NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Excess Volatility: Beyond Discount Rates

Stefano Giglio, Bryan Kelly

NBER Working Paper No. 22045
Issued in February 2016

---- Acknowledgments ----

This research benefited financial support from the Fama-Miller Center at the University of Chicago, Booth School of Business. We are grateful to Robert Barro, Jonathan Berk, Oleg Bondarenko, John Campbell, John Cochrane, Josh Coval, Drew Creal, Ian Dew-Becker, Hitesh Doshi, Gene Fama, Xavier Gabaix, Valentin Haddad, Lloyd Han, Lars Hansen, Roni Isrealov, Lawrence Jin, Ralph Koijen, Ahn Le, Martin Lettau, Hanno Lustig, Matteo Maggiori, Tim McQuade, Toby Moskowitz, Stavros Panageas, Monika Piazzesi, Seth Pruitt, Martin Schneider, Andrei Shleifer, Jeremy Stein, Dick Thaler, Pietro Veronesi, and Cynthia Wu for helpful comments, seminar participants at AQR, ASU, Berkeley, Case Western, Chicago, Chicago Fed, Harvard, Houston, LBS, Stanford, UBC, and UT Dallas, and conference participants at CITE and IFSID. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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