Stefano Giglio

Yale School of Management

135 Prospect Street

P.O. Box 208200

New Haven, CT 06520-8200

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

30

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Top 1,485

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23,517

SSRN CITATIONS
Rank 598

SSRN RANKINGS

Top 598

in Total Papers Citations

972

CROSSREF CITATIONS

709

Scholarly Papers (30)

1.

Taming the Factor Zoo: A Test of New Factors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-04
Number of pages: 75 Posted: 20 Mar 2017 Last Revised: 29 Jul 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 3,453 (3,617)
Citation 18

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

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 2,614 (5,726)
Citation 9

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systemic risk, measures, quantile regression, predictive regression, macroeconomic downturns

Systemic Risk and the Macroeconomy: An Empirical Evaluation

NBER Working Paper No. w20963
Number of pages: 64 Posted: 23 Feb 2015 Last Revised: 12 Apr 2021
Stefano Giglio, Bryan T. Kelly and Seth Pruitt
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 40 (507,637)
Citation 38

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3.
Downloads 2,479 ( 6,378)
Citation 23

Excess Volatility: Beyond Discount Rates

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-13
Number of pages: 70 Posted: 06 Mar 2015 Last Revised: 30 Jul 2019
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 2,455 (6,371)
Citation 22

Abstract:

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excess volatility, discount rates, term structure

Excess Volatility: Beyond Discount Rates

NBER Working Paper No. w22045
Number of pages: 86 Posted: 01 Mar 2016 Last Revised: 28 Mar 2021
Stefano Giglio and Bryan T. Kelly
Yale School of Management and Yale SOM
Downloads 24 (600,834)
Citation 1

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4.
Downloads 2,184 ( 7,878)
Citation 32

Hedging Climate Change News

Yale ICF Working Paper No. 2019-02
Number of pages: 43 Posted: 17 Jan 2019 Last Revised: 02 Aug 2019
New York University (NYU) - Department of Finance, Yale School of Management, New York University (NYU) - Department of Finance, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 2,039 (8,663)
Citation 11

Abstract:

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Climate Risk, Hedge Portfolio

Hedging Climate Change News

CESifo Working Paper No. 7655
Number of pages: 48 Posted: 25 Jul 2019
New York University (NYU) - Department of Finance, Yale School of Management, New York University (NYU) - Department of Finance, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 112 (290,408)
Citation 7

Abstract:

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climate risk

Hedging Climate Change News

NBER Working Paper No. w25734
Number of pages: 47 Posted: 08 Apr 2019
New York University (NYU) - Department of Finance, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 31 (555,376)
Citation 1

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Hedging Climate Change News

CEPR Discussion Paper No. DP13730
Number of pages: 49 Posted: 22 May 2019
New York University (NYU) - Department of Finance, Yale School of Management, Yale SOM, New York University (NYU) - Department of Finance and New York University (NYU) - Leonard N. Stern School of Business
Downloads 2 (777,253)
Citation 19
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5.
Downloads 1,751 ( 11,297)
Citation 1

Climate Finance

NYU Stern School of Business Forthcoming
Number of pages: 31 Posted: 14 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,586 (12,964)
Citation 1

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Climate Change, Climate Risk, Physical Risk, Transition Risk, ESG

Climate Finance

CESifo Working Paper No. 8772
Number of pages: 33 Posted: 28 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 148 (234,334)

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Climate Finance

NBER Working Paper No. w28226
Number of pages: 32 Posted: 21 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 15 (667,550)
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Climate Finance

CEPR Discussion Paper No. DP15557
Number of pages: 34 Posted: 23 Dec 2020
Stefano Giglio, Bryan T. Kelly and Johannes Stroebel
Yale School of Management, Yale SOM and New York University (NYU) - Leonard N. Stern School of Business
Downloads 2 (777,253)
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6.
Downloads 1,568 ( 13,437)
Citation 23

No News Is News: Do Markets Underreact to Nothing?

Chicago Booth Research Paper No. 12-41, Midwest Finance Association 2013 Annual Meeting Paper, Fama-Miller Working Paper
Number of pages: 73 Posted: 01 Sep 2012 Last Revised: 11 Sep 2014
Stefano Giglio and Kelly Shue
Yale School of Management and Yale School of Management
Downloads 1,548 (13,425)

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limited attention, no news, underreaction, merger arbitrage, hazard rates

No News is News: Do Markets Underreact to Nothing?

NBER Working Paper No. w18914
Number of pages: 64 Posted: 22 Mar 2013
Stefano Giglio and Kelly Shue
Yale School of Management and Yale School of Management
Downloads 20 (629,669)
Citation 8

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

Chicago Booth Research Paper No. 17-22
Number of pages: 123 Posted: 05 Aug 2015 Last Revised: 09 Mar 2018
Yale School of Management, Harvard University, Stanford University, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,151 (21,228)
Citation 5

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

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

CESifo Working Paper Series No. 5608
Number of pages: 81 Posted: 21 Dec 2015
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 50 (462,712)
Citation 1

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environmental economics, declining discount rates, climate change, real estate, cost-benefit analysis, asset pricing

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

NBER Working Paper No. w21767
Number of pages: 81 Posted: 30 Nov 2015 Last Revised: 02 Dec 2015
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 36 (527,655)
Citation 1

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

CEPR Discussion Paper No. DP10958
Number of pages: 83 Posted: 01 Dec 2015
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and New York University (NYU) - Leonard N. Stern School of Business
Downloads 0
Citation 27
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asset pricing, climate change, cost-benefit analysis, declining discount rates, environmental economics, real estate

8.
Downloads 1,033 ( 25,246)
Citation 13

Asset Pricing with Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 39 Posted: 08 Nov 2016 Last Revised: 17 Sep 2019
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 997 (26,182)
Citation 7

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Three-Pass Estimator, Regularized Mimicking Portfolio, Latent Factors, Omitted Factors, Measurement Error, Fama-MacBeth Regression, Principal Component Regression

Inference on Risk Premia in the Presence of Omitted Factors

NBER Working Paper No. w23527
Number of pages: 76 Posted: 19 Jun 2017 Last Revised: 15 Apr 2021
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 36 (527,655)
Citation 3

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9.
Downloads 974 ( 27,516)
Citation 2

The Performance of Italian Family Firms

ECGI - Finance Working Paper No. 127/2006
Number of pages: 34 Posted: 21 Jul 2006
Bocconi University - Department of Economics, Bocconi University - Department of Finance, Yale School of Management and Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 943 (28,413)
Citation 4

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Family firms, corporate performance, management style

The Performance of Italian Family Firms

CEPR Discussion Paper No. 5786
Number of pages: 32 Posted: 27 Sep 2006
Bocconi University - Department of Finance, Yale School of Management, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 31 (555,376)
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Family firms, corporate performance, management style

10.
Downloads 827 ( 34,647)
Citation 1

Very Long-Run Discount Rates

Fama-Miller Working Paper
Number of pages: 106 Posted: 28 Oct 2013 Last Revised: 03 Nov 2014
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 774 (37,375)
Citation 1

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Cost-Benefit Analysis, Asset Pricing, Environmental Economics, Climate Change, Real Estate, House Prices Risk and Return

Very Long-Run Discount Rates

NBER Working Paper No. w20133
Number of pages: 48 Posted: 19 May 2014 Last Revised: 04 Jan 2021
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 53 (450,736)
Citation 1

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11.
Downloads 819 ( 35,161)
Citation 67

An Intertemporal CAPM with Stochastic Volatility

Number of pages: 72 Posted: 15 Mar 2012 Last Revised: 15 Sep 2016
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 801 (35,700)
Citation 2

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ICAPM, time-varying expected returns, stochastic volatility, value premium

An Intertemporal CAPM with Stochastic Volatility

NBER Working Paper No. w18411
Number of pages: 61 Posted: 22 Sep 2012
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Harvard University
Downloads 17 (652,135)

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An Intertemporal CAPM with Stochastic Volatility

CEPR Discussion Paper No. DP10681
Number of pages: 62 Posted: 29 Jun 2015
Harvard University - Department of Economics, Yale School of Management, London School of Economics and Dodge & Cox Funds
Downloads 1 (791,365)
Citation 33
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ICAPM, stochastic volatility, time-varying expected returns, value premium

12.
Downloads 606 ( 52,660)
Citation 20

Hard Times

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 20 Mar 2011 Last Revised: 24 Dec 2011
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 363 (97,196)

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Hard Times

Chicago Booth Research Paper No. 12-46, Fama-Miller Working Paper
Number of pages: 50 Posted: 13 Sep 2012
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 189 (189,710)
Citation 14

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Hard Times

NBER Working Paper No. w16222
Number of pages: 33 Posted: 26 Jul 2010
John Y. Campbell, Stefano Giglio and Christopher Polk
Harvard University - Department of Economics, Yale School of Management and London School of Economics
Downloads 54 (446,832)
Citation 5

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13.

Thousands of Alpha Tests

Chicago Booth Research Paper No. 18-09, Yale ICF Working Paper No. 2018-16
Number of pages: 91 Posted: 17 Oct 2018 Last Revised: 26 Mar 2020
Stefano Giglio, Yuan Liao and Dacheng Xiu
Yale School of Management, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and University of Chicago - Booth School of Business
Downloads 548 (59,783)
Citation 12

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Data Snooping, Multiple Testing, Alpha Testing, Factor Models, Hedge Fund Performance, False Discovery Rate, Machine Learning, Missing Data, Wild-Bootstrap, Matrix Completion

14.
Downloads 547 ( 59,903)
Citation 16

Five Facts About Beliefs and Portfolios

Yale ICF Working Paper No. 2019-05, Wharton Pension Research Council Working Paper No. 2019-07, NYU Stern School of Business
Number of pages: 76 Posted: 08 Mar 2019 Last Revised: 17 Sep 2020
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 423 (81,356)
Citation 2

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Surveys, Expectations, Sentiment, Behavioral Finance, Discount Rates, Rare Disasters

Five Facts About Beliefs and Portfolios

CESifo Working Paper No. 7666
Number of pages: 78 Posted: 25 Jul 2019
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 106 (302,075)

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surveys, expectations, sentiment, behavioral finance, discount rates, rare disasters

Five Facts About Beliefs and Portfolios

NBER Working Paper No. w25744
Number of pages: 77 Posted: 15 Apr 2019
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 16 (659,756)
Citation 1

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Five Facts About Beliefs and Portfolios

CEPR Discussion Paper No. DP13657
Number of pages: 72 Posted: 09 Apr 2019 Last Revised: 02 Mar 2020
Harvard University, New York University (NYU) - Leonard N. Stern School of Business, Yale School of Management and University of Pennsylvania
Downloads 2 (777,253)
Citation 14
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15.
Downloads 474 ( 71,604)
Citation 2

Inside the Mind of a Stock Market Crash

NBER Working Paper No. w27272
Number of pages: 23 Posted: 02 Jun 2020
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 316 (113,566)

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Inside the Mind of a Stock Market Crash

CESifo Working Paper No. 8334
Number of pages: 24 Posted: 05 Jun 2020
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 157 (223,143)

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surveys, expectations, sentiment, behavioural finance, trading, rare disasters

Inside the Mind of a Stock Market Crash

CEPR Discussion Paper No. DP14813
Number of pages: 25 Posted: 28 May 2020
Yale School of Management, Harvard University, New York University (NYU) - Leonard N. Stern School of Business and University of Pennsylvania
Downloads 1 (791,365)
Citation 2
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behavioral finance, Expectations, Rare Disasters, sentiment, Surveys, Trading

16.
Downloads 400 ( 87,566)
Citation 51

The Price of Variance Risk

Chicago Booth Research Paper No. 15-31, Fama-Miller Working Paper
Number of pages: 74 Posted: 26 Jul 2014 Last Revised: 09 Oct 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 377 (93,076)
Citation 1

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variance swaps, volatility pricing, VIX, asset pricing, disasters

The Price of Variance Risk

NBER Working Paper No. w21182
Number of pages: 74 Posted: 18 May 2015
Ian Dew-Becker, Stefano Giglio, Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance, Yale School of Management, Penn State University Smeal College of Business and Board of Governors of the Federal Reserve System
Downloads 23 (607,954)
Citation 27

Abstract:

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

Fama-Miller Working Paper
Number of pages: 97 Posted: 17 May 2014 Last Revised: 21 Oct 2015
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 343 (103,635)
Citation 2

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Asset Pricing, Real Estate, Rational Bubbles, House Prices, Financial Crisis

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

NBER Working Paper No. w20154
Number of pages: 89 Posted: 26 May 2014
Stefano Giglio, Matteo Maggiori and Johannes Stroebel
Yale School of Management, Harvard University and New York University (NYU) - Leonard N. Stern School of Business
Downloads 16 (659,756)
Citation 5

Abstract:

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18.

Test Assets and Weak Factors

Chicago Booth Research Paper 21-04
Number of pages: 82 Posted: 20 Jan 2021 Last Revised: 22 Jan 2021
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 354 (101,129)

Abstract:

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Supervised PCA, SPCA, PCA, risk premium, factor models, APT, Ridge, Lasso, stochastic discount factor

19.

Equity Term Structures without Dividend Strips Data

Number of pages: 46 Posted: 12 Mar 2020 Last Revised: 24 Mar 2021
Stefano Giglio, Bryan T. Kelly and Serhiy Kozak
Yale School of Management, Yale SOM and University of Maryland - Robert H. Smith School of Business
Downloads 343 (104,353)
Citation 7

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equity strips, risk premia, dividend claims, term structure

Hedging Macroeconomic and Financial Uncertainty and Volatility

Yale ICF Working Paper No. 2018-21
Number of pages: 62 Posted: 09 Dec 2018 Last Revised: 02 Aug 2019
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 230 (157,593)
Citation 2

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Hedging Macroeconomic and Financial Uncertainty and Volatility

NBER Working Paper No. w26323
Number of pages: 76 Posted: 30 Sep 2019 Last Revised: 04 Dec 2020
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 7 (731,548)
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Hedging Macroeconomic and Financial Uncertainty and Volatility

CEPR Discussion Paper No. DP15239
Number of pages: 88 Posted: 12 Sep 2020
Ian Dew-Becker, Stefano Giglio and Bryan T. Kelly
Kellogg School of Management - Department of Finance, Yale School of Management and Yale SOM
Downloads 1 (791,365)
Citation 1
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Intangible Capital, Relative Asset Shortages and Bubbles

Number of pages: 35 Posted: 09 Apr 2011
Stefano Giglio and Tiago Severo
Yale School of Management and International Monetary Fund (IMF)
Downloads 102 (310,149)

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Intangible Capital, Asset Shortages, Rational Bubbles, Financial Constraints, Technological Change, Dynamic Inefficiency

Intangible Capital, Relative Asset Shortages and Bubbles

IMF Working Paper No. 11/271
Number of pages: 39 Posted: 20 Dec 2011
Stefano Giglio and Tiago Severo
Yale School of Management and International Monetary Fund (IMF)
Downloads 62 (417,436)
Citation 3

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

22.
Downloads 131 (257,640)
Citation 30

Uncertainty Shocks as Second-Moment News Shocks

Number of pages: 64 Posted: 12 Jun 2017
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 110 (294,093)

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Uncertainty, macroeconomy, volatility, realized volatility, VIX, news shocks, vector autoregressions

Uncertainty Shocks as Second-Moment News Shocks

NBER Working Paper No. w23796
Number of pages: 63 Posted: 11 Sep 2017
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and Yale School of Management
Downloads 21 (622,338)
Citation 31

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23.

Forced Sales and House Prices

NBER Working Paper No. w14866
Number of pages: 45 Posted: 13 Apr 2009 Last Revised: 14 Feb 2021
John Y. Campbell, Stefano Giglio and Parag A. Pathak
Harvard University - Department of Economics, Yale School of Management and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 127 (263,727)
Citation 53

Abstract:

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24.

Asset Pricing in the Frequency Domain: Theory and Empirics

Chicago Booth Research Paper No. 15-30, Fama-Miller Working Paper
Number of pages: 66 Posted: 13 Aug 2015
Ian L. Dew-Becker and Stefano Giglio
Northwestern University - Department of Economics and Yale School of Management
Downloads 116 (281,865)
Citation 1

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25.

The Collateral Rule: Theory for the Credit Default Swap Market

Number of pages: 24 Posted: 25 Aug 2020
Chuan Du, Agostino Capponi and Stefano Giglio
Yale University, Columbia University and Yale School of Management
Downloads 43 (483,859)

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CDS, Collateral Requirement

26.
Downloads 29 (552,374)
Citation 52

Taming the Factor Zoo: A Test of New Factors

NBER Working Paper No. w25481
Number of pages: 45 Posted: 30 Jan 2019
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 28 (573,693)
Citation 6

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Taming the Factor Zoo: A Test of New Factors

CEPR Discussion Paper No. DP14266
Number of pages: 49 Posted: 14 Jan 2020
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong (CityUHK), Yale School of Management and University of Chicago - Booth School of Business
Downloads 1 (791,365)
Citation 46
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Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection

27.

Asset Pricing in the Frequency Domain: Theory and Empirics

NBER Working Paper No. w19416
Number of pages: 51 Posted: 06 Sep 2013
Ian Dew-Becker and Stefano Giglio
Downloads 26 (570,242)
Citation 10

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28.

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

CEPR Discussion Paper No. 5793
Number of pages: 41 Posted: 10 Oct 2006
Carlo A. Favero and Stefano Giglio
Bocconi University - Department of Finance and Yale School of Management
Downloads 25 (576,562)
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Fiscal policy, term structure, regime-switching, Bayesian estimation

29.

Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data

NBER Working Paper No. w27864
Number of pages: 29 Posted: 28 Sep 2020 Last Revised: 19 Feb 2021
Ian Dew-Becker and Stefano Giglio
Downloads 8 (694,895)
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30.

Credit Default Swap Spreads and Systemic Financial Risk

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

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