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Stefano Giglio

Personal Details

First Name:Stefano
Middle Name:
Last Name:Giglio
Suffix:
RePEc Short-ID:pgi162
[This author has chosen not to make the email address public]
https://sites.google.com/view/stefanogiglio/
Terminal Degree:2011 Department of Economics; Harvard University (from RePEc Genealogy)

Affiliation

School of Management
Yale University

New Haven, Connecticut (United States)
https://som.yale.edu/
RePEc:edi:smyalus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Stefano Giglio & Theresa Kuchler & Johannes Stroebel & Olivier Wang, 2025. "Nature Loss and Climate Change: The Twin-Crises Multiplier," NBER Working Papers 33361, National Bureau of Economic Research, Inc.
  2. Viral V. Acharya & Stefano Giglio & Stefano Pastore & Johannes Stroebel & Zhenhao Tan & Tiffany Yong, 2025. "Climate Transition Risks and the Energy Sector," NBER Working Papers 33413, National Bureau of Economic Research, Inc.
  3. Stefano Giglio & Theresa Kuchler & Johannes Stroebel & Olivier Wang, 2024. "The Economics of Biodiversity Loss," NBER Working Papers 32678, National Bureau of Economic Research, Inc.
  4. Ian Dew-Becker & Stefano Giglio, 2023. "Risk Preferences Implied by Synthetic Options," NBER Working Papers 31833, National Bureau of Economic Research, Inc.
  5. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Zhenhao Tan & Stephen Utkus & Xiao Xu, 2023. "Four Facts About ESG Beliefs and Investor Portfolios," NBER Working Papers 31114, National Bureau of Economic Research, Inc.
  6. Ian Dew-Becker & Stefano Giglio, 2023. "Recent Developments in Financial Risk and the Real Economy," NBER Working Papers 31878, National Bureau of Economic Research, Inc.
  7. 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.
  8. Stefano Giglio & Theresa Kuchler & Johannes Stroebel & Xuran Zeng, 2023. "Biodiversity Risk," NBER Working Papers 31137, National Bureau of Economic Research, Inc.
    • Giglio, Stefano & Kuchler, Theresa & Stroebel, Johannes & Zeng, Xuran, 2023. "Biodiversity Risk," SocArXiv n7pbj, Center for Open Science.
  9. 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.
  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.
  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.
  12. Giglio, Stefano & Xiu, Dacheng & Zhang, Dake, 2021. "Test Assets and Weak Factors," CEPR Discussion Papers 16307, C.E.P.R. Discussion Papers.
  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.
  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.
  15. Stefano Giglio & Bryan Kelly & Johannes Stroebel, 2020. "Climate Finance," CESifo Working Paper Series 8772, CESifo.
  16. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020. "Inside the Mind of a Stock Market Crash," Papers 2004.01831, arXiv.org, revised May 2020.
  17. Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five facts about beliefs and portfolios," CESifo Working Paper Series 7666, CESifo.
  18. Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019. "Hedging climate change news," CESifo Working Paper Series 7655, CESifo.
  19. 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.
  20. 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.
  21. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
  22. Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
  23. 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.
  24. Campbell, John Y & Polk, Christopher & Giglio, Stefano & Turley, Robert, 2015. "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers 10681, C.E.P.R. Discussion Papers.
  25. 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.
  26. 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.
  27. Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo, 2014. "No-Bubble Condition: Model-Free Tests in Housing Markets," CEPR Discussion Papers 9978, C.E.P.R. Discussion Papers.
  28. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very long-run discount rates," Globalization Institute Working Papers 182, Federal Reserve Bank of Dallas.
  29. 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.
  30. Stefano Giglio & Kelly Shue, 2013. "No News is News: Do Markets Underreact to Nothing?," NBER Working Papers 18914, National Bureau of Economic Research, Inc.
  31. 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.
  32. Stefano Giglio, 2011. "Credit default swap spreads and systemic financial risk," Proceedings 1122, Federal Reserve Bank of Chicago.
  33. Stefano Giglio & Tiago Severo, 2011. "Intangible Capital, Relative Asset Shortages and Bubbles," Levine's Working Paper Archive 786969000000000121, David K. Levine.
  34. Giglio, Stefano & Pathak, Parag & Campbell, John Y., 2011. "Forced Sales and House Prices," Scholarly Articles 9887623, Harvard University Department of Economics.
  35. 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.
  36. 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.

Articles

  1. Stefano Giglio & Bryan Kelly & Johannes Stroebel, 2021. "Climate Finance," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 15-36, November.
  2. 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.
  3. 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.
  4. Stefano Giglio & Dacheng Xiu, 2021. "Asset Pricing with Omitted Factors," Journal of Political Economy, University of Chicago Press, vol. 129(7), pages 1947-1990.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
    • John Y. Campbell & Stefano Giglio & Christopher Polk, 2010. "Hard Times," NBER Working Papers 16222, National Bureau of Economic Research, Inc.
    • Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
  21. Giglio, Stefano & Severo, Tiago, 2012. "Intangible capital, relative asset shortages and bubbles," Journal of Monetary Economics, Elsevier, vol. 59(3), pages 303-317.
  22. 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.

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.

More information

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
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  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages, Weighted by Simple Impact Factor
  22. Number of Journal Pages, Weighted by Recursive Impact Factor
  23. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  24. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  25. Number of Abstract Views in RePEc Services over the past 12 months
  26. Number of Downloads through RePEc Services over the past 12 months
  27. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  28. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  29. Euclidian citation score
  30. Breadth of citations across fields
  31. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 51 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (20) 2015-02-28 2015-05-22 2015-07-04 2016-09-11 2017-04-09 2017-09-24 2019-04-15 2019-05-27 2019-07-08 2019-09-09 2019-10-14 2020-04-20 2021-01-25 2021-02-08 2021-05-17 2021-05-31 2023-01-02 2023-05-08 2023-12-04 2023-12-11. Author is listed
  2. NEP-ENV: Environmental Economics (15) 2015-01-09 2015-12-08 2015-12-28 2016-02-04 2019-04-15 2019-05-27 2019-07-08 2021-01-25 2021-05-17 2023-01-02 2023-05-08 2023-05-15 2024-08-26 2025-02-03 2025-02-24. Author is listed
  3. NEP-MAC: Macroeconomics (10) 2006-10-28 2013-09-28 2014-06-02 2014-07-28 2015-02-28 2015-05-22 2017-09-24 2019-04-22 2019-10-14 2020-10-19. Author is listed
  4. NEP-FMK: Financial Markets (9) 2012-09-30 2015-07-04 2019-04-15 2020-04-20 2020-07-27 2023-01-02 2023-05-15 2023-05-15 2024-01-08. Author is listed
  5. NEP-SEA: South East Asia (6) 2014-05-24 2014-06-02 2014-06-14 2015-01-09 2015-03-05 2016-02-04. Author is listed
  6. NEP-ENE: Energy Economics (5) 2015-12-08 2015-12-28 2016-02-04 2023-01-02 2025-02-24. Author is listed
  7. NEP-URE: Urban and Real Estate Economics (5) 2009-04-13 2014-06-02 2015-01-09 2015-12-08 2016-02-04. Author is listed
  8. NEP-MST: Market Microstructure (4) 2020-04-20 2020-06-29 2020-07-27 2021-06-28
  9. NEP-ECM: Econometrics (3) 2017-06-25 2019-02-04 2021-07-26
  10. NEP-FDG: Financial Development and Growth (3) 2021-01-25 2021-02-08 2023-12-11
  11. NEP-ORE: Operations Research (3) 2015-07-04 2017-06-25 2019-09-09
  12. NEP-AGR: Agricultural Economics (2) 2024-08-26 2025-02-03
  13. NEP-BAN: Banking (2) 2015-02-28 2017-04-09
  14. NEP-CFN: Corporate Finance (2) 2006-10-28 2006-10-28
  15. NEP-CWA: Central and Western Asia (2) 2021-05-31 2021-06-28
  16. NEP-IFN: International Finance (2) 2015-07-04 2020-10-19
  17. NEP-UPT: Utility Models and Prospect Theory (2) 2021-05-31 2023-12-04
  18. NEP-BEC: Business Economics (1) 2020-10-19
  19. NEP-BIG: Big Data (1) 2020-07-27
  20. NEP-CMP: Computational Economics (1) 2020-07-27
  21. NEP-EFF: Efficiency and Productivity (1) 2006-10-28
  22. NEP-ETS: Econometric Time Series (1) 2019-02-04
  23. NEP-FIN: Finance (1) 2006-10-28
  24. NEP-INV: Investment (1) 2025-02-24
  25. NEP-MFD: Microfinance (1) 2015-03-05
  26. NEP-PBE: Public Economics (1) 2006-10-28
  27. NEP-REG: Regulation (1) 2016-02-04
  28. NEP-TID: Technology and Industrial Dynamics (1) 2006-10-28

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