Stefano Giglio
Stefano Giglio

Stefano Giglio

Frederic D. Wolfe Professor of Finance, Management, and Entrepreneurship
Yale School of Management
NBER Research Associate
CEPR Research Affiliate
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I am a financial economist working on asset pricing and climate finance, with a particular focus on how financial markets allow investors to manage and mitigate aggregate risks. I am the Frederic D. Wolfe Professor of Finance, Management, and Entrepreneurship at Yale School of Management, a Research Associate at the NBER, and a Research Affiliate at CEPR. I received a Bachelor's and Master's degree from Bocconi University, and a Ph.D. from Harvard University.
Working Papers Publications

Working Papers

Using Density Forecasts to Measure the Stability of Inflation Expectations
with Ian Dew-Becker and Pooya Molavi, February 2026
The anchoring of inflation expectations is a major objective of modern monetary policy. This paper estimates variation over time in the sensitivity of inflation expectations to news. The function describing the response of an agent's expectations to news is fundamentally unobservable since on a given date we only see the single realization of news that actually occurred. However, under the assumption that agents apply Bayes' rule and that they believe their signals are Gaussian (hence allowing for a wide range of behavioral biases), the marginal response of expectations to signals is proportional to agents' uncertainty about future inflation. Empirically, both in the time-series and the cross-section, reported uncertainty both contemporaneously explains and also predicts the future sensitivity of expectations to news. The results imply that as of 2025, inflation expectations are 2–3 times more sensitive to news than prior to 2020.
Learning and the Emergence of Nonlinearity in Financial Markets
with Ian Dew-Becker and Pooya Molavi, December 2025
Financial markets (and more generally the real economy) display a wide range of important nonlinearities. This paper focuses on stock returns, which are skewed left – generating crashes – and whose volatility moves over time, is itself skewed, is strongly related to the level of prices, and displays long memory. This paper shows that such behavior is almost inevitable when prices are formed by investors acquiring information about the true, but latent, value of stocks. It studies a general model of filtering in which agents receive signals about the fundamental value of the stock market and dynamically update their beliefs (potentially with biases). When those beliefs are non-normal and investors believe crashes can happen, prices generically display the range of nonlinearities observed in the data. While the model does not explain where crashes come from, it shows that investors believing that prices can crash is sufficient to generate the rich higher-order dynamics observed empirically. In a simple calibration with iid shocks to fundamentals, the model fits well quantitatively, and regression-based tests support the model's mechanism.
Climate Transition Risks and the Energy Sector
with Viral Acharya, Stefano Pastore, Johannes Stroebel, Zhenhao Tan, and Tiffany Yong, January 2025
We build a general equilibrium model to study how climate transition risks affect energy prices and the valuations of different firms in the energy sector. We consider two types of fossil fuel firms: incumbents that have developed oil reserves they can extract today or tomorrow, and new entrants that must invest in exploration and drilling today to have reserves to potentially extract tomorrow. There are also renewable energy firms that produce emission-free energy but cannot currently serve non-electrifiable sectors of the economy. We analyze three sources of climate transition risk: (i) changes in the probability of a technological breakthrough that allows renewable energy firms to serve all economic sectors; (ii) changes in expected future taxes on carbon emissions; and (iii) restrictions on today's development of additional fossil fuel production capacity. We show that the different transition risks—and, importantly, uncertainty about their realizations—have distinct effects on firms' decisions, on their valuations, and on equilibrium energy prices. We provide empirical support for the heterogeneous effects of different transition risks on energy prices and stock returns of firms in different energy sub-sectors.
The Economics of Biodiversity Loss
with Theresa Kuchler, Johannes Stroebel, and Olivier Wang, September 2025
We explore the economic effects of biodiversity loss by developing an ecologically-founded model of how different species interact to deliver the ecosystem services that contribute to economic production. Ecosystem services are produced by combining several complementary ecosystem functions such as pollination and water filtration, which are each provided by several substitutable species. It follows that economic output is an increasing but concave function of species richness, and the economic cost of losing a species depends on: (i) how many redundant species remain within its ecosystem function, and (ii) how critical the affected function is for ecosystem productivity. We derive an expression for the fragility of ecosystems and economic output to further biodiversity loss, and show that it increases with both mean species losses as well as the imbalance of species losses across ecosystem functions. Consistent with the model, we illustrate that empirical measures of these components of ecosystem fragility are reflected in market assessments of risk in the cross-section of countries, which we extract from the prices of sovereign credit default swaps. We conclude by embedding our model of ecosystem services production in an intertemporal planning problem and study optimal land use when allocating land to production raises output at the cost of reducing biodiversity.
Prediction When Factors are Weak
with Dacheng Xiu and Dake Zhang, March 2023
Online Appendix
In macroeconomic forecasting, principal component analysis (PCA) has been the most prevalent approach to the recovery of factors, which summarize information in a large set of macro predictors. Nevertheless, the theoretical justification of this approach often relies on a convenient and critical assumption that factors are pervasive. To incorporate information from weaker factors, we propose a new prediction procedure based on supervised PCA, which iterates over selection, PCA, and projection. The selection step finds a subset of predictors most correlated with the prediction target, whereas the projection step permits multiple weak factors of distinct strength. We justify our procedure in an asymptotic scheme where both the sample size and the cross-sectional dimension increase at potentially different rates. Our empirical analysis highlights the role of weak factors in predicting inflation, industrial production growth, and changes in unemployment.
What Drives Booms and Busts in Value?
with John Campbell and Christopher Polk, November 2023
Online Appendix
Value investing delivers volatile returns, with large drawdowns during both market booms and busts. This paper interprets these returns through an intertemporal CAPM, which predicts that aggregate cash flow, discount rate, and volatility news all move value returns. We document that indeed these shocks explain a large fraction of quarterly value returns over the last 60 years. We also distinguish between the intra-industry and inter-industry components of value, showing that the ICAPM explains the former better. Finally, we develop a novel methodology to perform this decomposition at the daily frequency, using it to interpret value returns during the Covid-19 pandemic.
The Decline of the Variance Risk Premium: Evidence from Traded and Synthetic Options
with Ian Dew-Becker, July 2024
The historical returns on equity index options are well known to be strikingly negative, with large negative CAPM alphas. That is typically explained either by investors having convex marginal utility over stock returns (e.g. crash/variance aversion) or by intermediaries demanding a premium for hedging risk. This paper shows that over the last 15 years, the returns of traded options have become significantly less negative, to the point that their CAPM alpha (and, relatedly, that of the variance risk premium) is now statistically indistinguishable from zero. We also build dynamically replicated, or synthetic, options, and show that over the period 1926–2022 they always had zero alpha. To explain these facts, the paper develops a model where the negative alpha of traded options between the late 80s and the early 2000s was driven by the risk that intermediaries in the options market had to bear; those alphas did not reflect the risk preferences of the average equity investor. Instead, synthetic options, based entirely on the price of the equity index, directly reflect the representative investor's risk preferences: those show that the average investor never, over the last century, required high risk compensation for market downturns. Over time, as the quantity of risk borne by intermediaries declined, the risk premium of the traded options converged to those of the synthetic options. We provide empirical evidence on risk exposures of dealers consistent with the model.
Credit Default Swap Spreads and Systemic Financial Risk
April 2014
Runner-up, Ieke van den Burg Prize for Research on Systemic Risk, 2015
Online Appendix
This paper measures the joint default risk of financial institutions by exploiting information about counterparty risk in credit default swaps (CDS). A CDS contract written by a bank to insure against the default of another bank is exposed to the risk that both banks default. From CDS spreads we can then learn about the joint default risk of pairs of banks. From bond prices we can learn the individual default probabilities. Since knowing individual and pairwise probabilities is not sufficient to fully characterize multiple default risk, I derive the tightest bounds on the probability that many banks fail simultaneously.

Publications

35.
A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
with Georgij Alekseev, Quinn Maingi, Julia Selgrad, and Johannes Stroebel
Journal of Finance, forthcoming
Best Paper in Asset Pricing, 2022 SFS Cavalcade; Two Sigma Award, 2022; Best Paper on Investment Management, 2022 WFA
34.
Nature and Biodiversity Loss: A Research Agenda for Financial Economics
with Theresa Kuchler, Johannes Stroebel, and Olivier Wang
Journal of Finance: Insights and Perspectives, forthcoming
33.
Investor Beliefs and Expectation Formation
with Matteo Maggiori, Joachim Rillo, Johannes Stroebel, Steve Utkus, and Xiao Xu
Annual Review of Financial Economics, forthcoming
32.
Biodiversity Risk
with Theresa Kuchler, Johannes Stroebel, and Xuran Zeng
Review of Finance (Special Issue for Biodiversity and Natural Resource Finance), forthcoming
Northwestern University Moskowitz Prize for sustainable finance research, 2023; Berkeley Haas Sustainable Business Research Prize, 2023
Data
31.
Nature Loss and Climate Change: the Twin-Crises Multiplier
with Theresa Kuchler, Johannes Stroebel, and Olivier Wang
AEA Papers and Proceedings (2025), 115: 409–414
30.
Four Facts about ESG Beliefs and Investor Portfolios
with Matteo Maggiori, Johannes Stroebel, Zhenhao Tan, Stephen Utkus, and Xiao Xu
Journal of Financial Economics (2025), 164
Northwestern University Moskowitz Prize for sustainable finance research (honorable mention)
29.
Test Assets and Weak Factors
with Dacheng Xiu and Dake Zhang
Journal of Finance (2025), 80(1), 259–319
Code
28.
Recent Developments in Financial Risk and the Real Economy
with Ian Dew-Becker
Annual Review of Financial Economics (2024), 16(4): 1–22
27.
Equity Term Structures without Dividend Strips Data
with Bryan Kelly and Serhiy Kozak
Journal of Finance (2024), 79(6)
Data
26.
Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data
with Ian Dew-Becker
American Economic Journal: Macroeconomics (2023), 15(2): 65–96
Data
25.
The Effect of Climate Risks on the Interactions between Financial Markets and Energy Companies
with Arthur van Benthem, Edmund Crooks, Eugenie Schwob, and Johannes Stroebel
Nature Energy (2022), 7: 690–697
24.
Factor Models, Machine Learning, and Asset Pricing
with Bryan Kelly and Dacheng Xiu
Annual Review of Financial Economics (2022), 14: 337–68
23.
The Collateral Rule: Evidence from the Credit Default Swap Market
with Agostino Capponi, Allen Cheng, Chuan Du, and Richard Haynes
Journal of Monetary Economics (2022), 126: 58–86
22.
Climate Change and Long-Run Discount Rates: Evidence from Real Estate
with Matteo Maggiori, Krishna Rao, Johannes Stroebel, and Andreas Weber
Review of Financial Studies (2021), 34(8): 3527–3571
RFS Editor's Choice Article; RFS Michael Brennan Best Paper Award Runner Up, 2022
21.
Asset Pricing with Omitted Factors
with Dacheng Xiu
Journal of Political Economy (2021), 129(7): 1947–1990
Lead Article; Best Paper Prize, 2017 European Financial Association Conference
Online Appendix Code
20.
The Joint Dynamics of Investor Beliefs and Trading during the COVID-19 Crash
with Matteo Maggiori, Johannes Stroebel, and Stephen Utkus
PNAS (2021), 118(4)
Previously circulated as "Inside the Mind of a Stock Market Crash"
19.
Five Facts About Beliefs and Portfolios
with Matteo Maggiori, Johannes Stroebel, and Steven Utkus
American Economic Review (2021), 111(5): 1481–1522
2021 AQR Insight Award (Distinguished Paper); Best Behavioral Finance Paper, Midwest Finance Association Meetings 2020; Yuki Arai Faculty Research Prize for Finance 2019
Online Appendix
18.
Climate Finance
with Bryan Kelly and Johannes Stroebel
Annual Review of Financial Economics (2021), 13: 15–36
17.
Hedging Macroeconomic and Financial Uncertainty and Volatility
with Ian Dew-Becker and Bryan Kelly
Journal of Financial Economics (2021), 142: 23–45
Data Online Appendix
16.
Thousands of Alpha Tests
with Yuan Liao and Dacheng Xiu
Review of Financial Studies (2021), 34(7): 3456–3496
Online Appendix Code
15.
Taming the Factor Zoo: a Test of New Factors
with Guanhao Feng and Dacheng Xiu
Journal of Finance (2020), 75(3): 1327–1370
AQR Insight Award 2018, First Prize
Online Appendix
14.
Uncertainty Shocks as Second-Moment News Shocks
with David Berger and Ian Dew-Becker
Review of Economic Studies (2020), 87(1): 40–76
Previous title: "Contractionary Volatility or Volatile Contractions?"
Data Online Appendix
13.
Hedging Climate Change News
with Robert Engle, Bryan Kelly, Heebum Lee, and Johannes Stroebel
Review of Financial Studies (2020), 33(3): 1184–1216
Data
12.
An Intertemporal CAPM with Stochastic Volatility
with John Campbell, Christopher Polk, and Bob Turley
Journal of Financial Economics (2018), 128(2): 207–233
Lead Article; Fama-DFA Prize for the Best Paper Published in the Journal of Financial Economics (Asset Pricing), 2018
Online Appendix
11.
Excess Volatility: Beyond Discount Rates
with Bryan Kelly
Quarterly Journal of Economics (2018), 133(1): 71–127
Finalist, AQR Insight Award, 2016; Napa Conference Best Paper Award, 2016
Online Appendix
10.
The Price of Variance Risk
with Ian Dew-Becker, Anh Le, and Marius Rodriguez
Journal of Financial Economics (2017), 123(2): 225–250
Lead Article
Data Online Appendix
9.
Asset Pricing in the Frequency Domain: Theory and Empirics
with Ian Dew-Becker
Review of Financial Studies (2016), 29(8): 2029–2068
Online Appendix
8.
No-Bubble Condition: Model-Free Tests in Housing Markets
with Matteo Maggiori and Johannes Stroebel
Econometrica (2016), 84(3): 1047–1091
Online Appendix Reply
7.
Systemic Risk and the Macroeconomy: An Empirical Evaluation
with Bryan Kelly and Seth Pruitt
Journal of Financial Economics (2016), 119(3): 457–471
Lead Article; Fama-DFA Prize for the Best Paper Published in the Journal of Financial Economics (Asset Pricing), 2016; Q-Group Roger F. Murray Prize (3rd prize), 2015
Online Appendix Data
6.
A Review of Long-Run Discounting: Evidence from Housing Markets
with Matteo Maggiori
Rivista di Politica Economica (2016), 4, 7–36 (not refereed)
5.
Very Long-Run Discount Rates
with Matteo Maggiori and Johannes Stroebel
Quarterly Journal of Economics (2015), 130(1): 1–53
QJE Lead Article; QJE Editor's Choice Article; Jacob Gold & Associates Best Paper Prize, ASU Sonoran Winter Finance Conference, 2014; NYU Glucksman Institute Faculty Research Prize for the Best Paper in Finance, 2015
Online Appendix NBER WP Version Data
4.
No News is News: Do Markets Underreact to Nothing?
with Kelly Shue
Review of Financial Studies (2014), 27(12): 3389–3440
Lead Article; RFS Editor's Choice Article; Winner, UBS Global Asset Management Award for Research in Investments, FRA Meeting 2012
3.
Hard Times
with John Campbell and Christopher Polk
Review of Asset Pricing Studies (2013), 3(1): 95–132
Online Appendix
2.
Intangible Capital, Relative Asset Shortages, and Bubbles
with Tiago Severo
Journal of Monetary Economics (2012), 59: 303–317
Online Appendix
1.
Forced Sales and House Prices
with John Campbell and Parag Pathak
American Economic Review (2011), 101(5): 2108–2131
Online Appendix

Data & Code

Replication packages, datasets, and code related to my published research.

Test Assets and Weak Factors
Simulation code for SPCA and other risk premium estimation methodologies.
Code Paper
Equity Term Structures without Dividend Strips Data
Dataset constructed using the model in Giglio, Kelly, Kozak (2024) "Equity Term Structures without Dividend Strips Data." The data contain end-of-month equity yields, as defined by equation (32) in the paper, for the aggregate market index for maturities 1–15 years, and for the cross-section of 102 portfolios (51 long and 51 short ends of anomalies) for maturities 1–15 years.
Data Paper
Biodiversity Risk
Biodiversity risk measures constructed for the paper "Biodiversity Risk" with Kuchler, Stroebel, and Zeng.
biodiversityrisk.org Paper
Cross-Sectional Uncertainty and the Business Cycle
Historical data for option implied volatility for the S&P 500, averaged across firms (weighted by market capitalization), and the measure of cross-sectional or firm-specific implied volatility described in the paper.
Replication Files Monthly US Data Monthly European Data Paper
Hedging Macroeconomic and Financial Uncertainty and Volatility
Returns on straddles in 19 financial and commodity option markets. The file contains two-week returns on delta-neutral straddles, as well as strangles, as described in the paper. Monthly at-the-money implied volatilities for the markets are also included.
Data Paper
Thousands of Alpha Tests
Python code implementing the methodology.
Code Paper
Asset Pricing with Omitted Factors
MATLAB code with the three-pass estimator and replication of the main results.
Code Paper
Hedging Climate Change News
Climate Change Indexes data.
Data Paper
Uncertainty Shocks as Second-Moment News Shocks
S&P 500 VIX extended back to 1983: monthly data for one- and six-month implied volatilities, calculated using the VIX-type formula, for 1983–2014. Daily data is available on request.
Replication Code & Data Main VAR Data VIX Extended Data Paper
The Price of Variance Risk
Data on variance swaps (reported as variance forwards), 1995–2013.
Data Paper
Systemic Risk and the Macroeconomy: An Empirical Evaluation
Data on systemic risk measures: both US and international systemic risk measures.
Data Code Paper
Very Long-Run Discount Rates
Data on rents growth in the US, UK, and Singapore housing markets.
Rents Growth Data Data Sources Summary Paper

Discussions

Mental Models and Financial Forecasts
Francesca Bastianello, Paul Decaire, and Marius Gunzel
NBER Asset Pricing Meeting, Spring 2025
The Subjective Belief Factor
Tingyue Cui, Ricardo De la O, and Sean Myers
Five Star Conference, Fall 2024
Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies
Sangmin Oh, Ishita Sen, and Ana-Maria Tenekedjieva
E-axes Forum 2024
When Do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?
Serhiy Kozak and Stefan Nagel
SoFiE Seminar, Fall 2022
Insensitive Investors
Constantin Charles, Cary Frydman, and Mete Kilic
NBER Asset Pricing, Fall 2022
Macro Trends and Factor Timing
Carlo Favero, Alessandro Melone, and Andrea Tamoni
CREDIT 2022
Dissecting Green Returns
Lubos Pastor, Robert Stambaugh, and Lucian Taylor
NBER Asset Pricing, Summer 2022
Expectations and Bank Lending
Yueran Ma, Teodora Paligorova, and Jose-Luis Peydro
AEA 2022
Mitigating Disaster Risks in the Age of Climate Change
Harrison Hong, Neng Wang, and Jinqiang Yang
AFA 2022
Do Common Factors Really Explain the Cross-Section of Stock Returns?
Alejandro Lopez-Lira and Nick Roussanov
NBER Big Data, 2021
Regulatory Arbitrage and the Rise of Non-Financial Firms' Shadow Banking Activities
Zehao Liu, Huoqing Tang, and Chengsi Zhang
Renmin University of China School of Finance Workshop, 2021
Putting the Price in Asset Pricing
Thummim Cho and Christopher Polk
LSE-BIS Conference, 2021
Asset Managers' Response to Natural Disasters
Marcin Kacperczyk
IESE Banking Initiative Conference, 2021
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Svetlana Bryzgalova, Jiantao Huang, and Christian Julliard
AFA 2021
The Pricing and Risk of Dividends by Maturity: Theory and Evidence from the COVID-19 Pandemic
Niels Gormsen, Ralph Koijen, and Ian Martin
AFA 2021
On the Other Side of Hedge Fund Equity Trades
Xinyu Cui, Olga Kolokolova, and Jiaguo Wang
AFA 2021
Duration-Driven Returns
Niels Gormsen and Eben Lazarus
NBER Asset Pricing Meeting, Fall 2020
Stock Prices, Lockdowns, and Economic Activity in the Time of Coronavirus
Steven Davis, Dingqian Liu, and Xuguang Simon Sheng
IMF Jacques Polak Annual Research Conference, Fall 2020
Maturity Increasing Over-reaction and Bond Market Puzzles
Daniele D'Arienzo
NBER Behavioral Finance Meeting, Spring 2020
Volatility Expectations and Returns
Lars Lochstoer and Tyler Muir
NBER Behavioral Finance Meeting, Fall 2019
Asset Pricing with Fading Memory
Stefan Nagel and Zhengyang Xu
NBER Summer Institute 2019 (Behavioral/Macro)
In Military We Trust: The Effect of Managers' Military Background on Mutual Fund Flows
Alexander Cochardt, Stephan Heller, and Vitaly Orlov
NBER Summer Institute 2019 (Asset Pricing)
The Pollution Premium
Po-Hsuan Hsu, Kai Li, and Chi-Yang Tsou
WSIR 2019
Risk Price Variation: The Missing Half of the Cross-Section of Expected Returns
Andrew Patton and Brian Weller
ASU Sonoran Winter Finance Conference 2019
Production Networks and Stock Returns: The Role of Vertical Creative Destruction
Michael Gofman, Gill Segal, and Youchang Wu
AFA 2019
Disaster on the Horizon: The Price Effect of Sea Level Rise
Asaf Bernstein, Matthew Gustafson, and Ryan Lewis
Chicago Booth Asset Pricing Conference, 2018
Measuring Horizon-Specific Systematic Risk via Spectral Betas
Federico Bandi, Shomesh Chaudhuri, Andrew Lo, and Andrea Tamoni
New Methods for the Cross Section of Returns (Chicago Booth), 2018
Dynamic Asset Liability Management under Model Uncertainty
Ferenc Horvath, Frank de Jong, and Bas Werker
City University of Hong Kong Finance Conference, 2018
Predicting Relative Returns
Valentin Haddad, Serhiy Kozak, and Shri Santosh
AFA 2018
The Cross-Section of Risk and Return
Kent Daniel, Lira Mota, Simon Rottke, and Tano Santos
AFA 2018
Multifactor Models and the APT: Evidence from a Broad Cross-Section of Stock Returns
Ilan Cooper, Paulo Maio, and Dennis Philip
EFMA 2017
An Equilibrium Model of Institutional Demand and Asset Prices
Ralph Koijen and Motohiro Yogo
AFA 2017
The Cross-Section of Currency Volatility Premia
Pasquale Della Corte, Roman Kozhan, and Anthony Neuberger
AFA 2017
Climate Risks and Market Efficiency
Harrison Hong, Frank Weikai Li, and Jiangmin Xu
NBER Asset Pricing Meeting, November 2016
Volatility Managed Portfolios
Alan Moreira and Tyler Muir
Paul Woolley Centre Conference (LSE) 2016
Linking Cross-Sectional and Aggregate Expected Returns
Serhiy Kozak and Shri Santosh
SFS Cavalcade 2016
Systemic Default and Return Predictability in the Stock and Bond Markets
Jack Bao, Kewei Hou, and Shaojun Zhang
UBC WFC 2016
Nominal Exchange Rate Stationarity and Long-Term Bond Returns
Hanno Lustig, Andreas Stathopoulos, and Adrien Verdelhan
AFA 2016
Fear Trading
Paul Schneider and Fabio Trojani
AFA 2016
Horizon-Specific Macroeconomic Risks and the Cross Section of Expected Returns
Martijn Boons and Andrea Tamoni
EFA 2015
Efficiency and Distortions in a Production Economy with Heterogeneous Beliefs
Christian Heyerdahl-Larsen and Johan Walden
WFA 2015
Aggregate Tail Risk and Expected Returns
David Chapman and Michael Gallmeyer
SFS Cavalcade 2015
Nominal Term Spread, Real Rate and Consumption Growth
Anna Cieslak and Pavel Povala
MFA 2015
Business-Cycle Consumption Risk and Asset Prices
Federico Bandi and Andrea Tamoni
AFA 2015
Credit-Induced Booms and Busts
Marco Di Maggio and Amir Kermani
Tel Aviv Finance Conference 2014
The Credit Spread Puzzle — Myth or Reality?
Peter Feldhutter and Stephen Schaefer
CEPR Asset Pricing Conference (Gerzensee) 2014
Preferred Habitats and Safe-Haven Effects: Evidence from the London Housing Market
Cristian Badarinza and Tarun Ramadorai
Paul Woolley Centre Conference (LSE) 2014
Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence
Stephen Dimmock, Roy Kouwenberg, Olivia Mitchell, and Kim Peijnenburg
Mitsui Finance Symposium (U Michigan) 2014
Macroeconomic Variables and the Term Structure: Long-Run and Short-Run Dynamics
Hitesh Doshi, Kris Jacobs, and Rui Liu
USC Fixed Income Conference 2014
Estimates of the Size and Source of Price Declines Due to Nearby Foreclosures
Elliot Anenberg and Ed Kung
HULM 2013 (FRB Atlanta)
Treasury Liquidity, Funding Liquidity and Asset Returns
Ruslan Goyenko
Oxford Asset Pricing Retreat 2013
The Asset Pricing Implications of Government Economic Policy Uncertainty
Jonathan Brogaard and Andrew Detzel
McGill Global Asset Management Conference 2013
The Pricing Effects of Ambiguous Private Information
Scott Condie and Jayant Ganguli
MFA 2013
Foreclosure Externalities: Some New Evidence
Kristopher Gerardi, Eric Rosenblatt, Paul Willen, and Vincent Yao
HULM 2012 (FRB Boston)
An Agent Based Model of the Household Sector
Doyne Farmer and John Geanakoplos
AFA 2012
Term Structure of Credit Default Swap Spreads and Cross-Section of Stock Returns
Bing Han and Yi Zhou
AFA 2012
CDS as Insurance: Leaky Lifeboats in Stormy Seas
Eric Stephens and James Thompson
WFA 2011

Teaching

  • Financial Economics of Climate and Sustainability
    PhD, Online, 2023–present
  • ESG/Sustainable Investing
    MBA, EMBA (Yale SOM), 2022–present
  • Investment Management
    EMBA (Yale SOM), 2021–present
  • Asset Pricing Theory
    Master in Asset Management (Yale SOM), 2021–2023
  • Financial Instruments for Speculation and Hedging
    Master in Asset Management (Yale SOM), 2021–2023
  • Financial Economics I
    PhD (Yale SOM), with Jon Ingersoll, 2018–present
  • Speculation and Hedging in Financial Markets
    MBA (Yale SOM), 2018–2022
  • Topics: Empirical Finance
    PhD (Chicago Booth), with Lars Hansen, 2013, 2017
  • Investments
    MBA (Chicago Booth), 2012–2017

Contact

Office

Yale School of Management
165 Whitney Avenue
New Haven, CT 06520

Contact

stefano.giglio@yale.edu
Tel. 203-432-3373

Curriculum Vitae

Download CV (PDF)

Affiliations

NBER Research Associate
CEPR Research Affiliate
Yale SOM Official Page

Outside Activities

I regularly work as a paid consultant for large asset managers, from which I obtained payments above $10,000 over the last three years. I also work or have worked as a consultant for financial institutions and government institutions. I serve on the Board of Directors of the Global Talent Fund.