ReplicationWiki ()

Working papers

  1. Viral V. Acharya & Stefano Giglio & Stefano Pastore & Johannes Stroebel & Zhenhao Tan & Tiffany Yong, 2025. "Climate Transition Risks and the Energy Sector," CESifo Working Paper Series 11646, CESifo.

    Cited by:

    1. Hochmuth, Philipp & Krusell, Per & Mitman, Kurt, 2025. "Distributional Consequences of Becoming Climate-Neutral," IZA Discussion Papers 17861, IZA Network @ LISER.
    2. Martín Saldias & Roberto Panzica, 2025. "Uncovering transition risk: A new stress testing approach for the banking sector," Working Papers w202520, Banco de Portugal, Economics and Research Department.

  2. Stefano Giglio & Matteo Maggiori & Joachim Rillo & Johannes Stroebel & Stephen P. Utkus & Xiao Xu, 2025. "Investor Beliefs and Expectation Formation," NBER Working Papers 34446, National Bureau of Economic Research, Inc.

    Cited by:

    1. Giuseppe Matera, 2025. "Corporate Earnings Calls and Analyst Beliefs," Papers 2511.15214, arXiv.org, revised Nov 2025.
    2. Heeb, Florian & Kölbel, Julian & Weder, Camilla, 2025. "Beliefs about the climate impact of green investing," SAFE Working Paper Series 463, Leibniz Institute for Financial Research SAFE.

  3. Stefano Giglio & Theresa Kuchler & Johannes Stroebel & Olivier Wang, 2025. "Nature and Biodiversity Loss: A Research Agenda for Financial Economics," NBER Working Papers 34286, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ottmar Edenhofer & Max Franks, 2026. "Carbon, Natural Capital and the Option Values of Climate Policies," CESifo Working Paper Series 12426, CESifo.

  4. Stefano Giglio & Theresa Kuchler & Johannes Stroebel & Olivier Wang, 2025. "Nature Loss and Climate Change: The Twin-Crises Multiplier," CESifo Working Paper Series 11619, CESifo.

    Cited by:

    1. Benmir, Ghassane & Mori, Aditya & Roman, Josselin & Tarsia, Romano, 2025. "Beneath the trees: the influence of natural capital on shadow price dynamics in a macroeconomic model with uncertainty," LSE Research Online Documents on Economics 128516, London School of Economics and Political Science, LSE Library.
    2. Ottmar Edenhofer & Max Franks, 2026. "Carbon, Natural Capital and the Option Values of Climate Policies," CESifo Working Paper Series 12426, CESifo.

  5. Giglio, Stefano & Kuchler, Theresa & Ströbel, Johannes & Wang, Olivier, 2024. "The Economics of Biodiversity Loss," CEPR Discussion Papers 19277, C.E.P.R. Discussion Papers.

    Cited by:

    1. Johan Gars & Daniel Spiro & Gustav Engström & Steven J. Lade, 2025. "Integrated Assessment of Biodiversity and Agriculture," CESifo Working Paper Series 11814, CESifo.
    2. Hirschbühl, Dominik & Ceglar, Andrej & Emambakhsh, Tina & Pasqua, Carlo & Cojoianu, Theodor & Qi, Yifan & Rho, Caterina & Hu, Elsie & Petracco, Marco & Biganzoli, Fabrizio & de Jager, Alfred & Herrero, 2025. "The climate-biodiversity-pollution nexus: the pricing of environmental credit risks for European," Working Paper Series 3164, European Central Bank.
    3. Camille Fabre & Paul Vertier, 2024. "The Economic Challenges of Biodiversity Loss in Africa and Measures Implemented to Limit It," Working papers 984, Banque de France.
    4. Hirschbuehl Dominik & Ceglar Andrej & Cojoianu Theodor & Emambakhsh Tina & Qi Yifan & Rho Caterina & Hu Elsie & Petracco Marco & Biganzoli Fabrizio & De Jager Alfred & Garcia Herrero Laura & Mandrici , 2025. "The Climate-Biodiversity-Pollution Nexus: The pricing of environmental credit risks for European industrial polluters," JRC Working Papers in Economics and Finance 2025-10, Joint Research Centre, European Commission.
    5. Zhou, Yang & Lucey, Brian M. & He, Feng, 2025. "Dividend payouts and biodiversity risk — Chinese evidence," Research in International Business and Finance, Elsevier, vol. 76(C).
    6. Zhang, Min & Chen, Guorong & Deng, Jing, 2025. "Does biodiversity attention affect risk spillover in the AFHF sectors?—Evidence from Chinese stock markets," Finance Research Letters, Elsevier, vol. 82(C).
    7. Georgarakos, Dimitris & Kenny, Geoff & Meyer, Justus & van Rooij, Maarten, 2025. "How do rising temperatures affect inflation expectations?," Working Paper Series 3132, European Central Bank.
    8. Ottmar Edenhofer & Max Franks, 2026. "Carbon, Natural Capital and the Option Values of Climate Policies," CESifo Working Paper Series 12426, CESifo.
    9. He, Feng & Chen, Longxuan & Lucey, Brian M., 2024. "Chinese corporate biodiversity exposure," Finance Research Letters, Elsevier, vol. 70(C).

  6. Giglio, Stefano & Maggiori, Matteo & Ströbel, Johannes & Tan, Zhenhao & Utkus, Stephen & Xu, Xiao, 2023. "Four Facts about ESG Beliefs and Investor Portfolios," CEPR Discussion Papers 18052, C.E.P.R. Discussion Papers.

    Cited by:

    1. Montagnoli, Alberto & Taylor, Karl, 2024. "Who Cares about Investing Responsibly? Attitudes and Financial Decisions," IZA Discussion Papers 16952, IZA Network @ LISER.
    2. Auzepy, Alix & Bannier, Christina E. & Gärtner, Florian, 2024. "Looking beyond ESG preferences: The role of sustainable finance literacy in sustainable investing," CFS Working Paper Series 719, Center for Financial Studies (CFS).
    3. Heeb, Florian & Kölbel, Julian & Ramelli, Stefano & Vasileva, Anna, 2024. "Green investing and political behavior," SAFE Working Paper Series 438, Leibniz Institute for Financial Research SAFE.
    4. Zwetelina Iliewa & Elisabeth Kempf & Oliver Spalt, 2025. "Corporate Actions as Moral Issues," CESifo Working Paper Series 11854, CESifo.
    5. Ali Hassan & Jean-Baptiste Hasse & Christelle Lecourt, 2025. "Is Impact Investor Behavior Different ?," AMSE Working Papers 2521, Aix-Marseille School of Economics, France.
    6. Li, Qianqian & Watts, Edward M. & Zhu, Christina, 2024. "Retail investors and ESG news," Journal of Accounting and Economics, Elsevier, vol. 78(2).
    7. Benuzzi, Matteo & Klaser, Klaudijo & Bax, Karoline, 2024. "Which ESG+F dimension matters most to retail investors? An experimental study on financial decisions and future generations," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    8. Gao, Jingzhe & Wei, Haixiao, 2025. "Impact of differentiated green incentive policies on traditional and certified green product markets," International Review of Financial Analysis, Elsevier, vol. 106(C).
    9. Masayuki KEIDA & Yosuke TAKEDA, 2024. "How Loud is a Soft Voice? Effects of positive screening of ESG performance on the Japanese oil companies," Discussion papers 24002, Research Institute of Economy, Trade and Industry (RIETI).
    10. Meyer, Julia, 2024. "Do sustainably managed pension savings foster sustainable investments? Evidence from a field experiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 44(C).
    11. Campiglio, Emanuele & Lamperti, Francesco & Terranova, Roberta, 2024. "Believe me when I say green! Heterogeneous expectations and climate policy uncertainty," LSE Research Online Documents on Economics 124234, London School of Economics and Political Science, LSE Library.
    12. Horn, Matthias & Oehler, Andreas, 2024. "Constructing stock portfolios by sorting on ESG ratings: Does the rating provider matter?," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    13. Giglio, Stefano & Kuchler, Theresa & Stroebel, Johannes & Zeng, Xuran, 2023. "Biodiversity Risk," SocArXiv n7pbj, Center for Open Science.
    14. Badenhoop, Nikolai & Mücke, Christian, 2025. "Do investors care about sustainable investment targets? An assessment using the sustainable finance disclosure regulation," SAFE Working Paper Series 457, Leibniz Institute for Financial Research SAFE.
    15. Elisa Bocchialini & Demetrio Miloslavo Bova & Ilaria Colivicchi & Federica Ielasi, 2024. "Environmental-, Social-, and Governance-Oriented Pension Funds for Young Contributors: A Win–Win Option," Sustainability, MDPI, vol. 16(24), pages 1-19, December.
    16. Zwetelina Iliewa & Elisabeth Kempf & Oliver Spalt, 2025. "Corporate Actions as Moral Issues," CRC TR 224 Discussion Paper Series crctr224_2025_649v2, University of Bonn and University of Mannheim, Germany, revised Apr 2025.
    17. Shahriari, Hesam & Stivers, Adam & Tsang, Ming, 2025. "Bias in cryptocurrency investing: The effect of financial and moral considerations," Journal of Behavioral and Experimental Finance, Elsevier, vol. 47(C).
    18. Ouyang, Xiaoling & Yang, Yuchuan & Du, Kerui, 2024. "Impact of CSR on stock return resilience during the 2020 public health emergency: Evidence from the Chinese financial market," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    19. Dangl, Thomas & Halling, Michael & Yu, Jin & Zechner, Josef, 2025. "Social preferences and corporate investment," Journal of Financial Economics, Elsevier, vol. 172(C).
    20. Zhang, Jinlong & Qi, Fengyu & Wu, Mingyue, 2025. "Market-oriented environmental regulation and ESG rating divergence," Research in International Business and Finance, Elsevier, vol. 79(C).
    21. Richard Bofinger & Simon Cornée & Ariane Szafarz, 2024. "When in Rome, Do as the Romans Do: Disclosure Regulation and ESG Fund Management by Social and Conventional Banks," Working Papers CEB 24-003, ULB -- Universite Libre de Bruxelles.
    22. Gormsen, Niels Joachim & Huber, Kilian & Oh, Sangmin S., 2024. "Climate capitalists," Working Paper Series 2990, European Central Bank.
    23. Heeb, Florian & Kölbel, Julian & Weder, Camilla, 2025. "Beliefs about the climate impact of green investing," SAFE Working Paper Series 463, Leibniz Institute for Financial Research SAFE.
    24. Rudkin, Wanling & Cai, Charlie X. & Zhou, You, 2025. "Can we enhance investment with ESG?," International Review of Financial Analysis, Elsevier, vol. 97(C).
    25. Bachmann, Kremena & Meyer, Julia & Krauss, Annette, 2024. "Investment motives and performance expectations of impact investors," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    26. Clément Mazet-Sonilhac & Jean-Stéphane Mésonnier, 2024. "Some Don't Like it Hot: Bank Depositors and NGO Campaigns Against Brown Banks," Working papers 968, Banque de France.
    27. Bucher-Koenen, Tabea & Herforth, Anna-Lena & Kirschenmann, Karolin & Ravanbakhshhabibabadi, Monireh, 2025. "Financing the green transition: The role of private capital," ZEW policy briefs 04/2025, ZEW - Leibniz Centre for European Economic Research.
    28. Chau, Le & Anh, Le & Duc, Vo, 2025. "Valuing ESG: How financial markets respond to corporate sustainability," International Business Review, Elsevier, vol. 34(3).
    29. He, Yali & Jiang, Tianqi & Suo, Yuanlu & Wang, Zhao, 2025. "Cross-industry knowledge spillovers through shared analyst coverage: Evidence from green technologies," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    30. Feng He & Lin Duan & Jing Hao, 2025. "The impact of managerial climate attention on corporate ESG performance—evidence from China," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-12, December.
    31. Chen, Shaowei & Wu, Zhiliang, 2025. "Corporate ESG performance and stock pricing efficiency," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
    32. Cahen-Fourot, Louison & Campiglio, Emanuele & Daumas, Louis & Miess, Michael Gregor & Yardley, Andrew, 2023. "Stranding ahoy? Heterogeneous transition beliefs and capital investment choices," Journal of Economic Behavior & Organization, Elsevier, vol. 216(C), pages 535-567.
    33. Nagy, Attila Zoltán & Steiner, Beatrix, 2025. "Fenntarthatóság vagy hozam?. Mekkora áldozatot vállalnak a befektetők a felelős jövőért? [Sustainability or return?. How much are investors willing to sacrifice for a responsible future?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 919-938.

  7. Stefano Giglio & Bryan T. Kelly & Serhiy Kozak, 2023. "Equity Term Structures without Dividend Strips Data," NBER Working Papers 31119, National Bureau of Economic Research, Inc.

    Cited by:

    1. Prat, Georges & Le Bris, David, 2024. "Term structure of equity risk premia in rough terrain: 150 years of the French stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
    2. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
    3. Li, Kai & Xu, Chenjie, 2024. "Intermediary-based equity term structure," Journal of Financial Economics, Elsevier, vol. 157(C).
    4. Chibane, Messaoud & Poncet, Patrice, 2025. "Housing rare disaster events and asset prices," Economic Modelling, Elsevier, vol. 147(C).
    5. Galindo Gil, Hamilton, 2025. "The role of external habits and preference heterogeneity in the equity term structure," Journal of Economic Dynamics and Control, Elsevier, vol. 178(C).

  8. Giglio, Stefano & Kuchler, Theresa & Ströbel, Johannes & Zeng, Xuran, 2023. "Biodiversity Risk," CEPR Discussion Papers 18626, C.E.P.R. Discussion Papers.

    Cited by:

    1. Chen, Luoye & Li, Tao & Zhang, Yi, 2025. "Municipal Finance and Biodiversity Conservation," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO 360756, Agricultural and Applied Economics Association.

  9. John Y. Campbell & Stefano Giglio & Christopher Polk, 2023. "What Drives Booms and Busts in Value?," NBER Working Papers 31859, National Bureau of Economic Research, Inc.

    Cited by:

    1. Rubio, Gonzalo & Serrano, Pedro & Vaello-Sebastià, Antoni, 2023. "The international integration of the term structure of expected market risk premia," Finance Research Letters, Elsevier, vol. 58(PD).
    2. Bordalo, Pedro & Gennaioli, Nicola & La Porta, Rafael & Shleifer, Andrei, 2025. "Finance without exotic risk," Journal of Financial Economics, Elsevier, vol. 173(C).
    3. Siddiqi, Hammad, 2022. "Asset Pricing in the Resource-Constrained Brain," MPRA Paper 120526, University Library of Munich, Germany, revised 05 Feb 2024.

  10. Georgij Alekseev & Stefano Giglio & Quinn Maingi & Julia Selgrad & Johannes Stroebel, 2022. "A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios," NBER Working Papers 30703, National Bureau of Economic Research, Inc.

    Cited by:

    1. Elie Bouri & Tom L. Dudda & Lavinia Rognone & Thomas Walther, 2025. "Climate risk and the nexus of clean energy and technology stocks," Annals of Operations Research, Springer, vol. 347(1), pages 445-469, April.
    2. Wang, Qiao, 2024. "Carbon pricing and the commodity risk premium," Journal of Commodity Markets, Elsevier, vol. 36(C).
    3. Fang, Fei & Parida, Sitikantha, 2025. "Mutual fund investor response to climate activism: Evidence from the 2019 Global Climate Strike," Economic Modelling, Elsevier, vol. 151(C).
    4. Tong Fang & Libo Yin, 2025. "Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1361-1387, September.
    5. Li, Jie & Han, Yingwei, 2025. "Nonlinear hedging climate policy uncertainty: A dynamic mixed copula approach," Economic Modelling, Elsevier, vol. 151(C).
    6. Horn, Matthias & Oehler, Andreas, 2024. "Constructing stock portfolios by sorting on ESG ratings: Does the rating provider matter?," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    7. Giglio, Stefano & Kuchler, Theresa & Stroebel, Johannes & Zeng, Xuran, 2023. "Biodiversity Risk," SocArXiv n7pbj, Center for Open Science.
    8. Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes & Tan, Zhenhao & Utkus, Stephen & Xu, Xiao, 2025. "Four facts about ESG beliefs and investor portfolios," Journal of Financial Economics, Elsevier, vol. 164(C).
    9. Pierre Lavigne & Peter Tankov, 2023. "Decarbonization of financial markets: a mean-field game approach," Papers 2301.09163, arXiv.org, revised Feb 2026.
    10. Jung, Hyeyoon & Engle, Robert F. & Berner, Richard, 2025. "CRISK: Measuring the climate risk exposure of the financial system," Journal of Financial Economics, Elsevier, vol. 171(C).
    11. Bertelli, Beatrice & Torricelli, Costanza, 2025. "Sustainable optimal stock portfolios: What relationship between sustainability and performance?," European Journal of Operational Research, Elsevier, vol. 323(1), pages 323-340.
    12. Leland Bybee, 2023. "Surveying Generative AI's Economic Expectations," Papers 2305.02823, arXiv.org, revised May 2023.
    13. Viral V. Acharya & Stefano Giglio & Stefano Pastore & Johannes Stroebel & Zhenhao Tan & Tiffany Yong, 2025. "Climate Transition Risks and the Energy Sector," CESifo Working Paper Series 11646, CESifo.
    14. Benkraiem, Ramzi & Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2025. "Media-based climate risks and international corporate bond market," Journal of International Money and Finance, Elsevier, vol. 151(C).
    15. Amine Ouazad & Matthew E. Kahn, 2023. "Mortgage Securitization Dynamics in the Aftermath of Natural Disasters: A Reply," Papers 2305.07179, arXiv.org.
    16. Faccini, Renato & Matin, Rastin & Skiadopoulos, George, 2023. "Dissecting climate risks: Are they reflected in stock prices?," Journal of Banking & Finance, Elsevier, vol. 155(C).
    17. Nguyen, Minh Nhat & Liu, Ruipeng & Li, Youwei, 2025. "Performance of energy ETFs and climate risks," Energy Economics, Elsevier, vol. 141(C).

  11. Giglio, Stefano & Dew-Becker, Ian, 2021. "Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data," CEPR Discussion Papers 16306, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
    2. Antoine Cornevin, 2025. "Geopolitical Risks and Economic Expectations: The Role of Trade Linkages," IHEID Working Papers 11-2025, Economics Section, The Graduate Institute of International Studies.
    3. Tommaso Gasparini & Vivien Lewis & Stephane Moyen & Stefania Villa, 2026. "Risky firms and fragile banks: implications for macroprudential policy," Temi di discussione (Economic working papers) 1518, Bank of Italy, Economic Research and International Relations Area.
    4. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
    5. Haining Chen & Prince Asare Vitenu-Sackey & Isaac Akpemah Bathuure, 2024. "Uncertainty Measures and Business Cycles: Evidence From the US," SAGE Open, , vol. 14(2), pages 21582440241, April.
    6. Altig, Dave & Baker, Scott & Barrero, Jose Maria & Bloom, Nicholas & Bunn, Philip & Chen, Scarlet & Davis, Steven J. & Leather, Julia & Meyer, Brent & Mihaylov, Emil & Mizen, Paul & Parker, Nicholas &, 2020. "Economic uncertainty before and during the COVID-19 pandemic," Journal of Public Economics, Elsevier, vol. 191(C).
    7. Neuhierl, Andreas & Tang, Xiaoxiao & Varneskov, Rasmus Tangsgaard & Zhou, Guofu, 2022. "Option characteristics as cross-sectional predictors," LawFin Working Paper Series 37, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    8. Lu, Fei & Ma, Feng, 2023. "Cross-sectional uncertainty and stock market volatility: New evidence," Finance Research Letters, Elsevier, vol. 57(C).
    9. Herskovic, Bernard & Kind, Thilo & Kung, Howard, 2023. "Micro uncertainty and asset prices," Journal of Financial Economics, Elsevier, vol. 149(1), pages 27-51.
    10. Ferreira, Thiago R.T., 2024. "Cross-sectional financial conditions, business cycles and the lending channel," Journal of Monetary Economics, Elsevier, vol. 147(C).
    11. Ian Dew-Becker, 2024. "Real-time forward-looking skewness over the business cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 54, October.
    12. Zhen Yu & Yuankun Li & Jing Zhao, 2023. "Epidemic outbreak and foreign direct investment fluctuation," The World Economy, Wiley Blackwell, vol. 46(4), pages 1051-1081, April.
    13. Jiang, Fuwei & Liu, Hongkui & Yu, Jiasheng & Zhang, Huajing, 2023. "International stock return predictability: The role of U.S. uncertainty spillover," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    14. Lakdawala, Aeimit & Moreland, Timothy, 2023. "The effect of monetary policy on firm-level uncertainty," Economics Letters, Elsevier, vol. 232(C).
    15. Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.
    16. Gondhi, Naveen, 2023. "Rational inattention, misallocation, and the aggregate economy," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 50-75.

  12. Giglio, Stefano & Xiu, Dacheng & Zhang, Dake, 2021. "Test Assets and Weak Factors," CEPR Discussion Papers 16307, C.E.P.R. Discussion Papers.

    Cited by:

    1. He, Wei & Su, Zhiwei & Yu, Jianfeng, 2024. "Macroeconomic perceptions, financial constraints, and anomalies," Journal of Financial Economics, Elsevier, vol. 162(C).
    2. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    3. Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024. "When can weak latent factors be statistically inferred?," Papers 2407.03616, arXiv.org, revised Sep 2024.
    4. Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
    5. Jungjun Choi & Ming Yuan, 2024. "High Dimensional Factor Analysis with Weak Factors," Papers 2402.05789, arXiv.org.
    6. Minshuo Chen & Renyuan Xu & Yumin Xu & Ruixun Zhang, 2025. "Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure," Papers 2504.06566, arXiv.org, revised Jan 2026.
    7. Tédongap, Roméo & Tinang, Jules, 2024. "International asset pricing with heterogeneous agents: Estimation and inference," Journal of Empirical Finance, Elsevier, vol. 75(C).
    8. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Factors and Asset Prices," Papers 2208.14267, arXiv.org, revised Mar 2026.
    9. Cisil Sarisoy & Bas J.M. Werker, 2024. "Linear Factor Models and the Estimation of Expected Returns," Finance and Economics Discussion Series 2024-014, Board of Governors of the Federal Reserve System (U.S.).
    10. Mao, Jie & Xia, Xiaobao & Zhuo, Haotian, 2025. "Taming the factor zoo in China’s equity market: A Bayesian approach," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
    11. Paul Goldsmith-Pinkham & Tianshu Lyu, 2025. "Causal Inference in Financial Event Studies," Papers 2511.15123, arXiv.org.
    12. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
    13. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
    14. Croce, Mariano M. & Marchuk, Tatyana & Schlag, Christian, 2022. "The leading premium," SAFE Working Paper Series 371, Leibniz Institute for Financial Research SAFE.

  13. Giglio, Stefano & Dew-Becker, Ian & Kelly, Bryan, 2020. "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers 15239, C.E.P.R. Discussion Papers.

    Cited by:

    1. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
    2. Cao, Charles & Simin, Timothy & Xiao, Han, 2019. "Predicting the equity premium with the implied volatility spread," MPRA Paper 103651, University Library of Munich, Germany.
    3. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
    4. Liu, Jiatong & Mao, Weifang & Qiao, Xingzhi, 2023. "Dynamic and asymmetric effects between carbon emission trading, financial uncertainties, and Chinese industry stocks: Evidence from quantile-on-quantile and causality-in-quantiles analysis," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    5. Nicolas Himounet, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," Post-Print hal-05113023, HAL.
    6. Hao, Xianfeng & Wang, Yudong & Wu, Chongfeng & Wu, Liangyu, 2024. "Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data," Journal of Financial Markets, Elsevier, vol. 70(C).
    7. Giovanni Campisi & Silvia Muzzioli, 2021. "Designing volatility indices for Austria, Finland and Spain," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 369-455, September.
    8. Degl’Innocenti, Marta & Santilli, Gianluca & Sclip, Alex & Zhou, Si, 2025. "Commodity price risk, supply chain, and lending," Energy Economics, Elsevier, vol. 150(C).
    9. Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
    10. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
    11. Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    12. Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2025. "The Transmission of Monetary Policy to the Cost of Hedging," Economics Working Paper Series 2501, University of St. Gallen, School of Economics and Political Science.
    13. Driessen, Joost & Koëter, Joren & Wilms, Ole, 2025. "Horizon effects in the pricing kernel: How investors price short-term versus long-term risks," Other publications TiSEM 18d19e20-6d30-4828-9a8e-9, Tilburg University, School of Economics and Management.
    14. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    15. Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B. & Sheng, Ni & Wei, Xinyang, 2024. "Variance dynamics and term structure of the natural gas market," Energy Economics, Elsevier, vol. 137(C).
    16. Büchner, Matthias & Kelly, Bryan, 2022. "A factor model for option returns," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1140-1161.
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    18. Haoyu Wang & Junpeng Di & Qing Han & Kefu Lyu, 2025. "Carbon Emission Allowance and Oil Implied Volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(8), pages 946-976, August.
    19. Yang, Jie & Feng, Yun, 2023. "Market inefficiency spillover network across different regimes," Finance Research Letters, Elsevier, vol. 58(PC).
    20. Ellwanger, Reinhard, 2025. "The tail risk premium in the oil market," Energy Economics, Elsevier, vol. 141(C).
    21. Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
    22. Gao, Xin & Li, Bingxin & Liu, Rui, 2023. "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, vol. 30(C).
    23. Zhou, Donghai & Liu, Xiaoxing & Tang, Chun, 2024. "Does the international oil market interact with China’s financial market? New evidence from time-varying higher moments," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    24. Matthias Buechner & Bryan T. Kelly, 2021. "A Factor Model For Option Returns," NBER Working Papers 29369, National Bureau of Economic Research, Inc.
    25. Olkhov, Victor, 2022. "Economic Policy - the Forth Dimension of the Economic Theory," MPRA Paper 112685, University Library of Munich, Germany.
    26. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
    27. Helmut Herwartz & Alexander Lange, 2024. "How certain are we about the role of uncertainty in the economy?," Economic Inquiry, Western Economic Association International, vol. 62(1), pages 126-149, January.
    28. Wen, Jun & Zhao, Xinxin & Fu, Qiang & Chang, Chun-Ping, 2023. "The impact of financial risk on green innovation: Global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    29. Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
    30. Meng, Weizhen & Li, Shilin & Yang, Jinqiang, 2024. "Mitigating disaster risks caused by carbon emissions," Economics Letters, Elsevier, vol. 241(C).
    31. Jacobs, Kris & Li, Bingxin, 2023. "Option Returns, Risk Premiums, and Demand Pressure in Energy Markets," Journal of Banking & Finance, Elsevier, vol. 146(C).
    32. Cao, Charles & Simin, Timothy & Xiao, Han, 2020. "Predicting the equity premium with the implied volatility spread," Journal of Financial Markets, Elsevier, vol. 51(C).

  14. Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.

    Cited by:

    1. Zacharias Sautner & Laurence Van Lent & Grigory Vilkov & Ruishen Zhang, 2023. "Firm‐Level Climate Change Exposure," Journal of Finance, American Finance Association, vol. 78(3), pages 1449-1498, June.
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    3. Yan, Jingda & Yu, Jialin, 2023. "Cross-stock momentum and factor momentum," Journal of Financial Economics, Elsevier, vol. 150(2).
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    5. Bai, Jushan & Duan, Jiangtao & Han, Xu, 2024. "Reprint of: The likelihood ratio test for structural changes in factor models," Journal of Econometrics, Elsevier, vol. 244(2).
    6. Cheng, Tingting & Jiang, Shan & Zhao, Albert Bo & Zhao, Junyi, 2025. "Is machine learning a necessity? A regression-based approach for stock return prediction," Journal of Empirical Finance, Elsevier, vol. 81(C).
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    8. Fernando Moraes & Rodrigo De-Losso, 2020. "Risk Factor Centrality and the Cross-Section of Expected Returns," Working Papers, Department of Economics 2020_17, University of São Paulo (FEA-USP).
    9. Wolfgang Breuer & Jannis Bischof & Christian Hofmann & Jochen Hundsdoerfer & Hans-Ulrich Küpper & Marko Sarstedt & Philipp Schreck & Tim Weitzel & Peter Witt, 2023. "Recent developments in Business Economics," Journal of Business Economics, Springer, vol. 93(6), pages 989-1013, August.
    10. Fragkiskos, Apollon & Krasotkina, Olga & Spilker, Harold D. & Wermers, Russ, 2025. "Private Equity Fund Performance: A Time-Series Approach," Journal of Banking & Finance, Elsevier, vol. 177(C).
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    43. Chengwang Liao & Zhentao Shi & Yapeng Zheng, 2025. "A Relaxation Approach to Synthetic Control," Papers 2508.01793, arXiv.org.
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    Cited by:

    1. Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, C.E.P.R. Discussion Papers.
    2. Coskun, Yener & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOIuwa S., 2021. "Stock Market Responses to COVID-19: Mean Reversion, Dependence and Persistence Behaviours," MPRA Paper 109827, University Library of Munich, Germany.
    3. Georgij Alekseev & Safaa Amer & Manasa Gopal & Theresa Kuchler & J. W. Schneider & Johannes Stroebel & Nils Wernerfelt, 2023. "The Effects of COVID-19 on U.S. Small Businesses: Evidence from Owners, Managers, and Employees," Management Science, INFORMS, vol. 69(1), pages 7-24, January.
    4. Toufique, M. M. K., 2020. "Why do some countries have more COVID-19 cases than others? Evidence from 70 most affected countries sans China," EconStor Preprints 222456, ZBW - Leibniz Information Centre for Economics.
    5. Pagano, Michael S. & Sedunov, John & Velthuis, Raisa, 2021. "How did retail investors respond to the COVID-19 pandemic? The effect of Robinhood brokerage customers on market quality," Finance Research Letters, Elsevier, vol. 43(C).
    6. Feng, Chao & Ma, Shiqun & Xiang, Lijin & Xiao, Zumian, 2025. "The dynamic impact of cryptocurrency implied exchange rates on stock market returns: An empirical study of G7 countries," Research in International Business and Finance, Elsevier, vol. 76(C).
    7. Bu, Di & Hanspal, Tobin & Liao, Yin & Liu, Yong, 2021. "Risk taking, preferences, and beliefs: Evidence from Wuhan," SAFE Working Paper Series 301, Leibniz Institute for Financial Research SAFE.
    8. Francke, Marc & Korevaar, Matthijs, 2021. "Housing markets in a pandemic: Evidence from historical outbreaks," Journal of Urban Economics, Elsevier, vol. 123(C).
    9. Chin, Alycia & VanEpps, Eric M. & Scholl, Brian & Nash, Steven, 2025. "How should I know? Lack of confidence biases stock market expectations toward zero," Journal of Economic Behavior & Organization, Elsevier, vol. 229(C).
    10. Zhifeng Liu & Toan Luu Duc Huynh & Peng-Fei Dai, 2020. "The impact of COVID-19 on the stock market crash risk in China," Papers 2009.08030, arXiv.org, revised Aug 2021.
    11. Buchheim, Lukas & Krolage, Carla & Link, Sebastian, 2020. "Sudden Stop: When Did Firms Anticipate the Potential Consequences of COVID-19?," IZA Discussion Papers 13457, IZA Network @ LISER.
    12. Forrest V. Morgeson & Udit Sharma & Xiaoxu Wu Schultz & Anita Pansari & Ayalla Ruvio & G. Tomas M. Hult, 2024. "Weathering the crash: Do customer-company relationships pay off during economic crises?," Journal of the Academy of Marketing Science, Springer, vol. 52(2), pages 489-511, March.
    13. Buncic, Daniel, 2020. "Econometric issues with Laubach and Williams’ estimates of the natural rate of interest," Working Paper Series 397, Sveriges Riksbank (Central Bank of Sweden).
    14. Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes & Tan, Zhenhao & Utkus, Stephen & Xu, Xiao, 2025. "Four facts about ESG beliefs and investor portfolios," Journal of Financial Economics, Elsevier, vol. 164(C).
    15. Liu, Zhifeng & Huynh, Toan Luu Duc & Dai, Peng-Fei, 2021. "The impact of COVID-19 on the stock market crash risk in China," Research in International Business and Finance, Elsevier, vol. 57(C).
    16. Sourish Das, 2025. "Predicting Stock Market Crash with Bayesian Generalised Pareto Regression," Papers 2506.17549, arXiv.org.
    17. Hetzel, Robert, 2020. "COVID-19 and the Fed’s Credit Policy," Working Papers 10689, George Mason University, Mercatus Center.
    18. Harrison Hong & Jeffrey D. Kubik & Neng Wang & Xiao Xu & Jinqiang Yang, 2020. "Pandemics, Vaccines and an Earnings Damage Function," NBER Working Papers 27829, National Bureau of Economic Research, Inc.
    19. Jinyong Kim & Yongsik Kim, 2022. "Market‐wide shocks and the predictive power for the real economy in the Korean stock market," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 380-399, October.
    20. Saito, Yuta & Sakamoto, Jun, 2021. "Asset pricing during pandemic lockdown," Research in International Business and Finance, Elsevier, vol. 58(C).
    21. Arteaga-Garavito, Maria Jose & Croce, Mariano M. & Farroni, Paolo & Wolfskeil, Isabella, 2024. "When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion," Journal of Financial Economics, Elsevier, vol. 157(C).
    22. Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano & Wagner, Alexander F., 2022. "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers 15070, C.E.P.R. Discussion Papers.
    23. Davide Bazzana & Michele Colturato & Roberto Savona, 2021. "Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19," Working Papers 2021.26, Fondazione Eni Enrico Mattei.
    24. Payzan-LeNestour, Elise & Woodford, Michael, 2022. "Outlier blindness: A neurobiological foundation for neglect of financial risk," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1316-1343.
    25. Bazzana, Davide & Colturato, Michele & Savona, Roberto, "undated". "Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19," FEEM Working Papers 314928, Fondazione Eni Enrico Mattei (FEEM).
    26. Anna Cororaton & Samuel Rosen, 2021. "Public Firm Borrowers of the U.S. Paycheck Protection Program [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 10(4), pages 641-693.
    27. Hasan Fallahgoul, 2020. "Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data," Papers 2004.11686, arXiv.org, revised May 2020.

  16. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five facts about beliefs and portfolios," CESifo Working Paper Series 7666, CESifo.

    Cited by:

    1. Chien-Chiang Lee & Fuhao Wang & Chi-Chuan Lee, 2025. "How does education promote green digital finance? Evidence from China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-29, December.
    2. Philip Schnorpfeil & Michael Weber & Andreas Hackethal & Michael Weber, 2024. "Inflation and Trading," CESifo Working Paper Series 11580, CESifo.
    3. Pellegrino, Bruno & Zheng, Geoffery, 2024. "Quantifying the impact of red tape on investment: A survey data approach," Journal of Financial Economics, Elsevier, vol. 152(C).
    4. Sofía Gallardo & Carlos Madeira, 2022. "The role of financial surveys for economic research and policy making in emerging markets," Working Papers Central Bank of Chile 948, Central Bank of Chile.
    5. Carlos Alós-Ferrer & Michele Garagnani, 2022. "Who likes it more? Using response times to elicit group preferences in surveys," ECON - Working Papers 422, Department of Economics - University of Zurich.
    6. Giuseppe Matera, 2025. "Corporate Earnings Calls and Analyst Beliefs," Papers 2511.15214, arXiv.org, revised Nov 2025.
    7. Yang, Keer, 2025. "Trust as an entry barrier: Evidence from FinTech adoption," Journal of Financial Economics, Elsevier, vol. 169(C).
    8. Maarten Meeuwis & Jonathan A. Parker & Antoinette Schoar & Duncan Simester, 2022. "Belief Disagreement and Portfolio Choice," Journal of Finance, American Finance Association, vol. 77(6), pages 3191-3247, December.
    9. John R. Graham, 2022. "Presidential Address: Corporate Finance and Reality," Journal of Finance, American Finance Association, vol. 77(4), pages 1975-2049, August.
    10. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
    11. Brückbauer, Frank, 2022. "Do financial market experts know their theory? New evidence from survey data," ZEW Discussion Papers 20-092, ZEW - Leibniz Centre for European Economic Research, revised 2022.
    12. Marianne Andries & Milo Bianchi & Karen Huynh & Sébastien Pouget, 2024. "Return Predictability, Expectations, and Investment: Experimental Evidence," Post-Print hal-04680777, HAL.
    13. Coibion, Olivier & Gorodnichenko, Yuriy & Weber, Michael, 2020. "The Cost of the COVID-19 Crisis: Lockdowns, Macroeconomic Expectations, and Consumer Spending," IZA Discussion Papers 13224, IZA Network @ LISER.
    14. Tilman H. Drerup & Matthias Wibral & Christian Zimpelmann, 2023. "Skewness expectations and portfolio choice," Experimental Economics, Springer;Economic Science Association, vol. 26(1), pages 107-144, March.
    15. Hong, Claire Yurong & Lu, Xiaomeng & Pan, Jun, 2021. "FinTech adoption and household risk-taking," BOFIT Discussion Papers 14/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
    16. Link, Sebastian & Peichl, Andreas & Roth, Christopher & Wohlfart, Johannes, 2023. "Information frictions among firms and households," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 99-115.
    17. Magnus Dahlquist & Markus Ibert, 2024. "Equity Return Expectations and Portfolios: Evidence from Large Asset Managers," The Review of Financial Studies, Society for Financial Studies, vol. 37(6), pages 1887-1928.
    18. Matteo Benetton & Giovanni Compiani, 2024. "Investors’ Beliefs and Cryptocurrency Prices," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 197-236.
    19. Alex Kontoghiorghes, 2022. "Do personal taxes affect investment decisions and stock returns?," Bank of England working papers 988, Bank of England.
    20. Jiang, Zhengyang & Peng, Cameron & Yan, Hongjun, 2024. "Personality differences and investment decision-making," LSE Research Online Documents on Economics 121634, London School of Economics and Political Science, LSE Library.
    21. Giglio, Stefano & Maggiori, Matteo & Ströbel, Johannes & Utkus, Stephen P., 2020. "Inside the Mind of a Stock Market Crash," CEPR Discussion Papers 14813, C.E.P.R. Discussion Papers.
    22. Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
    23. Francesco Capozza & Ingar Haaland & Christopher Roth & Johannes Wohlfart, 2021. "Studying Information Acquisition in the Field: A Practical Guide and Review," ECONtribute Discussion Papers Series 124, University of Bonn and University of Cologne, Germany.
    24. Despina Gavresi & Anastasia Litina & Christos A. Makridis, 2024. "Split personalities? Behavioral effects of temperature on financial decision‐making," Kyklos, Wiley Blackwell, vol. 77(3), pages 664-689, August.
    25. Arnold, Marc & Pelster, Matthias & Subrahmanyam, Marti G., 2022. "Attention triggers and investors’ risk-taking," Journal of Financial Economics, Elsevier, vol. 143(2), pages 846-875.
    26. Nathan Converse & Eduardo Levy Yeyati & Tomás Williams, 2020. "How ETFs Amplify the Global Financial Cycle in Emerging Markets," International Finance Discussion Papers 1268, Board of Governors of the Federal Reserve System (U.S.).
    27. Barrero, Jose Maria, 2020. "The Micro and Macro of Managerial Beliefs," SocArXiv fctsb, Center for Open Science.
    28. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
    29. Robin Musolff & Florian Zimmermann, 2025. "Model Uncertainty," CRC TR 224 Discussion Paper Series crctr224_2025_697, University of Bonn and University of Mannheim, Germany.
    30. Junjun Ma & Xindan Li & Lei Lu & Weixing Wu & Xiong Xiong, 2022. "Individual investors' dispersion in beliefs and stock returns," Financial Management, Financial Management Association International, vol. 51(3), pages 929-953, September.
    31. Sias, Richard & Starks, Laura T. & Turtle, H.J., 2023. "The negativity bias and perceived return distributions: Evidence from a pandemic," Journal of Financial Economics, Elsevier, vol. 147(3), pages 627-657.
    32. Theresa Kuchler & Monika Piazzesi & Johannes Stroebel, 2022. "Housing Market Expectations," CESifo Working Paper Series 9665, CESifo.
    33. Enke, Benjamin & Schwerter, Frederik & Zimmermann, Florian, 2024. "Associative memory, beliefs and market interactions," Journal of Financial Economics, Elsevier, vol. 157(C).
    34. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    35. Bu, Di & Hanspal, Tobin & Liao, Yin & Liu, Yong, 2021. "Risk taking, preferences, and beliefs: Evidence from Wuhan," SAFE Working Paper Series 301, Leibniz Institute for Financial Research SAFE.
    36. Asmaa Hamdy Abdelaziz Mohamed Elmahdy & Menna Talla Khaled Mohamed Abdelkader & Mina Ayman Mikhaeel Shaker, 2025. "Bridging the nexus between Fintech, operational efficiency and banks profitability: the moderating role of bank size," Future Business Journal, Springer, vol. 11(1), pages 1-14, December.
    37. Chin, Alycia & VanEpps, Eric M. & Scholl, Brian & Nash, Steven, 2025. "How should I know? Lack of confidence biases stock market expectations toward zero," Journal of Economic Behavior & Organization, Elsevier, vol. 229(C).
    38. Zhifeng Liu & Toan Luu Duc Huynh & Peng-Fei Dai, 2020. "The impact of COVID-19 on the stock market crash risk in China," Papers 2009.08030, arXiv.org, revised Aug 2021.
    39. Peter Andre & Ingar Haaland & Christopher Roth & Johannes Wohlfart, 2021. "Narratives about the Macroeconomy," CEBI working paper series 21-18, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    40. Dong, Ding & Liu, Zheng & Wang, Pengfei & Zha, Tao, 2022. "A theory of housing demand shocks," Journal of Economic Theory, Elsevier, vol. 203(C).
    41. Yan, Yu & Tong, Yan & Wang, Yiming, 2025. "Momentum mechanisms under heterogeneous beliefs," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    42. Pietro Dindo & Filippo Massari, 2025. "Learning Models from Prices," Working Papers 2025: 17, Department of Economics, University of Venice "Ca' Foscari".
    43. Arrondel, Luc & Calvo Pardo, Héctor & Giannitsarou, Chryssi & Haliassos, Michael, 2022. "Informative Social Interactions," CEPR Discussion Papers 14840, C.E.P.R. Discussion Papers.
    44. Sui, Pengfei & Wang, Baolian, 2025. "Stakes and investor behaviors," Journal of Financial Economics, Elsevier, vol. 172(C).
    45. Francesco D'Acunto & Ulrike M. Malmendier & Juan Ospina & Michael Weber & Michael Weber, 2019. "Exposure to Daily Price Changes and Inflation Expectations," CESifo Working Paper Series 7798, CESifo.
    46. Cassella, Stefano & Chen, Te-Feng & Gulen, Huseyin & Liu, Yan, 2025. "Extracting extrapolative beliefs from market prices: An augmented present-value approach," Journal of Financial Economics, Elsevier, vol. 164(C).
    47. Yueran Ma & Tiziano Ropele & David Sraer & David Thesmar, 2020. "A Quantitative Analysis of Distortions in Managerial Forecasts," NBER Working Papers 26830, National Bureau of Economic Research, Inc.
    48. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2020. "Resolving the excessive trading puzzle: an integrated approach based on surveys and transactions," LSE Research Online Documents on Economics 118870, London School of Economics and Political Science, LSE Library.
    49. Sonsino, Doron & Roth, Yefim, 2025. "The decrease in confidence with forecast extremity," International Journal of Forecasting, Elsevier, vol. 41(3), pages 877-893.
    50. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2022. "Taming the bias zoo," Journal of Financial Economics, Elsevier, vol. 143(2), pages 716-741.
    51. Xing Guo & Pablo Ottonello & Diego Perez, 2022. "Monetary Policy and Redistribution in Open Economies," Staff Working Papers 22-6, Bank of Canada.
    52. Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022. "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, vol. 146(1), pages 305-330.
    53. ÅžimÅŸek, Alp & Caballero, Ricardo, 2019. "A Risk-centric Model of Demand Recessions and Speculation," CEPR Discussion Papers 13815, C.E.P.R. Discussion Papers.
    54. Beutel, Johannes & Metiu, Norbert & Stockerl, Valentin, 2021. "Toothless tiger with claws? Financial stability communication, expectations, and risk-taking," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 53-69.
    55. Kogan, Shimon & Makarov, Igor & Niessner, Marina & Schoar, Antoinette, 2024. "Are cryptos different? Evidence from retail trading," Journal of Financial Economics, Elsevier, vol. 159(C).
    56. Hans-Martin von Gaudecker & Axel Wogrolly & Hans-Martin von Gaudecker, 2019. "The dynamics of households' stock market beliefs," CESifo Working Paper Series 7602, CESifo.
    57. Jūra Liaukonytė & Alminas Žaldokas, 2022. "Background Noise? TV Advertising Affects Real-Time Investor Behavior," Management Science, INFORMS, vol. 68(4), pages 2465-2484, April.
    58. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Do I Really Want to Hear The News? Public Information Arrival and Investor Beliefs," SocArXiv ud7yw, Center for Open Science.
    59. Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes & Tan, Zhenhao & Utkus, Stephen & Xu, Xiao, 2025. "Four facts about ESG beliefs and investor portfolios," Journal of Financial Economics, Elsevier, vol. 164(C).
    60. Pei Kuang & Li Tang & Renbin Zhang & Tongbin Zhang, 2025. "Are survey stock price forecasts anchored by fundamental forecasts? A long-run perspective," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 79(2), pages 657-685, March.
    61. Shin, Michael, 2021. "Subjective expectations, experiences, and stock market participation: Evidence from the lab," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 672-689.
    62. Carlos Alos Ferrer & Michele Garagnani, 2025. "Who Likes It More?," Working Papers 424225030, Lancaster University Management School, Economics Department.
    63. Benjamin Moll, 2025. "The Trouble with Rational Expectations in Heterogeneous Agent Models: A Challenge for Macroeconomics," Papers 2508.20571, arXiv.org.
    64. Liu, Zhifeng & Huynh, Toan Luu Duc & Dai, Peng-Fei, 2021. "The impact of COVID-19 on the stock market crash risk in China," Research in International Business and Finance, Elsevier, vol. 57(C).
    65. Hongqi Liu & Cameron Peng & Wei A. Xiong & Wei Xiong, 2020. "Taming the Bias Zoo," NBER Working Papers 26911, National Bureau of Economic Research, Inc.
    66. Peter Andre & Carlo Pizzinelli & Christopher Roth & Johannes Wohlfart, 2021. "Subjective Models of the Macroeconomy: Evidence From Experts and Representative Samples," ECONtribute Discussion Papers Series 119, University of Bonn and University of Cologne, Germany.
    67. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
    68. Yang, Jing & Shi, Jianxun & Xu, Ling, 2025. "Effect of digital finance on household financial asset allocation: a social psychology perspective," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
    69. Scott R. Baker & Robert A Farrokhnia & Steffen Meyer & Michaela Pagel & Constantine Yannelis, 2023. "Income, Liquidity, and the Consumption Response to the 2020 Economic Stimulus Payments," Review of Finance, European Finance Association, vol. 27(6), pages 2271-2304.
    70. Lansing, Kevin J., 2024. "Replicating business cycles and asset returns with sentiment and low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    71. Michele Cascarano & Laura Sigalotti & Francesco Stradi, 2025. "EU views and household investments: evidence from the Brexit referendum," Temi di discussione (Economic working papers) 1504, Bank of Italy, Economic Research and International Relations Area.
    72. Ori Heffetz & Guy Ishai, 2021. "Which Beliefs? Behavior-Predictive Beliefs are Inconsistent with Information-Based Beliefs: Evidence from COVID-19," NBER Working Papers 29452, National Bureau of Economic Research, Inc.
    73. Liu, Jie & Chen, Zhenshan & Lin, Gengyan & Zhu, Yinglun, 2024. "Riding the geopolitical storm or dodging bullets: Geopolitical risk timing of mutual funds," Global Finance Journal, Elsevier, vol. 63(C).
    74. Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
    75. Bocar A. Ba & Abdoulaye Ndiaye & Roman G. Rivera & Alexander Whitefield, 2024. "Mispricing Narratives after Social Unrest," Opportunity and Inclusive Growth Institute Working Papers 096, Federal Reserve Bank of Minneapolis.
    76. Sarah Kiesl-Reiter & Melanie Lührmann & Jonathan Shaw & Joachim Winter, 2025. "The formation of subjective house price expectations: the role of perceptions and local economic conditions," IFS Working Papers W25/58, Institute for Fiscal Studies.
    77. Buchanan, Bonnie & Silvola, Hanna & Vähämaa, Emilia, 2023. "Sustainability and private investors," Bank of Finland Research Discussion Papers 14/2023, Bank of Finland.
    78. Chaudhry, Aditya, 2025. "The impact of prices on analyst cash flow expectations: Reconciling subjective beliefs data with rational discount rate variation," Journal of Financial Economics, Elsevier, vol. 171(C).
    79. Son, Dong-Hoon, 2023. "On-demand ride-sourcing markets with cryptocurrency-based fare-reward scheme," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 171(C).
    80. Anmol Bhandari & Jaroslav Borovicka & Paul Ho, 2019. "Survey Data and Subjective Beliefs in Business Cycle Models," Working Paper 19-14, Federal Reserve Bank of Richmond.
    81. Johannes Schmidt, 2025. "The influence of short-term subjective expectations on stock price movements," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 39(3), pages 303-333, September.
    82. Fos, Vyacheslav & Kempf, Elisabeth & Tsoutsoura, Margarita, 2021. "The Political Polarization of Corporate America," Working Papers 313, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    83. Lee, Kiryoung, 2023. "Geopolitical risk and household stock market participation," Finance Research Letters, Elsevier, vol. 51(C).
    84. Matteo Benetton & Giovanni Compiani, 2020. "Investors’ Beliefs and Asset Prices: A Structural Model of Cryptocurrency Demand," Working Papers 2020-107, Becker Friedman Institute for Research In Economics.
    85. Goldfayn-Frank, Olga & Wohlfart, Johannes, 2020. "Expectation formation in a new environment: Evidence from the German reunification," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 301-320.
    86. Muñoz, Manuel A. & Soons, Oscar, 2023. "Public money as a store of value, heterogeneous beliefs, and banks: implications of CBDC," Working Paper Series 2801, European Central Bank.
    87. Nicolas L. Bottan & Ricardo Perez-Truglia, 2020. "Betting on the House: Subjective Expectations and Market Choices," NBER Working Papers 27412, National Bureau of Economic Research, Inc.
    88. Petkova, Ralitsa, 2023. "Extrapolative beliefs about Bitcoin returns," Finance Research Letters, Elsevier, vol. 56(C).
    89. Sarah Kiesl-Reiter & Melanie Lührmann & Jonathan Shaw & Joachim Winter, 2024. "The Formation of Subjective House Price Expectations," Rationality and Competition Discussion Paper Series 491, CRC TRR 190 Rationality and Competition.
    90. Andreas Fuster & Ricardo Perez-Truglia & Mirko Wiederholt & Basit Zafar, 2022. "Expectations with Endogenous Information Acquisition: An Experimental Investigation," Post-Print hal-03878688, HAL.
    91. Anders Anderson & David T Robinson, 2022. "Financial Literacy in the Age of Green Investment [Evaluating behaviorally motivated policy: experimental evidence from the lightbulb market]," Review of Finance, European Finance Association, vol. 26(6), pages 1551-1584.
    92. Civelli, Andrea & Jackson, Laura E., 2025. "Cryptocurrencies, stocks, and economic policy uncertainty: A FAVAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
    93. Le Blanc, Julia & Slacalek, Jiri & White, Matthew N., 2025. "Housing wealth across countries: the role of expectations, institutions and preferences," Working Paper Series 3021, European Central Bank.
    94. Li Lin, 2024. "Quantum Probability Theoretic Asset Return Modeling: A Novel Schr\"odinger-Like Trading Equation and Multimodal Distribution," Papers 2401.05823, arXiv.org.
    95. Dmitri V. Vinogradov & Michael J. Lamla & Yousef Makhlouf, 2024. "Survey-based expectations and uncertainty attitudes," Working Papers 2024_02, Business School - Economics, University of Glasgow.
    96. Gomes, Francisco & Peng, Cameron & Smirnova, Oksana & Zhu, Ning, 2025. "Reaching for yield: evidence from households," LSE Research Online Documents on Economics 125397, London School of Economics and Political Science, LSE Library.
    97. Leland Bybee, 2023. "Surveying Generative AI's Economic Expectations," Papers 2305.02823, arXiv.org, revised May 2023.
    98. Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn, 2023. "Machine-learning the skill of mutual fund managers," Journal of Financial Economics, Elsevier, vol. 150(1), pages 94-138.
    99. Alistair Macaulay & Chenchuan Shi, 2025. "Ambiguity Aversion, Portfolio Choice, and Life Expectancy," School of Economics Discussion Papers 0425, School of Economics, University of Surrey.
    100. Kogana, Shimon & Makarov, Igor & Niessnerc, Marina & Schoar, Antoinette, 2024. "Are cryptos different? Evidence from retail trading," LSE Research Online Documents on Economics 122266, London School of Economics and Political Science, LSE Library.
    101. Bacchetta, Philippe & van Wincoop, Eric, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," CEPR Discussion Papers 13839, C.E.P.R. Discussion Papers.
    102. Ambrocio, Gene, 2022. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2022, Bank of Finland.
    103. von Gaudecker, Hans-Martin & Wogrolly, Axel, 2022. "Heterogeneity in households’ stock market beliefs," Journal of Econometrics, Elsevier, vol. 231(1), pages 232-247.
    104. Lu, Xiaomeng & Zhang, Xianjun & Guo, Fusen & Li, Feng, 2024. "Evaluating ESG Investment Profitability: From the Perspective of Sophistication in Investment Decision-Making," Finance Research Letters, Elsevier, vol. 69(PA).
    105. Pei Kuang & Renbin Zhang & Tongbin Zhang, 2019. "New Tests of Expectation Formation with Applications to Asset Pricing Models," Discussion Papers 19-05, Department of Economics, University of Birmingham.
    106. Zhou, Ye & Huang, Difang & Chen, Muzi & Wang, Yunlong & Yang, Xiaoguang, 2024. "How did small business respond to unexpected shocks? Evidence from a natural experiment in China," Journal of Corporate Finance, Elsevier, vol. 84(C).
    107. Chen, Guodong & Lee, Minjoon & Nam, Tong-yob, 2020. "Forced retirement risk and portfolio choice," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 293-315.
    108. Gomes, Francisco & Peng, Cameron & Smirnova, Oksana & Zhu, Ning, 2025. "Reaching for yield: Evidence from households," Journal of Financial Economics, Elsevier, vol. 168(C).
    109. Luz, Valentin & Schauer, Victor & Viehweger, Martin, 2024. "Beyond preferences: Beliefs in sustainable investing," Journal of Economic Behavior & Organization, Elsevier, vol. 220(C), pages 584-607.
    110. Sarantis Tsiaplias & Qi Zeng & Guay C. Lim, 2023. "Retail Investor Trading Intentions: New Evidence from Australia," The Economic Record, The Economic Society of Australia, vol. 99(327), pages 512-535, December.
    111. Francesco D'Acunto & Janet Gao & Lu Liu & Kai Lu & Zhengwei Wang & Jun Yang, 2025. "Subjective Expectations and Financial Intermediation," CESifo Working Paper Series 11780, CESifo.
    112. Lars A. Lochstoer & Tyler Muir, 2022. "Volatility Expectations and Returns," Journal of Finance, American Finance Association, vol. 77(2), pages 1055-1096, April.
    113. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2024. "Why do rational investors like variance at the peak of a crisis? A learning-based explanation," Journal of Monetary Economics, Elsevier, vol. 142(C).
    114. Merkoulova, Yulia & Veld, Chris, 2022. "Does it pay to invest? The personal equity risk premium and stock market participation," Journal of Banking & Finance, Elsevier, vol. 136(C).
    115. Charles-Cadogan, G., 2021. "Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices," CRETA Online Discussion Paper Series 71, Centre for Research in Economic Theory and its Applications CRETA.
    116. Alexander M. Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2020. "Necessary Evidence For A Risk Factor’s Relevance," NBER Working Papers 27227, National Bureau of Economic Research, Inc.
    117. Cocco, João F. & Gomes, Francisco & Lopes, Paula, 2025. "Evidence on expectations of household finances," LSE Research Online Documents on Economics 125547, London School of Economics and Political Science, LSE Library.
    118. Kiesl-Reiter, Sarah, 2024. "Subjective Expectations about Joint Return Distributions," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302423, Verein für Socialpolitik / German Economic Association.
    119. Jessica A. Wachter, 2020. "Comment on "Imperfect Expectations: Theory and Evidence"," NBER Chapters, in: NBER Macroeconomics Annual 2020, volume 35, pages 87-98, National Bureau of Economic Research, Inc.
    120. D'Acunto, Francesco & Fuster, Andreas & Weber, Michael, 2021. "Diverse Policy Committees Can Reach Underrepresented Groups," LawFin Working Paper Series 21, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
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    123. Bacchetta, Philippe & Davenport, Margaret & van Wincoop, Eric, 2022. "Can sticky portfolios explain international capital flows and asset prices?," Journal of International Economics, Elsevier, vol. 136(C).
    124. Gopalakrishna, Goutham & Lee, Seung Joo & Papamichalis, Theofanis, 2025. "Beliefs and the net worth trap," Journal of Economic Theory, Elsevier, vol. 227(C).
    125. Laudenbach, Christine & Loos, Benjamin & Pirschel, Jenny & Wohlfart, Johannes, 2021. "The trading response of individual investors to local bankruptcies," Journal of Financial Economics, Elsevier, vol. 142(2), pages 928-953.

  17. Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019. "Hedging climate change news," CESifo Working Paper Series 7655, CESifo.

    Cited by:

    1. Benjamin Cisagara, 2024. "Finance and climate change: assessing the impact of physical, transition, and regulation risks on asset pricing valuation," Journal of Asset Management, Palgrave Macmillan, vol. 25(7), pages 630-652, December.
    2. Zacharias Sautner & Laurence Van Lent & Grigory Vilkov & Ruishen Zhang, 2023. "Firm‐Level Climate Change Exposure," Journal of Finance, American Finance Association, vol. 78(3), pages 1449-1498, June.
    3. Luo, Qin & Ma, Feng, 2025. "Carbon transition risk and stock market premium," International Review of Financial Analysis, Elsevier, vol. 105(C).
    4. Zhou, Peng & Mo, Lingyu & Tan, Changchun & Wu, Huaqing, 2025. "Carbon regulatory risk exposure in the bond market: A quasi-natural experiment in China," China Economic Review, Elsevier, vol. 92(C).
    5. Li, Yue & Goodell, John W. & Shen, Dehua, 2023. "Market reaction to climate risk report disclosures: The roles of investor attention and sentiment," Finance Research Letters, Elsevier, vol. 58(PA).
    6. Chaudhry, Neeru & Kumari, Damini, 2024. "How do banks price carbon risk? Evidence from India," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    7. Wenqiang Zhu & Shouwei Li, 2024. "Nonlinear effects of climate risks on climate-sensitive sectors," Economic Change and Restructuring, Springer, vol. 57(5), pages 1-31, October.
    8. Afees A. Salisu & Ahamuefula E. Ogbonna & Elie Bouri & Rangan Gupta, 2024. "Climate Risks and Prediction of Sectoral REITs Volatility: International Evidence," Working Papers 202434, University of Pretoria, Department of Economics.
    9. Yin, Zhujia & Deng, Rantian & Xia, Jiejin & Zhao, Lili, 2024. "Climate risk and corporate ESG performance: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    10. Jiang, Qi & Fan, Yawen, 2024. "Hedging downside risk in agricultural commodities: A novel nonparametric kernel method," Finance Research Letters, Elsevier, vol. 70(C).
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  18. Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.

    Cited by:

    1. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
    2. Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," Papers 2009.03394, arXiv.org, revised Feb 2026.
    3. Jin Du & Alexander Walter & Maxim Ulrich, 2026. "Cross-Market Alpha: Testing Short-Term Trading Factors in the U.S. Market via Double-Selection LASSO," Papers 2601.06499, arXiv.org.
    4. Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
    5. Langlois, Hugues, 2020. "Measuring skewness premia," Journal of Financial Economics, Elsevier, vol. 135(2), pages 399-424.
    6. Max Schreder & Pawel Bilinski, 2022. "Information Quality and the Expected Rate of Return: A Structural Equation Modelling Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 139-170, June.
    7. Gabriele D'Acunto & Paolo Bajardi & Francesco Bonchi & Gianmarco De Francisci Morales, 2021. "The Evolving Causal Structure of Equity Risk Factors," Papers 2111.05072, arXiv.org.
    8. Kwon, Tae Yeon, 2025. "Feature importance in linear models with ensemble machine learning: A study of the Fama and French five-factor model," Finance Research Letters, Elsevier, vol. 71(C).
    9. Alois Weigand, 2019. "Machine learning in empirical asset pricing," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 93-104, March.
    10. Choi, Jaewon & Kim, Yongjun, 2018. "Anomalies and market (dis)integration," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 16-34.
    11. Stanislav Anatolyev & Anna Mikusheva, 2018. "Factor models with many assets: strong factors, weak factors, and the two-pass procedure," Papers 1807.04094, arXiv.org, revised Apr 2019.
    12. Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.

  19. David Berger & Ian Dew-Becker & Stefano Giglio, 2017. "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers 23796, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ioannou, Demosthenes & Pagliari, Maria Sole & Stracca, Livio, 2024. "The international impact of a fragile EMU," European Economic Review, Elsevier, vol. 161(C).
    2. Sakariyahu, Rilwan & Johan, Sofia & Lawal, Rodiat & Paterson, Audrey & Chatzivgeri, Eleni, 2023. "Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    3. Theodoros Bratis & Georgios P. Kouretas & Nikiforos T. Laopodis & Prodromos Vlamis, 2024. "Sovereign credit and geopolitical risks during and after the EMU crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3692-3712, July.
    4. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," NBER Working Papers 24325, National Bureau of Economic Research, Inc.
    5. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
    6. Viet Nguyen-Tien, 2025. "Cleaner energy, higher risk? Firm-level exposure to critical minerals," CEP Discussion Papers dp2133, Centre for Economic Performance, LSE.
    7. Marco Brianti, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-05, University of Alberta, Department of Economics.
    8. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    9. Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2023. "Agreed and Disagreed Uncertainty," Working Papers 2023_04, Business School - Economics, University of Glasgow.
    10. Ragna Alstadheim & Christine Blandhol, 2018. "The global financial cycle, bank capital flows and monetary policy. Evidence from Norway," Working Paper 2018/2, Norges Bank.
    11. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2023. "Uncertainty And Monetary Policy During The Great Recession," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(2), pages 577-606, May.
    12. Carlos Giraldo & Iader Giraldo & Jose E. Gomez-Gonzalez & Jorge M. Uribe, 2023. ""US uncertainty shocks, credit, production, and prices: The case of fourteen Latin American countries"," IREA Working Papers 202302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2023.
    13. Mollick, André Varella, 2025. "Risk, uncertainty, world business cycles, and the U.S. stock-oil relationship," Journal of Commodity Markets, Elsevier, vol. 39(C).
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    37. J. Atsu Amegashie, 2025. "Useless Knowledge: Directed vrs Non-Directed Research," CESifo Working Paper Series 12304, CESifo.
    38. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2018. "The Tail That Keeps the Riskless Rate Low," NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 253-283, National Bureau of Economic Research, Inc.
    39. Benjamin Born & Johannes Pfeifer, 2021. "Uncertainty‐driven business cycles: Assessing the markup channel," Quantitative Economics, Econometric Society, vol. 12(2), pages 587-623, May.
    40. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    41. Alfaro, Iván & Park, Hoonsuk, 2025. "Firm uncertainty and households: Spending, savings, and risks," Journal of Financial Economics, Elsevier, vol. 172(C).
    42. Alessandro Paolo Rigamonti & Giulio Greco & Mariarita Pierotti & Alessandro Capocchi, 2024. "Macroeconomic uncertainty and earnings management: evidence from commodity firms," Review of Quantitative Finance and Accounting, Springer, vol. 62(4), pages 1615-1649, May.
    43. Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
    44. Ersahin, Nuri & Giannetti, Mariassunta & Huang, Ruidi, 2024. "Supply chain risk: Changes in supplier composition and vertical integration," Journal of International Economics, Elsevier, vol. 147(C).
    45. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    46. Den Haan, Wouter J. & Freund, Lukas B. & Rendahl, Pontus, 2021. "Volatile hiring: uncertainty in search and matching models," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 1-18.
    47. Tarek Alexander Hassan & Stephan Hollander & Laurence van Lent & Ahmed Tahoun, 2020. "The Global Impact of Brexit Uncertainty," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-332, Boston University - Department of Economics.
    48. Antonova, Anastasiia & Matvieiev, Mykhailo, 2025. "News and firm entry: The role of the waiting option," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
    49. Attílio, Luccas Assis & Mollick, André Varella, 2024. "Assessing the baseline model of WTI oil and stock returns under financial volatility and spillover effects," Energy Economics, Elsevier, vol. 135(C).
    50. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    51. Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2021. "Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty," Journal of Econometrics, Elsevier, vol. 225(1), pages 47-73.
    52. Boyan Jovanovic & Sai Ma, 2022. "Uncertainty and Growth Disasters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 44, pages 33-64, April.
    53. Huifeng Chang & Adrien D'Avernas & Andrea L. Eisfeldt, 2024. "Bonds versus Equities: Information for Investment," Journal of Finance, American Finance Association, vol. 79(6), pages 3893-3941, December.
    54. Lutz Kilian & Michael D. Plante & Alexander W. Richter, 2025. "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 395-410, June.
    55. Bachmann, Rüdiger & Born, Benjamin & Elstner, Steffen & Grimme, Christian, 2019. "Time-varying business volatility and the price setting of firms," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 82-99.
    56. Jing, Weishu & Hsiao, Cody Yu-Ling, 2025. "Economic policy uncertainty and the risk of Chinese commercial banks," Finance Research Letters, Elsevier, vol. 81(C).
    57. Ian Dew-Becker, 2024. "Real-time forward-looking skewness over the business cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 54, October.
    58. Asad Dossani & John Elder, 2025. "Drilling and DUCs in the Permian Basin," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(5), pages 395-406, May.
    59. Huang, Wei & Lei, Xiaoyan & Yu, Miao, 2024. "Economic policy uncertainty, health status, and mortality," Social Science & Medicine, Elsevier, vol. 362(C).
    60. Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2021. "Hedging macroeconomic and financial uncertainty and volatility," Journal of Financial Economics, Elsevier, vol. 142(1), pages 23-45.
    61. Michael Ryan, 2020. "An Anchor in Stormy Seas: Does Reforming Economic Institutions Reduce Uncertainty? Evidence from New Zealand," Working Papers in Economics 20/11, University of Waikato.
    62. Song, Jeongseop & Zhang, Fan, 2024. "Regional market uncertainty and corporate investment," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
    63. Gomez-Gonzalez, Jose E. & Hirs-Garzon, Jorge & Uribe, Jorge M., 2024. "US uncertainty shocks on real and financial markets: A multi-country perspective," Economic Systems, Elsevier, vol. 48(3).
    64. Doshi, Hitesh & Ericsson, Jan & Fournier, Mathieu & Seo, Sang Byung, 2024. "The risk and return of equity and credit index options," Journal of Financial Economics, Elsevier, vol. 161(C).
    65. Ahmed, Rashad, 2020. "Global Flight-to-Safety Shocks," MPRA Paper 103501, University Library of Munich, Germany.
    66. Takao Asano & Xiaojing Cai & Ryuta Sakemoto, 2023. "Time-varying ambiguity shocks and business cycles," KIER Working Papers 1094, Kyoto University, Institute of Economic Research.
    67. Ding Dong & Allen Hu & Zhaorui Li & Zheng Liu, 2025. "Information Acquisition and the Finance-Uncertainty Trap," Working Paper Series 2025-12, Federal Reserve Bank of San Francisco.
    68. Stefan Lautenbacher, 2021. "Subjective Uncertainty, Expectations, and Firm Behavior," ifo Working Paper Series 349, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    69. Helmut Herwartz & Alexander Lange, 2024. "How certain are we about the role of uncertainty in the economy?," Economic Inquiry, Western Economic Association International, vol. 62(1), pages 126-149, January.
    70. Hauzenberger, Niko & Pfarrhofer, Michael & Stelzer, Anna, 2021. "On the effectiveness of the European Central Bank’s conventional and unconventional policies under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 822-845.
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    74. Dasol Kim & William Goetzmann & Robert Shiller, 2023. "Crash Narratives," Working Papers 23-10, Office of Financial Research, US Department of the Treasury.
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    77. Redl, Chris, 2020. "Uncertainty matters: Evidence from close elections," Journal of International Economics, Elsevier, vol. 124(C).
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    79. Dennis Novy & Alan M. Taylor, 2020. "Trade and Uncertainty," The Review of Economics and Statistics, MIT Press, vol. 102(4), pages 749-765, October.
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  20. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.

    Cited by:

    1. Ching-Wai (Jeremy) Chiu & Richard Harris & Evarist Stoja & Michael Chin, 2016. "Financial market volatility, macroeconomic fundamentals and investor sentiment," Bank of England working papers 608, Bank of England.
    2. Lee, Seohyun, 2017. "Three essays on uncertainty: real and financial effects of uncertainty shocks," MPRA Paper 83617, University Library of Munich, Germany.
    3. Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
    4. Iván Alfaro & Nicholas Bloom & Xiaoji Lin, 2018. "The Finance Uncertainty Multiplier," NBER Working Papers 24571, National Bureau of Economic Research, Inc.
    5. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Measuring Uncertainty and Its Impact on the Economy," BAFFI CAREFIN Working Papers 1639, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. Ambrogio Cesa‐Bianchi & Emilio Fernandez‐Corugedo, 2018. "Uncertainty, Financial Frictions, and Nominal Rigidities: A Quantitative Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(4), pages 603-636, June.

  21. Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.

    Cited by:

    1. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    2. Golez, Benjamin & Koudijs, Peter, 2025. "Equity duration and predictability," Journal of Financial Economics, Elsevier, vol. 172(C).
    3. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    4. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
    5. Carboni, Giacomo & Ellison, Martin, 2022. "Preferred habitat and monetary policy through the looking-glass," Working Paper Series 2697, European Central Bank.
    6. Peter Carr & Liuren Wu, 2020. "Option Profit and Loss Attribution and Pricing: A New Framework," Journal of Finance, American Finance Association, vol. 75(4), pages 2271-2316, August.
    7. Liu, Yan & Wu, Jing Cynthia, 2021. "Reconstructing the yield curve," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
    8. Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2022. "Overreaction and Diagnostic Expectations in Macroeconomics," Journal of Economic Perspectives, American Economic Association, vol. 36(3), pages 223-244, Summer.
    9. Bordalo, Pedro & Gennaioli, Nicola & La Porta, Rafael & Shleifer, Andrei, 2025. "Finance without exotic risk," Journal of Financial Economics, Elsevier, vol. 173(C).
    10. Bordalo, Pedro & Gennaioli, Nicola & Kwon, Spencer Yongwook & Shleifer, Andrei, 2021. "Diagnostic bubbles," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1060-1077.
    11. Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
    12. Pedro Manuel Nogueira Reis & Carlos Pinho, 2021. "A Reappraisal of the Causal Relationship between Sentiment Proxies and Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 22(4), pages 420-442, October.
    13. Constantin Charles & Cary D. Frydman & Mete Kilic, 2022. "Insensitive Investors," CESifo Working Paper Series 10067, CESifo.
    14. Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
    15. Charles, Constantin & Frydman, Cary & Kilic, Mete, 2024. "Insensitive investors," LSE Research Online Documents on Economics 120788, London School of Economics and Political Science, LSE Library.
    16. Peter Haan & Chen Sun & Uwe Sunde & Georg Weizsäcker, 2022. "Non-Additivity of Subjective Expectations over Different Time Intervals," Discussion Papers of DIW Berlin 2027, DIW Berlin, German Institute for Economic Research.
    17. Hui, Kai Wai & Oh, Jun & She, Guoman & Yeung, P. Eric, 2025. "Contract contingencies and uncertainty: Evidence from product market contracts," Journal of Accounting and Economics, Elsevier, vol. 79(2).
    18. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
    19. Lux, Thomas, 2020. "Can heterogeneous agent models explain the alleged mispricing of the S&P 500?," Economics Working Papers 2020-03, Christian-Albrechts-University of Kiel, Department of Economics.
    20. Richard K. Crump & Nikolay Gospodinov, 2019. "Deconstructing the yield curve," Staff Reports 884, Federal Reserve Bank of New York.
    21. Irina Zviadadze, 2017. "Term Structure of Risk on Macrofinance Models," 2017 Meeting Papers 965, Society for Economic Dynamics.
    22. Danial Saef & Yuanrong Wang & Tomaso Aste, 2022. "Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing," Papers 2208.12614, arXiv.org, revised Sep 2022.
    23. Constantin Charles & Cary Frydman & Mete Kilic, 2024. "Insensitive Investors," Journal of Finance, American Finance Association, vol. 79(4), pages 2473-2503, August.
    24. Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.

  22. Stefano Giglio & Matteo Maggiori & Johannes Ströbel & Andreas Weber, 2015. "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CESifo Working Paper Series 5608, CESifo.

    Cited by:

    1. Christopher J. Amante & Jacob Dice & David Rodziewicz & Eugene Wahl, 2020. "Housing Market Value Impairment from Future Sea-level Rise Inundation," Research Working Paper RWP 20-05, Federal Reserve Bank of Kansas City.
    2. Afees A. Salisu & Ahamuefula E. Ogbonna & Elie Bouri & Rangan Gupta, 2024. "Climate Risks and Prediction of Sectoral REITs Volatility: International Evidence," Working Papers 202434, University of Pretoria, Department of Economics.
    3. Dietz, Simon & Lanz, Bruno, 2022. "Growth and adaptation to climate change in the long run," LSE Research Online Documents on Economics 117608, London School of Economics and Political Science, LSE Library.
    4. Dong, Xin & Gong, Jinguo & Wang, Qin, 2025. "Environmental attention and the predictability of crude oil volatility: Evidence from a new MIDAS multifractal model," Energy Economics, Elsevier, vol. 143(C).
    5. Kadie S. Clark & J. Isaac Miller, 2025. "Effects of Climate Change on House Prices in Outdoor Tourism Destinations: A Case Study of Southwestern Colorado," Environmetrics, John Wiley & Sons, Ltd., vol. 36(3), April.
    6. Iverson , Terrence & Karp, Larry, 2017. "Carbon taxes and climate commitment with non-constant time preference," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt3hw6s14v, Department of Agricultural & Resource Economics, UC Berkeley.
    7. J Anthony Cookson & Emily Gallagher & Philip Mulder, 2025. "Coverage Neglect in Homeowner's Insurance," Working Papers 25-09, Federal Reserve Bank of Philadelphia.
    8. Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda, 2023. "In search of climate distress risk," International Review of Financial Analysis, Elsevier, vol. 85(C).
    9. Massimo Guidolin, Serena Ionta, 2026. "Uncertain Climate Policy as a Source of Macro-Financial Shocks: Evidence from Carbon Futures Volatility," BAFFI CAREFIN Working Papers 26262, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    10. William N Goetzmann & Christophe Spaenjers & Stijn Van Nieuwerburgh, 2021. "Real and Private-Value Assets [Gendered prices]," The Review of Financial Studies, Society for Financial Studies, vol. 34(8), pages 3497-3526.
    11. Riccardo Colacito & Bridget Hoffman & Toan Phan, 2018. "Temperature and Growth: A Panel Analysis of the United States," Working Paper 18-9, Federal Reserve Bank of Richmond.
    12. Miriam Breitenstein & Duc Khuong Nguyen & Thomas Walther, 2019. "Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review," Working Papers on Finance 1910, University of St. Gallen, School of Finance.
    13. Alam, Zinat & Hossain, Miran & Wang, Lingling, 2025. "The economic and cultural motives of green price premium," The British Accounting Review, Elsevier, vol. 57(5).
    14. Matteo Benetton & Simone Emiliozzi & Elisa Guglielminetti & Michele Loberto & Alessandro Mistretta, 2022. "Do house prices reflect climate change adaptation? Evidence from the city on the water," Questioni di Economia e Finanza (Occasional Papers) 735, Bank of Italy, Economic Research and International Relations Area.
    15. Ge, Xiaowen & Xue, Minggao & Cao, Ruiyi, 2024. "Do Chinese carbon-intensive stocks overreact to climate transition risk? Evidence from the COP26 news," International Review of Financial Analysis, Elsevier, vol. 94(C).
    16. Lu, Hengzhen & Wang, Xinran, 2025. "Climate change news sensitivity and expected stock returns: Evidence from China," Finance Research Letters, Elsevier, vol. 81(C).
    17. Tamma Carleton & Michael Greenstone, 2021. "Updating the United States Government's Social Cost of Carbon," Working Papers 2021-04, Becker Friedman Institute for Research In Economics.
    18. Giuzio, Margherita & Kahraman, Bige & Knyphausen, Jasper, 2026. "Climate change, bank liquidity and systemic risk," Working Paper Series 3168, European Central Bank.
    19. Alpino, Matteo & Citino, Luca & Zeni, Federica, 2023. "Costs and benefits of the green transitionenvisaged in the Italian NRRP - An evaluation using the social cost of carbon," Energy Policy, Elsevier, vol. 182(C).
    20. Wang, Qiao, 2024. "Carbon pricing and the commodity risk premium," Journal of Commodity Markets, Elsevier, vol. 36(C).
    21. Döttling, Robin & Rola-Janicka, Magdalena, 2023. "Too Levered for Pigou: Carbon Pricing, Financial Constraints, and Leverage Regulation," OSF Preprints ds7bx, Center for Open Science.
    22. Yin, Libo & Cao, Hong, 2024. "The propagation effect of climate risks on global stock markets: Evidence from the time and space domains," Energy Economics, Elsevier, vol. 132(C).
    23. Johannes Stroebel, 2016. "EconomicDynamics Interview: Johannes Stroebel on real estate dynamics," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 17(2), November.
    24. Gao, Qishuo & Shi, Vivien & Pettit, Christopher & Han, Hoon, 2022. "Property valuation using machine learning algorithms on statistical areas in Greater Sydney, Australia," Land Use Policy, Elsevier, vol. 123(C).
    25. Bernard, René & Tzamourani, Panagiota & Weber, Michael, 2022. "Climate change and individual behavior," Discussion Papers 01/2022, Deutsche Bundesbank.
    26. Bihong Huang & Maria Teresa Punzi & Yu Wu, 2019. "Do Banks Price Environmental Risk? Evidence from a Quasi Natural Experiment in the People’s Republic of China," ADBI Working Papers 974, Asian Development Bank Institute.
    27. Harrison Hong & Frank Weikai Li & Jiangmin Xu, 2016. "Climate Risks and Market Efficiency," NBER Working Papers 22890, National Bureau of Economic Research, Inc.
    28. Andrea Ugolini & Juan C. Reboredo & Javier Ojea-Ferreiro, 2023. "Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps," Working Papers 509, University of Milano-Bicocca, Department of Economics.
    29. Döttling, Robin & Rola-Janicka, Magdalena, 2025. "Too Levered for Pigou: Carbon pricing, financial constraints, and leverage regulation," Journal of Financial Economics, Elsevier, vol. 172(C).
    30. Bailey, Michael & Gupta, Abhinav & Hillenbrand, Sebastian & Kuchler, Theresa & Richmond, Robert & Stroebel, Johannes, 2021. "International trade and social connectedness," Journal of International Economics, Elsevier, vol. 129(C).
    31. Ströbel, Johannes & Bailey, Michael & Johnston, Drew & Kuchler, Theresa & Wong, Arlene, 2019. "Peer Effects in Product Adoption," CEPR Discussion Papers 13731, C.E.P.R. Discussion Papers.
    32. Gouriéroux, C. & Monfort, A. & Renne, J.-P., 2022. "Required Capital for Long-Run Risks," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    33. Huang, Bihong & Punzi, Maria Teresa & Wu, Yu, 2021. "Do banks price environmental transition risks? Evidence from a quasi-natural experiment in China," Journal of Corporate Finance, Elsevier, vol. 69(C).
    34. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    35. Huang, Xiaowei & Cheng, Ge & Zhang, Man, 2025. "Climate change risk and real estate prices—Micro evidence from coastal cities in China," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
    36. Larry Karp & Armon Rezai, 2018. "Asset Prices and Climate Policy," 2018 Meeting Papers 595, Society for Economic Dynamics.
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    7. Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
    8. Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
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    22. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020. "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers 15610, C.E.P.R. Discussion Papers.
    23. Turalay Kenc & Emrah Ismail Cevik, 2021. "Estimating volatility clustering and variance risk premium effects on bank default indicators," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1373-1392, November.
    24. Mykola Babiak & Jozef Barunik, 2021. "Volatility Shocks and Currency Returns," Papers 2101.09738, arXiv.org, revised Mar 2026.
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    26. Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
    27. Jose Maria Barrero & Nicholas Bloom & Ian Wright, 2017. "Short and Long Run Uncertainty," NBER Working Papers 23676, National Bureau of Economic Research, Inc.
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    29. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    30. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    31. Yang, Shuwen & Aretz, Kevin & Liu, Hening & Zhang, Yuzhao, 2022. "Consumption risks in option returns," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 285-302.
    32. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    33. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    34. Sankar, Ganesh & Ramachandran, Shankar & Lukose P J, Jijo, 2020. "Dynamics of variance risk premium: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 321-334.
    35. Manuel Ammann & Mathis Mörke, 2019. "Credit Variance Risk Premiums," Working Papers on Finance 1908, University of St. Gallen, School of Finance.
    36. Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
    37. Danilo Cascaldi-Garcia & Deepa Dhume Datta & Thiago Revil T. Ferreira & Olesya V. Grishchenko & Mohammad R. Jahan-Parvar & Juan M. Londono & Francesca Loria & Sai Ma & Marius del Giudice Rodriguez & J, 2020. "What is Certain about Uncertainty?," International Finance Discussion Papers 1294, Board of Governors of the Federal Reserve System (U.S.).
      • Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    38. Bilgin, Mehmet Huseyin & Danisman, Gamze Ozturk & Demir, Ender & Tarazi, Amine, 2021. "Economic uncertainty and bank stability: Conventional vs. Islamic banking," Journal of Financial Stability, Elsevier, vol. 56(C).
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    65. Strulik, Holger, 2017. "Hyperbolic discounting and the time-consistent solution of three canonical environmental problems," University of Göttingen Working Papers in Economics 319, University of Goettingen, Department of Economics, revised 2017.
    66. Edward L. Glaeser & Charles G. Nathanson, 2014. "Housing Bubbles," NBER Working Papers 20426, National Bureau of Economic Research, Inc.
    67. Giacoletti, Marco & Parsons, Christopher A., 2022. "Peak-Bust rental spreads," Journal of Financial Economics, Elsevier, vol. 143(1), pages 504-526.
    68. Greenwood, Robin & Shleifer, Andrei & You, Yang, 2019. "Bubbles for Fama," Journal of Financial Economics, Elsevier, vol. 131(1), pages 20-43.
    69. Amine Ouazad & Matthew E. Kahn, 2019. "Mortgage Finance and Climate Change: Securitization Dynamics in the Aftermath of Natural Disasters," NBER Working Papers 26322, National Bureau of Economic Research, Inc.
    70. Massimiliano Ferrara & Bruno A. Pansera & Francesco Strati, 2017. "On the Inception of Financial Representative Bubbles," Mathematics, MDPI, vol. 5(4), pages 1-9, November.
    71. Geoffrey Poitras & Giovanna Zanotti, 2018. "Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households," JRFM, MDPI, vol. 11(3), pages 1-18, July.
    72. Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo S., 2019. "Optimal carbon abatement in a stochastic equilibrium model with climate change," SAFE Working Paper Series 92, Leibniz Institute for Financial Research SAFE, revised 2019.
    73. Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017. "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers 1641, Society for Economic Dynamics.
    74. Tolhurst, Tor N., "undated". "A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines," 2018 Annual Meeting, August 5-7, Washington, D.C. 274387, Agricultural and Applied Economics Association.
    75. Jules H. van Binsbergen, 2020. "Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility," NBER Working Papers 27367, National Bureau of Economic Research, Inc.
    76. Hugo Freeman & Martin Weidner, 2021. "Linear Panel Regressions with Two-Way Unobserved Heterogeneity," Papers 2109.11911, arXiv.org, revised Aug 2022.
    77. Koon Shing Kwong & Jing Rong Goh & Edward SW Ti, 2025. "Unpacking Singapore’s Leasehold Relativity Table – An Empirical and Legal Analysis," International Real Estate Review, Global Social Science Institute, vol. 28(3), pages 379-406.
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  27. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very long-run discount rates," Globalization Institute Working Papers 182, Federal Reserve Bank of Dallas.

    Cited by:

    1. Christopher J. Amante & Jacob Dice & David Rodziewicz & Eugene Wahl, 2020. "Housing Market Value Impairment from Future Sea-level Rise Inundation," Research Working Paper RWP 20-05, Federal Reserve Bank of Kansas City.
    2. de la Croix, David & Doepke, Matthias, 2021. "A soul’s view of the optimal population problem," Mathematical Social Sciences, Elsevier, vol. 112(C), pages 98-108.
    3. Philippe Bracke & Ted Pinchbeck & James Wyatt, 2014. "The Time Value of Housing: Historical Evidence from London Residential Leases," SERC Discussion Papers 0168, Centre for Economic Performance, LSE.
    4. Bartolini, Stefano & Sarracino, Francesco, 2018. "Do People Care About Future Generations? Derived Preferences from Happiness Data," Ecological Economics, Elsevier, vol. 143(C), pages 253-275.
    5. Marianne Andries & Thomas M. Eisenbach & R. Jay Kahn & Martin C. Schmalz, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
    6. Tom Huppertz & Bo P. Weidema & Simon Standaert & Bernard De Caevel & Elisabeth van Overbeke, 2019. "The Social Cost of Sub-Soil Resource Use," Resources, MDPI, vol. 8(1), pages 1-17, January.
    7. Johannes Stroebel, 2016. "EconomicDynamics Interview: Johannes Stroebel on real estate dynamics," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 17(2), November.
    8. Jules H. van Binsbergen & Ralph S.J. Koijen, 2015. "The Term Structure of Returns: Facts and Theory," NBER Working Papers 21234, National Bureau of Economic Research, Inc.
    9. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    10. Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015. "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 753-811, Elsevier.
    11. Fontana, Adele & Jarmulska, Barbara & Schwarz, Claudia & Scheid, Benedikt & Scheins, Christopher, 2025. "From flood to fire: is physical climate risk taken into account in banks’ residential mortgage rates?," Working Paper Series 3036, European Central Bank.
    12. Barrage, Lint, 2018. "Be careful what you calibrate for: Social discounting in general equilibrium," Journal of Public Economics, Elsevier, vol. 160(C), pages 33-49.
    13. Moritz Drupp & Mark Freeman & Ben Groom & Frikk Nesje, 2015. "Discounting disentangled: an expert survey on the determinants of the long-term social discount rate," GRI Working Papers 196a, Grantham Research Institute on Climate Change and the Environment.
    14. Bernstein, Asaf & Billings, Stephen B. & Gustafson, Matthew T. & Lewis, Ryan, 2022. "Partisan residential sorting on climate change risk," Journal of Financial Economics, Elsevier, vol. 146(3), pages 989-1015.
    15. Dirk Beerbaum & Maciej Piechocki & Julia M. Puaschunder, 2019. "Accounting Reporting Complexity Measured Behaviorally," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 56(4), pages 35-47, December.
    16. Sascha Kollenberg & Luca Taschini, 2016. "Emissions trading systems with cap adjustments," GRI Working Papers 195, Grantham Research Institute on Climate Change and the Environment.
    17. Philippe Bracke & Silvana Tenreyro, 2018. "History dependence in the housing market," CEP Discussion Papers dp1568, Centre for Economic Performance, LSE.
    18. Jinchi Dong & Richard S. J. Tol & Fangzhi Wang, 2024. "Towards a representative social cost of carbon," Papers 2404.04989, arXiv.org.
    19. Elizabeth Kopits & Daniel Kraynak & Bryan Parthum & Lisa Rennels & David Smith & Elizabeth Spink & Joseph Perla & Nshan Burns, 2025. "Economic Impacts of Climate Change in the United States: Integrating and Harmonizing Evidence from Recent Studies," Papers 2509.00212, arXiv.org.
    20. Hans R. A. Koster & Edward W. Pinchbeck, 2018. "How do households value the future? Evidence from property taxes," CEP Discussion Papers dp1571, Centre for Economic Performance, LSE.
    21. Christoph Hambel & Holger Kraft & Eduardo Schwartz, 2015. "Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change," NBER Working Papers 21044, National Bureau of Economic Research, Inc.
    22. Strulik, Holger, 2017. "Hyperbolic discounting and the time-consistent solution of three canonical environmental problems," University of Göttingen Working Papers in Economics 319, University of Goettingen, Department of Economics, revised 2017.
    23. Daniel Tortorice, 2015. "Long Run Expectations, Learning and the U.S. Housing Market," Working Papers 85, Brandeis University, Department of Economics and International Business School.
    24. Amine Ouazad & Matthew E. Kahn, 2019. "Mortgage Finance and Climate Change: Securitization Dynamics in the Aftermath of Natural Disasters," NBER Working Papers 26322, National Bureau of Economic Research, Inc.
    25. Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo S., 2019. "Optimal carbon abatement in a stochastic equilibrium model with climate change," SAFE Working Paper Series 92, Leibniz Institute for Financial Research SAFE, revised 2019.
    26. Jules H. van Binsbergen, 2020. "Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility," NBER Working Papers 27367, National Bureau of Economic Research, Inc.
    27. Koon Shing Kwong & Jing Rong Goh & Edward SW Ti, 2025. "Unpacking Singapore’s Leasehold Relativity Table – An Empirical and Legal Analysis," International Real Estate Review, Global Social Science Institute, vol. 28(3), pages 379-406.

  28. Ian Dew-Becker & Stefano Giglio, 2013. "Asset Pricing in the Frequency Domain: Theory and Empirics," NBER Working Papers 19416, National Bureau of Economic Research, Inc.

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    1. Pier Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
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    3. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    4. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
    5. Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
    6. Connolly, Robert & Dubofsky, David & Stivers, Chris, 2018. "Macroeconomic uncertainty and the distant forward-rate slope," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 140-161.
    7. Baruník, Jozef & Ellington, Michael, 2024. "Persistence in financial connectedness and systemic risk," European Journal of Operational Research, Elsevier, vol. 314(1), pages 393-407.
    8. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    9. Liu, Zhenhua & Ji, Qiang & Zhai, Pengxiang & Ding, Zhihua, 2023. "Asymmetric and time-frequency volatility connectedness between China and international crude oil markets with portfolio implications," Research in International Business and Finance, Elsevier, vol. 66(C).
    10. Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
    11. Alexander M. Chinco & Mao Ye, 2017. "Investment-Horizon Spillovers," NBER Working Papers 23650, National Bureau of Economic Research, Inc.
    12. Dew-Becker, Ian & Nathanson, Charles G., 2019. "Directed attention and nonparametric learning," Journal of Economic Theory, Elsevier, vol. 181(C), pages 461-496.
    13. Rhys M. Bidder, 2013. "Frequency shifting," Working Paper Series 2013-29, Federal Reserve Bank of San Francisco.
    14. Elsayed, Ahmed H. & Yarovaya, Larisa, 2019. "Financial stress dynamics in the MENA region: Evidence from the Arab Spring," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 20-34.
    15. Donadelli, Michael & Jüppner, Marcus & Riedel, Max & Schlag, Christian, 2017. "Temperature shocks and welfare costs," SAFE Working Paper Series 177, Leibniz Institute for Financial Research SAFE.
    16. Uddin, Gazi Salah & Shahzad, Syed Jawad Hussain & Boako, Gideon & Hernandez, Jose Areola & Lucey, Brian M., 2019. "Heterogeneous interconnections between precious metals: Evidence from asymmetric and frequency-domain spillover analysis," Resources Policy, Elsevier, vol. 64(C).
    17. Yin, Libo & Cao, Hong, 2024. "The propagation effect of climate risks on global stock markets: Evidence from the time and space domains," Energy Economics, Elsevier, vol. 132(C).
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    19. Ben-Rephael, Azi & Cookson, J. Anthony & izhakian, yehuda, 2022. "Trading, Ambiguity and Information in the Options Market," SocArXiv ewunv, Center for Open Science.
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    21. Jozef Barunik & Lukas Vacha, 2023. "The Dynamic Persistence of Economic Shocks," Papers 2306.01511, arXiv.org, revised Jun 2025.
    22. Brož, Václav & Kočenda, Evžen, 2022. "Mortgage-related bank penalties and systemic risk among U.S. banks," Journal of International Money and Finance, Elsevier, vol. 122(C).
    23. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
    24. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
    25. Dai, Zhifeng & Jiang, Fuwei & Kang, Jie & Xue, Bowen, 2025. "Stock return predictability in the frequency domain," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1126-1147.
    26. Corbet, Shaen & Meegan, Andrew & Larkin, Charles & Lucey, Brian & Yarovaya, Larisa, 2018. "Exploring the dynamic relationships between cryptocurrencies and other financial assets," Economics Letters, Elsevier, vol. 165(C), pages 28-34.
    27. Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    28. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
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    30. Cui Jinxin & Zou Huiwen, 2020. "Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives," Journal of Systems Science and Information, De Gruyter, vol. 8(5), pages 401-433, October.
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    65. Plakandaras, Vasilios & Tiwari, Aviral Kumar & Gupta, Rangan & Ji, Qiang, 2020. "Spillover of sentiment in the European Union: Evidence from time- and frequency-domains," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 105-130.
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    69. Fabio Franceschini, 2025. "The Innovation Long-Run Risk Component," Working Papers wp1215, Dipartimento Scienze Economiche, Universita' di Bologna.
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    93. Bandi, Federico M. & Tamoni, Andrea, 2023. "Business-cycle consumption risk and asset prices," Journal of Econometrics, Elsevier, vol. 237(2).
    94. Wang, Yizhi & Wei, Yu & Lucey, Brian M. & Su, Yang, 2023. "Return spillover analysis across central bank digital currency attention and cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    95. Rhys M. Bidder & Ian Dew-Becker, 2014. "Long-Run Risk is the Worst-Case Scenario: Ambiguity Aversion and Non-Parametric Estimation of the Endowment Process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
    96. Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.

  29. Stefano Giglio & Kelly Shue, 2013. "No News is News: Do Markets Underreact to Nothing?," NBER Working Papers 18914, National Bureau of Economic Research, Inc.

    Cited by:

    1. Carletti, Elena & Ongena, Steven & Siedlarek, Jan-Peter & Spagnolo, Giancarlo, 2015. "The Impact of Merger Legislation on Bank Mergers," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 530, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    2. Joseph D. Piotroski & T. J. Wong & Tianyu Zhang, 2015. "Political Incentives to Suppress Negative Information: Evidence from Chinese Listed Firms," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 53(2), pages 405-459, May.

  30. Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
    • John Y. Campbell & Stefano Giglio & Christopher Polk, 2010. "Hard Times," NBER Working Papers 16222, National Bureau of Economic Research, Inc.

    Cited by:

    1. William N. Goetzmann & Dasol Kim, 2017. "Negative Bubbles: What Happens After a Crash," NBER Working Papers 23830, National Bureau of Economic Research, Inc.
    2. Thomas Nitschka, 2014. "The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?," Working Papers 2014-01, Swiss National Bank.
    3. Thomas Nitschka, 2014. "What News Drive Variation in Swiss and US Bond and Stock Excess Returns?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(II), pages 89-118, June.
    4. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    5. Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan, 2016. "Cash flow news, discount rate news, and momentum," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 240-254.
    6. Thomas Nitschka, 2014. "Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market," Working Papers 2014-13, Swiss National Bank.
    7. Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Beckers, Benjamin & Bernoth, Kerstin, 2016. "Monetary Policy and Asset Mispricing," VfS Annual Conference 2016 (Augsburg): Demographic Change 145684, Verein für Socialpolitik / German Economic Association.
    9. Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
    10. Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui, 2015. "Explaining the default risk anomaly by the two-beta model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 16-33.
    11. Maio, Paulo, 2013. "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4958-4972.
    12. Benjamin Beckers & Kerstin Bernoth, 2016. "Monetary Policy and Mispricing in Stock Markets," Discussion Papers of DIW Berlin 1605, DIW Berlin, German Institute for Economic Research.
    13. Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010. "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers 10-116/2/DSF 3, Tinbergen Institute.
    14. Volkov, Nikanor I. & Smith, Garrett C., 2015. "Corporate diversification and firm value during economic downturns," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 160-175.

  31. Stefano Giglio, 2011. "Credit default swap spreads and systemic financial risk," Proceedings 1122, Federal Reserve Bank of Chicago.

    Cited by:

    1. Nicola Gennaioli, 2012. "A Model of Shadow Banking," 2012 Meeting Papers 89, Society for Economic Dynamics.
    2. Game Aaron & Wu Jason, 2013. "A Covariate Residual-Based Cointegration Test Applied to the CDS-Bond Basis," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 163-192, April.
    3. Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
    4. Brian Du, 2017. "How Useful Is Basel III's Liquidity Coverage Ratio? Evidence From US Bank Holding Companies," European Financial Management, European Financial Management Association, vol. 23(5), pages 902-919, October.
    5. Greenwood, Robin & Landier, Augustin & Thesmar, David, 2011. "Vulnerable Banks," IDEI Working Papers 700, Institut d'Économie Industrielle (IDEI), Toulouse.
    6. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2014. "Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse," NBER Working Papers 20459, National Bureau of Economic Research, Inc.
    7. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, vol. 7(3), pages 1-25, July.
    8. Junye Li & Gabriele Zinna, 2014. "On bank credit risk: systemic or bank-specific? Evidence from the US and UK," Temi di discussione (Economic working papers) 951, Bank of Italy, Economic Research and International Relations Area.
    9. Dungey, Mardi & Luciani, Matteo & Veredas, David, 2018. "Systemic risk in the US: Interconnectedness as a circuit breaker," Economic Modelling, Elsevier, vol. 71(C), pages 305-315.
    10. Jeong-Bon Kim & Li Li & Mary L. Z. Ma & Frank M. Song, 2013. "CEO Option Compensation, Risk-Taking Incentives, and Systemic Risk in the Banking Industry," Working Papers 182013, Hong Kong Institute for Monetary Research.
    11. Paddrick, Mark & Young, H. Peyton, 2021. "How safe are central counterparties in credit default swap markets?," LSE Research Online Documents on Economics 101170, London School of Economics and Political Science, LSE Library.
    12. María Rodríguez-Moreno & Sergio Mayordomo & Juan Ignacio Peña, 2012. "Derivatives Holdings and Systemic Risk in the U.S. Banking Sector," Faculty Working Papers 21/12, School of Economics and Business Administration, University of Navarra.
    13. Kitty Moloney & Oisin Kenny & Neill Killeen, 2016. "Network analysis using EMIR credit default swap data: micro-level evidence from Irish-domiciled special purpose vehicles (SPVs)," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    14. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
    15. Kosenko, Konstantin & Michelson, Noam, 2022. "It takes more than two to tango: Multiple bank lending, asset commonality and risk," Journal of Financial Stability, Elsevier, vol. 61(C).
    16. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
    17. Mardi Dungey & Biplob Chowdhury & Moses Kangogo & Mohammad Abu Sayeed & Vladimir Volkov, 2018. "The Changing Network of Financial Market Linkages: The Asian Experience," ADB Economics Working Paper Series 558, Asian Development Bank.
    18. Yu-Sin Chang, 2018. "Systemic Risk and the Dependence Structures," Papers 1809.03425, arXiv.org.
    19. Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series 2016-087, Board of Governors of the Federal Reserve System (U.S.).
    20. Gordon Y. Liao, 2019. "Credit Migration and Covered Interest Rate Parity," International Finance Discussion Papers 1255, Board of Governors of the Federal Reserve System (U.S.).
    21. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    22. H Peyton Young & Mark Paddrik, 2017. "How Safe are Central Counterparties in Derivatives Markets?," Economics Series Working Papers 826, University of Oxford, Department of Economics.
    23. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    24. Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
      • Tobias Adrian & Markus K. Brunnermeier, 2016. "CoVaR," American Economic Review, American Economic Association, vol. 106(7), pages 1705-1741, July.
      • Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
    25. Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
    26. Eijffinger, Sylvester C.W. & Pieterse-Bloem, Mary, 2023. "Eurozone government bond spreads: A tale of different ECB policy regimes," Journal of International Money and Finance, Elsevier, vol. 139(C).
    27. Deyan Radev, 2012. "Systemic Risk, Banking and Sovereign Debt in the Euro Area," Working Papers 1207, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
    28. Paola Bongini & Laura Nieri, 2014. "Identifying and Regulating Systemically Important Financial Institutions," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 39-62, February.
    29. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
    30. Rama Cont & Andreea Minca, 2016. "Credit default swaps and systemic risk," Annals of Operations Research, Springer, vol. 247(2), pages 523-547, December.
    31. Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
    32. Lorenz Kueng, 2014. "Tax News: The Response of Household Spending to Changes in Expected Taxes," NBER Working Papers 20437, National Bureau of Economic Research, Inc.
    33. Muhammad Saifuddin Khan, 2018. "The Role of Liquidity in Financial Intermediation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2018, January-A.
    34. Daures-Lescourret, Laurence & Fulop, Andras, 2022. "Standardization, transparency initiatives, and liquidity in the CDS market," Journal of Financial Markets, Elsevier, vol. 59(PA).
    35. Spiros Bougheas & Alan P. Kirman, 2014. "Complex Financial Networks and Systemic Risk: A Review," CESifo Working Paper Series 4756, CESifo.
    36. Saidane, Dhafer & Sène, Babacar & Désiré Kanga, Kouamé, 2021. "Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    37. Tiago Severo, 2012. "Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance," IMF Working Papers 2012/194, International Monetary Fund.
    38. Martin Indergand & Eric Jondeau & Andreas Fuster, 2022. "Measuring and stress-testing market-implied bank capital," Working Papers 2022-02, Swiss National Bank.
    39. Radev, Deyan, 2014. "Assessing systemic fragility: A probabilistic perspective," SAFE Working Paper Series 70, Leibniz Institute for Financial Research SAFE.
    40. Herculano, Miguel C., 2018. "The role of contagion in the transmission of financial stress," ESRB Working Paper Series 81, European Systemic Risk Board.
    41. Marc Peters & Hugues Pirotte, 2014. "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB 14-018, ULB -- Universite Libre de Bruxelles.
    42. Cai, Jian & Eidam, Frederik & Saunders, Anthony & Steffen, Sascha, 2018. "Syndication, interconnectedness, and systemic risk," Journal of Financial Stability, Elsevier, vol. 34(C), pages 105-120.
    43. Seohyun Lee & Inhwan So & Jongrim Ha, 2018. "Identifying Uncertainty Shocks due to Geopolitical Swings in Korea," Working Papers 2018-26, Economic Research Institute, Bank of Korea.
    44. Wong, Alfred Y-T. & Fong, Tom Pak Wing, 2011. "Analysing interconnectivity among economies," Emerging Markets Review, Elsevier, vol. 12(4), pages 432-442.
    45. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    46. Markus K. Brunnermeier & Patrick Cheridito, 2019. "Measuring and Allocating Systemic Risk," Risks, MDPI, vol. 7(2), pages 1-19, April.
    47. Pereira, John & Sorwar, Ghulam & Nurullah, Mohamed, 2018. "What drives corporate CDS spreads? A comparison across US, UK and EU firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 188-200.
    48. H Peyton Young & Mark Paddrik, 2019. "How Safe are Central Counterparties in Credit Default Swap Markets?," Economics Series Working Papers 885, University of Oxford, Department of Economics.
    49. Radev, Deyan, 2013. "Systemic risk and sovereign debt in the Euro area," SAFE Working Paper Series 37, Leibniz Institute for Financial Research SAFE.
    50. R. Pianeti & R. Giacometti, 2015. "Estimating the probability of multiple EU sovereign defaults using CDS and bond data," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 61-78, January.
    51. Zhiguo He & Arvind Krishnamurthy, 2012. "A macroeconomic framework for quantifying systemic risk," Working Paper Research 233, National Bank of Belgium.

  32. Stefano Giglio & Tiago Severo, 2011. "Intangible Capital, Relative Asset Shortages and Bubbles," Levine's Working Paper Archive 786969000000000121, David K. Levine.

    Cited by:

    1. Ebrahimy, Ehsan, 2022. "Liquidity choice and misallocation of credit," European Economic Review, Elsevier, vol. 142(C).
    2. Bejan, Camelia & Bidian, Florin, 2014. "Bubbles and trading in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 137-144.
    3. Kaiji Chen & Yi Wen, 2014. "The great housing boom of China," Working Papers 2014-22, Federal Reserve Bank of St. Louis.
    4. Tucker, Steven & Xu, Yilong, 2024. "Nonspeculative bubbles revisited," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    5. Bidian, Florin, 2016. "Robust bubbles with mild penalties for default," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 141-153.
    6. Gregory Thwaites, 2015. "Why are real interest rates so low? Secular stagnation and the relative price of investment goods," Bank of England working papers 564, Bank of England.
    7. Guillaume Rocheteau & Jose Antonio Rodriguez-Lopez, 2013. "Liquidity Provision, Interest Rates, and Unemployment," Working Papers 121311, University of California-Irvine, Department of Economics.
    8. Zhang, Haiping, 2022. "Upstream financial flows, intangible investment, and allocative efficiency," Journal of Macroeconomics, Elsevier, vol. 72(C).
    9. Mr. Ehsan Ebrahimy, 2019. "Liquidity Choice and Misallocation of Credit," IMF Working Papers 2019/284, International Monetary Fund.
    10. Amir Kermani & Yueran Ma, 2020. "Asset Specificity of Non-Financial Firms," NBER Working Papers 27642, National Bureau of Economic Research, Inc.
    11. Mitra, Shalini, 2019. "Intangible capital and the rise in wage and hours volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 70-85.
    12. Andrea Caggese & Ander Pérez-Orive, 2018. "Capital misallocation and secular stagnation," Economics Working Papers 1637, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2019.
    13. Gonul Colak & Theogene Habimana & Timo Korkeamäki, 2025. "The effects of government debt on corporate borrowing in developing economies: evidence from Africa," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 56(7), pages 874-900, September.
    14. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "No-Bubble Condition: Model-free Tests in Housing Markets," NBER Working Papers 20154, National Bureau of Economic Research, Inc.
    15. Hirano, Tomohiro & Yanagawa, Noriyuki, 2016. "Asset Bubbles, Endogenous Growth, and Financial Frictions," HIT-REFINED Working Paper Series 63, Institute of Economic Research, Hitotsubashi University.
    16. Dietrich, Diemo & Hauck, Achim, 2014. "Bank capital regulation, loan contracts, and corporate investment," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 230-241.
    17. Mitra, Shalini, 2018. "Intangible Capital and the Rise in Wage and Hours Volatility," MPRA Paper 89697, University Library of Munich, Germany.
    18. Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.

  33. Giglio, Stefano & Pathak, Parag & Campbell, John Y., 2011. "Forced Sales and House Prices," Scholarly Articles 9887623, Harvard University Department of Economics.

    Cited by:

    1. Renigier-Biłozor, Małgorzata & Walacik, Marek & Źróbek, Sabina & d’Amato, Maurizio, 2018. "Forced sale discount on property market – How to assess it?," Land Use Policy, Elsevier, vol. 78(C), pages 104-115.
    2. Sotirios Thanos & Michael White, 2014. "Expectation Adjustment in the Housing Market: Insights from the Scottish Auction System," Housing Studies, Taylor & Francis Journals, vol. 29(3), pages 339-361, April.
    3. Barry Scholnick & Hyungsuk Byun, 2016. "Do Slot Machines Cause Bankruptcy? A Regulatory Natural Experiment with Exogenous Changes to Slot Locations," ERSA conference papers ersa16p607, European Regional Science Association.
    4. Rohan Ganduri & Steven Chong Xiao & Serena Wenjing Xiao, 2023. "Tracing the source of liquidity for distressed housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 408-440, March.
    5. Zhimin Li & Leslie Sheng Shen & Calvin Zhang, 2020. "Capital Flows, Asset Prices, and the Real Economy: A "China Shock" in the U.S. Real Estate Market," International Finance Discussion Papers 1286, Board of Governors of the Federal Reserve System (U.S.).
    6. Maturana, Gonzalo & Nickerson, Jordan, 2020. "Real effects of workers’ financial distress: Evidence from teacher spillovers," Journal of Financial Economics, Elsevier, vol. 136(1), pages 137-151.
    7. Camila Alvayay Torrejón & Dusan Paredes & Mark Skidmore, 2023. "Impact of demolitions on neighboring property values in Detroit," Journal of Regional Science, Wiley Blackwell, vol. 63(5), pages 1073-1099, November.
    8. Matteo Benetton & Philippe Bracke & João F Cocco & Nicola Garbarino, 2019. "Housing consumption and investment:evidence from shared equity mortgages," Bank of England working papers 790, Bank of England.
    9. Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2013. "The Price of Wine," Working Papers 164656, American Association of Wine Economists.
    10. Andréas Heinen & James B. Kau & Donald C. Keenan & Mi Lim Kim, 2021. "Spatial Dependence in Subprime Mortgage Defaults," The Journal of Real Estate Finance and Economics, Springer, vol. 62(1), pages 1-24, January.
    11. Artur Doshchyn, 2023. "Sinking Ships: Illiquidity and the Predictability of Returns on Real Assets in Recessions," Economics Series Working Papers 1028, University of Oxford, Department of Economics.
    12. Fernando Ferreira & Joseph Gyourko, 2011. "Anatomy of the Beginning of the Housing Boom: U.S. Neighborhoods and Metropolitan Areas, 1993-2009," NBER Working Papers 17374, National Bureau of Economic Research, Inc.
    13. James Alm & Robert D. Buschman & David L. Sjoquist, 2014. "Foreclosures and local government revenues from the property tax: The case of Georgia school districts," Working Papers 1401, Tulane University, Department of Economics.
    14. Huttel, Silke & Jetzinger, Simon & Odening, Martin, 2012. "Forced Sales and Farmland Prices," Structural Change in Agriculture/Strukturwandel im Agrarsektor (SiAg) Working Papers 129063, Humboldt University Berlin, Department of Agricultural Economics.
    15. Sumit Agarwal & Gene Amromin & Itzhak Ben-David & Souphala Chomsisengphet & Yan Zhang, 2014. "Holdup by Junior Claimholders: Evidence from the Mortgage Market," NBER Working Papers 20015, National Bureau of Economic Research, Inc.
    16. Adam M. Guren & Timothy J. McQuade, "undated". "How Do Foreclosures Exacerbate Housing Downturns?," Boston University - Department of Economics - Working Papers Series WP2018-007, Boston University - Department of Economics.
    17. Alin Marius Andries & Anca Copaciu & Radu Popa & Razvan Vlahu, 2021. "Recourse and (strategic) mortgage defaults: Evidence from changes in housing market laws," Working Papers 727, DNB.
    18. Campbell, John Y. & Tufano, Peter & Madrian, Brigitte C. & Jackson, Howell Edmunds, 2011. "Consumer Financial Protection," Scholarly Articles 9887620, Harvard University Department of Economics.
    19. Fernando Ferreira & Joseph Gyourko, 2015. "A New Look at the U.S. Foreclosure Crisis: Panel Data Evidence of Prime and Subprime Borrowers from 1997 to 2012," NBER Working Papers 21261, National Bureau of Economic Research, Inc.
    20. Benjamin Iverson, 2018. "Get in Line: Chapter 11 Restructuring in Crowded Bankruptcy Courts," Management Science, INFORMS, vol. 64(11), pages 5370-5394, November.
    21. Ihlanfeldt, Keith & Mayock, Tom, 2015. "Foreclosures and local government budgets," Regional Science and Urban Economics, Elsevier, vol. 53(C), pages 135-147.
    22. Sean Brunson & Richard J. Buttimer Jr. & Steve Swidler, 2019. "An Adorable Housing Paper: The Informational Content of Agent Remarks," International Real Estate Review, Global Social Science Institute, vol. 22(3), pages 333-357.
    23. Spiros Bougheas & Adam Hal Spencer, 2022. "Fire Sales and Ex Ante Valuation of Systemic Risk: A Financial Equilibrium Networks Approach," CESifo Working Paper Series 10111, CESifo.
    24. Dusan Paredes & Mark Skidmore, 2016. "The Net Benefit of Demolishing Dilapidated Housing: The Case of Detroit," Documentos de Trabajo en Economia y Ciencia Regional 71, Universidad Catolica del Norte, Chile, Department of Economics, revised Nov 2016.
    25. Bing Zhu & Stanimira Milcheva, 2020. "The Pricing of Spatial Linkages in Companies’ Underlying Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 443-475, October.
    26. Bak, Xian F. & Hewings, Geoffrey J.D., 2017. "Measuring foreclosure impact mitigation: Evidence from the Neighborhood Stabilization Program in Chicago," Regional Science and Urban Economics, Elsevier, vol. 63(C), pages 38-56.
    27. David H. Autor & Christopher J. Palmer & Parag A. Pathak, 2012. "Housing Market Spillovers: Evidence from the End of Rent Control in Cambridge Massachusetts," NBER Working Papers 18125, National Bureau of Economic Research, Inc.
    28. Graff Zivin, Joshua & Liao, Yanjun & Panassié, Yann, 2023. "How hurricanes sweep up housing markets: Evidence from Florida," Journal of Environmental Economics and Management, Elsevier, vol. 118(C).
    29. Jiangze Bian & Zhiguo He & Kelly Shue & Hao Zhou, 2018. "Leverage-Induced Fire Sales and Stock Market Crashes," NBER Working Papers 25040, National Bureau of Economic Research, Inc.
    30. Barney Hartman-Glaser & Benjamin Hebert, 2018. "The Insurance is the Lemon: Failing to Index Contracts," 2018 Meeting Papers 160, Society for Economic Dynamics.
    31. Wagner, Gary A. & Komarek, Timothy & Martin, Julia, 2017. "Is the light rail “Tide” lifting property values? Evidence from Hampton Roads, VA," Regional Science and Urban Economics, Elsevier, vol. 65(C), pages 25-37.
    32. Atif Mian & Amir Sufi & Francesco Trebbi, 2011. "Foreclosures, House Prices, and the Real Economy," IMES Discussion Paper Series 11-E-27, Institute for Monetary and Economic Studies, Bank of Japan.
    33. Mizuta, Takeshi & Shimizu, Chihiro & Uesugi, Iichiro & 植杉, 威一郎, 2016. "How Inheritance Affects the Real Estate Market in an Aging Economy : Evidence from Transaction and Registry Data," HIT-REFINED Working Paper Series 62, Institute of Economic Research, Hitotsubashi University.
    34. Shr, Yau-Huo (Jimmy) & Yang, Feng-An & Chen, Yi-Syun, 2023. "The housing market impacts of bicycle-sharing systems," Regional Science and Urban Economics, Elsevier, vol. 98(C).
    35. Biswas, Arnab, 2012. "Housing submarkets and the impacts of foreclosures on property prices," Journal of Housing Economics, Elsevier, vol. 21(3), pages 235-245.
    36. Ellen, Ingrid Gould & Lacoe, Johanna & Sharygin, Claudia Ayanna, 2013. "Do foreclosures cause crime?," Journal of Urban Economics, Elsevier, vol. 74(C), pages 59-70.
    37. Thomas J. Fitzpatrick & Stephan D. Whitaker, 2012. "Land Bank 2.0: an empirical evaluation," Working Papers (Old Series) 1230, Federal Reserve Bank of Cleveland.
    38. Utpal Bhattacharya & Daisy Huang & Kasper Meisner Nielsen, 2021. "Spillovers in Prices: The Curious Case of Haunted Houses [Fire sales and house prices: evidence from estate sales due to sudden death]," Review of Finance, European Finance Association, vol. 25(3), pages 903-935.
    39. Alm, James & Hawley, Zackary & Lee, Jin Man & Miller, Joshua J., 2016. "Property tax delinquency and its spillover effects on nearby properties," Regional Science and Urban Economics, Elsevier, vol. 58(C), pages 71-77.
    40. Andrei Shleifer & Robert W. Vishny, 2010. "Fire Sales in Finance and Macroeconomics," NBER Working Papers 16642, National Bureau of Economic Research, Inc.
    41. Kahn, Matthew E. & Kok, Nils, 2014. "The capitalization of green labels in the California housing market," Regional Science and Urban Economics, Elsevier, vol. 47(C), pages 25-34.
    42. Bayram, Armagan & Solak, Senay & Johnson, Michael, 2014. "Stochastic models for strategic resource allocation in nonprofit foreclosed housing acquisitions," European Journal of Operational Research, Elsevier, vol. 233(1), pages 246-262.
    43. Yasmin Olteanu, 2018. "Theoretical Concepts," Palgrave Studies in Impact Finance, in: Access to Justice in Microfinance, chapter 0, pages 9-53, Palgrave Macmillan.
    44. Charles Towe & Chad Lawley, 2013. "The Contagion Effect of Neighboring Foreclosures," American Economic Journal: Economic Policy, American Economic Association, vol. 5(2), pages 313-335, May.
    45. Brian T. Melzer, 2013. "Spillovers From Costly Credit," Working Papers 13-11, Center for Economic Studies, U.S. Census Bureau.
    46. Tymon S{l}oczy'nski, 2018. "Interpreting OLS Estimands When Treatment Effects Are Heterogeneous: Smaller Groups Get Larger Weights," Papers 1810.01576, arXiv.org, revised May 2020.
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    335. Marcus T. Allen & Jessica Rutherford & Ronald Rutherford & Abdullah Yavas, 2018. "Impact of Investors in Distressed Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 622-652, May.
    336. Justin Benefield & Ronald Rutherford & Marcus Allen, 2012. "The Effects of Estate Sales of Residential Real Estate on Price and Marketing Time," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 965-981, November.
    337. Paul E. Carrillo & William M. Doerner & William D. Larson, 2018. "House Price Markups and Mortgage Defaults," FHFA Staff Working Papers 18-02, Federal Housing Finance Agency.
    338. Dinc, Serdar & Erel, Isil & Liao, Rose, 2017. "Fire sale discount: Evidence from the sale of minority equity stakes," Journal of Financial Economics, Elsevier, vol. 125(3), pages 475-490.
    339. Bhatia, Kul & Mitchell, Chris, 2016. "Household-specific housing capital gains and consumption: Evidence from Canadian microdata," Regional Science and Urban Economics, Elsevier, vol. 56(C), pages 19-33.
    340. Tomasz Piskorski & Amit Seru & James Witkin, 2013. "Asset Quality Misrepresentation by Financial Intermediaries: Evidence from RMBS Market," NBER Working Papers 18843, National Bureau of Economic Research, Inc.
    341. Stuart A. Gabriel & Matteo Iacoviello & Chandler Lutz, 2020. "A Crisis of Missed Opportunities? Foreclosure Costs and Mortgage Modification During the Great Recession," Finance and Economics Discussion Series 2020-053, Board of Governors of the Federal Reserve System (U.S.).
    342. Harding, John P. & Rosenblatt, Eric & Yao, Vincent W., 2012. "The foreclosure discount: Myth or reality?," Journal of Urban Economics, Elsevier, vol. 71(2), pages 204-218.
    343. Kishore, Kaushalendra & Kulkarni, Nirupama & Roy, Saurabh, 2025. "Zombie lending due to the fear of fire sales," Journal of Corporate Finance, Elsevier, vol. 91(C).
    344. Roman Čibera & Tomáš Krabec, 2016. "Behavioral Finance and Asset Valuation in Insolvency Proceedings," Ekonomika a Management, Prague University of Economics and Business, vol. 2016(1).
    345. Taisuke Sadayuki, 2020. "The externality of a mortality incident within an apartment building: cases of homicide, suicide and fire deaths," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 22(1), pages 21-38, January.
    346. Whitaker, Stephan & Fitzpatrick IV, Thomas J., 2013. "Deconstructing distressed-property spillovers: The effects of vacant, tax-delinquent, and foreclosed properties in housing submarkets," Journal of Housing Economics, Elsevier, vol. 22(2), pages 79-91.
    347. Leonard I. Nakamura, 2010. "How much is that home really worth? Appraisal bias and house-price uncertainty," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 11-22.
    348. Nicholas B. Irwin & Mitchell R. Livy, 2022. "Price and Liquidity Dynamics for Single and Multi-Family Homes during Housing Market Shocks," The Journal of Real Estate Finance and Economics, Springer, vol. 65(1), pages 22-47, July.
    349. Hawley, Zackary & Miranda, Juan José & Sawyer, W. Charles, 2018. "Land values, property rights, and home ownership: Implications for property taxation in Peru," Regional Science and Urban Economics, Elsevier, vol. 69(C), pages 38-47.
    350. Thomas P. Boehm & Alan M. Schlottmann, 2020. "Achieving Effective Mortgage Modifications: The Importance of Household Characteristics," The Journal of Real Estate Finance and Economics, Springer, vol. 61(2), pages 151-182, August.
    351. Wenli Li & Ishani Tewari & Michelle White, 2014. "Using Bankruptcy to Reduce Foreclosures," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 12(03), pages 31-38, October.
    352. Ying Huang & Ronald W. Spahr & Mark A. Sunderman, 2020. "The Impact of Default and Foreclosure on Housing Values: Rings Vs. Neighborhoods Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 60(3), pages 338-374, April.
    353. Skander J. van den Heuvel & Rodney Ramcharan & Stéphane Verani, 2013. "From Wall Street to main street: the impact of the financial crisis on consumer credit supply," Finance and Economics Discussion Series 2013-10, Board of Governors of the Federal Reserve System (U.S.).
    354. McCartney, W. Ben & Shah, Avni M., 2022. "Household mortgage refinancing decisions are neighbor influenced, especially along racial lines," Journal of Urban Economics, Elsevier, vol. 128(C).
    355. Piskorski, Tomasz & Seru, Amit & Vig, Vikrant, 2010. "Securitization and distressed loan renegotiation: Evidence from the subprime mortgage crisis," Journal of Financial Economics, Elsevier, vol. 97(3), pages 369-397, September.
    356. Larry Cordell & Liang Geng & Laurie S. Goodman & Lidan Yang, 2015. "The Cost of Foreclosure Delay," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(4), pages 916-956, November.
    357. Servaes, Henri & Meier, Jean-Marie A., 2014. "Distressed Acquisitions," CEPR Discussion Papers 10093, C.E.P.R. Discussion Papers.
    358. Shi, Xinyan & Riley, Sarah F., 2014. "Mortgage choice, house price externalities, and the default rate," Journal of Housing Economics, Elsevier, vol. 26(C), pages 139-150.
    359. Selcuk, Cemil, 2010. "Motivated Sellers in the Housing Market," Cardiff Economics Working Papers E2010/2, Cardiff University, Cardiff Business School, Economics Section.
    360. Donner, Herman, 2017. "Determinants of a Foreclosure Discount," Working Paper Series 17/2, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    361. Morris, Adele C. & Neill, Helen R. & Coulson, N. Edward, 2020. "Housing supply elasticity, gasoline prices, and residential property values," Journal of Housing Economics, Elsevier, vol. 48(C).
    362. Gabor Pinter & Emil Siriwardane & Danny Walker, 2024. "Fire sales of safe assets," BIS Working Papers 1233, Bank for International Settlements.
    363. Lee, Jonathan & Nguyen, Duc Duy & Nguyen, Huyen, 2024. "Regulating zombie mortgages," IWH Discussion Papers 16/2024, Halle Institute for Economic Research (IWH).
    364. Jeske, Karsten & Krueger, Dirk & Mitman, Kurt, 2013. "Housing, mortgage bailout guarantees and the macro economy," Journal of Monetary Economics, Elsevier, vol. 60(8), pages 917-935.
    365. Jeffrey P. Cohen & Cletus C. Coughlin & Vincent W. Yao, 2016. "Sales of Distressed Residential Property: What Have We Learned from Recent Research?," Review, Federal Reserve Bank of St. Louis, vol. 98(3), pages 159-188.
    366. Kanis Saengchote, 2023. "Developers’ Leverage, Capital Market Financing, and Fire Sale Externalities: Evidence from the Thai Condominium Market," PIER Discussion Papers 212, Puey Ungphakorn Institute for Economic Research.
    367. Joanne W. Hsu & David A. Matsa & Brian T. Melzer, 2014. "Positive Externalities of Social Insurance: Unemployment Insurance and Consumer Credit," NBER Working Papers 20353, National Bureau of Economic Research, Inc.
    368. Suzuki, Masatomo & Hino, Kimihiro & Muto, Sachio, 2022. "Negative externalities of long-term vacant homes: Evidence from Japan," Journal of Housing Economics, Elsevier, vol. 57(C).
    369. Elliot Anenberg & Steven Laufer, 2014. "Using Data on Seller Behavior to Forecast Short-run House Price Changes," Finance and Economics Discussion Series 2014-16, Board of Governors of the Federal Reserve System (U.S.).
    370. Sumit Agarwal & Gene Amromin & Itzhak Ben-David & Souphala Chomsisengphet & Douglas D. Evanoff, 2011. "Market-based loss mitigation practices for troubled mortgages following the financial crisis," Working Paper Series WP-2011-03, Federal Reserve Bank of Chicago.

  34. Favero, Carlo A. & Panunzi, Fausto & Giglio, Stefano & Honorati, Maddalena, 2006. "The Performance of Italian Family Firms," CEPR Discussion Papers 5786, C.E.P.R. Discussion Papers.

    Cited by:

    1. Giorgio Barba Navaretti & Riccardo Faini & Alessandra Tucci, 2008. "Does Family Control Affect Trade Performance? Evidence for Italian Firms," CEP Discussion Papers dp0896, Centre for Economic Performance, LSE.
    2. Giorgio Barba Navaretti & Matteo Bugamelli & Riccardo Cristadoro & Daniela Maggioni, 2012. "Are firms exporting to China and India different from other exporters?," Questioni di Economia e Finanza (Occasional Papers) 112, Bank of Italy, Economic Research and International Relations Area.
    3. Erbetta, Fabrizio & Menozzi, Anna & Corbetta, Guido & Fraquelli, Giovanni, 2013. "Assessing family firm performance using frontier analysis techniques: Evidence from Italian manufacturing industries," Journal of Family Business Strategy, Elsevier, vol. 4(2), pages 106-117.
    4. Giorgia Giovannetti & Giorgio Ricchiuti & Margherita Velucchi, 2010. "Heterogeneity in Managerial Strategies and Internationalization of Firms: the case of Italy," Working Papers - Economics wp2010_04.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    5. Maria Rosaria Carillo & Vincenzo Lombardo & Alberto Zazzaro, 2013. "Family Firm Connections and Entrepreneurial Human Capital in the Process of Development," Mo.Fi.R. Working Papers 89, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    6. Marco Cucculelli & Lidia Mannarino & Valeria Pupo & Fernanda Ricotta, 2014. "Owner-management, firm age and productivity in Italian family firms," Mo.Fi.R. Working Papers 99, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    7. Bianco, Madga & Golinelli, Roberto & Parigi, Giuseppe, 2009. "Family firms and investments," MPRA Paper 19247, University Library of Munich, Germany.
    8. Leandro D’Aurizio & Livio Romano, 2011. "Family Firms and the Great Recession: Out of Sight, Out of Mind?," Economics Working Papers ECO2011/28, European University Institute.
    9. Garcia-Castro, Roberto & Aguilera, Ruth V., 2014. "Family involvement in business and financial performance: A set-theoretic cross-national inquiry," Journal of Family Business Strategy, Elsevier, vol. 5(1), pages 85-96.
    10. Isakov, Dušan & Weisskopf, Jean-Philippe, 2015. "Pay-out policies in founding family firms," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 330-344.
    11. Isakov, Dusan & Weisskopf, Jean-Philippe, 2013. "Do not wake sleeping dogs: Pay-out policies in founding family firms," FSES Working Papers 443, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    12. Achleitner, Ann-Kristin & Braun, Reiner & Kaserer, Christoph & Jarchow, Svenja & Keppler, Henry & Szewczyk, Justin, 2019. "Börsennotierte Familienunternehmen in Deutschland: Bedeutung, Merkmale, Performance," Studien, Stiftung Familienunternehmen / Foundation for Family Businesses, number 250033.
    13. Ilias Makris & Vasileios Giannopoulos & Efi Cheila, 2022. "Associating Company-Specific Characteristics with Ownership Structure and Performance: An Analysis of Publicly Listed Firms from Selected Countries in the Eurozone during the 2008 Financial Crisis and Its Aftermath," Businesses, MDPI, vol. 2(4), pages 1-13, October.

  35. Favero, Carlo A. & Giglio, Stefano, 2006. "Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods," CEPR Discussion Papers 5793, C.E.P.R. Discussion Papers.

    Cited by:

    1. Martins, Manuel M.F. & Afonso, António, 2010. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Working Paper Series 1276, European Central Bank.
    2. Bernaschi, Massimo & Tacconi, Elisa & Vergni, Davide, 2008. "A parametric study of the term structure dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1264-1272.

Articles

  1. Stefano Giglio & Theresa Kuchler & Johannes Stroebel & Olivier Wang, 2025. "Nature Loss and Climate Change: The Twin-Crises Multiplier," AEA Papers and Proceedings, American Economic Association, vol. 115, pages 409-414, May.
    See citations under working paper version above.
  2. Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes & Tan, Zhenhao & Utkus, Stephen & Xu, Xiao, 2025. "Four facts about ESG beliefs and investor portfolios," Journal of Financial Economics, Elsevier, vol. 164(C).
    See citations under working paper version above.
  3. Stefano Giglio & Dacheng Xiu & Dake Zhang, 2025. "Test Assets and Weak Factors," Journal of Finance, American Finance Association, vol. 80(1), pages 259-319, February.
    See citations under working paper version above.
  4. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    See citations under working paper version above.
  5. Ian Dew-Becker & Stefano Giglio, 2023. "Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(2), pages 65-96, April.
    See citations under working paper version above.
  6. Stefano Giglio & Bryan Kelly & Dacheng Xiu, 2022. "Factor Models, Machine Learning, and Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 14(1), pages 337-368, November.

    Cited by:

    1. Yonghe Lu & Yanrong Yang & Terry Zhang, 2024. "Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy," Papers 2411.18830, arXiv.org.
    2. Daniele Massacci & Lucio Sarno & Lorenzo Trapani & Pierluigi Vallarino, 2025. "A general randomized test for Alpha," Papers 2507.17599, arXiv.org.
    3. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2023. "When do investors go green? Evidence from a time-varying asset-pricing model," International Review of Financial Analysis, Elsevier, vol. 90(C).
    4. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam & Cakici, Nusret, 2025. "A factor model for the cross-section of country equity risk premia," Journal of Banking & Finance, Elsevier, vol. 171(C).
    5. Ma, Tian & Wang, Wanwan & Chen, Yu, 2023. "Attention is all you need: An interpretable transformer-based asset allocation approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    6. Giuseppe Matera, 2025. "Corporate Earnings Calls and Analyst Beliefs," Papers 2511.15214, arXiv.org, revised Nov 2025.
    7. Zhu, Zhoufan & Zhang, Ningning & Zhu, Ke, 2024. "Big portfolio selection by graph-based conditional moments method," Journal of Empirical Finance, Elsevier, vol. 78(C).
    8. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    9. Brian Godwin Lim & Dominic Dayta & Benedict Ryan Tiu & Renzo Roel Tan & Len Patrick Dominic Garces & Kazushi Ikeda, 2025. "Dynamic Factor Analysis of Price Movements in the Philippine Stock Exchange," Papers 2510.15938, arXiv.org.
    10. Qingliang Fan & Ruike Wu & Yanrong Yang, 2024. "Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets," Papers 2410.01826, arXiv.org.
    11. Yujie Ding & Shuai Jia & Tianyi Ma & Bingcheng Mao & Xiuze Zhou & Liuliu Li & Dongming Han, 2023. "Integrating Stock Features and Global Information via Large Language Models for Enhanced Stock Return Prediction," Papers 2310.05627, arXiv.org.
    12. Kelvin J. L. Koa & Yunshan Ma & Ritchie Ng & Tat-Seng Chua, 2024. "Learning to Generate Explainable Stock Predictions using Self-Reflective Large Language Models," Papers 2402.03659, arXiv.org, revised Feb 2024.
    13. Yoontae Hwang & Yaxuan Kong & Stefan Zohren & Yongjae Lee, 2025. "Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization," Papers 2502.00828, arXiv.org.
    14. Trent Spears & Stefan Zohren & Stephen Roberts, 2023. "View fusion vis-\`a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation," Papers 2301.13594, arXiv.org.
    15. Shanyan Lai, 2025. "Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks," Papers 2505.01921, arXiv.org, revised May 2025.
    16. Juan Tenorio & Wilder Perez, 2024. "Monthly GDP nowcasting with Machine Learning and Unstructured Data," Papers 2402.04165, arXiv.org.
    17. Minshuo Chen & Renyuan Xu & Yumin Xu & Ruixun Zhang, 2025. "Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure," Papers 2504.06566, arXiv.org, revised Jan 2026.
    18. Islip, David & Kwon, Roy H. & Kim, Seongmoon, 2025. "Integration of support vector machines and mean-variance optimization for capital allocation," European Journal of Operational Research, Elsevier, vol. 322(3), pages 1045-1058.
    19. Liao, Cunfei & Ma, Tian, 2024. "From fundamental signals to stock volatility: A machine learning approach," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    20. Vasant Dhar & Jo~ao Sedoc, 2025. "DBOT: Artificial Intelligence for Systematic Long-Term Investing," Papers 2504.05639, arXiv.org.
    21. Nechvátalová, Lenka, 2025. "Autoencoder asset pricing models and economic restrictions — international evidence," International Review of Financial Analysis, Elsevier, vol. 107(C).
    22. Ruixun Zhang, 2025. "Toward interpretable machine learning: evaluating models of heterogeneous predictions," Annals of Operations Research, Springer, vol. 347(2), pages 867-887, April.
    23. Langlois, Hugues, 2023. "What matters in a characteristic?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 52-72.
    24. Liu, Yanchu & Zhou, Heyang & Yang, Haisheng, 2025. "Latent factor models for the Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
    25. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Factors and Asset Prices," Papers 2208.14267, arXiv.org, revised Mar 2026.
    26. Adel Javanmard & Jingwei Ji & Renyuan Xu, 2024. "Multi-Task Dynamic Pricing in Credit Market with Contextual Information," Papers 2410.14839, arXiv.org, revised Dec 2025.
    27. Alejandro Rodriguez Dominguez & Muhammad Shahzad & Xia Hong, 2025. "Multi-Hypothesis Prediction for Portfolio Optimization: A Structured Ensemble Learning Approach to Risk Diversification," Papers 2501.03919, arXiv.org, revised May 2025.
    28. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
    29. He, Xubiao & Dong, Zhengwen & Teng, Min & Yang, Tingting, 2025. "Investor sentiment spillover from air pollution: Cross-industry influences on stock markets," Economic Modelling, Elsevier, vol. 152(C).
    30. Nie, Chun-Xiao & Song, Fu-Tie, 2023. "Stable versus fragile community structures in the correlation dynamics of Chinese industry indices," Chaos, Solitons & Fractals, Elsevier, vol. 167(C).
    31. Matteo Bagnara, 2024. "Asset Pricing and Machine Learning: A critical review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 27-56, February.
    32. Vafai, Nima & Rakowski, David, 2024. "The sources of portfolio volatility and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 91(C).
    33. Ma, Tian & Wang, Wanwan & Jiang, Fuwei, 2025. "Machine learning the performance of hedge fund," Journal of International Money and Finance, Elsevier, vol. 155(C).
    34. Sak, Halis & Huang, Tao & Chng, Michael T., 2024. "Exploring the factor zoo with a machine-learning portfolio," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    35. Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
    36. Junyi Ye & Bhaskar Goswami & Jingyi Gu & Ajim Uddin & Guiling Wang, 2024. "From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing," Papers 2403.06779, arXiv.org.
    37. Jiang, Hao & Li, Sophia Zhengzi & Yuan, Peixuan, 2025. "Granular information and sectoral movements," Journal of Economic Dynamics and Control, Elsevier, vol. 171(C).
    38. Cong Wang, 2024. "Stock return prediction with multiple measures using neural network models," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-34, December.
    39. Bagnara, Matteo, 2024. "The economic value of cross-predictability: A performance-based measure," SAFE Working Paper Series 424, Leibniz Institute for Financial Research SAFE.
    40. Giuseppe Buccheri & Fulvio Corsi & Emilija Dzuverovic, 2024. "From rotational to scalar invariance: Enhancing identifiability in score-driven factor models," Papers 2412.01367, arXiv.org.
    41. Mathieu Fournier & Kris Jacobs & Piotr Orłowski, 2024. "Modeling Conditional Factor Risk Premia Implied by Index Option Returns," Journal of Finance, American Finance Association, vol. 79(3), pages 2289-2338, June.

  7. Arthur A. Benthem & Edmund Crooks & Stefano Giglio & Eugenie Schwob & Johannes Stroebel, 2022. "The effect of climate risks on the interactions between financial markets and energy companies," Nature Energy, Nature, vol. 7(8), pages 690-697, August.

    Cited by:

    1. He, Feng & Chen, Longxuan & Wang, Ziqiao & Zhang, Wei, 2025. "Financial innovation and corporate climate policy uncertainty exposure: Evidence from China's crude oil futures," Energy Economics, Elsevier, vol. 145(C).
    2. Elie Bouri & Tom L. Dudda & Lavinia Rognone & Thomas Walther, 2025. "Climate risk and the nexus of clean energy and technology stocks," Annals of Operations Research, Springer, vol. 347(1), pages 445-469, April.
    3. Hu, Lei & Song, Min & Wen, Fenghua & Zhang, Yun & Zhao, Yunning, 2025. "The impact of climate attention on risk spillover effect in energy futures markets," Energy Economics, Elsevier, vol. 141(C).
    4. Xing, Xiaoyun & Xu, Zihan & Wang, Xiuya & Guo, Kun, 2025. "Climate risk performance and tail risk contagion in energy stock markets: Evidence from China," Research in International Business and Finance, Elsevier, vol. 79(C).
    5. Adeabah, David & Pham, Thu Phuong, 2025. "Asymmetric tail risk spillover and co-movement between climate risk and the international energy market," Energy Economics, Elsevier, vol. 141(C).
    6. Guo, Kun & Liu, Fengqi & Sun, Xiaolei & Zhang, Dayong & Ji, Qiang, 2023. "Predicting natural gas futures’ volatility using climate risks," Finance Research Letters, Elsevier, vol. 55(PA).
    7. Hu, Zinan & Borjigin, Sumuya, 2024. "The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    8. Gu, Qinen & Li, Shaofang & Tian, Sihua & Wang, Yuyouting, 2023. "Climate, geopolitical, and energy market risk interconnectedness: Evidence from a new climate risk index," Finance Research Letters, Elsevier, vol. 58(PB).
    9. Rongrong Li & Qiang Wang & Jiayi Sun, 2025. "Financial risk and renewable energy: exploring the influence of urbanization and natural resource rents across 112 countries," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 12(1), pages 1-13, December.
    10. Jang, Minchul & Yoon, Soeun & Jung, Seoyoung & Min, Baehyun, 2024. "Simulating and assessing carbon markets: Application to the Korean and the EU ETSs," Renewable and Sustainable Energy Reviews, Elsevier, vol. 195(C).
    11. Yan, Shuli & Wang, Jingyuan & Wu, Liangpeng, 2024. "Dynamics of green transition based on stock-flow consistent model considering compound risks," Economic Analysis and Policy, Elsevier, vol. 82(C), pages 530-553.
    12. Zhang, Li & Liang, Chao & Huynh, Luu Duc Toan & Wang, Lu & Damette, Olivier, 2024. "Measuring the impact of climate risk on renewable energy stock volatility: A case study of G20 economies," Journal of Economic Behavior & Organization, Elsevier, vol. 223(C), pages 168-184.
    13. Ren, Xiaohang & Fu, Chenjia & Tao, Lizhu & Yuan, Li & Xu, Ziyue, 2025. "Financialization trends and climate policy uncertainty: Implications for China’s nonferrous metal market," Research in International Business and Finance, Elsevier, vol. 77(PA).
    14. Foglia, Matteo & Plakandaras, Vasilios & Gupta, Rangan & Ji, Qiang, 2025. "Long-span multi-layer spillovers between moments of advanced equity markets: The role of climate risks," Research in International Business and Finance, Elsevier, vol. 74(C).
    15. Dong, Xu & Lv, Shuai & Wu, Shilei, 2025. "The green promise of digital finance: Exploring its effects and mechanisms on carbon reduction," China Economic Review, Elsevier, vol. 90(C).
    16. Ghani, Usman & Zhu, Bo & Qin, Quande & Ghani, Maria, 2024. "Forecasting US Stock Market Volatility: Evidence from ESG and CPU indices," Finance Research Letters, Elsevier, vol. 59(C).
    17. Fu, Yating & He, Lingyun & Xia, Yufei & Liu, Rongyan & Chen, Ling, 2025. "Asymmetric effects of media climate sentiment divergence on the volatility of green and grey energy stocks," Finance Research Letters, Elsevier, vol. 74(C).
    18. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024. "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 557-584, April.
    19. Kejin Wu & Sayar Karmakar & Rangan Gupta & Christian Pierdzioch, 2023. "Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa," Working Papers 202326, University of Pretoria, Department of Economics.
    20. Sirkku Juhola & Anna‐Greta Laurila & Fanny Groundstroem & Johannes Klein, 2024. "Climate risks to the renewable energy sector: Assessment and adaptation within energy companies," Business Strategy and the Environment, Wiley Blackwell, vol. 33(3), pages 1906-1919, March.
    21. Fava, Santino Del & Gupta, Rangan & Pierdzioch, Christian & Rognone, Lavinia, 2024. "Forecasting international financial stress: The role of climate risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    22. Yufeng Chen & Simin Shen & Chuwen Wang, 2025. "Climate risks and stock market volatility spillover: new insights from wavelet and causality methods," Economic Change and Restructuring, Springer, vol. 58(3), pages 1-32, June.
    23. Caporin, Massimiliano & Caraiani, Petre & Cepni, Oguzhan & Gupta, Rangan, 2025. "Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 101(C).
    24. Louis Daumas, 2024. "Financial stability, stranded assets and the low‐carbon transition – A critical review of the theoretical and applied literatures," Journal of Economic Surveys, Wiley Blackwell, vol. 38(3), pages 601-716, July.
    25. Xin Sheng & Rangan Gupta & Wenting Liao & Oguzhan Cepni, 2024. "The Effects of Uncertainty on Economic Conditions across US States: The Role of Climate Risks," Working Papers 202410, University of Pretoria, Department of Economics.
    26. Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2022. "Climate Risks and State-Level Stock-Market Realized Volatility," Working Papers 202246, University of Pretoria, Department of Economics.
    27. Li, Xue & Qi, Ming & Zhang, Yueyuan & Xu, Jing, 2024. "How does carbon trading price matter for bank loans? Evidence from Chinese banking sector," Finance Research Letters, Elsevier, vol. 68(C).
    28. Madilyn Louisa & Gumgum Darmawan & Bertho Tantular, 2025. "Enhancing Stock Price Forecasting with CNN-BiGRU-Attention: A Case Study on INDY," Mathematics, MDPI, vol. 13(13), pages 1-16, June.
    29. Niklas Stolz & Benedict S. Probst, 2025. "The negligible role of carbon offsetting in corporate climate strategies," Nature Communications, Nature, vol. 16(1), pages 1-12, December.
    30. Li, Ang & Ma, Yuze & Li, Bin, 2025. "How do climate risks affect corporate energy intensity? Evidence from China," Energy, Elsevier, vol. 323(C).
    31. Xiao, Xunyong & Li, Aixi & Kchouri, Bilal & Shan, Shan, 2024. "Tracing the dynamic impact of energy transitions on equity market volatility in an era of financial turbulence," Energy Economics, Elsevier, vol. 133(C).
    32. Simona Malovana & Dominika Ehrenbergerova & Zuzana Gric, 2023. "What Do Economists Think About the Green Transition? Exploring the Impact of Environmental Awareness," Working Papers 2023/6, Czech National Bank, Research and Statistics Department.
    33. Jang, Minchul & Min, Baehyun, 2025. "Stochastic forecasting of long-term greenhouse gas emissions and energy transitions: A comparative analysis of the US, EU, China, and Korea," Energy, Elsevier, vol. 327(C).
    34. Yan, Jingjing & Guo, Yaoqi & Wen, Fenghua, 2025. "Carbon risk and the cost of equity capital: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 99(C).
    35. Zhao, Wanli & Zhai, Xiangyang & Ji, Qiang & Liu, Zhenhua, 2024. "Measuring crisis from climate risk spillovers in European electricity markets," Energy Economics, Elsevier, vol. 134(C).
    36. Ren, Xiaohang & Fu, Chenjia & Jin, Yi, 2025. "Climate risk perception and oil financialization in China: Evidence from a time-varying Granger model," Research in International Business and Finance, Elsevier, vol. 74(C).
    37. Doğan, Buhari & Ben Jabeur, Sami & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins, 2025. "Asymmetry in returns and volatility between green financial assets, sustainable investments, clean energy, and international stock markets," Research in International Business and Finance, Elsevier, vol. 73(PA).
    38. Zhang, Yunhan & Zhao, Yu & Zheng, Qian, 2024. "Managerial climate attention and corporate carbon emissions: Sincerity or disguise?," International Review of Economics & Finance, Elsevier, vol. 94(C).
    39. Hao Dong & Tao Li, 2023. "Climate Economics and Finance: A Literature Review," Climate Economics and Finance, Anser Press, vol. 1(1), pages 29-45, November.
    40. Qiuyue Zhang & Yili Lin & Yu Cao, 2024. "From Financialization to Sustainability: The Impact of Climate Risks on Shadow Banking Activities in Non-Financial Firms in China," Sustainability, MDPI, vol. 16(19), pages 1-20, October.
    41. Gu, Qinen & Li, Shaofang & Tian, Sihua & Wang, Yuyouting, 2024. "Impact of climate risk on energy market risk spillover: Evidence from dynamic heterogeneous network analysis," Energy Economics, Elsevier, vol. 137(C).
    42. He, Feng & Ren, Xingzi & Wang, Yueren & Lei, Xingfan, 2025. "Climate risk and corporate bond credit spreads," Journal of International Money and Finance, Elsevier, vol. 154(C).
    43. Mengting Fan & Zan Mo & Huijian Fu & Tsung-Hsien Wu & Zili Chen & Yue He, 2024. "Does climate policy uncertainty matter for bank value?," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-28, April.
    44. Li, Xiaoyu & Yao, Ye & Chen, Zhenni & Du, Huibin, 2025. "Analyzing the environmental and economic impact of carbon pricing policy based on an improved dynamic CGE model: Incorporating demographic characteristics of resident," Structural Change and Economic Dynamics, Elsevier, vol. 74(C), pages 630-644.
    45. Nguyen, Minh Nhat & Liu, Ruipeng & Li, Youwei, 2025. "Performance of energy ETFs and climate risks," Energy Economics, Elsevier, vol. 141(C).
    46. Zhu, Yuxuan & Liu, Yike & Zhou, Ye & Xing, Xiaoyun & Wang, Xiuya, 2025. "Correlation among climate risk, climate policy uncertainty, and carbon-intensive stock markets in China," Finance Research Letters, Elsevier, vol. 75(C).
    47. Shu, Mingyu & Liu, Baoliu & ouyang, Wenpei & Sun, Rengui & Lin, Yaoyang, 2025. "Multi-scale dynamic correlation and information spillover effects between climate risks and digital cryptocurrencies: Based on wavelet analysis and time-frequency domain QVAR," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 663(C).

  8. Capponi, Agostino & Cheng, Wan-Schwin Allen & Giglio, Stefano & Haynes, Richard, 2022. "The collateral rule: Evidence from the credit default swap market," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 58-86.

    Cited by:

    1. Salil Gadgil, 2024. "Do Credit Default Swaps Still Lead? The Effects of Regulation on Price Discovery," Working Papers 24-04, Office of Financial Research, US Department of the Treasury.
    2. Demange, Gabrielle & Piquard, Thibaut, 2023. "On the choice of central counterparties in the EU," Journal of Financial Markets, Elsevier, vol. 64(C).
    3. Jessie Jiaxu Wang & Agostino Capponi & Hongzhong Zhang, 2022. "A Theory of Collateral Requirements for Central Counterparties," Management Science, INFORMS, vol. 68(9), pages 6993-7017, September.

  9. Stefano Giglio & Yuan Liao & Dacheng Xiu & Wei Jiang, 2021. "Thousands of Alpha Tests [The performance of hedge funds: Risk, return, and incentives]," The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3456-3496.

    Cited by:

    1. Daniele Massacci & Lucio Sarno & Lorenzo Trapani & Pierluigi Vallarino, 2025. "A general randomized test for Alpha," Papers 2507.17599, arXiv.org.
    2. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
    3. Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
    4. Schneider, Matthew J. & Rankin, Rufus & Burman, Prabir & Aue, Alexander, 2025. "Benchmarking M6 competitors: An analysis of financial metrics and discussion of incentives," International Journal of Forecasting, Elsevier, vol. 41(4), pages 1383-1394.
    5. Colak, Gonul & Fu, Mengchuan & Hasan, Iftekhar, 2022. "On modeling IPO failure risk," Economic Modelling, Elsevier, vol. 109(C).
    6. Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
    7. Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
    8. Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
    9. Guanhao Feng & Wei Lan & Hansheng Wang & Jun Zhang, 2026. "Selecting and Testing Asset Pricing Models: A Stepwise Approach," Papers 2601.10279, arXiv.org.
    10. Huang, Haitao & Jiang, Lei & Leng, Xuan & Peng, Liang, 2023. "Bootstrap analysis of mutual fund performance," Journal of Econometrics, Elsevier, vol. 235(1), pages 239-255.
    11. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
    12. Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    13. Minshuo Chen & Renyuan Xu & Yumin Xu & Ruixun Zhang, 2025. "Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure," Papers 2504.06566, arXiv.org, revised Jan 2026.
    14. Lee, Hsiu-Chuan & Lee, Yun-Huan & Nguyen, Cuong, 2023. "Tail comovements of implied volatility indices and global index futures returns predictability," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    15. Umar, Zaghum & Zaremba, Adam & Umutlu, Mehmet & Mercik, Aleksander, 2024. "Interaction effects in the cross-section of country and industry returns," Journal of Banking & Finance, Elsevier, vol. 165(C).
    16. Nabil Bouamara & S'ebastien Laurent & Shuping Shi, 2023. "Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications," Papers 2303.13406, arXiv.org, revised Jun 2023.
    17. Ge, Shuyi & Li, Shaoran & Linton, Oliver, 2023. "News-implied linkages and local dependency in the equity market," Journal of Econometrics, Elsevier, vol. 235(2), pages 779-815.
    18. Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
    19. Yu, Xiufan & Yao, Jiawei & Xue, Lingzhou, 2024. "Power enhancement for testing multi-factor asset pricing models via Fisher’s method," Journal of Econometrics, Elsevier, vol. 239(2).
    20. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    21. Andrew Y. Chen, 2022. "Most claimed statistical findings in cross-sectional return predictability are likely true," Papers 2206.15365, arXiv.org, revised Nov 2025.
    22. Li, Ang & Liu, Mark & Sheather, Simon, 2023. "Predicting stock splits using ensemble machine learning and SMOTE oversampling," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    23. Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
    24. Ai He & Guofu Zhou, 2023. "Diagnostics for asset pricing models," Financial Management, Financial Management Association International, vol. 52(4), pages 617-642, December.
    25. Pätäri, Eero & Ahmed, Sheraz & Luukka, Pasi & Yeomans, Julian Scott, 2023. "Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).

  10. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2021. "The joint dynamics of investor beliefs and trading during the COVID-19 crash," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 118(4), pages 2010316118-, January.

    Cited by:

    1. Gill, Andrej & Hett, Florian & Tischer, Johannes, 2022. "Time inconsistency and overdraft use: Evidence from transaction data and behavioral measurement experiments," SAFE Working Paper Series 347, Leibniz Institute for Financial Research SAFE.
    2. Barry, John W. & Campello, Murillo & Graham, John R. & Ma, Yueran, 2022. "Corporate flexibility in a time of crisis," Journal of Financial Economics, Elsevier, vol. 144(3), pages 780-806.
    3. Rai, Anish & Mahata, Ajit & Nurujjaman, Md & Majhi, Sushovan & Debnath, Kanish, 2022. "A sentiment-based modeling and analysis of stock price during the COVID-19: U- and Swoosh-shaped recovery," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
    4. Steven J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2022. "Stock Prices and Economic Activity in the Time of Coronavirus," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(1), pages 32-67, March.
    5. Xia, Yufei & Han, Zhiyin & Zheng, Qiong & Yang, Xiaoli, 2024. "The (in)effectiveness of financial consumer protection: Quasi-experimental evidence from consumer finance in China," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
    6. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2022. "Taming the bias zoo," Journal of Financial Economics, Elsevier, vol. 143(2), pages 716-741.
    7. Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022. "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, vol. 146(1), pages 305-330.
    8. Kleimeier, Stefanie & Hoffmann, Arvid O.I. & Broihanne, Marie-Hélène & Plotkina, Daria & Göritz, Anja S., 2023. "Determinants of individuals’ objective and subjective financial fragility during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 153(C).
    9. Martin Iseringhausen & Ivan Petrella & Konstantinos Theodoridis, 2022. "Aggregate skewness and the business cycle," Working Papers 53, European Stability Mechanism.
    10. Weber, Martin & Kieren, Pascal & Mueller-Dethard, Jan, 2020. "Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets," CEPR Discussion Papers 14647, C.E.P.R. Discussion Papers.
    11. Sakemoto, Ryuta, 2023. "The long-run risk premium in the intertemporal CAPM: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    12. Weber, Michael & Candia, Bernardo & Coibion, Olivier & Gorodnichenko, Yuriy, 2023. "Do You Even Crypto, Bro? Cryptocurrencies in Household Finance," IZA Discussion Papers 16335, IZA Network @ LISER.
    13. Lhaopadchan, Suntharee & Gerrans, Paul & Treepongkaruna, Sirimon, 2024. "Retirement savings behaviours and COVID-19: Evidence from Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    14. Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
    15. Sha, Yezhou & Zhang, Yong & Lu, Xiaomeng, 2022. "Household investment diversification amid Covid-19 pandemic: Evidence from Chinese investors," Finance Research Letters, Elsevier, vol. 47(PA).
    16. Liu, Hongqi & Peng, Cameron & Wei, Xiong & Wei, Xiong, 2022. "Taming the bias zoo," LSE Research Online Documents on Economics 109301, London School of Economics and Political Science, LSE Library.
    17. Andrej Gill & Florian Hett & Johannes Tischer, 2022. "Time Inconsistency and Overdraft Use: Evidence from Transaction Data and Behavioral Measurement Experiments," Working Papers 2205, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
    18. Alt, Marius & Berger, Marius & Bersch, Johannes, 2023. "Investor responses to information updates on peer behavior and public investment policy: The case of green investments," ZEW Discussion Papers 23-024, ZEW - Leibniz Centre for European Economic Research.
    19. Gill, Andrej & Hett, Florian & Tischer, Johannes, 2022. "Time inconsistency and overdraft use: Evidence from transaction data and behavioral measurement experiments," Discussion Papers 18/2022, Deutsche Bundesbank.
    20. Wang, Xiaoxiao & Zhang, Xueyong, 2025. "Infectious disease outbreaks and the disposition effect of mutual fund investors," Journal of Banking & Finance, Elsevier, vol. 171(C).
    21. Marco Pagano & Josef Zechner, 2022. "COVID-19 and Corporate Finance [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 11(4), pages 849-879.

  11. Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2021. "Hedging macroeconomic and financial uncertainty and volatility," Journal of Financial Economics, Elsevier, vol. 142(1), pages 23-45.
    See citations under working paper version above.
  12. Stefano Giglio & Matteo Maggiori & Krishna Rao & Johannes Stroebel & Andreas Weber & Stijn Van Nieuwerburgh, 2021. "Climate Change and Long-Run Discount Rates: Evidence from Real Estate [Abrupt climate change]," The Review of Financial Studies, Society for Financial Studies, vol. 34(8), pages 3527-3571.
    See citations under working paper version above.
  13. Stefano Giglio & Dacheng Xiu, 2021. "Asset Pricing with Omitted Factors," Journal of Political Economy, University of Chicago Press, vol. 129(7), pages 1947-1990.

    Cited by:

    1. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
    2. Cakici, Nusret & Zaremba, Adam, 2024. "What drives stock returns across countries? Insights from machine learning models," International Review of Financial Analysis, Elsevier, vol. 96(PA).
    3. Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
    4. Wan, Runzhe & Li, Yingying & Lu, Wenbin & Song, Rui, 2024. "Mining the factor zoo: Estimation of latent factor models with sufficient proxies," Journal of Econometrics, Elsevier, vol. 239(2).
    5. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam & Cakici, Nusret, 2025. "A factor model for the cross-section of country equity risk premia," Journal of Banking & Finance, Elsevier, vol. 171(C).
    6. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    7. Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024. "One Factor to Bind the Cross-Section of Returns," Papers 2404.08129, arXiv.org.
    8. Zhaoxing Gao & Ruey S. Tsay, 2023. "Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors," Papers 2307.07689, arXiv.org.
    9. Avis Devine & Andrew Sanderford & Chongyu Wang, 2024. "Sustainability and Private Equity Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 68(2), pages 161-187, February.
    10. Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
    11. Muhammad Abdullah & Hussein A. Abdou & Christopher Godfrey & Ahmed A. Elamer & Yousry Ahmed, 2023. "Assessing the Use of Gold as a Zero-Beta Asset in Empirical Asset Pricing: Application to the US Equity Market," JRFM, MDPI, vol. 16(3), pages 1-48, March.
    12. Hasannasab, Maryam & Margaritis, Dimitris & Psillaki, Maria, 2025. "Are big banks too-big-to-fail? An investigation into the size premium and scale economies for European banks," International Review of Financial Analysis, Elsevier, vol. 107(C).
    13. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    14. Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024. "When can weak latent factors be statistically inferred?," Papers 2407.03616, arXiv.org, revised Sep 2024.
    15. Antonio Marsi, 2023. "Predicting European stock returns using machine learning," SN Business & Economics, Springer, vol. 3(7), pages 1-25, July.
    16. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    17. Esfandiar Maasoumi & Jianqiu Wang & Zhuo Wang & Ke Wu, 2024. "Identifying factors via automatic debiased machine learning," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 438-461, April.
    18. Fan, Qingliang & Wu, Ruike & Yang, Yanrong & Zhong, Wei, 2024. "Time-varying minimum variance portfolio," Journal of Econometrics, Elsevier, vol. 239(2).
    19. Wolfgang Drobetz & Tizian Otto, 2021. "Empirical asset pricing via machine learning: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 507-538, December.
    20. Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023. "Beta-Sorted Portfolios," Staff Reports 1068, Federal Reserve Bank of New York.
    21. Shihao Gu & Bryan Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," NBER Working Papers 25398, National Bureau of Economic Research, Inc.
    22. Asano, Takao & Cai, Xiaojing & Sakemoto, Ryuta, 2024. "Currency portfolios and global foreign exchange ambiguity," Finance Research Letters, Elsevier, vol. 65(C).
    23. Freeman, Hugo & Weidner, Martin, 2023. "Linear panel regressions with two-way unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 237(1).
    24. Cynthia M. Gong & Di Luo & Huainan Zhao, 2021. "Liquidity risk and the beta premium," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 789-814, December.
    25. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
    26. Adam Baybutt, 2024. "Empirical Crypto Asset Pricing," Papers 2405.15716, arXiv.org.
    27. Minshuo Chen & Renyuan Xu & Yumin Xu & Ruixun Zhang, 2025. "Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure," Papers 2504.06566, arXiv.org, revised Jan 2026.
    28. Bo Yu & Dayong Zhang & Qiang Ji, 2025. "Forecasting portfolio variance: a new decomposition approach," Annals of Operations Research, Springer, vol. 348(1), pages 543-578, May.
    29. Belloni, Alexandre & Chen, Mingli & Madrid Padilla, Oscar Hernan & Wang, Zixuan (Kevin), 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," The Warwick Economics Research Paper Series (TWERPS) 1230, University of Warwick, Department of Economics.
    30. Lee, Hsiu-Chuan & Lee, Yun-Huan & Nguyen, Cuong, 2023. "Tail comovements of implied volatility indices and global index futures returns predictability," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    31. Yuan Liao & Viktor Todorov, 2024. "Changes in the span of systematic risk exposures," Quantitative Economics, Econometric Society, vol. 15(3), pages 817-847, July.
    32. Hugo Freeman & Martin Weidner, 2021. "Linear panel regressions with two-way unobserved heterogeneity," CeMMAP working papers CWP39/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    33. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2024. "Consumption in asset returns," LSE Research Online Documents on Economics 126152, London School of Economics and Political Science, LSE Library.
    34. Giuseppe Cavaliere & S'ilvia Gonc{c}alves & Morten {O}rregaard Nielsen & Edoardo Zanelli, 2022. "Bootstrap inference in the presence of bias," Papers 2208.02028, arXiv.org, revised Nov 2023.
    35. Adam Baybutt, 2024. "Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics," Papers 2405.15721, arXiv.org.
    36. Lee, Kiryoung & Joen, Yoontae & Kim, Minki, 2022. "Which uncertainty measures matter for the cross-section of stock returns?#," Finance Research Letters, Elsevier, vol. 46(PB).
    37. Federico C. Nucera & Lucio Sarno & Gabriele Zinna, 2023. "Currency risk premiums redux?," Temi di discussione (Economic working papers) 1415, Bank of Italy, Economic Research and International Relations Area.
    38. Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
    39. Hui Chen & Winston Wei Dou & Leonid Kogan, 2024. "Measuring “Dark Matter” in Asset Pricing Models," Journal of Finance, American Finance Association, vol. 79(2), pages 843-902, April.
    40. Hyuksoo Kim & Saejoon Kim, 2024. "Estimating Asset Pricing Models in the Presence of Cross-Sectionally Correlated Pricing Errors," Mathematics, MDPI, vol. 12(21), pages 1-21, November.
    41. Langlois, Hugues, 2023. "What matters in a characteristic?," Journal of Financial Economics, Elsevier, vol. 149(1), pages 52-72.
    42. Fabio Franceschini, 2025. "The Innovation Long-Run Risk Component," Working Papers wp1215, Dipartimento Scienze Economiche, Universita' di Bologna.
    43. Kwon, Tae Yeon, 2025. "Feature importance in linear models with ensemble machine learning: A study of the Fama and French five-factor model," Finance Research Letters, Elsevier, vol. 71(C).
    44. Ahmed, Shamim & Bu, Ziwen & Symeonidis, Lazaros & Tsvetanov, Daniel, 2023. "Which factor model? A systematic return covariation perspective," Journal of International Money and Finance, Elsevier, vol. 136(C).
    45. Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022. "Scaled PCA: A New Approach to Dimension Reduction," Management Science, INFORMS, vol. 68(3), pages 1678-1695, March.
    46. Shi, Huai-Long & Chen, Huayi, 2023. "Revisiting asset co-movement: Does network topology really matter?," Research in International Business and Finance, Elsevier, vol. 66(C).
    47. Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2025. "Panel Data Estimation and Inference: Homogeneity versus Heterogeneity," Papers 2502.03019, arXiv.org, revised Jul 2025.
    48. Felix Haase & Matthias Neuenkirch, 2023. "Macroeconomic Expectations and State-Dependent Factor Returns," Research Papers in Economics 2023-09, University of Trier, Department of Economics.
    49. Amjad Taha & Gulcay Tuna, 2023. "Oil Price and Composite Risk Exposure within International Capital Asset Pricing Model: A Case of Saudi Arabia and Turkey," Energies, MDPI, vol. 16(7), pages 1-18, March.
    50. Matteo Bagnara, 2024. "Asset Pricing and Machine Learning: A critical review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 27-56, February.
    51. Jiangtao Duan & Jushan Bai & Xu Han, 2025. "Taxonomy and Estimation of Multiple Breakpoints in High-Dimensional Factor Models," Papers 2503.06645, arXiv.org, revised Aug 2025.
    52. Ryan Engel & Yu Chen & Pawel Polak & Ioana Boier, 2025. "Scaling Conditional Autoencoders for Portfolio Optimization via Uncertainty-Aware Factor Selection," Papers 2511.17462, arXiv.org.
    53. Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org, revised Nov 2024.
    54. Vafai, Nima & Rakowski, David, 2024. "The sources of portfolio volatility and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 91(C).
    55. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    56. Mao, Jie & Xia, Xiaobao & Zhuo, Haotian, 2025. "Taming the factor zoo in China’s equity market: A Bayesian approach," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
    57. Gregory, Richard P., 2024. "Risk premiums from temperature trends," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 505-525.
    58. Junyi Ye & Bhaskar Goswami & Jingyi Gu & Ajim Uddin & Guiling Wang, 2024. "From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing," Papers 2403.06779, arXiv.org.
    59. Choi, Sung Hoon & Kim, Donggyu, 2023. "Large volatility matrix analysis using global and national factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1917-1933.
    60. Paul Goldsmith-Pinkham & Tianshu Lyu, 2025. "Causal Inference in Financial Event Studies," Papers 2511.15123, arXiv.org.
    61. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
    62. Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
    63. Hugo Freeman & Martin Weidner, 2021. "Linear Panel Regressions with Two-Way Unobserved Heterogeneity," Papers 2109.11911, arXiv.org, revised Aug 2022.
    64. Calice, Giovanni & Lin, Ming-Tsung, 2021. "Exploring risk premium factors for country equity returns," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 294-322.
    65. Chen, Dachuan & Lu, Wenqi & Xie, Siyu, 2025. "High frequency factor analysis with partially observable factors," Journal of Econometrics, Elsevier, vol. 251(C).

  14. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2021. "Five Facts about Beliefs and Portfolios," American Economic Review, American Economic Association, vol. 111(5), pages 1481-1522, May.
    See citations under working paper version above.
  15. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2020. "Reply to “Rational Bubbles in UK Housing Markets”," Econometrica, Econometric Society, vol. 88(4), pages 1767-1770, July.

    Cited by:

    1. Wan, Junmin, 2024. "Bubble occurrence and landing," Journal of Financial Stability, Elsevier, vol. 70(C).

  16. Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
    See citations under working paper version above.
  17. David Berger & Ian Dew-Becker & Stefano Giglio, 2020. "Uncertainty Shocks as Second-Moment News Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
    See citations under working paper version above.
  18. Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020. "Hedging Climate Change News," The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.
    See citations under working paper version above.
  19. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    See citations under working paper version above.
  20. Stefano Giglio & Bryan Kelly, 2018. "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
    See citations under working paper version above.
  21. Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
    See citations under working paper version above.
  22. Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
    See citations under working paper version above.
  23. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016. "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, vol. 84, pages 1047-1091, May.
    See citations under working paper version above.
  24. Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.
    See citations under working paper version above.
  25. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2015. "Editor's Choice Very Long-Run Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(1), pages 1-53.

    Cited by:

    1. Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2017. "The Rate of Return on Everything, 1870–2015," NBER Working Papers 24112, National Bureau of Economic Research, Inc.
    2. Olga Filippova & Cuong Nguyen & Ilan Noy & Michael Rehm, 2019. "Who cares? Future sea-level-rise and house prices," CESifo Working Paper Series 7595, CESifo.
    3. Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel, 2019. "Hedging Climate Change News," NBER Working Papers 25734, National Bureau of Economic Research, Inc.
    4. Mauleón, Ignacio, 2019. "Optimizing individual renewable energies roadmaps: Criteria, methods, and end targets," Applied Energy, Elsevier, vol. 253(C), pages 1-1.
    5. Gollier, Christian, 2019. "Valuation of natural capital under uncertain substitutability," Journal of Environmental Economics and Management, Elsevier, vol. 94(C), pages 54-66.
    6. Benjamin Volland, 2018. "Après nous le déluge? Perceived distance of climate change impacts and pro-environmental behaviour," IRENE Working Papers 18-05, IRENE Institute of Economic Research.
    7. Bahadır Dursun & Resul Cesur, 2016. "Transforming lives: the impact of compulsory schooling on hope and happiness," Journal of Population Economics, Springer;European Society for Population Economics, vol. 29(3), pages 911-956, July.
    8. Fedotenkov, Igor, 2015. "Population ageing and prices in an OLG model with money created by credits," MPRA Paper 66056, University Library of Munich, Germany.
    9. Eisenbach, Thomas M. & Schmalz, Martin C., 2016. "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, vol. 121(2), pages 414-426.
    10. Gautier, Pieter A. & Vuuren, Aico van, 2019. "The effect of land lease on house prices," Journal of Housing Economics, Elsevier, vol. 46(C).
    11. Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
    12. Daniel L. Tortorice, 2019. "Long-Run Expectations, Learning and the US Housing Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(4), pages 497-531, October.
    13. Sumit Agarwal & Jing Li & Ernie Teo & Alan Cheong, 2018. "Strategic Sequential Bidding for Government Land Auction Sales – Evidence from Singapore," The Journal of Real Estate Finance and Economics, Springer, vol. 57(4), pages 535-565, November.
    14. Singh, Yadawendra & Chakraborty, Lekha, 2024. "Tax Transfers and Demographic Transition: Empirical Evidence for 16th Finance Commission," MPRA Paper 121658, University Library of Munich, Germany.
    15. Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
    16. Gollier, Christian, 2016. "Evaluation of long-dated assets: The role of parameter uncertainty," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
    17. Therese C. Grijalva & Jayson L. Lusk & Rong Rong & W. Douglass Shaw, 2018. "Convex Time Budgets and Individual Discount Rates in the Long Run," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(1), pages 259-277, September.
    18. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
    19. Fesselmeyer, Eric & Liu, Haoming & Salvo, Alberto, 2016. "How Do Households Discount over Centuries? Evidence from Singapore's Private Housing Market," IZA Discussion Papers 9862, IZA Network @ LISER.
    20. Mauleón, Ignacio, 2019. "Assessing PV and wind roadmaps: Learning rates, risk, and social discounting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 100(C), pages 71-89.
    21. Rong Rong & Therese C. Grijalva & Jayson Lusk & W. Douglass Shaw, 2019. "Interpersonal discounting," Journal of Risk and Uncertainty, Springer, vol. 58(1), pages 17-42, February.
    22. Igor Fedotenkov, 2016. "Population ageing and inflation with endogenous money creation," Bank of Lithuania Working Paper Series 23, Bank of Lithuania.
    23. Gollier, Christian, 2018. "Stochastic volatility implies fourth-degree risk dominance: Applications to asset pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 155-171.
    24. Singh, Yadawendra & Chakraborty, Lekha, 2024. "Tax Transfers and Demographic Transition: Empirical Evidence for 16th Finance Commission," Working Papers 24/417, National Institute of Public Finance and Policy.
    25. Zerrahn, Alexander, 2017. "Wind Power and Externalities," Ecological Economics, Elsevier, vol. 141(C), pages 245-260.
    26. D. Pennesi, 2016. "Intertemporal discrete choice," Working Papers wp1061, Dipartimento Scienze Economiche, Universita' di Bologna.
    27. Agarwal, Sumit & He, Jia & Sing, Tien Foo & Song, Changcheng, 2019. "Do real estate agents have information advantages in housing markets?," Journal of Financial Economics, Elsevier, vol. 134(3), pages 715-735.
    28. Bracke, Philippe & Pinchbeck, Edward W. & Wyatt, James, 2017. "The time value of housing: historical evidence on discount rates," LSE Research Online Documents on Economics 86393, London School of Economics and Political Science, LSE Library.
    29. Igor Fedotenkov, 2016. "Labour Shares, Fertility and Longevity in an OLG model," Bank of Lithuania Working Paper Series 28, Bank of Lithuania.
    30. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    31. Neves, Pedro Cunha & Afonso, Óscar & Sequeira, Tiago Neves, 2018. "Population growth and the wage skill premium," Economic Modelling, Elsevier, vol. 68(C), pages 435-449.

  26. Stefano Giglio & Kelly Shue, 2014. "Editor's Choice No News Is News: Do Markets Underreact to Nothing?," The Review of Financial Studies, Society for Financial Studies, vol. 27(12), pages 3389-3440.

    Cited by:

    1. Huang, Shiyang & Hwang, Byoung-Hyoun & Lou, Dong, 2021. "The rate of communication," LSE Research Online Documents on Economics 105870, London School of Economics and Political Science, LSE Library.
    2. Buehlmaier, Matthias M. M. & Zechner, Josef, 2016. "Financial media, price discovery, and merger arbitrage," CFS Working Paper Series 551, Center for Financial Studies (CFS).
    3. Gabaix, Xavier, 2018. "Behavioral Inattention," CEPR Discussion Papers 13268, C.E.P.R. Discussion Papers.
    4. Cary Frydman & Ian Krajbich, 2022. "Using Response Times to Infer Others’ Private Information: An Application to Information Cascades," Management Science, INFORMS, vol. 68(4), pages 2970-2986, April.
    5. Jin, Han & Mazouz, Khelifa & Wu, Yuliang & Xu, Bin, 2023. "Can star analysts make superior coverage decisions in poor information environment?," Journal of Banking & Finance, Elsevier, vol. 146(C).
    6. Adra, Samer & Barbopoulos, Leonidas G., 2023. "The informational consequences of good and bad mergers," Journal of Corporate Finance, Elsevier, vol. 78(C).
    7. Pavel Gertler & Roman Horvath, 2017. "Market Reading of Central Bankers Words. A High-Frequency Evidence," Working and Discussion Papers WP 2/2017, Research Department, National Bank of Slovakia.
    8. Gertler, Pavel & Horvath, Roman, 2018. "Central bank communication and financial markets: New high-frequency evidence," Journal of Financial Stability, Elsevier, vol. 36(C), pages 336-345.
    9. Benjamin Enke & Uri Gneezy & Brian Hall & David C. Martin & Vadim Nelidov & Theo Offerman & Jeroen van de Ven, 2021. "Cognitive Biases: Mistakes or Missing Stakes?," NBER Working Papers 28650, National Bureau of Economic Research, Inc.
    10. Niu, Xiaofei & Li, Jianbiao, 2019. "How Time Constraint Affects the Disposition Effect?," EconStor Preprints 194618, ZBW - Leibniz Information Centre for Economics.
    11. Massimiliano Ferrara & Bruno Antonio Pansera & Francesco Strati, 2018. "Classic rational bubbles and representativeness," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 19-34, May.
    12. Ryan McDonough & Venky Nagar & Jordan Schoenfeld, 2024. "Voluntary disclosures by activist investors: the role of activist expectations," Review of Accounting Studies, Springer, vol. 29(3), pages 2031-2081, September.
    13. Prajwal Eachempati & Praveen Ranjan Srivastava, 2021. "Accounting for unadjusted news sentiment for asset pricing," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 13(3), pages 383-422, May.
    14. Marco Di Maggio & Marco Pagano, 2018. "Financial Disclosure and Market Transparency with Costly Information Processing [Bargaining with incomplete information]," Review of Finance, European Finance Association, vol. 22(1), pages 117-153.
    15. Elena Carletti & Steven Ongena & Jan-Peter Siedlarek & Giancarlo Spagnolo, 2017. "The Impact of Merger Legislation on Bank Mergers," Working Papers 16-14R, Federal Reserve Bank of Cleveland.
    16. Frank S. Zhou & Yuqing Zhou, 2020. "The Dog that Did Not Bark: Limited Price Efficiency and Strategic Nondisclosure," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 58(1), pages 155-197, March.
    17. Umar, Tarik, 2022. "Complexity aversion when SeekingAlpha," Journal of Accounting and Economics, Elsevier, vol. 73(2).
    18. Ella Mae Matsumura & Rachna Prakash & Sandra C. Vera-Muñoz, 2024. "Climate-risk materiality and firm risk," Review of Accounting Studies, Springer, vol. 29(1), pages 33-74, March.
    19. Han-Ching Huang & Tammy Tran Chung, 2020. "The Information Content of Insider Silence in Vietnam Security Market," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 10(3), pages 1-9.
    20. Peter Van Tassel, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
    21. Wang, Hailong & Hu, Duni, 2025. "Heterogeneous beliefs with information processing constraints and asset pricing in presence of non-tradable goods," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
    22. Cornaggia, Kimberly & Hund, John & Nguyen, Giang, 2022. "Investor attention and municipal bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
    23. Huang, Shiyang & Hwang, Byoung-Hyoun & Lou, Dong, 2021. "The rate of communication," Journal of Financial Economics, Elsevier, vol. 141(2), pages 533-550.
    24. Travis L. Johnson & Eric C. So, 2018. "Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 56(1), pages 217-263, March.
    25. Carletti, Elena & Ongena, Steven & Siedlarek, Jan-Peter & Spagnolo, Giancarlo, 2021. "The impacts of stricter merger legislation on bank mergers and acquisitions: Too-Big-To-Fail and competition," Journal of Financial Intermediation, Elsevier, vol. 46(C).
    26. Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
    27. An, Yunbi & Chen, Zhao & Yiu Liu, Clement Man & Liu, Qingfu & Wang, Chuanjie, 2025. "Compass guided: Northbound capital flow and investment clustering in China," Journal of International Money and Finance, Elsevier, vol. 153(C).
    28. Lee, Charles M.C. & So, Eric C., 2017. "Uncovering expected returns: Information in analyst coverage proxies," Journal of Financial Economics, Elsevier, vol. 124(2), pages 331-348.
    29. Aleksanyan, Mark & Danbolt, Jo & Siganos, Antonios & Wu, Betty (H.T.), 2022. "I only fear when I hear: How media affects insider trading in takeover targets," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 318-342.
    30. George P. Gao & Qingzhong Ma & David T. Ng & Ying Wu, 2022. "The Sound of Silence: What Do We Know When Insiders Do Not Trade?," Management Science, INFORMS, vol. 68(7), pages 4835-4857, July.
    31. Justin Birru & Fernando Chague, Rodrigo De-Losso, Bruno Giovannetti, 2019. "Attention and Biases: Evidence from Tax-Inattentive Investors," Working Papers, Department of Economics 2019_48, University of São Paulo (FEA-USP).
    32. Löffler, Gunter & Norden, Lars & Rieber, Alexander, 2021. "Negative news and the stock market impact of tone in rating reports," Journal of Banking & Finance, Elsevier, vol. 133(C).
    33. Jin, Zuben, 2024. "Business aspects in focus, investor underreaction and return predictability," Journal of Corporate Finance, Elsevier, vol. 84(C).
    34. Oh, Jong-Min, 2017. "Absorptive capacity, technology spillovers, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 146-164.

  27. John Y. Campbell & Stefano Giglio & Christopher Polk, 2013. "Hard Times," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 95-132.
    • Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
    • John Y. Campbell & Stefano Giglio & Christopher Polk, 2010. "Hard Times," NBER Working Papers 16222, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  28. Giglio, Stefano & Severo, Tiago, 2012. "Intangible capital, relative asset shortages and bubbles," Journal of Monetary Economics, Elsevier, vol. 59(3), pages 303-317.
    See citations under working paper version above.
  29. John Y. Campbell & Stefano Giglio & Parag Pathak, 2011. "Forced Sales and House Prices," American Economic Review, American Economic Association, vol. 101(5), pages 2108-2131, August.
    See citations under working paper version above.

Chapters

  1. Stefano Giglio & Yuan Liao & Dacheng Xiu, 2021. "Thousands of Alpha Tests," NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3456, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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