Stefano Giglio
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Stefano Giglio & Kelly Shue, 2013.
"No News is News: Do Markets Underreact to Nothing?,"
NBER Working Papers
18914, National Bureau of Economic Research, Inc.
Mentioned in:
- Something happening in reaction to nothing
by Economic Logician in Economic Logic on 2013-04-15 19:55:00
- Something happening in reaction to nothing
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014.
"Very Long-Run Discount Rates,"
NBER Working Papers
20133, National Bureau of Economic Research, Inc.
- Matteo Maggiori & Johannes Stroebel & Stefano Giglio, 2014. "Very Long Run Discount Rates," 2014 Meeting Papers 1281, Society for Economic Dynamics.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very long-run discount rates," Globalization Institute Working Papers 182, Federal Reserve Bank of Dallas.
Mentioned in:
- How much is our distant future worth?
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2014-08-11 17:10:42 - Climate Finance
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10
- Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020.
"Hedging Climate Change News,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.
- Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel, 2019. "Hedging Climate Change News," NBER Working Papers 25734, National Bureau of Economic Research, Inc.
- Ströbel, Johannes & Engle, Robert & Giglio, Stefano & Kelly, Bryan & Lee, Heebum, 2019. "Hedging Climate Change News," CEPR Discussion Papers 13730, C.E.P.R. Discussion Papers.
- Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019. "Hedging climate change news," CESifo Working Paper Series 7655, CESifo.
Mentioned in:
- Climate Finance
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10
- Stefano Giglio & Bryan T. Kelly & Johannes Stroebel, 2020.
"Climate Finance,"
NBER Working Papers
28226, National Bureau of Economic Research, Inc.
- Stefano Giglio & Bryan Kelly & Johannes Stroebel, 2021. "Climate Finance," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 15-36, November.
- Stefano Giglio & Bryan Kelly & Johannes Stroebel, 2020. "Climate Finance," CESifo Working Paper Series 8772, CESifo.
- Ströbel, Johannes & Giglio, Stefano & Kelly, Bryan, 2020. "Climate Finance," CEPR Discussion Papers 15557, C.E.P.R. Discussion Papers.
Mentioned in:
- Climate Finance
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10
- Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo & Weber, Andreas, 2015.
"Climate Change and Long-Run Discount Rates: Evidence from Real Estate,"
CEPR Discussion Papers
10958, C.E.P.R. Discussion Papers.
- Stefano Giglio & Matteo Maggiori & Krishna Rao & Johannes Stroebel & Andreas Weber & Stijn Van Nieuwerburgh, 2021. "Climate Change and Long-Run Discount Rates: Evidence from Real Estate [Abrupt climate change]," The Review of Financial Studies, Society for Financial Studies, vol. 34(8), pages 3527-3571.
- Stefano Giglio & Matteo Maggiori & Johannes Ströbel & Andreas Weber, 2015. "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CESifo Working Paper Series 5608, CESifo.
- Matteo Maggiori & Stefano Giglio & Johannes Stroebel & Andreas Weber, 2015. "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," Working Paper 323746, Harvard University OpenScholar.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Andreas Weber, 2015. "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," NBER Working Papers 21767, National Bureau of Economic Research, Inc.
Mentioned in:
- Climate Finance
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-31 11:38:10
- Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015.
"Systemic Risk and the Macroeconomy: An Empirical Evaluation,"
NBER Working Papers
20963, National Bureau of Economic Research, Inc.
- 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.
Mentioned in:
- The mythic quest for early warnings
by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2015-04-13 17:40:01
RePEc Biblio mentions
As found on the RePEc Biblio, the curated bibliography of Economics:- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2015.
"Editor's Choice Very Long-Run Discount Rates,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(1), pages 1-53.
Mentioned in:
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020.
"Inside the Mind of a Stock Market Crash,"
CESifo Working Paper Series
8334, CESifo.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020. "Inside the Mind of a Stock Market Crash," Papers 2004.01831, arXiv.org, revised May 2020.
- Giglio, Stefano & Maggiori, Matteo & Ströbel, Johannes & Utkus, Stephen P., 2020. "Inside the Mind of a Stock Market Crash," CEPR Discussion Papers 14813, C.E.P.R. Discussion Papers.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020. "Inside the Mind of a Stock Market Crash," NBER Working Papers 27272, National Bureau of Economic Research, Inc.
Mentioned in:
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- John Y. Campbell & Stefano Giglio & Parag Pathak, 2011.
"Forced Sales and House Prices,"
American Economic Review, American Economic Association, vol. 101(5), pages 2108-2131, August.
- John Y. Campbell & Stefano Giglio & Parag Pathak, 2009. "Forced Sales and House Prices," NBER Working Papers 14866, National Bureau of Economic Research, Inc.
- Giglio, Stefano & Pathak, Parag & Campbell, John Y., 2011. "Forced Sales and House Prices," Scholarly Articles 9887623, Harvard University Department of Economics.
Mentioned in:
- Forced Sales and House Prices (AER 2011) in ReplicationWiki ()
Working papers
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Zhenhao Tan & Stephen Utkus & Xiao Xu, 2023.
"Four Facts About ESG Beliefs and Investor Portfolios,"
NBER Working Papers
31114, National Bureau of Economic Research, Inc.
Cited by:
- Campiglio, Emanuele & Lamperti, Francesco & Terranova, Roberta, 2024.
"Believe me when I say green! Heterogeneous expectations and climate policy uncertainty,"
LSE Research Online Documents on Economics
124234, London School of Economics and Political Science, LSE Library.
- Campiglio, Emanuele & Lamperti, Francesco & Terranova, Roberta, 2023. "Believe me when I say green! Heterogeneous expectations and climate policy uncertainty," LSE Research Online Documents on Economics 119257, London School of Economics and Political Science, LSE Library.
- Campiglio, Emanuele & Lamperti, Francesco & Terranova, Roberta, 2024. "Believe me when I say green! Heterogeneous expectations and climate policy uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 165(C).
- Emanuele Campiglio & Francesco Lamperti & Roberta Terranova, 2023. "Believe me when I say green! Heterogeneous expectations and climate policy uncertainty," LEM Papers Series 2023/12, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Campiglio, Emanuele & Lamperti, Francesco & Terranova, Roberta, 2023. "Believe me when I say green! Heterogeneous expectations and climate policy uncertainty," LSE Research Online Documents on Economics 119258, London School of Economics and Political Science, LSE Library.
- Cahen-Fourot, Louison & Campiglio, Emanuele & Daumas, Louis & Miess, Michael Gregor & Yardley, Andrew, 2023.
"Stranding ahoy? Heterogeneous transition beliefs and capital investment choices,"
Journal of Economic Behavior & Organization, Elsevier, vol. 216(C), pages 535-567.
- Louison Cahen-Fourot & Emanuele Campiglio & Louis Daumas & Michael Gregor Miess & Andrew Yardley, 2023. "Stranding ahoy? Heterogeneous transition beliefs and capital investment choices," Post-Print hal-04505800, HAL.
- Niels Joachim Gormsen & Kilian Huber & Sangmin Simon Oh, 2024.
"Climate Capitalists,"
NBER Working Papers
32933, National Bureau of Economic Research, Inc.
- Gormsen, Niels Joachim & Huber, Kilian & Oh, Sangmin S., 2024. "Climate capitalists," Working Paper Series 2990, European Central Bank.
- Richard Bofinger & Simon Cornée & Ariane Szafarz, 2024. "When in Rome, Do as the Romans Do: Disclosure Regulation and ESG Fund Management by Social and Conventional Banks," Working Papers CEB 24-003, ULB -- Universite Libre de Bruxelles.
- Montagnoli, Alberto & Taylor, Karl, 2024.
"Who Cares about Investing Responsibly? Attitudes and Financial Decisions,"
IZA Discussion Papers
16952, Institute of Labor Economics (IZA).
- Alberto Montagnoli & Karl Taylor, 2024. "Who Cares about Investing Responsibly? Attitudes and Financial Decisions," Working Papers 2024010, The University of Sheffield, Department of Economics.
- Bachmann, Kremena & Meyer, Julia & Krauss, Annette, 2024. "Investment motives and performance expectations of impact investors," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
- Auzepy, Alix & Bannier, Christina E. & Gärtner, Florian, 2024. "Looking beyond ESG preferences: The role of sustainable finance literacy in sustainable investing," CFS Working Paper Series 719, Center for Financial Studies (CFS).
- Giglio, Stefano & Kuchler, Theresa & Stroebel, Johannes & Zeng, Xuran, 2023. "Biodiversity Risk," SocArXiv n7pbj, Center for Open Science.
- KEIDA Masayuki & TAKEDA Yosuke, 2024. "How Loud is a Soft Voice? Effects of positive screening of ESG performance on the Japanese oil companies," Discussion papers 24002, Research Institute of Economy, Trade and Industry (RIETI).
- Benuzzi, Matteo & Klaser, Klaudijo & Bax, Karoline, 2024. "Which ESG+F dimension matters most to retail investors? An experimental study on financial decisions and future generations," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
- Campiglio, Emanuele & Lamperti, Francesco & Terranova, Roberta, 2024.
"Believe me when I say green! Heterogeneous expectations and climate policy uncertainty,"
LSE Research Online Documents on Economics
124234, London School of Economics and Political Science, LSE Library.
- John Y. Campbell & Stefano Giglio & Christopher Polk, 2023.
"What Drives Booms and Busts in Value?,"
NBER Working Papers
31859, National Bureau of Economic Research, Inc.
Cited by:
- Siddiqi, Hammad, 2022. "Asset Pricing in the Resource-Constrained Brain," MPRA Paper 120526, University Library of Munich, Germany, revised 05 Feb 2024.
- Rubio, Gonzalo & Serrano, Pedro & Vaello-Sebastià, Antoni, 2023. "The international integration of the term structure of expected market risk premia," Finance Research Letters, Elsevier, vol. 58(PD).
- Stefano Giglio & Bryan T. Kelly & Serhiy Kozak, 2023.
"Equity Term Structures without Dividend Strips Data,"
NBER Working Papers
31119, National Bureau of Economic Research, Inc.
Cited by:
- Li, Kai & Xu, Chenjie, 2024. "Intermediary-based equity term structure," Journal of Financial Economics, Elsevier, vol. 157(C).
- Georgij Alekseev & Stefano Giglio & Quinn Maingi & Julia Selgrad & Johannes Stroebel, 2022.
"A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios,"
NBER Working Papers
30703, National Bureau of Economic Research, Inc.
Cited by:
- Amine Ouazad & Matthew E. Kahn, 2023. "Mortgage Securitization Dynamics in the Aftermath of Natural Disasters: A Reply," Papers 2305.07179, arXiv.org.
- Faccini, Renato & Matin, Rastin & Skiadopoulos, George, 2023. "Dissecting climate risks: Are they reflected in stock prices?," Journal of Banking & Finance, Elsevier, vol. 155(C).
- Giglio, Stefano & Kuchler, Theresa & Stroebel, Johannes & Zeng, Xuran, 2023. "Biodiversity Risk," SocArXiv n7pbj, Center for Open Science.
- Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes & Tan, Zhenhao & Utkus, Stephen & Xu, Xiao, 2023. "Four Facts About Esg Beliefs And Investor Portfolios," SocArXiv dcb93, Center for Open Science.
- Leland Bybee, 2023. "Surveying Generative AI's Economic Expectations," Papers 2305.02823, arXiv.org, revised May 2023.
- Pierre Lavigne & Peter Tankov, 2023. "Decarbonization of financial markets: a mean-field game approach," Papers 2301.09163, arXiv.org.
- Giglio, Stefano & Dew-Becker, Ian, 2021.
"Cross-sectional uncertainty and the business cycle: evidence from 40 years of options data,"
CEPR Discussion Papers
16306, C.E.P.R. Discussion Papers.
- Ian Dew-Becker & Stefano Giglio, 2023. "Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(2), pages 65-96, April.
- Ian Dew-Becker & Stefano Giglio, 2020. "Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data," NBER Working Papers 27864, National Bureau of Economic Research, Inc.
Cited by:
- Altig, Dave & Baker, Scott & Barrero, Jose Maria & Bloom, Nicholas & Bunn, Philip & Chen, Scarlet & Davis, Steven J. & Leather, Julia & Meyer, Brent & Mihaylov, Emil & Mizen, Paul & Parker, Nicholas &, 2020.
"Economic uncertainty before and during the COVID-19 pandemic,"
Journal of Public Economics, Elsevier, vol. 191(C).
- Dave Altig & Scott Baker & Jose Maria Barrero & Nicholas Bloom & Philip Bunn & Scarlet Chen & Steven Davis & Julia Leather & Brent Meyer & Emil Mihaylov & Paul Mizen & Nicholas Parker & Thomas Renault, 2020. "Economic uncertainty before and during the COVID-19 pandemic," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03205118, HAL.
- David Altig & Scott R. Baker & Jose Maria Barrero & Nicholas Bloom & Philip Bunn & Scarlet Chen & Steven J. Davis & Julia Leather & Brent H. Meyer & Emil Mihaylov & Paul Mizen & Nicholas B. Parker & T, 2020. "Economic Uncertainty Before and During the COVID-19 Pandemic," NBER Working Papers 27418, National Bureau of Economic Research, Inc.
- Dave Altig & Scott Baker & Jose Maria Barrero & Nicholas Bloom & Philip Bunn & Scarlet Chen & Steven Davis & Julia Leather & Brent Meyer & Emil Mihaylov & Paul Mizen & Nicholas Parker & Thomas Renault, 2020. "Economic uncertainty before and during the COVID-19 pandemic," Post-Print hal-03205118, HAL.
- David E. Altig & Scott Brent Baker & Jose Maria Barrero & Nick Bloom & Philip Bunn & Scarlet Chen & Steven J. Davis & Brent Meyer & Emil Mihaylov & Paul Mizen & Nicholas B. Parker & Thomas Renault & P, 2020. "Economic Uncertainty before and during the COVID-19 Pandemic," FRB Atlanta Working Paper 2020-9, Federal Reserve Bank of Atlanta.
- Dave Altig & Scott Baker & Jose Maria Barrero & Nick Bloom & Phil Bunn & Scarlet Chen & Steven J. Davis & Brent Meyer & Emil Mihaylov & Paul Mizen & Nick Parker & Thomas Renault & Pawel Smietanka & Gr, 2020. "Economic Uncertainty Before and During the COVID-19 Pandemic," Working Papers 2020-88, Becker Friedman Institute for Research In Economics.
- Altig, Dave & Baker, Scott & Barrero, Jose Maria & Bloom, Nick & Bunn, Philip & Chen, Scarlet & Davis, Steven J & Leather, Julia & Meyer, Brent & Mihaylov, Emil & Mizen, Paul & Parker, Nick & Renault,, 2020. "Economic uncertainty before and during the Covid-19 pandemic," Bank of England working papers 876, Bank of England.
- Dave Altig & Scott Baker & Jose Maria Barrero & Nick Bloom & Phil Bunn & Scarlet Chen & Steven J Davis & Julia Leather & Brent Meyer & Emil Mihaylov & Paul Mizen & Nick Parker & Thomas Renault & Pawel, 2020. "Economic uncertainty before and during the COVID-19 pandemic," Discussion Papers 2020/07, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Lu, Fei & Ma, Feng, 2023. "Cross-sectional uncertainty and stock market volatility: New evidence," Finance Research Letters, Elsevier, vol. 57(C).
- Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
- Ian Dew-Becker, 2022.
"Real-Time Forward-Looking Skewness over the Business Cycle,"
NBER Working Papers
30478, National Bureau of Economic Research, Inc.
- Ian Dew-Becker, 2024. "Real-time forward-looking skewness over the business cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 54, October.
- Gondhi, Naveen, 2023. "Rational inattention, misallocation, and the aggregate economy," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 50-75.
- Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
- Neuhierl, Andreas & Tang, Xiaoxiao & Varneskov, Rasmus Tangsgaard & Zhou, Guofu, 2022. "Option characteristics as cross-sectional predictors," LawFin Working Paper Series 37, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
- Herskovic, Bernard & Kind, Thilo & Kung, Howard, 2023. "Micro uncertainty and asset prices," Journal of Financial Economics, Elsevier, vol. 149(1), pages 27-51.
- Lakdawala, Aeimit & Moreland, Timothy, 2023. "The effect of monetary policy on firm-level uncertainty," Economics Letters, Elsevier, vol. 232(C).
- Jiang, Fuwei & Liu, Hongkui & Yu, Jiasheng & Zhang, Huajing, 2023. "International stock return predictability: The role of U.S. uncertainty spillover," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.
- Zhen Yu & Yuankun Li & Jing Zhao, 2023. "Epidemic outbreak and foreign direct investment fluctuation," The World Economy, Wiley Blackwell, vol. 46(4), pages 1051-1081, April.
- Giglio, Stefano & Xiu, Dacheng & Zhang, Dake, 2021.
"Test Assets and Weak Factors,"
CEPR Discussion Papers
16307, C.E.P.R. Discussion Papers.
- Stefano Giglio & Dacheng Xiu & Dake Zhang, 2021. "Test Assets and Weak Factors," NBER Working Papers 29002, National Bureau of Economic Research, Inc.
Cited by:
- Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023.
"Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models,"
Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
- Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2020. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 118924, London School of Economics and Political Science, LSE Library.
- Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024. "When can weak latent factors be statistically inferred?," Papers 2407.03616, arXiv.org, revised Sep 2024.
- Tédongap, Roméo & Tinang, Jules, 2024. "International asset pricing with heterogeneous agents: Estimation and inference," Journal of Empirical Finance, Elsevier, vol. 75(C).
- Jungjun Choi & Ming Yuan, 2024. "High Dimensional Factor Analysis with Weak Factors," Papers 2402.05789, arXiv.org.
- Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
- Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Nov 2024.
- Cisil Sarisoy & Bas J.M. Werker, 2024. "Linear Factor Models and the Estimation of Expected Returns," Finance and Economics Discussion Series 2024-014, Board of Governors of the Federal Reserve System (U.S.).
- Croce, Mariano M. & Marchuk, Tatyana & Schlag, Christian, 2022. "The leading premium," SAFE Working Paper Series 371, Leibniz Institute for Financial Research SAFE.
- Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
- Giglio, Stefano & Dew-Becker, Ian & Kelly, Bryan, 2020.
"Hedging macroeconomic and financial uncertainty and volatility,"
CEPR Discussion Papers
15239, C.E.P.R. Discussion Papers.
- Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2021. "Hedging macroeconomic and financial uncertainty and volatility," Journal of Financial Economics, Elsevier, vol. 142(1), pages 23-45.
- Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019. "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers 26323, National Bureau of Economic Research, Inc.
Cited by:
- Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
- Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
- Nicolas Himounet, 2021.
"Searching for the Nature of Uncertainty: Macroeconomic VS Financial,"
Working Papers
2021.05, International Network for Economic Research - INFER.
- Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
- Tengfei Zhang, 2020. "Manager Uncertainty and Cross-Sectional Stock Returns," 2020 Papers pzh934, Job Market Papers.
- Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
- Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
- Li, Kaifeng & Xia, Bobo & Guo, Zhaoxuan, 2021. "A consumption-based asset pricing model with disappointment aversion and uncertainty shocks," Economic Modelling, Elsevier, vol. 94(C), pages 235-243.
- Gao, Xin & Li, Bingxin & Liu, Rui, 2023. "The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
- Olkhov, Victor, 2022. "Economic Policy - the Forth Dimension of the Economic Theory," MPRA Paper 112685, University Library of Munich, Germany.
- Helmut Herwartz & Alexander Lange, 2024. "How certain are we about the role of uncertainty in the economy?," Economic Inquiry, Western Economic Association International, vol. 62(1), pages 126-149, January.
- Matthias Buechner & Bryan T. Kelly, 2021. "A Factor Model For Option Returns," NBER Working Papers 29369, National Bureau of Economic Research, Inc.
- Jacobs, Kris & Li, Bingxin, 2023. "Option Returns, Risk Premiums, and Demand Pressure in Energy Markets," Journal of Banking & Finance, Elsevier, vol. 146(C).
- Giovanni Campisi & Silvia Muzzioli, 2021. "Designing volatility indices for Austria, Finland and Spain," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 369-455, September.
- Yang, Jie & Feng, Yun, 2023. "Market inefficiency spillover network across different regimes," Finance Research Letters, Elsevier, vol. 58(PC).
- Borup, Daniel & Schütte, Erik Christian Montes, 2022. "Asset pricing with data revisions," Journal of Financial Markets, Elsevier, vol. 59(PB).
- Cao, Charles & Simin, Timothy & Xiao, Han, 2020. "Predicting the equity premium with the implied volatility spread," Journal of Financial Markets, Elsevier, vol. 51(C).
- Cao, Charles & Simin, Timothy & Xiao, Han, 2019. "Predicting the equity premium with the implied volatility spread," MPRA Paper 103651, University Library of Munich, Germany.
- Liu, Jiatong & Mao, Weifang & Qiao, Xingzhi, 2023. "Dynamic and asymmetric effects between carbon emission trading, financial uncertainties, and Chinese industry stocks: Evidence from quantile-on-quantile and causality-in-quantiles analysis," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
- Büchner, Matthias & Kelly, Bryan, 2022. "A factor model for option returns," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1140-1161.
- Wen, Jun & Zhao, Xinxin & Fu, Qiang & Chang, Chun-Ping, 2023. "The impact of financial risk on green innovation: Global evidence," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
CEPR Discussion Papers
14266, C.E.P.R. Discussion Papers.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
Cited by:
- Wolfgang Breuer & Jannis Bischof & Christian Hofmann & Jochen Hundsdoerfer & Hans-Ulrich Küpper & Marko Sarstedt & Philipp Schreck & Tim Weitzel & Peter Witt, 2023. "Recent developments in Business Economics," Journal of Business Economics, Springer, vol. 93(6), pages 989-1013, August.
- Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
- Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
- Chiah, Mardy & Long, Huaigang & Zaremba, Adam & Umar, Zaghum, 2023. "Trade competitiveness and the aggregate returns in global stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 148(C).
- Cujean, Julien & Andrei, Daniel & Fournier, Mathieu, 2019. "The Low-Minus-High Portfolio and the Factor Zoo," CEPR Discussion Papers 14153, C.E.P.R. Discussion Papers.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2021.
"Measurement of factor strength: Theory and practice,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 587-613, August.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strenght: Theory and Practice," CESifo Working Paper Series 8146, CESifo.
- Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2020. "Measurement of Factor Strength: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 7/20, Monash University, Department of Econometrics and Business Statistics.
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2024.
"High-Dimensional Granger Causality Tests with an Application to VIX and News,"
Journal of Financial Econometrics, Oxford University Press, vol. 22(3), pages 605-635.
- Andrii Babii & Eric Ghysels & Jonas Striaukas, 2019. "High-Dimensional Granger Causality Tests with an Application to VIX and News," Papers 1912.06307, arXiv.org, revised Feb 2021.
- Liu, Yanbo & Phillips, Peter C. B. & Yu, Jun, 2022.
"A Panel Clustering Approach to Analyzing Bubble Behavior,"
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- Szczygielski, Jan Jakub & Charteris, Ailie & Bwanya, Princess Rutendo & Brzeszczyński, Janusz, 2023. "Which COVID-19 information really impacts stock markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
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- Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
- Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
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- Xialu Liu & John Guerard & Rong Chen & Ruey Tsay, 2024. "Improving Estimation of Portfolio Risk Using New Statistical Factors," Papers 2409.17182, arXiv.org.
- Andrew Y. Chen, 2021. "The Limits of p‐Hacking: Some Thought Experiments," Journal of Finance, American Finance Association, vol. 76(5), pages 2447-2480, October.
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- Kazuki Amagai & Tomoya Suzuki, 2023. "Long-Term Modeling of Financial Machine Learning for Active Portfolio Management," Papers 2301.12346, arXiv.org.
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- Hai Lin & Pengfei Liu & Cheng Zhang, 2023. "The trend premium around the world: Evidence from the stock market," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 317-358, June.
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- Ai He & Guofu Zhou, 2023. "Diagnostics for asset pricing models," Financial Management, Financial Management Association International, vol. 52(4), pages 617-642, December.
- Fernando Moraes & Rodrigo De-Losso, 2020. "Risk Factor Centrality and the Cross-Section of Expected Returns," Working Papers, Department of Economics 2020_17, University of São Paulo (FEA-USP).
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- Akbari, Amir & Ng, Lilian & Solnik, Bruno, 2021. "Drivers of economic and financial integration: A machine learning approach," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 82-102.
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- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020.
"Inside the Mind of a Stock Market Crash,"
Papers
2004.01831, arXiv.org, revised May 2020.
- Giglio, Stefano & Maggiori, Matteo & Ströbel, Johannes & Utkus, Stephen P., 2020. "Inside the Mind of a Stock Market Crash," CEPR Discussion Papers 14813, C.E.P.R. Discussion Papers.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020. "Inside the Mind of a Stock Market Crash," CESifo Working Paper Series 8334, CESifo.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2020. "Inside the Mind of a Stock Market Crash," NBER Working Papers 27272, National Bureau of Economic Research, Inc.
Cited by:
- Saito, Yuta & Sakamoto, Jun, 2021. "Asset pricing during pandemic lockdown," Research in International Business and Finance, Elsevier, vol. 58(C).
- Pagano, Michael S. & Sedunov, John & Velthuis, Raisa, 2021. "How did retail investors respond to the COVID-19 pandemic? The effect of Robinhood brokerage customers on market quality," Finance Research Letters, Elsevier, vol. 43(C).
- Francke, Marc & Korevaar, Matthijs, 2021. "Housing markets in a pandemic: Evidence from historical outbreaks," Journal of Urban Economics, Elsevier, vol. 123(C).
- Davide Bazzana & Michele Colturato & Roberto Savona, 2021. "Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19," Working Papers 2021.26, Fondazione Eni Enrico Mattei.
- Anna Cororaton & Samuel Rosen, 2021. "Public Firm Borrowers of the U.S. Paycheck Protection Program [The risk of being a fallen angel and the corporate dash for cash in the midst of COVID]," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 10(4), pages 641-693.
- Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano & Wagner, Alexander F., 2022. "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers 15070, C.E.P.R. Discussion Papers.
- Georgij Alekseev & Safaa Amer & Manasa Gopal & Theresa Kuchler & J. W. Schneider & Johannes Stroebel & Nils Wernerfelt, 2023. "The Effects of COVID-19 on U.S. Small Businesses: Evidence from Owners, Managers, and Employees," Management Science, INFORMS, vol. 69(1), pages 7-24, January.
- Daniel Buncic, 2020.
"Econometric issues with Laubach and Williams' estimates of the natural rate of interest,"
Papers
2002.11583, arXiv.org, revised Aug 2020.
- Buncic, Daniel, 2020. "Econometric issues with Laubach and Williams’ estimates of the natural rate of interest," Working Paper Series 397, Sveriges Riksbank (Central Bank of Sweden).
- Arteaga-Garavito, Maria Jose & Croce, Mariano M. & Farroni, Paolo & Wolfskeil, Isabella, 2024. "When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion," Journal of Financial Economics, Elsevier, vol. 157(C).
- Coskun, Yener & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOIuwa S., 2021. "Stock Market Responses to COVID-19: Mean Reversion, Dependence and Persistence Behaviours," MPRA Paper 109827, University Library of Munich, Germany.
- Zhifeng Liu & Toan Luu Duc Huynh & Peng-Fei Dai, 2020. "The impact of COVID-19 on the stock market crash risk in China," Papers 2009.08030, arXiv.org, revised Aug 2021.
- Liu, Zhifeng & Huynh, Toan Luu Duc & Dai, Peng-Fei, 2021. "The impact of COVID-19 on the stock market crash risk in China," Research in International Business and Finance, Elsevier, vol. 57(C).
- Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes & Tan, Zhenhao & Utkus, Stephen & Xu, Xiao, 2023. "Four Facts About Esg Beliefs And Investor Portfolios," SocArXiv dcb93, Center for Open Science.
- Bazzana, Davide & Colturato, Michele & Savona, Roberto, 2021. "Learning about Unprecedented Events: Agent-Based Modelling and the Stock Market Impact of COVID-19," FEEM Working Papers 314928, Fondazione Eni Enrico Mattei (FEEM).
- Hasan Fallahgoul, 2020. "Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data," Papers 2004.11686, arXiv.org, revised May 2020.
- Lukas Buchheim & Carla Krolage & Sebastian Link, 2020.
"Sudden Stop: When Did Firms Anticipate the Potential Consequences of Covid-19?,"
CESifo Working Paper Series
8429, CESifo.
- Buchheim, Lukas & Krolage, Carla & Link, Sebastian, 2020. "Sudden Stop: When Did Firms Anticipate the Potential Consequences of COVID-19?," IZA Discussion Papers 13457, Institute of Labor Economics (IZA).
- Buchheim Lukas & Krolage Carla & Link Sebastian, 2022. "Sudden stop: When did firms anticipate the potential consequences of COVID-19?," German Economic Review, De Gruyter, vol. 23(1), pages 79-119, February.
- Harrison Hong & Jeffrey D. Kubik & Neng Wang & Xiao Xu & Jinqiang Yang, 2020. "Pandemics, Vaccines and an Earnings Damage Function," NBER Working Papers 27829, National Bureau of Economic Research, Inc.
- Toufique, M. M. K., 2020. "Why do some countries have more COVID-19 cases than others? Evidence from 70 most affected countries sans China," EconStor Preprints 222456, ZBW - Leibniz Information Centre for Economics.
- Hetzel, Robert, 2020. "COVID-19 and the Fed’s Credit Policy," Working Papers 10689, George Mason University, Mercatus Center.
- Croce, Mariano & Farroni, Paolo & Wolfskeil, Isabella, 2020. "When the Markets Get COVID: COntagion, Viruses, and Information Diffusion," CEPR Discussion Papers 14674, C.E.P.R. Discussion Papers.
- Bu, Di & Hanspal, Tobin & Liao, Yin & Liu, Yong, 2021. "Risk taking, preferences, and beliefs: Evidence from Wuhan," SAFE Working Paper Series 301, Leibniz Institute for Financial Research SAFE.
- Jinyong Kim & Yongsik Kim, 2022. "Market‐wide shocks and the predictive power for the real economy in the Korean stock market," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 380-399, October.
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- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019.
"Five facts about beliefs and portfolios,"
CESifo Working Paper Series
7666, CESifo.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2021. "Five Facts about Beliefs and Portfolios," American Economic Review, American Economic Association, vol. 111(5), pages 1481-1522, May.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five Facts about Beliefs and Portfolios," NBER Working Papers 25744, National Bureau of Economic Research, Inc.
- Maggiori, Matteo & Ströbel, Johannes & Giglio, Stefano & Utkus, Stephen P., 2019. "Five Facts About Beliefs and Portfolios," CEPR Discussion Papers 13657, C.E.P.R. Discussion Papers.
Cited by:
- Carlos Alós-Ferrer & Michele Garagnani, 2022. "Who likes it more? Using response times to elicit group preferences in surveys," ECON - Working Papers 422, Department of Economics - University of Zurich.
- Theresa Kuchler & Monika Piazzesi & Johannes Stroebel, 2022.
"Housing Market Expectations,"
NBER Working Papers
29909, National Bureau of Economic Research, Inc.
- Kuchler, Theresa & Piazzesi, Monika & Ströbel, Johannes, 2022. "Housing Market Expectations," CEPR Discussion Papers 17158, C.E.P.R. Discussion Papers.
- Theresa Kuchler & Monika Piazzesi & Johannes Stroebel, 2022. "Housing Market Expectations," CESifo Working Paper Series 9665, CESifo.
- Hong, Claire Yurong & Lu, Xiaomeng & Pan, Jun, 2021. "FinTech adoption and household risk-taking," BOFIT Discussion Papers 14/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
- Xing Guo & Pablo Ottonello & Diego J. Perez, 2023.
"Monetary Policy and Redistribution in Open Economies,"
Journal of Political Economy Macroeconomics, University of Chicago Press, vol. 1(1), pages 191-241.
- Xing Guo & Pablo Ottonello & Diego J. Perez, 2020. "Monetary Policy and Redistribution in Open Economies," NBER Working Papers 28213, National Bureau of Economic Research, Inc.
- Xing Guo & Pablo Ottonello & Diego Perez, 2022. "Monetary Policy and Redistribution in Open Economies," Staff Working Papers 22-6, Bank of Canada.
- Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
- Francesco Capozza & Ingar Haaland & Christopher Roth & Johannes Wohlfart, 2021.
"Studying Information Acquisition in the Field: A Practical Guide and Review,"
ECONtribute Discussion Papers Series
124, University of Bonn and University of Cologne, Germany.
- Francesco Capozza & Ingar Haaland & Christopher Roth & Johannes Wohlfart, 2021. "Studying Information Acquisition in the Field: A Practical Guide and Review," CEBI working paper series 21-15, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
- Arnold, Marc & Pelster, Matthias & Subrahmanyam, Marti G., 2022. "Attention triggers and investors’ risk-taking," Journal of Financial Economics, Elsevier, vol. 143(2), pages 846-875.
- Weber, Michael & D'Acunto, Francesco & Fuster, Andreas, 2021.
"Diverse Policy Committees Can Reach Underrepresented Groups,"
CEPR Discussion Papers
16563, C.E.P.R. Discussion Papers.
- D'Acunto, Francesco & Fuster, Andreas & Weber, Michael, 2021. "Diverse Policy Committees Can Reach Underrepresented Groups," LawFin Working Paper Series 21, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
- Francesco D’Acunto & Andreas Fuster & Michael Weber, 2021. "Diverse Policy Committees Can Reach Underrepresented Groups," NBER Working Papers 29275, National Bureau of Economic Research, Inc.
- Tilman H. Drerup & Matthias Wibral & Christian Zimpelmann, 2022.
"Skewness Expectations and Portfolio Choice,"
CRC TR 224 Discussion Paper Series
crctr224_2022_333, University of Bonn and University of Mannheim, Germany.
- Tilman H. Drerup & Matthias Wibral & Christian Zimpelmann, 2023. "Skewness expectations and portfolio choice," Experimental Economics, Springer;Economic Science Association, vol. 26(1), pages 107-144, March.
- Drerup, Tilman & Wibral, Matthias & Zimpelmann, Christian, 2022. "Skewness Expectations and Portfolio Choice," IZA Discussion Papers 15018, Institute of Labor Economics (IZA).
- Michael Haliassos & Hector F. CALVO PARDO & Chryssi Giannitsarou & Luc Arrondel, 2016.
"Informative Social Interactions,"
2016 Meeting Papers
636, Society for Economic Dynamics.
- Arrondel, Luc & Calvo-Pardo, Hector & Giannitsarou, Chryssi & Haliassos, Michael, 2019. "Informative social interactions," IMFS Working Paper Series 136, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Arrondel, Luc & Calvo-Pardo, Hector & Giannitsarou, Chryssi & Haliassos, Michael, 2022. "Informative social interactions," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 246-263.
- Arrondel, L. & Calvo-Pardo, H. & Giannitsarou, C. & Haliassos, M., 2019. "Informative Social Interactions," Cambridge Working Papers in Economics 1911, Faculty of Economics, University of Cambridge.
- Arrondel, Luc & Calvo Pardo, Héctor & Giannitsarou, Chryssi & Haliassos, Michael, 2022. "Informative Social Interactions," CEPR Discussion Papers 14840, C.E.P.R. Discussion Papers.
- Jūra Liaukonytė & Alminas Žaldokas, 2022. "Background Noise? TV Advertising Affects Real-Time Investor Behavior," Management Science, INFORMS, vol. 68(4), pages 2465-2484, April.
- Zheng Liu & Pengfei Wang & Tao Zha, 2019.
"A Theory of Housing Demand Shocks,"
FRB Atlanta Working Paper
2019-4, Federal Reserve Bank of Atlanta.
- Zheng Liu & Pengfei Wang & Tao Zha, 2019. "A Theory of Housing Demand Shocks," 2019 Meeting Papers 78, Society for Economic Dynamics.
- Zheng Liu & Pengfei Wang & Tao Zha, 2019. "A Theory of Housing Demand Shocks," NBER Working Papers 25667, National Bureau of Economic Research, Inc.
- Ding Dong & Zheng Liu & Pengfei Wang & Tao Zha, 2022. "A Theory of Housing Demand Shocks," Working Paper Series 2019-9, Federal Reserve Bank of San Francisco.
- Dong, Ding & Liu, Zheng & Wang, Pengfei & Zha, Tao, 2022. "A theory of housing demand shocks," Journal of Economic Theory, Elsevier, vol. 203(C).
- Buchanan, Bonnie & Silvola, Hanna & Vähämaa, Emilia, 2023. "Sustainability and private investors," Bank of Finland Research Discussion Papers 14/2023, Bank of Finland.
- Fos, Vyacheslav & Kempf, Elisabeth & Tsoutsoura, Margarita, 2022.
"The Political Polarization of Corporate America,"
CEPR Discussion Papers
17402, C.E.P.R. Discussion Papers.
- Fos, Vyacheslav & Kempf, Elisabeth & Tsoutsoura, Margarita, 2021. "The Political Polarization of Corporate America," Working Papers 313, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Vyacheslav Fos & Elisabeth Kempf & Margarita Tsoutsoura, 2022. "The Political Polarization of Corporate America," NBER Working Papers 30183, National Bureau of Economic Research, Inc.
- Muñoz, Manuel A. & Soons, Oscar, 2023. "Public money as a store of value, heterogeneous beliefs, and banks: implications of CBDC," Working Paper Series 2801, European Central Bank.
- Philippe Bacchetta & Margaret Davenport & Eric van Wincoop, 2021.
"Can Sticky Portfolios Explain International Capital Flows and Asset Prices?,"
Swiss Finance Institute Research Paper Series
21-80, Swiss Finance Institute.
- Bacchetta, Philippe & Davenport, Margaret & van Wincoop, Eric, 2022. "Can sticky portfolios explain international capital flows and asset prices?," Journal of International Economics, Elsevier, vol. 136(C).
- Bacchetta, Philippe & Davenport, Margaret & van Wincoop, Eric, 2021. "Can Sticky Portfolios Explain International Capital Flows and Asset Prices?," CEPR Discussion Papers 16772, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Margaret Davenport & Eric van Wincoop, 2021. "Can Sticky Portfolios Explain International Capital Flows and Asset Prices?," NBER Chapters, in: NBER International Seminar on Macroeconomics 2021, National Bureau of Economic Research, Inc.
- Despina Gavresi & Anastasia Litina & Christos A. Makridis, 2021.
"Split Personalities? Behavioral Effects of Temperature on Financial Decision-making,"
Discussion Paper Series
2021_16, Department of Economics, University of Macedonia, revised Nov 2021.
- Despina Gavresi & Anastasia Litina & Christos A. Makridis, 2024. "Split personalities? Behavioral effects of temperature on financial decision‐making," Kyklos, Wiley Blackwell, vol. 77(3), pages 664-689, August.
- Anders Anderson & David T Robinson, 2022. "Financial Literacy in the Age of Green Investment [Evaluating behaviorally motivated policy: experimental evidence from the lightbulb market]," Review of Finance, European Finance Association, vol. 26(6), pages 1551-1584.
- Jessica A. Wachter, 2020. "Comment on "Imperfect Expectations: Theory and Evidence"," NBER Chapters, in: NBER Macroeconomics Annual 2020, volume 35, pages 87-98, National Bureau of Economic Research, Inc.
- Beutel, Johannes & Metiu, Norbert & Stockerl, Valentin, 2021.
"Toothless tiger with claws? Financial stability communication, expectations, and risk-taking,"
Discussion Papers
05/2021, Deutsche Bundesbank.
- Beutel, Johannes & Metiu, Norbert & Stockerl, Valentin, 2021. "Toothless tiger with claws? Financial stability communication, expectations, and risk-taking," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 53-69.
- Bacchetta, Philippe & van Wincoop, Eric, 2021.
"Puzzling exchange rate dynamics and delayed portfolio adjustment,"
Journal of International Economics, Elsevier, vol. 131(C).
- Bacchetta, Philippe & van Wincoop, Eric, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," CEPR Discussion Papers 13839, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Eric van Wincoop, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," Swiss Finance Institute Research Paper Series 19-35, Swiss Finance Institute.
- Philippe Bacchetta & Eric van Wincoop, 2019. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," NBER Working Papers 26259, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop, 2018. "Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment," 2018 Meeting Papers 675, Society for Economic Dynamics.
- Sofía Gallardo & Carlos Madeira, 2022.
"The role of financial surveys for economic research and policy making in emerging markets,"
Working Papers Central Bank of Chile
948, Central Bank of Chile.
- Sof'a Gallardo & Carlos Madeira, 2022. "The role of financial surveys for economic research and policy making in emerging markets," Chapters, in: Duc K. Nguyen (ed.), Handbook of Banking and Finance in Emerging Markets, chapter 36, pages 676-686, Edward Elgar Publishing.
- John R. Graham, 2022. "Presidential Address: Corporate Finance and Reality," Journal of Finance, American Finance Association, vol. 77(4), pages 1975-2049, August.
- Kontoghiorghes, Alex, 2022. "Do personal taxes affect investment decisions and stock returns?," Bank of England working papers 988, Bank of England.
- Enke, Benjamin & Schwerter, Frederik & Zimmermann, Florian, 2024. "Associative memory, beliefs and market interactions," Journal of Financial Economics, Elsevier, vol. 157(C).
- Peter Andre & Ingar Haaland & Christopher Roth & Johannes Wohlfart, 2021.
"Narratives about the Macroeconomy,"
CEBI working paper series
21-18, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
- Peter Andre & Ingar Haaland & Christopher Roth & Johannes Wohlfart & Ingar K. Haaland, 2023. "Narratives about the Macroeconomy," CESifo Working Paper Series 10535, CESifo.
- Peter Andre & Ingar Haaland & Christopher Roth & Johannes Wohlfart, 2022. "Narratives about the Macroeconomy," CRC TR 224 Discussion Paper Series crctr224_2022_350, University of Bonn and University of Mannheim, Germany.
- Andre, Peter & Haaland, Ingar & Roth, Christopher & Wiederholt, Mirko & Wohlfart, Johannes, 2024. "Narratives about the macroeconomy," SAFE Working Paper Series 426, Leibniz Institute for Financial Research SAFE.
- Peter Andre & Ingar Haaland & Christopher Roth & Mirko Wiederholt & Johannes Wohlfart, 2021. "Narratives about the Macroeconomy," ECONtribute Discussion Papers Series 127, University of Bonn and University of Cologne, Germany.
- Andre, Peter & Haaland, Ingar & Roth, Christopher & Wohlfart, Johannes, 2022. "Narratives about the Macroeconomy," CEPR Discussion Papers 17305, C.E.P.R. Discussion Papers.
- Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2022. "Taming the bias zoo," Journal of Financial Economics, Elsevier, vol. 143(2), pages 716-741.
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"Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?,"
2019 Meeting Papers
641, Society for Economic Dynamics.
- Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2018. "Do survey expectations of stock returns reflect risk-adjustments?," CFS Working Paper Series 600, Center for Financial Studies (CFS).
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2019. "Do Survey Expectations of Stock Returns Reflect Risk Adjustments?," Staff Working Papers 19-11, Bank of Canada.
- Adam, Klaus & Nagel, Stefan & Matveev, Dmitry, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers 13213, C.E.P.R. Discussion Papers.
- Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2021. "Do survey expectations of stock returns reflect risk adjustments?," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 723-740.
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo.
- Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
- ÅžimÅŸek, Alp & Caballero, Ricardo, 2019.
"A Risk-centric Model of Demand Recessions and Speculation,"
CEPR Discussion Papers
13815, C.E.P.R. Discussion Papers.
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- Link, Sebastian & Peichl, Andreas & Roth, Christopher & Wohlfart, Johannes, 2021.
"Information Frictions among Firms and Households,"
The Warwick Economics Research Paper Series (TWERPS)
1341, University of Warwick, Department of Economics.
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- Sebastian Link & Andreas Peichl & Christopher Roth & Johannes Wohlfart, 2022. "Information Frictions among Firms and Households," ECONtribute Discussion Papers Series 140, University of Bonn and University of Cologne, Germany.
- Sebastian Link & Andreas Peichl & Christopher Roth & Johannes Wohlfart, 2021. "Information Frictions among Firms and Households," CEBI working paper series 21-07, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
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- Sebastian Link & Andreas Peichl & Christopher Roth & Johannes Wohlfart, 2021. "Information Frictions among Firms and Households," CESifo Working Paper Series 8969, CESifo.
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"How ETFs amplify the global financial cycle in emerging markets,"
Working Papers
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- Nathan Converse & Eduardo Levy-Yeyati & Tomas Williams, 2018. "How ETFs Amplify the Global Financial Cycle in Emerging Markets," Documentos de Trabajo 16200, The Latin American and Caribbean Economic Association (LACEA).
- Eduardo Levy Yeyati, 2019. "How ETFs Amplify the Global Financial Cycle in Emerging Markets," CID Working Papers 351, Center for International Development at Harvard University.
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"Expectations with Endogenous Information Acquisition: An Experimental Investigation,"
Post-Print
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"The Cost of the COVID-19 Crisis: Lockdowns, Macroeconomic Expectations, and Consumer Spending,"
IZA Discussion Papers
13224, Institute of Labor Economics (IZA).
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"The dynamics of households' stock market beliefs,"
CESifo Working Paper Series
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"Inside the Mind of a Stock Market Crash,"
NBER Working Papers
27272, National Bureau of Economic Research, Inc.
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- Sarah Kiesl-Reiter & Melanie Lührmann & Jonathan Shaw & Joachim Winter, 2024. "The Formation of Subjective House Price Expectations," Rationality and Competition Discussion Paper Series 491, CRC TRR 190 Rationality and Competition.
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"Inflation and Trading,"
NBER Working Papers
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"Quantifying the Impact of Red Tape on Investment: A Survey Data Approach,"
CESifo Working Paper Series
10447, CESifo.
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"Belief Disagreement and Portfolio Choice,"
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"Millionaires Speak: What Drives Their Personal Investment Decisions?,"
NBER Working Papers
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"Machine-learning the skill of mutual fund managers,"
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"Forced retirement risk and portfolio choice,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 293-315.
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"The micro and macro of managerial beliefs,"
Journal of Financial Economics, Elsevier, vol. 143(2), pages 640-667.
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"Subjective Models of the Macroeconomy: Evidence From Experts and Representative Samples,"
ECONtribute Discussion Papers Series
119, University of Bonn and University of Cologne, Germany.
- Peter Andrebriq & Carlo Pizzinelli & Christopher Roth & Johannes Wohlfart, 2022. "Subjective Models of the Macroeconomy: Evidence From Experts and Representative Samples," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(6), pages 2958-2991.
- Andre, Peter & Pizzinelli, Carlo & Roth, Christopher & Wohlfart, Johannes, 2021. "Subjective Models of the Macroeconomy : Evidence from Experts and a Representative Sample," The Warwick Economics Research Paper Series (TWERPS) 1342, University of Warwick, Department of Economics.
- Peter Andre & Carlo Pizzinelli & Christopher Roth & Johannes Wohlfart, 2019. "Subjective Models of the Macroeconomy: Evidence from Experts and Representative Samples," CESifo Working Paper Series 7850, CESifo.
- Peter Andre & Carlo Pizzinelli & Christopher Roth & Johannes Wohlfart, 2019. "Subjective Models Of The Macroeconomy: Evidence From Experts And A Representative Sample," CEBI working paper series 19-11, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
- Scott R. Baker & Robert A Farrokhnia & Steffen Meyer & Michaela Pagel & Constantine Yannelis, 2023.
"Income, Liquidity, and the Consumption Response to the 2020 Economic Stimulus Payments,"
Review of Finance, European Finance Association, vol. 27(6), pages 2271-2304.
- Scott R. Baker & R. A. Farrokhnia & Steffen Meyer & Michaela Pagel & Constantine Yannelis, 2020. "Income, Liquidity, and the Consumption Response to the 2020 Economic Stimulus Payments," NBER Working Papers 27097, National Bureau of Economic Research, Inc.
- Scott R. Baker & R.A. Farrokhnia, 2020. "Income, Liquidity, and the Consumption Response to the 2020 Economic Stimulus Payments," Working Papers 2020-55, Becker Friedman Institute for Research In Economics.
- Goldfayn-Frank, Olga & Wohlfart, Johannes, 2020. "Expectation formation in a new environment: Evidence from the German reunification," Journal of Monetary Economics, Elsevier, vol. 115(C), pages 301-320.
- Petkova, Ralitsa, 2023. "Extrapolative beliefs about Bitcoin returns," Finance Research Letters, Elsevier, vol. 56(C).
- Dmitri V. Vinogradov & Michael J. Lamla & Yousef Makhlouf, 2024. "Survey-based expectations and uncertainty attitudes," Working Papers 2024_02, Business School - Economics, University of Glasgow.
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- Kiesl-Reiter, Sarah, 2024. "Subjective Expectations about Joint Return Distributions," VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges 302423, Verein für Socialpolitik / German Economic Association.
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"Monetary policy expectation errors,"
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"Exposure to Daily Price Changes and Inflation Expectations,"
CESifo Working Paper Series
7798, CESifo.
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"Inflationary household uncertainty shocks,"
Bank of Finland Research Discussion Papers
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"Hedging climate change news,"
CESifo Working Paper Series
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- Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020. "Hedging Climate Change News," The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.
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Cited by:
- Afees A. Salisu & Ahamuefula E. Ogbonna & Elie Bouri & Rangan Gupta, 2024. "Climate Risks and Prediction of Sectoral REITs Volatility: International Evidence," Working Papers 202434, University of Pretoria, Department of Economics.
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- Davide Radi & Frank Westerhoff, 2024. "The green transition of firms: The role of evolutionary competition, adjustment costs, transition risk, and green technology progress," Papers 2410.20379, arXiv.org.
- Leland Bybee & Bryan T. Kelly & Asaf Manela & Dacheng Xiu, 2020. "The Structure of Economic News," NBER Working Papers 26648, National Bureau of Economic Research, Inc.
- Gianluca De Nard & Robert F. Engle & Bryan Kelly, 2023.
"Factor mimicking portfolios for climate risk,"
ECON - Working Papers
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"The Anatomy of Cyber Risk,"
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"Believe me when I say green! Heterogeneous expectations and climate policy uncertainty,"
LSE Research Online Documents on Economics
124234, London School of Economics and Political Science, LSE Library.
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- Campiglio, Emanuele & Lamperti, Francesco & Terranova, Roberta, 2023. "Believe me when I say green! Heterogeneous expectations and climate policy uncertainty," LSE Research Online Documents on Economics 119258, London School of Economics and Political Science, LSE Library.
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"The Finance Uncertainty Multiplier,"
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"The Finance Uncertainty Multiplier,"
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"Term structures of asset prices and returns,"
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"Pockets of Predictability,"
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Cited by:
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"An intertemporal CAPM with stochastic volatility,"
Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
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"Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets,"
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780, Queen Mary University of London, School of Economics and Finance.
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25817, National Bureau of Economic Research, Inc.
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"Uncertainty Shocks as Second-Moment News Shocks,"
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"The Term Structure of Equity Risk Premia,"
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"Term structures of asset prices and returns,"
Staff Reports
774, Federal Reserve Bank of New York.
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"What Is Certain about Uncertainty?,"
Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
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"The Law of One Price in Equity Volatility Markets,"
Liberty Street Economics
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Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
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"Global Variance Term Premia and Intermediary Risk Appetite,"
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"The Term Structure of the Price of Variance Risk,"
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"Excess Volatility: Beyond Discount Rates,"
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"Hedging Macroeconomic and Financial Uncertainty and Volatility,"
NBER Working Papers
26323, National Bureau of Economic Research, Inc.
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"The Term Structure of Systematic and Idiosyncratic Risk,"
Hannover Economic Papers (HEP)
dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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"The term structure of returns: Facts and theory,"
Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
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- Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
- Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022. "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, vol. 143(1), pages 527-549.
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"Term Structure of Risk in Expected Returns,"
CEPR Discussion Papers
13414, C.E.P.R. Discussion Papers.
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- Campbell, John Y & Polk, Christopher & Giglio, Stefano & Turley, Robert, 2015.
"An Intertemporal CAPM with Stochastic Volatility,"
CEPR Discussion Papers
10681, C.E.P.R. Discussion Papers.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
- John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley, 2012. "An Intertemporal CAPM with Stochastic Volatility," NBER Working Papers 18411, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An Intertemporal CAPM with stochastic volatility," LSE Research Online Documents on Economics 69634, London School of Economics and Political Science, LSE Library.
Cited by:
- Polk, Christopher & Lou, Dong & Huang, Shiyang, 2016.
"The Booms and Busts of Beta Arbitrage,"
CEPR Discussion Papers
11531, C.E.P.R. Discussion Papers.
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- Huang, Shiyang & Liu, Xin & Lou, Dong & Polk, Christopher, 2023. "The booms and busts of beta arbitrage," LSE Research Online Documents on Economics 120807, London School of Economics and Political Science, LSE Library.
- Shiyang Huang & Xin Liu & Dong Lou & Christopher Polk, 2024. "The Booms and Busts of Beta Arbitrage," Management Science, INFORMS, vol. 70(8), pages 5367-5385, August.
- Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
- Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015.
"Good and bad uncertainty: Macroeconomic and financial market implications,"
Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
- Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
- Levy, Moshe, 2022. "An inter-temporal CAPM based on First order Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 298(2), pages 734-739.
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- Uribe Jorge M. & Chuliá Helena, 2023. "Expected, unexpected, good and bad aggregate uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 265-284, April.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013.
"Hard Times,"
Scholarly Articles
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Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 260-267, March.
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"Network, market, and book-based systemic risk rankings,"
Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
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"History dependence in the housing market,"
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- Silvana Tenreyro & Philippe Bracke, 2017. "History Dependence in the Housing Market," 2017 Meeting Papers 423, Society for Economic Dynamics.
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"How do households value the future? Evidence from property taxes,"
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91693, London School of Economics and Political Science, LSE Library.
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- Hans R. A. Koster & Edward W. Pinchbeck, 2018. "How do households value the future? Evidence from property taxes," CEP Discussion Papers dp1571, Centre for Economic Performance, LSE.
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"No-Bubble Condition: Model-Free Tests in Housing Markets,"
CEPR Discussion Papers
9978, C.E.P.R. Discussion Papers.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "No-Bubble Condition: Model-free Tests in Housing Markets," NBER Working Papers 20154, National Bureau of Economic Research, Inc.
- Matteo Maggiori & Stefano Giglio & Johannes Stroebel, "undated". "No-Bubble Condition: Model-Free Tests in Housing Markets," Working Paper 181786, Harvard University OpenScholar.
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"Mortgage Finance and Climate Change: Securitization Dynamics in the Aftermath of Natural Disasters,"
NBER Working Papers
26322, National Bureau of Economic Research, Inc.
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- Hugo Freeman & Martin Weidner, 2021. "Linear Panel Regressions with Two-Way Unobserved Heterogeneity," Papers 2109.11911, arXiv.org, revised Aug 2022.
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- Jinchi Dong & Richard S.J. Tol & Fanzhi Wang, 2024.
"Towards a representative social cost of carbon,"
Working Paper Series
0724, Department of Economics, University of Sussex Business School.
- Jinchi Dong & Richard S. J. Tol & Fangzhi Wang, 2024. "Towards a representative social cost of carbon," Papers 2404.04989, arXiv.org.
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"Housing and Macroeconomics,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1547-1640,
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"Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?,"
Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 276-292, August.
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- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014.
"Very Long-Run Discount Rates,"
NBER Working Papers
20133, National Bureau of Economic Research, Inc.
- Matteo Maggiori & Johannes Stroebel & Stefano Giglio, 2014. "Very Long Run Discount Rates," 2014 Meeting Papers 1281, Society for Economic Dynamics.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very long-run discount rates," Globalization Institute Working Papers 182, Federal Reserve Bank of Dallas.
- Moritz Drupp & Mark Freeman & Ben Groom & Frikk Nesje, 2015. "Discounting disentangled: an expert survey on the determinants of the long-term social discount rate," GRI Working Papers 196a, Grantham Research Institute on Climate Change and the Environment.
- Christoph Hambel & Holger Kraft & Eduardo Schwartz, 2015. "Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change," NBER Working Papers 21044, National Bureau of Economic Research, Inc.
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- Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo S., 2019. "Optimal carbon abatement in a stochastic equilibrium model with climate change," SAFE Working Paper Series 92, Leibniz Institute for Financial Research SAFE, revised 2019.
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- Bordalo, Pedro & Gennaioli, Nicola & Kwon, Spencer Yongwook & Shleifer, Andrei, 2021.
"Diagnostic bubbles,"
Journal of Financial Economics, Elsevier, vol. 141(3), pages 1060-1077.
- Pedro Bordalo & Nicola Gennaioli & Spencer Yongwook Kwon & Andrei Shleifer, 2018. "Diagnostic Bubbles," NBER Working Papers 25399, National Bureau of Economic Research, Inc.
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"Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty,"
Staff Reports
703, Federal Reserve Bank of New York.
- Marianne Andries & Thomas M Eisenbach & Martin C Schmalz, 2024. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," The Review of Financial Studies, Society for Financial Studies, vol. 37(11), pages 3272-3334.
- Andries, Marianne & Eisenbach, Thomas & Schmalz, Martin, 2024. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," CEPR Discussion Papers 19196, C.E.P.R. Discussion Papers.
- Sumit Agarwal & Jing Li & Ernie Teo & Alan Cheong, 2018. "Strategic Sequential Bidding for Government Land Auction Sales – Evidence from Singapore," The Journal of Real Estate Finance and Economics, Springer, vol. 57(4), pages 535-565, November.
- Andrea Eisfeldt & Andrew Demers, 2015. "Total Returns to Single Family Rentals," NBER Working Papers 21804, National Bureau of Economic Research, Inc.
- Barrage, Lint, 2018. "Be careful what you calibrate for: Social discounting in general equilibrium," Journal of Public Economics, Elsevier, vol. 160(C), pages 33-49.
- Strulik, Holger, 2017.
"Hyperbolic discounting and the time-consistent solution of three canonical environmental problems,"
University of Göttingen Working Papers in Economics
319, University of Goettingen, Department of Economics, revised 2017.
- Holger Strulik, 2021. "Hyperbolic discounting and the time‐consistent solution of three canonical environmental problems," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 23(3), pages 462-486, June.
- Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017.
"The Term Structure of the Price of Variance Risk,"
2017 Meeting Papers
1641, Society for Economic Dynamics.
- Marianne Andries & Thomas M. Eisenbach & R. Jay Kahn & Martin C. Schmalz, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
- Dong, Feng & Xu, Zhiwei, 2022. "Bubbly bailout," Journal of Economic Theory, Elsevier, vol. 202(C).
- Morris A. Davis & Stijn Van Nieuwerburgh, 2014.
"Housing, Finance and the Macroeconomy,"
NBER Working Papers
20287, National Bureau of Economic Research, Inc.
- Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015. "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 753-811, Elsevier.
- Yu, Deshui & Huang, Difang & Chen, Li, 2023. "Stock return predictability and cyclical movements in valuation ratios," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 36-53.
- Glaeser, Edward L. & Nathanson, Charles G., 2015. "Housing Bubbles," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 701-751, Elsevier.
- Charles Nathanson & Edward Glaeser, 2015. "An Extrapolative Model of House Price Dynamics," 2015 Meeting Papers 1108, Society for Economic Dynamics.
- Wang, Xinyu & Sethi, Suresh P. & Chang, Shuhua, 2022. "Pollution abatement using cap-and-trade in a dynamic supply chain and its coordination," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 158(C).
- Geoffrey Poitras & Giovanna Zanotti, 2018. "Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households," JRFM, MDPI, vol. 11(3), pages 1-18, July.
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"Extrapolation and Bubbles,"
NBER Working Papers
21944, National Bureau of Economic Research, Inc.
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- Massimiliano Ferrara & Bruno A. Pansera & Francesco Strati, 2017. "On the Inception of Financial Representative Bubbles," Mathematics, MDPI, vol. 5(4), pages 1-9, November.
- Jorge M. Uribe & Natalia Restrepo & Montserrat Guillen, 2021. ""Price Bubbles in Lithium Markets around the World"," IREA Working Papers 202110, University of Barcelona, Research Institute of Applied Economics, revised Apr 2021.
- Christopher J. Amante & Jacob Dice & David Rodziewicz & Eugene Wahl, 2020. "Housing Market Value Impairment from Future Sea-level Rise Inundation," Research Working Paper RWP 20-05, Federal Reserve Bank of Kansas City.
- Glaeser, Edward L. & Nathanson, Charles G., 2015. "An Extrapolative Model of House Price Dynamics," Working Paper Series rwp15-012, Harvard University, John F. Kennedy School of Government.
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- Charles Ka Yui Leung, 2017. "Special issue on housing and financial stability: An introduction," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 273-275, August.
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"Asset Bubbles and Monetary Policy,"
2017 Meeting Papers
205, Society for Economic Dynamics.
- Feng Dong & Jianjun Miao & Pengfei Wang, 2020. "Asset Bubbles and Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 68-98, August.
- Feng Dong & Jianjun Miao & Pengfei Wang, 2020. "Asset Bubbles and Monetary Policy," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-336, Boston University - Department of Economics.
- Hugo Freeman & Martin Weidner, 2021. "Linear panel regressions with two-way unobserved heterogeneity," CeMMAP working papers CWP39/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Edward L. Glaeser & Charles G. Nathanson, 2015. "An Extrapolative Model of House Price Dynamics," NBER Working Papers 21037, National Bureau of Economic Research, Inc.
- Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
- van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017.
"The term structure of returns: Facts and theory,"
Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2015. "The Term Structure of Returns: Facts and Theory," NBER Working Papers 21234, National Bureau of Economic Research, Inc.
- Koijen, Ralph & van Binsbergen, Jules, 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
- Bartolini, Stefano & Sarracino, Francesco, 2018. "Do People Care About Future Generations? Derived Preferences from Happiness Data," Ecological Economics, Elsevier, vol. 143(C), pages 253-275.
- Sara Ferreira Filipe, 2018. "Housing prices and mortgage credit in Luxembourg," BCL working papers 117, Central Bank of Luxembourg.
- Nan-Kuang Chen & Han-Liang Cheng, 2017. "House price to income ratio and fundamentals: Evidence on long-horizon forecastability," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 293-311, August.
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- Dirk Beerbaum & Maciej Piechocki & Julia M. Puaschunder, 2019. "Accounting Reporting Complexity Measured Behaviorally," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 56(4), pages 35-47, December.
- Tolhurst, Tor N., 2018. "A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines," 2018 Annual Meeting, August 5-7, Washington, D.C. 274387, Agricultural and Applied Economics Association.
- Jules H. van Binsbergen, 2020. "Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility," NBER Working Papers 27367, National Bureau of Economic Research, Inc.
- Graczyk, Andrew & Phan, Toan, 2021.
"Regressive Welfare Effects Of Housing Bubbles,"
Macroeconomic Dynamics, Cambridge University Press, vol. 25(8), pages 2102-2127, December.
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- Amer Ahmed & Esther Bartl, 2024. "Loan Choice and Indebtedness of Bangladeshi Return Migrants," Working Paper Series 0824, Department of Economics, University of Sussex Business School.
- Wan, Junmin, 2024. "Bubble occurrence and landing," Journal of Financial Stability, Elsevier, vol. 70(C).
- Daniel Andrei & Bruce I. Carlin, 2017. "Asset Pricing in the Quest for the New El Dorado," NBER Working Papers 23455, National Bureau of Economic Research, Inc.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014.
"Very long-run discount rates,"
Globalization Institute Working Papers
182, Federal Reserve Bank of Dallas.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "Very Long-Run Discount Rates," NBER Working Papers 20133, National Bureau of Economic Research, Inc.
- Matteo Maggiori & Johannes Stroebel & Stefano Giglio, 2014. "Very Long Run Discount Rates," 2014 Meeting Papers 1281, Society for Economic Dynamics.
Cited by:
- de la Croix, David & Doepke, Matthias, 2021.
"A soul’s view of the optimal population problem,"
Mathematical Social Sciences, Elsevier, vol. 112(C), pages 98-108.
- David de la Croix & Matthias Doepke, 2021. "A Soul’s View of the Optimal Population Problem," LIDAM Discussion Papers IRES 2021007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- David de la Croix & Matthias Doepke, 2021. "A Soul's View of the Optimal Population Problem," Working Papers 2021-011, Human Capital and Economic Opportunity Working Group.
- David de la Croix & Matthias Doepke, 2021. "A Soul's View of the Optimal Population Problem," NBER Working Papers 28554, National Bureau of Economic Research, Inc.
- Doepke, Matthias & de la Croix, David, 2021. "A Soul's View of the Optimal Population Problem," CEPR Discussion Papers 15911, C.E.P.R. Discussion Papers.
- de la Croix, David & Doepke, Matthias, 2021. "A Soul's View of the Optimal Population Problem," IZA Discussion Papers 14222, Institute of Labor Economics (IZA).
- Philippe Bracke & Ted Pinchbeck & James Wyatt, 2014.
"The Time Value of Housing: Historical Evidence from London Residential Leases,"
SERC Discussion Papers
0168, Centre for Economic Performance, LSE.
- Bracke, Philippe & Pinchbeck, Ted & Wyatt, James, 2014. "The time value of housing: historical evidence from London residential leases," LSE Research Online Documents on Economics 64504, London School of Economics and Political Science, LSE Library.
- Johannes Stroebel, 2016. "EconomicDynamics Interview: Johannes Stroebel on real estate dynamics," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 17(2), November.
- Bracke, Philippe & Tenreyro, Silvana, 2021.
"History dependence in the housing market,"
LSE Research Online Documents on Economics
103079, London School of Economics and Political Science, LSE Library.
- Bracke, Philippe & Tenreyro, Silvana, 2018. "History dependence in the housing market," LSE Research Online Documents on Economics 91690, London School of Economics and Political Science, LSE Library.
- Philippe Bracke & Silvana Tenreyro, 2018. "History dependence in the housing market," CEP Discussion Papers dp1568, Centre for Economic Performance, LSE.
- Bracke, Philippe & Tenreyro, Silvana, 2016. "History dependence in the housing market," Bank of England working papers 630, Bank of England, revised 13 Jul 2018.
- Philippe Bracke & Silvana Tenreyro, 2016. "History Dependence in the Housing Market," Discussion Papers 1635, Centre for Macroeconomics (CFM).
- Silvana Tenreyro & Philippe Bracke, 2017. "History Dependence in the Housing Market," 2017 Meeting Papers 423, Society for Economic Dynamics.
- Philippe Bracke & Silvana Tenreyro, 2021. "History Dependence in the Housing Market," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 420-443, April.
- Bracke, Philippe & Tenreyro, Silvana, 2016. "History dependence in the housing market," LSE Research Online Documents on Economics 86176, London School of Economics and Political Science, LSE Library.
- Bernstein, Asaf & Billings, Stephen B. & Gustafson, Matthew T. & Lewis, Ryan, 2022. "Partisan residential sorting on climate change risk," Journal of Financial Economics, Elsevier, vol. 146(3), pages 989-1015.
- Koster, Hans R. A. & Pinchbeck, Edward W., 2018.
"How do households value the future? Evidence from property taxes,"
LSE Research Online Documents on Economics
91693, London School of Economics and Political Science, LSE Library.
- Hans R.A. Koster & Edward W. Pinchbeck, 2022. "How Do Households Value the Future? Evidence from Property Taxes," American Economic Journal: Economic Policy, American Economic Association, vol. 14(1), pages 207-239, February.
- Pinchbeck, E. & Koster, H. R. A., 2018. "How do Households Value the Future? Evidence from Property Taxes," Working Papers (18/06), Department of Economics, City University London.
- Hans R. A. Koster & Edward W. Pinchbeck, 2018. "How do households value the future? Evidence from property taxes," CEP Discussion Papers dp1571, Centre for Economic Performance, LSE.
- Sascha Kollenberg & Luca Taschini, 2016.
"Emissions trading systems with cap adjustments,"
GRI Working Papers
195, Grantham Research Institute on Climate Change and the Environment.
- Kollenberg, Sascha & Taschini, Luca, 2016. "Emissions trading systems with cap adjustments," LSE Research Online Documents on Economics 67774, London School of Economics and Political Science, LSE Library.
- Kollenberg, Sascha & Taschini, Luca, 2016. "Emissions trading systems with cap adjustments," Journal of Environmental Economics and Management, Elsevier, vol. 80(C), pages 20-36.
- Amine Ouazad & Matthew E. Kahn, 2019.
"Mortgage Finance and Climate Change: Securitization Dynamics in the Aftermath of Natural Disasters,"
NBER Working Papers
26322, National Bureau of Economic Research, Inc.
- Amine Ouazad & Matthew E Kahn, 2022. "Mortgage Finance and Climate Change: Securitization Dynamics in the Aftermath of Natural Disasters," The Review of Financial Studies, Society for Financial Studies, vol. 35(8), pages 3617-3665.
- Jinchi Dong & Richard S.J. Tol & Fanzhi Wang, 2024.
"Towards a representative social cost of carbon,"
Working Paper Series
0724, Department of Economics, University of Sussex Business School.
- Jinchi Dong & Richard S. J. Tol & Fangzhi Wang, 2024. "Towards a representative social cost of carbon," Papers 2404.04989, arXiv.org.
- Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
- Moritz Drupp & Mark Freeman & Ben Groom & Frikk Nesje, 2015. "Discounting disentangled: an expert survey on the determinants of the long-term social discount rate," GRI Working Papers 196a, Grantham Research Institute on Climate Change and the Environment.
- Christoph Hambel & Holger Kraft & Eduardo Schwartz, 2015. "Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change," NBER Working Papers 21044, National Bureau of Economic Research, Inc.
- Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo S., 2019. "Optimal carbon abatement in a stochastic equilibrium model with climate change," SAFE Working Paper Series 92, Leibniz Institute for Financial Research SAFE, revised 2019.
- Barrage, Lint, 2018. "Be careful what you calibrate for: Social discounting in general equilibrium," Journal of Public Economics, Elsevier, vol. 160(C), pages 33-49.
- Strulik, Holger, 2017.
"Hyperbolic discounting and the time-consistent solution of three canonical environmental problems,"
University of Göttingen Working Papers in Economics
319, University of Goettingen, Department of Economics, revised 2017.
- Holger Strulik, 2021. "Hyperbolic discounting and the time‐consistent solution of three canonical environmental problems," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 23(3), pages 462-486, June.
- Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017.
"The Term Structure of the Price of Variance Risk,"
2017 Meeting Papers
1641, Society for Economic Dynamics.
- Marianne Andries & Thomas M. Eisenbach & R. Jay Kahn & Martin C. Schmalz, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
- Morris A. Davis & Stijn Van Nieuwerburgh, 2014.
"Housing, Finance and the Macroeconomy,"
NBER Working Papers
20287, National Bureau of Economic Research, Inc.
- Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015. "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, in: Gilles Duranton & J. V. Henderson & William C. Strange (ed.), Handbook of Regional and Urban Economics, edition 1, volume 5, chapter 0, pages 753-811, Elsevier.
- Tom Huppertz & Bo P. Weidema & Simon Standaert & Bernard De Caevel & Elisabeth van Overbeke, 2019. "The Social Cost of Sub-Soil Resource Use," Resources, MDPI, vol. 8(1), pages 1-17, January.
- Christopher J. Amante & Jacob Dice & David Rodziewicz & Eugene Wahl, 2020. "Housing Market Value Impairment from Future Sea-level Rise Inundation," Research Working Paper RWP 20-05, Federal Reserve Bank of Kansas City.
- Daniel L. Tortorice, 2019.
"Long-Run Expectations, Learning and the US Housing Market,"
Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(4), pages 497-531, October.
- Daniel Tortorice, 2015. "Long Run Expectations, Learning and the U.S. Housing Market," Working Papers 85, Brandeis University, Department of Economics and International Business School.
- van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017.
"The term structure of returns: Facts and theory,"
Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2015. "The Term Structure of Returns: Facts and Theory," NBER Working Papers 21234, National Bureau of Economic Research, Inc.
- Koijen, Ralph & van Binsbergen, Jules, 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
- Bartolini, Stefano & Sarracino, Francesco, 2018. "Do People Care About Future Generations? Derived Preferences from Happiness Data," Ecological Economics, Elsevier, vol. 143(C), pages 253-275.
- Dirk Beerbaum & Maciej Piechocki & Julia M. Puaschunder, 2019. "Accounting Reporting Complexity Measured Behaviorally," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 56(4), pages 35-47, December.
- Jules H. van Binsbergen, 2020. "Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility," NBER Working Papers 27367, National Bureau of Economic Research, Inc.
- Amer Ahmed & Esther Bartl, 2024. "Loan Choice and Indebtedness of Bangladeshi Return Migrants," Working Paper Series 0824, Department of Economics, University of Sussex Business School.
- Ian Dew-Becker & Stefano Giglio, 2013.
"Asset Pricing in the Frequency Domain: Theory and Empirics,"
NBER Working Papers
19416, National Bureau of Economic Research, Inc.
- Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
- Stefano Giglio & Ian Dew-Becker, 2013. "Asset pricing in the frequency domain: theory and empirics," 2013 Meeting Papers 1244, Society for Economic Dynamics.
Cited by:
- Ian Dew-Becker & Rhys Bidder, 2015.
"Long-Run Risk is the Worst-Case Scenario,"
2015 Meeting Papers
490, Society for Economic Dynamics.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers 22416, National Bureau of Economic Research, Inc.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
- Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
- Kumah, Seyram Pearl & Odei-Mensah, Jones, 2021. "Are Cryptocurrencies and African stock markets integrated?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 330-341.
- Cui Jinxin & Zou Huiwen, 2020. "Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives," Journal of Systems Science and Information, De Gruyter, vol. 8(5), pages 401-433, October.
- Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
- Geoffrey M. Ngene & Jinghua Wang, 2024. "Transitory and permanent shock transmissions between real estate investment trusts and other assets: Evidence from time‐frequency decomposition and machine learning," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 539-573, March.
- Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
- Barunik, Jozef & Vacha, Lukas, 2018.
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"Vulnerable Banks,"
NBER Working Papers
18537, National Bureau of Economic Research, Inc.
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- Borri, Nicola & Giorgio, Giorgio di, 2022.
"Systemic risk and the COVID challenge in the european banking sector,"
Journal of Banking & Finance, Elsevier, vol. 140(C).
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- Tobias Adrian & Markus K. Brunnermeier, 2008.
"CoVaR,"
Staff Reports
348, Federal Reserve Bank of New York.
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"Measuring and stress-testing market-implied bank capital,"
Working Papers
2022-02, Swiss National Bank.
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"A Macroeconomic Framework for Quantifying Systemic Risk,"
Research Papers
3277, Stanford University, Graduate School of Business.
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- Zhiguo He & Arvind Krishnamurthy, 2013. "A Macroeconomic Framework for Quantifying Systemic Risk," Swiss Finance Institute Research Paper Series 13-42, Swiss Finance Institute, revised Apr 2015.
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- Zhiguo He & Arvind Krishnamurthy, 2012. "A macroeconomic framework for quantifying systemic risk," Working Paper Research 233, National Bank of Belgium.
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"A Model of Shadow Banking,"
Journal of Finance, American Finance Association, vol. 68(4), pages 1331-1363, August.
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"Derivatives Holdings and Systemic Risk in the U.S. Banking Sector,"
Faculty Working Papers
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"Complex Financial Networks and Systemic Risk: A Review,"
Discussion Papers
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- Spiros Bougheas & Alan Kirman, 2015. "Complex Financial Networks and Systemic Risk: A Review," Dynamic Modeling and Econometrics in Economics and Finance, in: Pasquale Commendatore & Saime Kayam & Ingrid Kubin (ed.), Complexity and Geographical Economics, edition 127, pages 115-139, Springer.
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"How Safe are Central Counterparties in Derivatives Markets?,"
2018 Meeting Papers
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"Credit Migration and Covered Interest Rate Parity,"
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"The changing network of financial market linkages: The Asian experience,"
International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
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- Jeong-Bon Kim & Li Li & Mary L. Z. Ma & Frank M. Song, 2013. "CEO Option Compensation, Risk-Taking Incentives, and Systemic Risk in the Banking Industry," Working Papers 182013, Hong Kong Institute for Monetary Research.
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Cited by:
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"The great housing boom of China,"
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Bank of England working papers
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- Andrea Caggese & Ander Pérez-Orive, 2018.
"Capital misallocation and secular stagnation,"
Economics Working Papers
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- Andrea Caggese & Ander Pérez-Orive, 2017. "Capital Misallocation and Secular Stagnation," Finance and Economics Discussion Series 2017-009, Board of Governors of the Federal Reserve System (U.S.).
- Andrea Caggese & Ander Pérez Orive, 2018. "Capital Misallocation and Secular Stagnation," Working Papers 1056, Barcelona School of Economics.
- Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo, 2014.
"No-Bubble Condition: Model-Free Tests in Housing Markets,"
CEPR Discussion Papers
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- Matteo Maggiori & Stefano Giglio & Johannes Stroebel, "undated". "No-Bubble Condition: Model-Free Tests in Housing Markets," Working Paper 181786, Harvard University OpenScholar.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016. "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, vol. 84, pages 1047-1091, May.
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"Bank capital regulation, loan contracts, and corporate investment,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 230-241.
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"Asset Bubbles, Endogenous Growth, and Financial Frictions,"
CIRJE F-Series
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- Hirano, Tomohiro & Yanagawa, Noriyuki, 2016. "Asset Bubbles, Endogenous Growth, and Financial Frictions," HIT-REFINED Working Paper Series 63, Institute of Economic Research, Hitotsubashi University.
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"Economic Growth with Bubbles,"
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- Ventura, Jaume & MartÃn, Alberto, 2010. "Economic Growth with Bubbles," CEPR Discussion Papers 7770, C.E.P.R. Discussion Papers.
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- Mr. Ehsan Ebrahimy, 2019. "Liquidity Choice and Misallocation of Credit," IMF Working Papers 2019/284, International Monetary Fund.
- Mitra, Shalini, 2018. "Intangible Capital and the Rise in Wage and Hours Volatility," MPRA Paper 89697, University Library of Munich, Germany.
- Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.
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"Nonspeculative bubbles revisited,"
Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
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"Liquidity provision, interest rates, and unemployment,"
Journal of Monetary Economics, Elsevier, vol. 65(C), pages 80-101.
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- Giglio, Stefano & Pathak, Parag & Campbell, John Y., 2011.
"Forced Sales and House Prices,"
Scholarly Articles
9887623, Harvard University Department of Economics.
- John Y. Campbell & Stefano Giglio & Parag Pathak, 2011. "Forced Sales and House Prices," American Economic Review, American Economic Association, vol. 101(5), pages 2108-2131, August.
- John Y. Campbell & Stefano Giglio & Parag Pathak, 2009. "Forced Sales and House Prices," NBER Working Papers 14866, National Bureau of Economic Research, Inc.
Cited by:
- Renigier-Biłozor, Małgorzata & Walacik, Marek & Źróbek, Sabina & d’Amato, Maurizio, 2018. "Forced sale discount on property market – How to assess it?," Land Use Policy, Elsevier, vol. 78(C), pages 104-115.
- Maturana, Gonzalo & Nickerson, Jordan, 2020. "Real effects of workers’ financial distress: Evidence from teacher spillovers," Journal of Financial Economics, Elsevier, vol. 136(1), pages 137-151.
- Fernando Ferreira & Joseph Gyourko, 2011. "Anatomy of the Beginning of the Housing Boom: U.S. Neighborhoods and Metropolitan Areas, 1993-2009," NBER Working Papers 17374, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Tufano, Peter & Madrian, Brigitte C. & Jackson, Howell Edmunds, 2011.
"Consumer Financial Protection,"
Scholarly Articles
9887620, Harvard University Department of Economics.
- John Y. Campbell & Howell E. Jackson & Brigitte C. Madrian & Peter Tufano, 2011. "Consumer Financial Protection," Journal of Economic Perspectives, American Economic Association, vol. 25(1), pages 91-114, Winter.
- Ihlanfeldt, Keith & Mayock, Tom, 2015. "Foreclosures and local government budgets," Regional Science and Urban Economics, Elsevier, vol. 53(C), pages 135-147.
- Biswas, Arnab, 2012. "Housing submarkets and the impacts of foreclosures on property prices," Journal of Housing Economics, Elsevier, vol. 21(3), pages 235-245.
- Utpal Bhattacharya & Daisy Huang & Kasper Meisner Nielsen, 2021. "Spillovers in Prices: The Curious Case of Haunted Houses [Fire sales and house prices: evidence from estate sales due to sudden death]," Review of Finance, European Finance Association, vol. 25(3), pages 903-935.
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"How Do Foreclosures Exacerbate Housing Downturns?,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(3), pages 1331-1364.
- Adam M. Guren & Timothy J. McQuade, "undated". "How Do Foreclosures Exacerbate Housing Downturns?," Boston University - Department of Economics - Working Papers Series WP2018-007, Boston University - Department of Economics.
- Timothy McQuade & Adam Guren, 2015. "How Do Foreclosures Exacerbate Housing Downturns?," 2015 Meeting Papers 40, Society for Economic Dynamics.
- Adam M. Guren & Timothy J. McQuade, 2019. "How Do Foreclosures Exacerbate Housing Downturns?," NBER Working Papers 26216, National Bureau of Economic Research, Inc.
- Charles Towe & Chad Lawley, 2013. "The Contagion Effect of Neighboring Foreclosures," American Economic Journal: Economic Policy, American Economic Association, vol. 5(2), pages 313-335, May.
- Velma Zahirovic-Herbert & Karen M Gibler, 2022. "The effect of film production studios on housing prices in Atlanta, the Hollywood of the South," Urban Studies, Urban Studies Journal Limited, vol. 59(4), pages 771-788, March.
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"Phasing out the GSEs,"
2015 Meeting Papers
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- Elenev, Vadim & Landvoigt, Tim & Van Nieuwerburgh, Stijn, 2016. "Phasing out the GSEs," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 111-132.
- Benito Arruñada, 2017.
"How to make land titling more rational,"
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- Benito Arruñada, 2017. "How to Make Land Titling more Rational," Working Papers 983, Barcelona School of Economics.
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"Icing on the cake: Can the Top-Floor Units serve as a status good and an investment simultaneously?,"
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"Predatory Lending and the Subprime Crisis,"
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Mo.Fi.R. Working Papers
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The Review of Financial Studies, Society for Financial Studies, vol. 34(8), pages 3527-3571.
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Journal of Political Economy, University of Chicago Press, vol. 129(7), pages 1947-1990.
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CEPR Discussion Papers
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Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
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CEMA Working Papers
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NBER Working Papers
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"High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing,"
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"Macroeconomic Expectations and State-Dependent Factor Returns,"
Research Papers in Economics
2023-09, University of Trier, Department of Economics.
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"Beta-Sorted Portfolios,"
Staff Reports
1068, Federal Reserve Bank of New York.
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"Pricing Currency Risks,"
Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
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- Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
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- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
CEPR Discussion Papers
14266, C.E.P.R. Discussion Papers.
- Stefano Giglio & Yuan Liao & Dacheng Xiu & Wei Jiang, 2021.
"Thousands of Alpha Tests [The performance of hedge funds: Risk, return, and incentives],"
The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3456-3496.
- Stefano Giglio & Yuan Liao & Dacheng Xiu, 2021. "Thousands of Alpha Tests," NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3456, National Bureau of Economic Research, Inc.
Cited by:
- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
CEPR Discussion Papers
14266, C.E.P.R. Discussion Papers.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
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- Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
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"Portfolio management with big data,"
CEPR Discussion Papers
19314, C.E.P.R. Discussion Papers.
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- Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2021.
"The joint dynamics of investor beliefs and trading during the COVID-19 crash,"
Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 118(4), pages 2010316118-, January.
Cited by:
- Weber, Michael & Candia, Bernardo & Coibion, Olivier & Gorodnichenko, Yuriy, 2023.
"Do You Even Crypto, Bro? Cryptocurrencies in Household Finance,"
IZA Discussion Papers
16335, Institute of Labor Economics (IZA).
- Michael Weber & Bernardo Candia & Olivier Coibion & Yuriy Gorodnichenko, 2023. "Do You Even Crypto, Bro? Cryptocurrencies in Household Finance," NBER Working Papers 31284, National Bureau of Economic Research, Inc.
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"Disaster Resilience and Asset Prices,"
EIEF Working Papers Series
2008, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2021.
- Marco Pagano & Christian Wagner & Josef Zechner, 2020. "Disaster Resilience and Asset Prices," CSEF Working Papers 563, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Pagano, Marco & Wagner, Christian & Zechner, Josef, 2023. "Disaster resilience and asset prices," Journal of Financial Economics, Elsevier, vol. 150(2).
- Zechner, Josef & Pagano, Marco & Wagner, Christian, 2020. "Disaster Resilience and Asset Prices," CEPR Discussion Papers 14773, C.E.P.R. Discussion Papers.
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- Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
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"Stock Prices and Economic Activity in the Time of Coronavirus,"
NBER Working Papers
28320, National Bureau of Economic Research, Inc.
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"Aggregate Skewness and the Business Cycle,"
CEPR Discussion Papers
17162, C.E.P.R. Discussion Papers.
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"Millionaires Speak: What Drives Their Personal Investment Decisions?,"
NBER Working Papers
27969, National Bureau of Economic Research, Inc.
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"COVID-19 and Corporate Finance,"
CSEF Working Papers
651, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
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- Andrej Gill & Florian Hett & Johannes Tischer, 2022. "Time Inconsistency and Overdraft Use: Evidence from Transaction Data and Behavioral Measurement Experiments," Working Papers 2205, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
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- Alt, Marius & Berger, Marius & Bersch, Johannes, 2023. "Investor responses to information updates on peer behavior and public investment policy: The case of green investments," ZEW Discussion Papers 23-024, ZEW - Leibniz Centre for European Economic Research.
- Gill, Andrej & Hett, Florian & Tischer, Johannes, 2022. "Time inconsistency and overdraft use: Evidence from transaction data and behavioral measurement experiments," SAFE Working Paper Series 347, Leibniz Institute for Financial Research SAFE.
- Weber, Martin & Kieren, Pascal & Mueller-Dethard, Jan, 2020. "Why so Negative? Belief Formation and Risk Taking in Boom and Bust Markets," CEPR Discussion Papers 14647, C.E.P.R. Discussion Papers.
- Lhaopadchan, Suntharee & Gerrans, Paul & Treepongkaruna, Sirimon, 2024. "Retirement savings behaviours and COVID-19: Evidence from Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
- Rai, Anish & Mahata, Ajit & Nurujjaman, Md & Majhi, Sushovan & Debnath, Kanish, 2022.
"A sentiment-based modeling and analysis of stock price during the COVID-19: U- and Swoosh-shaped recovery,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
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"Do You Even Crypto, Bro? Cryptocurrencies in Household Finance,"
IZA Discussion Papers
16335, Institute of Labor Economics (IZA).
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2021.
"Five Facts about Beliefs and Portfolios,"
American Economic Review, American Economic Association, vol. 111(5), pages 1481-1522, May.
See citations under working paper version above.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five Facts about Beliefs and Portfolios," NBER Working Papers 25744, National Bureau of Economic Research, Inc.
- Maggiori, Matteo & Ströbel, Johannes & Giglio, Stefano & Utkus, Stephen P., 2019. "Five Facts About Beliefs and Portfolios," CEPR Discussion Papers 13657, C.E.P.R. Discussion Papers.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five facts about beliefs and portfolios," CESifo Working Paper Series 7666, CESifo.
- David Berger & Ian Dew-Becker & Stefano Giglio, 2020.
"Uncertainty Shocks as Second-Moment News Shocks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
See citations under working paper version above.
- Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
- David Berger & Ian Dew-Becker & Stefano Giglio, 2017. "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers 23796, National Bureau of Economic Research, Inc.
- Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020.
"Hedging Climate Change News,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.
See citations under working paper version above.
- Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel, 2019. "Hedging Climate Change News," NBER Working Papers 25734, National Bureau of Economic Research, Inc.
- Ströbel, Johannes & Engle, Robert & Giglio, Stefano & Kelly, Bryan & Lee, Heebum, 2019. "Hedging Climate Change News," CEPR Discussion Papers 13730, C.E.P.R. Discussion Papers.
- Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019. "Hedging climate change news," CESifo Working Paper Series 7655, CESifo.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2020.
"Reply to “Rational Bubbles in UK Housing Markets”,"
Econometrica, Econometric Society, vol. 88(4), pages 1767-1770, July.
Cited by:
- Wan, Junmin, 2024. "Bubble occurrence and landing," Journal of Financial Stability, Elsevier, vol. 70(C).
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
See citations under working paper version above.
- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018.
"An intertemporal CAPM with stochastic volatility,"
Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
See citations under working paper version above.
- Campbell, John Y & Polk, Christopher & Giglio, Stefano & Turley, Robert, 2015. "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers 10681, C.E.P.R. Discussion Papers.
- John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley, 2012. "An Intertemporal CAPM with Stochastic Volatility," NBER Working Papers 18411, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An Intertemporal CAPM with stochastic volatility," LSE Research Online Documents on Economics 69634, London School of Economics and Political Science, LSE Library.
- Stefano Giglio & Bryan Kelly, 2018.
"Excess Volatility: Beyond Discount Rates,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
See citations under working paper version above.
- Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
- 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.
See citations under working paper version above.
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016.
"No‐Bubble Condition: Model‐Free Tests in Housing Markets,"
Econometrica, Econometric Society, vol. 84, pages 1047-1091, May.
See citations under working paper version above.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014. "No-Bubble Condition: Model-free Tests in Housing Markets," NBER Working Papers 20154, National Bureau of Economic Research, Inc.
- Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo, 2014. "No-Bubble Condition: Model-Free Tests in Housing Markets," CEPR Discussion Papers 9978, C.E.P.R. Discussion Papers.
- Matteo Maggiori & Stefano Giglio & Johannes Stroebel, "undated". "No-Bubble Condition: Model-Free Tests in Housing Markets," Working Paper 181786, Harvard University OpenScholar.
- Ian Dew-Becker & Stefano Giglio, 2016.
"Asset Pricing in the Frequency Domain: Theory and Empirics,"
The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
See citations under working paper version above.
- Ian Dew-Becker & Stefano Giglio, 2013. "Asset Pricing in the Frequency Domain: Theory and Empirics," NBER Working Papers 19416, National Bureau of Economic Research, Inc.
- Stefano Giglio & Ian Dew-Becker, 2013. "Asset pricing in the frequency domain: theory and empirics," 2013 Meeting Papers 1244, Society for Economic Dynamics.
- 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.
See citations under working paper version above.
- Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015. "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers 20963, National Bureau of Economic Research, Inc.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2015.
"Editor's Choice Very Long-Run Discount Rates,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 130(1), pages 1-53.
Cited by:
- Olga Filippova & Cuong Nguyen & Ilan Noy & Michael Rehm, 2019.
"Who cares? Future sea-level-rise and house prices,"
CESifo Working Paper Series
7595, CESifo.
- Olga Filippova & Cuong Nguyen & Ilan Noy & Michael Rehm, 2020. "Who Cares? Future Sea Level Rise and House Prices," Land Economics, University of Wisconsin Press, vol. 96(2), pages 207-224.
- Filippova, Olga & Nguyen, Cuong & Noy, Ilan & Rehm, Michael, 2019. "Who cares? Future sea-level-rise and house prices," Working Paper Series 20951, Victoria University of Wellington, School of Economics and Finance.
- Mauleón, Ignacio, 2019. "Optimizing individual renewable energies roadmaps: Criteria, methods, and end targets," Applied Energy, Elsevier, vol. 253(C), pages 1-1.
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"The effect of land lease on house prices,"
Journal of Housing Economics, Elsevier, vol. 46(C).
- Gautier, Pieter A. & van Vuuren, Aico, 2017. "The effect of land lease on house prices," Working Papers in Economics 686, University of Gothenburg, Department of Economics.
- Philippe Bracke & Edward W. Pinchbeck & James Wyatt, 2018.
"The Time Value of Housing: Historical Evidence on Discount Rates,"
Economic Journal, Royal Economic Society, vol. 128(613), pages 1820-1843, August.
- Bracke, Philippe & Pinchbeck, Edward & Wyatt, James, 2016. "The time value of housing: historical evidence on discount rates," Bank of England working papers 621, Bank of England.
- Bracke, Philippe & Pinchbeck, Edward W. & Wyatt, James, 2017. "The time value of housing: historical evidence on discount rates," LSE Research Online Documents on Economics 86393, London School of Economics and Political Science, LSE Library.
- David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016.
"Term structures of asset prices and returns,"
Staff Reports
774, Federal Reserve Bank of New York.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
- Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
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"Anxiety in the face of risk,"
Staff Reports
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"The Rate of Return on Everything, 1870–2015,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(3), pages 1225-1298.
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- Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2017. "The Rate of Return on Everything, 1870–2015," Working Paper Series 2017-25, Federal Reserve Bank of San Francisco.
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"Evaluation of long-dated assets : The role of parameter uncertainty,"
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"Valuation of natural capital under uncertain substitutability,"
TSE Working Papers
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- Gollier, Christian, 2017. "Valuation of natural capital under uncertain substitutability," IDEI Working Papers 871, Institut d'Économie Industrielle (IDEI), Toulouse.
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- Sumit Agarwal & Jing Li & Ernie Teo & Alan Cheong, 2018. "Strategic Sequential Bidding for Government Land Auction Sales – Evidence from Singapore," The Journal of Real Estate Finance and Economics, Springer, vol. 57(4), pages 535-565, November.
- Agarwal, Sumit & He, Jia & Sing, Tien Foo & Song, Changcheng, 2019. "Do real estate agents have information advantages in housing markets?," Journal of Financial Economics, Elsevier, vol. 134(3), pages 715-735.
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015.
"The Price of Variance Risk,"
NBER Working Papers
21182, National Bureau of Economic Research, Inc.
- 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.
- Robert F. Engle III & Stefano Giglio & Bryan T. Kelly & Heebum Lee & Johannes Stroebel, 2019.
"Hedging Climate Change News,"
NBER Working Papers
25734, National Bureau of Economic Research, Inc.
- Robert F Engle & Stefano Giglio & Bryan Kelly & Heebum Lee & Johannes Stroebel, 2020. "Hedging Climate Change News," The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1184-1216.
- Ströbel, Johannes & Engle, Robert & Giglio, Stefano & Kelly, Bryan & Lee, Heebum, 2019. "Hedging Climate Change News," CEPR Discussion Papers 13730, C.E.P.R. Discussion Papers.
- Robert Engle & Stefano Giglio & Heebum Lee & Bryan Kelly & Johannes Stroebel, 2019. "Hedging climate change news," CESifo Working Paper Series 7655, CESifo.
- Fedotenkov, Igor, 2015. "Population ageing and prices in an OLG model with money created by credits," MPRA Paper 66056, University Library of Munich, Germany.
- Therese C. Grijalva & Jayson L. Lusk & Rong Rong & W. Douglass Shaw, 2018. "Convex Time Budgets and Individual Discount Rates in the Long Run," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 71(1), pages 259-277, September.
- Mauleón, Ignacio, 2019. "Assessing PV and wind roadmaps: Learning rates, risk, and social discounting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 100(C), pages 71-89.
- Bahadır Dursun & Resul Cesur, 2016. "Transforming lives: the impact of compulsory schooling on hope and happiness," Journal of Population Economics, Springer;European Society for Population Economics, vol. 29(3), pages 911-956, July.
- Rong Rong & Therese C. Grijalva & Jayson Lusk & W. Douglass Shaw, 2019. "Interpersonal discounting," Journal of Risk and Uncertainty, Springer, vol. 58(1), pages 17-42, February.
- Singh, Yadawendra & Chakraborty, Lekha, 2024. "Tax Transfers and Demographic Transition: Empirical Evidence for 16th Finance Commission," Working Papers 24/417, National Institute of Public Finance and Policy.
- Zerrahn, Alexander, 2017. "Wind Power and Externalities," Ecological Economics, Elsevier, vol. 141(C), pages 245-260.
- Daniel L. Tortorice, 2019.
"Long-Run Expectations, Learning and the US Housing Market,"
Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(4), pages 497-531, October.
- Daniel Tortorice, 2015. "Long Run Expectations, Learning and the U.S. Housing Market," Working Papers 85, Brandeis University, Department of Economics and International Business School.
- Igor Fedotenkov, 2016.
"Population ageing and inflation with endogenous money creation,"
Bank of Lithuania Working Paper Series
23, Bank of Lithuania.
- Fedotenkov, Igor, 2018. "Population ageing and inflation with endogenous money creation," Research in Economics, Elsevier, vol. 72(3), pages 392-403.
- van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017.
"The term structure of returns: Facts and theory,"
Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2015. "The Term Structure of Returns: Facts and Theory," NBER Working Papers 21234, National Bureau of Economic Research, Inc.
- Koijen, Ralph & van Binsbergen, Jules, 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
- Neves, Pedro Cunha & Afonso, Óscar & Sequeira, Tiago Neves, 2018. "Population growth and the wage skill premium," Economic Modelling, Elsevier, vol. 68(C), pages 435-449.
- Fesselmeyer, Eric & Liu, Haoming & Salvo, Alberto, 2016. "How Do Households Discount over Centuries? Evidence from Singapore's Private Housing Market," IZA Discussion Papers 9862, Institute of Labor Economics (IZA).
- D. Pennesi, 2016.
"Intertemporal discrete choice,"
Working Papers
wp1061, Dipartimento Scienze Economiche, Universita' di Bologna.
- Pennesi, Daniele, 2021. "Intertemporal discrete choice," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 690-706.
- Benjamin Volland, 2018. "Après nous le déluge? Perceived distance of climate change impacts and pro-environmental behaviour," IRENE Working Papers 18-05, IRENE Institute of Economic Research.
- Zviadadze, Irina, 2018.
"Term Structure of Risk in Expected Returns,"
CEPR Discussion Papers
13414, C.E.P.R. Discussion Papers.
- Irina Zviadadze, 2021. "Term Structure of Risk in Expected Returns [Stock returns and volatility: Pricing the short-run and long-run components of market risk]," The Review of Financial Studies, Society for Financial Studies, vol. 34(12), pages 6032-6086.
- Gollier, Christian, 2018. "Stochastic volatility implies fourth-degree risk dominance: Applications to asset pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 155-171.
- Igor Fedotenkov, 2016. "Labour Shares, Fertility and Longevity in an OLG model," Bank of Lithuania Working Paper Series 28, Bank of Lithuania.
- Olga Filippova & Cuong Nguyen & Ilan Noy & Michael Rehm, 2019.
"Who cares? Future sea-level-rise and house prices,"
CESifo Working Paper Series
7595, CESifo.
- Stefano Giglio & Kelly Shue, 2014.
"Editor's Choice No News Is News: Do Markets Underreact to Nothing?,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(12), pages 3389-3440.
Cited by:
- Benjamin Enke & Uri Gneezy & Brian Hall & David Martin & Vadim Nelidov & Theo Offerman & Jeroen van de Ven, 2020.
"Cognitive Biases: Mistakes or Missing Stakes?,"
CESifo Working Paper Series
8168, CESifo.
- Benjamin Enke & Uri Gneezy & Brian Hall & David C. Martin & Vadim Nelidov & Theo Offerman & Jeroen van de Ven, 2021. "Cognitive Biases: Mistakes or Missing Stakes?," NBER Working Papers 28650, National Bureau of Economic Research, Inc.
- Carletti, Elena & Ongena, Steven & Siedlarek, Jan-Peter & Spagnolo, Giancarlo, 2015.
"The Impact of Merger Legislation on Bank Mergers,"
Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems
530, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Elena Carletti & Steven Ongena & Jan-Peter Siedlarek & Giancarlo Spagnolo, 2017. "The Impact of Merger Legislation on Bank Mergers," Working Papers 16-14R, Federal Reserve Bank of Cleveland.
- Elena Carletti & Steven Ongena & Jan-Peter Siedlarek & Giancarlo Spagnolo, 2016. "The Impact of Merger Legislation on Bank Mergers," Swiss Finance Institute Research Paper Series 16-33, Swiss Finance Institute.
- Elena Carletti & Steven Ongena & Jan-Peter Siedlarek & Giancarlo Spagnolo, 2016. "The Impact of Merger Legislation on Bank Mergers," Working Papers (Old Series) 1614, Federal Reserve Bank of Cleveland.
- Jin, Han & Mazouz, Khelifa & Wu, Yuliang & Xu, Bin, 2023. "Can star analysts make superior coverage decisions in poor information environment?," Journal of Banking & Finance, Elsevier, vol. 146(C).
- Prajwal Eachempati & Praveen Ranjan Srivastava, 2021. "Accounting for unadjusted news sentiment for asset pricing," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 13(3), pages 383-422, May.
- Umar, Tarik, 2022. "Complexity aversion when SeekingAlpha," Journal of Accounting and Economics, Elsevier, vol. 73(2).
- Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
- Lee, Charles M.C. & So, Eric C., 2017.
"Uncovering expected returns: Information in analyst coverage proxies,"
Journal of Financial Economics, Elsevier, vol. 124(2), pages 331-348.
- Lee, Charles M. C. & So, Eric C., 2016. "Uncovering Expected Returns: Information in Analyst Coverage Proxies," Research Papers 3367, Stanford University, Graduate School of Business.
- George P. Gao & Qingzhong Ma & David T. Ng & Ying Wu, 2022. "The Sound of Silence: What Do We Know When Insiders Do Not Trade?," Management Science, INFORMS, vol. 68(7), pages 4835-4857, July.
- Adra, Samer & Barbopoulos, Leonidas G., 2023. "The informational consequences of good and bad mergers," Journal of Corporate Finance, Elsevier, vol. 78(C).
- Pavel Gertler & Roman Horvath, 2017. "Market Reading of Central Bankers Words. A High-Frequency Evidence," Working and Discussion Papers WP 2/2017, Research Department, National Bank of Slovakia.
- Jin, Zuben, 2024. "Business aspects in focus, investor underreaction and return predictability," Journal of Corporate Finance, Elsevier, vol. 84(C).
- Marco Di Maggio & Marco Pagano, 2012.
"Financial Disclosure and Market Transparency with Costly Information Processing,"
EIEF Working Papers Series
1212, Einaudi Institute for Economics and Finance (EIEF), revised May 2014.
- Marco Di Maggio & Marco Pagano, 2018. "Financial Disclosure and Market Transparency with Costly Information Processing [Bargaining with incomplete information]," Review of Finance, European Finance Association, vol. 22(1), pages 117-153.
- Di Maggio, Marco & Pagano, Marco, 2014. "Financial disclosure and market transparency with costly information processing," CFS Working Paper Series 485, Center for Financial Studies (CFS).
- Pagano, Marco & Di Maggio, Marco, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CEPR Discussion Papers 9207, C.E.P.R. Discussion Papers.
- Marco di Maggio & Marco Pagano, 2012. "Financial Disclosure and Market Transparency with Costly Information Processing," CSEF Working Papers 323, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 23 Jul 2016.
- Massimiliano Ferrara & Bruno Antonio Pansera & Francesco Strati, 2018. "Classic rational bubbles and representativeness," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 19-34, May.
- Spagnolo, Giancarlo & Carletti, Elena & Ongena, Steven & Siedlarek, Jan-Peter, 2020.
"The Impacts of Stricter Merger Legislation on Bank Mergers and Acquisitions: Too-Big-To-Fail and Competition,"
CEPR Discussion Papers
14449, C.E.P.R. Discussion Papers.
- Carletti, Elena & Ongena, Steven & Siedlarek, Jan-Peter & Spagnolo, Giancarlo, 2021. "The impacts of stricter merger legislation on bank mergers and acquisitions: Too-Big-To-Fail and competition," Journal of Financial Intermediation, Elsevier, vol. 46(C).
- Travis L. Johnson & Eric C. So, 2018. "Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns," Journal of Accounting Research, Wiley Blackwell, vol. 56(1), pages 217-263, March.
- Aleksanyan, Mark & Danbolt, Jo & Siganos, Antonios & Wu, Betty (H.T.), 2022. "I only fear when I hear: How media affects insider trading in takeover targets," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 318-342.
- Xavier Gabaix, 2017.
"Behavioral Inattention,"
NBER Working Papers
24096, National Bureau of Economic Research, Inc.
- Gabaix, Xavier, 2018. "Behavioral Inattention," CEPR Discussion Papers 13268, C.E.P.R. Discussion Papers.
- Birru, Justin & Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno Cara, 2020.
"Attention and biases: evidence from tax-inattentive investors,"
Textos para discussão
523, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Justin Birru & Fernando Chague, Rodrigo De-Losso, Bruno Giovannetti, 2019. "Attention and Biases: Evidence from Tax-Inattentive Investors," Working Papers, Department of Economics 2019_48, University of São Paulo (FEA-USP).
- Birru, Justin & Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2019. "Attention and Biases: Evidence from Tax-Inattentive Investors," Working Paper Series 2019-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Löffler, Gunter & Norden, Lars & Rieber, Alexander, 2021. "Negative news and the stock market impact of tone in rating reports," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Ryan McDonough & Venky Nagar & Jordan Schoenfeld, 2024. "Voluntary disclosures by activist investors: the role of activist expectations," Review of Accounting Studies, Springer, vol. 29(3), pages 2031-2081, September.
- Oh, Jong-Min, 2017. "Absorptive capacity, technology spillovers, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 146-164.
- Buehlmaier, Matthias M. M. & Zechner, Josef, 2016. "Financial media, price discovery, and merger arbitrage," CFS Working Paper Series 551, Center for Financial Studies (CFS).
- Frank S. Zhou & Yuqing Zhou, 2020. "The Dog that Did Not Bark: Limited Price Efficiency and Strategic Nondisclosure," Journal of Accounting Research, Wiley Blackwell, vol. 58(1), pages 155-197, March.
- Han-Ching Huang & Tammy Tran Chung, 2020. "The Information Content of Insider Silence in Vietnam Security Market," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 10(3), pages 1-9.
- Gertler, Pavel & Horvath, Roman, 2018. "Central bank communication and financial markets: New high-frequency evidence," Journal of Financial Stability, Elsevier, vol. 36(C), pages 336-345.
- Cornaggia, Kimberly & Hund, John & Nguyen, Giang, 2022. "Investor attention and municipal bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
- Huang, Shiyang & Hwang, Byoung-Hyoun & Lou, Dong, 2021. "The rate of communication," LSE Research Online Documents on Economics 105870, London School of Economics and Political Science, LSE Library.
- Cary Frydman & Ian Krajbich, 2022. "Using Response Times to Infer Others’ Private Information: An Application to Information Cascades," Management Science, INFORMS, vol. 68(4), pages 2970-2986, April.
- Niu, Xiaofei & Li, Jianbiao, 2019. "How Time Constraint Affects the Disposition Effect?," EconStor Preprints 194618, ZBW - Leibniz Information Centre for Economics.
- Peter Van Tassel, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
- Huang, Shiyang & Hwang, Byoung-Hyoun & Lou, Dong, 2021. "The rate of communication," Journal of Financial Economics, Elsevier, vol. 141(2), pages 533-550.
- Benjamin Enke & Uri Gneezy & Brian Hall & David Martin & Vadim Nelidov & Theo Offerman & Jeroen van de Ven, 2020.
"Cognitive Biases: Mistakes or Missing Stakes?,"
CESifo Working Paper Series
8168, CESifo.
- John Y. Campbell & Stefano Giglio & Christopher Polk, 2013.
"Hard Times,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 95-132.
See citations under working paper version above.
- John Y. Campbell & Stefano Giglio & Christopher Polk, 2010. "Hard Times," NBER Working Papers 16222, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013. "Hard Times," Scholarly Articles 12172786, Harvard University Department of Economics.
- Giglio, Stefano & Severo, Tiago, 2012.
"Intangible capital, relative asset shortages and bubbles,"
Journal of Monetary Economics, Elsevier, vol. 59(3), pages 303-317.
See citations under working paper version above.
- Stefano Giglio & Tiago Severo, 2011. "Intangible Capital, Relative Asset Shortages and Bubbles," Levine's Working Paper Archive 786969000000000121, David K. Levine.
- Mr. Stefano Giglio & Tiago Severo, 2011. "Intangible Capital, Relative Asset Shortages and Bubbles," IMF Working Papers 2011/271, International Monetary Fund.
- John Y. Campbell & Stefano Giglio & Parag Pathak, 2011.
"Forced Sales and House Prices,"
American Economic Review, American Economic Association, vol. 101(5), pages 2108-2131, August.
See citations under working paper version above.
- John Y. Campbell & Stefano Giglio & Parag Pathak, 2009. "Forced Sales and House Prices," NBER Working Papers 14866, National Bureau of Economic Research, Inc.
- Giglio, Stefano & Pathak, Parag & Campbell, John Y., 2011. "Forced Sales and House Prices," Scholarly Articles 9887623, Harvard University Department of Economics.
Chapters
- Stefano Giglio & Yuan Liao & Dacheng Xiu, 2021.
"Thousands of Alpha Tests,"
NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3456,
National Bureau of Economic Research, Inc.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Stefano Giglio & Yuan Liao & Dacheng Xiu & Wei Jiang, 2021. "Thousands of Alpha Tests [The performance of hedge funds: Risk, return, and incentives]," The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3456-3496.