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Stefano Giglio

Global rank #1984 97%

Institution: Yale University

Primary Field: Finance (weighted toward more recent publications)

Homepage: https://sites.google.com/view/stefanogiglio/

First Publication: 2011

Most Recent: 2025

RePEc ID: pgi162 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 1.51 4.69 0.00 0.00 15.42
Last 10 Years 3.85 8.45 0.00 0.00 32.31
All Time 5.19 10.46 0.67 0.00 42.36

Publication Statistics

Raw Publications 25
Coauthorship-Adjusted Count 16.39

Publications (25)

Year Article Journal Tier Authors
2025 Test Assets and Weak Factors Journal of Finance A 3
2025 Four facts about ESG beliefs and investor portfolios Journal of Financial Economics A 6
2024 Equity Term Structures without Dividend Strips Data Journal of Finance A 3
2023 Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data American Economic Journal: Macroeconomics A 2
2022 The collateral rule: Evidence from the credit default swap market Journal of Monetary Economics A 4
2021 Hedging macroeconomic and financial uncertainty and volatility Journal of Financial Economics A 3
2021 Five Facts about Beliefs and Portfolios American Economic Review S 4
2021 Fundamental analysis and the cross-section of stock returns: A data-mining approach The Review of Financial Studies A 4
2021 Fat tails and the social cost of carbon The Review of Financial Studies A 6
2021 Asset Pricing with Omitted Factors Journal of Political Economy S 2
2020 Uncertainty Shocks as Second-Moment News Shocks Review of Economic Studies S 3
2020 Hedging Climate Change News The Review of Financial Studies A 5
2020 Taming the Factor Zoo: A Test of New Factors Journal of Finance A 3
2020 Reply to “Rational Bubbles in UK Housing Markets” Econometrica S 3
2018 An intertemporal CAPM with stochastic volatility Journal of Financial Economics A 4
2018 Excess Volatility: Beyond Discount Rates Quarterly Journal of Economics S 2
2017 The price of variance risk Journal of Financial Economics A 4
2016 Asset Pricing in the Frequency Domain: Theory and Empirics The Review of Financial Studies A 2
2016 Systemic risk and the macroeconomy: An empirical evaluation Journal of Financial Economics A 3
2016 No‐Bubble Condition: Model‐Free Tests in Housing Markets Econometrica S 3
2015 Editor's Choice Very Long-Run Discount Rates Quarterly Journal of Economics S 3
2014 Editor's Choice No News Is News: Do Markets Underreact to Nothing? The Review of Financial Studies A 2
2013 Hard Times Review of Asset Pricing Studies B 3
2012 Intangible capital, relative asset shortages and bubbles Journal of Monetary Economics A 2
2011 Forced Sales and House Prices American Economic Review S 3