Stefano Giglio, Yale School of Management
A Quantity-based Approach to Constructing Climate Risk Hedge Portfolios

Stegfano Giglio’s research interests span several topics, including asset pricing, macroeconomics, and real estate, with a particular focus on hedging macroeconomic risks using different financial instruments: crash risk, uncertainty risk, and climate risk.

Before joining Yale, Professor Giglio was an Associate Professor of Finance at the University of Chicago Booth School of Business. He has been awarded several prizes, including the AQR Insight Award, the Fama-DFA Prize for the Best Paper in the Journal of Financial Economics, and the UBS Global Asset Management Award for Research in Investments, and his work has been featured in several news outlets, including the Economist and the New York Times. He currently serves as an editor for the Review of Financial Studies.

Download the paper (pdf, 4.16 mb)
Download the slides (pdf, 4.67 mb)

Watch the recording (video, 50:20 minutes, with transcription)

This seminar is part of the Virtual Seminar on Climate Economics series hosted by the Federal Reserve Bank of San Francisco and is open to everyone interested in research on the economics of climate change.