NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Stefano Giglio

University of Chicago
Booth School of Business
5807 S. Woodlawn Avenue
Chicago, IL 60637
Tel: 773/834-1957

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Faculty Research Fellow

NBER Working Papers and Publications

September 2017Uncertainty Shocks as Second-Moment News Shocks
with David Berger, Ian Dew-Becker: w23796
June 2017Inference on Risk Premia in the Presence of Omitted Factors
with Dacheng Xiu: w23527
February 2016Excess Volatility: Beyond Discount Rates
with Bryan Kelly: w22045
November 2015Climate Change and Long-Run Discount Rates: Evidence from Real Estate
with Matteo Maggiori, Johannes Stroebel, Andreas Weber: w21767
May 2015The Price of Variance Risk
with Ian Dew-Becker, Anh Le, Marius Rodriguez: w21182

Published: 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. citation courtesy of

February 2015Systemic Risk and the Macroeconomy: An Empirical Evaluation
with Bryan T. Kelly, Seth Pruitt: w20963

Published: 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. citation courtesy of

May 2014No-Bubble Condition: Model-free Tests in Housing Markets
with Matteo Maggiori, Johannes Stroebel: w20154

Published: Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016. "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, vol. 84, pages 1047-1091, 05. citation courtesy of

Very Long-Run Discount Rates
with Matteo Maggiori, Johannes Stroebel: w20133

Published: Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2015. "Very Long-Run Discount Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 130(1), pages 1-53. citation courtesy of

September 2013Asset Pricing in the Frequency Domain: Theory and Empirics
with Ian Dew-Becker: w19416

Published: Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068. citation courtesy of

March 2013No News is News: Do Markets Underreact to Nothing?
with Kelly Shue: w18914

Published: No News Is News: Do Markets Underreact to Nothing? Stefano Giglio University of Chicago, Booth School of Business and NBER Kelly Shue Rev. Financ. Stud. (2014) 27 (12): 3389-3440. doi: 10.1093/rfs/hhu052 First published online: August 11, 2014

September 2012An Intertemporal CAPM with Stochastic Volatility
with John Y. Campbell, Christopher Polk, Robert Turley: w18411
July 2010Hard Times
with John Y. Campbell, Christopher Polk: w16222

Published: “Hard Times”, with Stefano Giglio and Christopher Polk, Review of Asset Pricing Studies 3:95-132, June 2013.

April 2009Forced Sales and House Prices
with John Y. Campbell, Parag Pathak: w14866

Published: John Y. Campbell & Stefano Giglio & Parag Pathak, 2011. "Forced Sales and House Prices," American Economic Review, American Economic Association, vol. 101(5), pages 2108-31, August. citation courtesy of

 
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