Stefano Giglio
Biographic Data
| ID | 5849346 |
|---|---|
| NAME | Stefano Giglio |
| GIVEN NAMES | Stefano |
| FAMILY NAME | Giglio |
| SIGNATURE | GIGLIO S |
| AFFILIATIONS | Center for Economic and Policy Research |
| ORCID | 0000-0002-7703-2671 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2011 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
Asset Pricing with Omitted Factors
Standard estimators of risk premia in linear asset pricing models are biased if some priced factors are omitted. We propose a three-pass method to estimate the risk premium of an observable factor, which is valid even when not all factors in the model are specified or observed. The risk premium of the observable factor can be identified regardless of the rotation of the other control factors if together they span the true factor space. Our approa…
Forced Sales and House Prices
This paper uses data on all house transactions in Massachusetts over the last 20 years to show that houses sold after foreclosure, or close in time to the death or bankruptcy of a seller, are sold at lower prices than other houses. Foreclosure discounts are on average at 27 percent of the value of a house. Moreover, foreclosures that take place within small local geographies of a house lower the price at which it is sold. Our preferred estimate i…
No prominent works on this page.
Forced Sales and House Prices
This paper uses data on all house transactions in Massachusetts over the last 20 years to show that houses sold after foreclosure, or close in time to the death or bankruptcy of a seller, are sold at lower prices than other houses. Foreclosure discounts are on average at 27 percent of the value of a house. Moreover, foreclosures that take place within small local geographies of a house lower the price at which it is sold. Our preferred estimate i…
Asset Pricing with Omitted Factors
Standard estimators of risk premia in linear asset pricing models are biased if some priced factors are omitted. We propose a three-pass method to estimate the risk premium of an observable factor, which is valid even when not all factors in the model are specified or observed. The risk premium of the observable factor can be identified regardless of the rotation of the other control factors if together they span the true factor space. Our approa…
Economics (2 works) · Housing Market and Economics (2 works) · Asset (computer security (1 work) · Bankruptcy (1 work) · Capital asset pricing model (1 work) · Computer Science (1 work) · Econometrics (1 work) · Estimator (1 work) · Factor analysis (1 work) · Finance (1 work)