Marco Giacoletti

Marco Giacoletti
PhD Student, Finance
PhD Program Office Graduate School of Business Stanford University 655 Knight Way Stanford, CA 94305

Marco Giacoletti

Working Papers

Idiosyncratic Risk in Housing Markets

Most US households invest a substantial fraction of their wealth in an individual asset: their family home. This paper studies the empirical properties of idiosyncratic house price risk using a novel micro-dataset of house sales and remodeling permits from the metropolitan areas of Los Angeles, San Diego, and San Francisco. Unlike what is usually assumed in the literature, I find that idiosyncratic housing risk does not scale with time. Moreover, the fraction of capital gains variance determined by the idiosyncratic component decreases over a house holding period. I analyze the effects of idiosyncratic risk on household welfare, using a quantitative portfolio model. Exposure to idiosyncratic shocks has substantial effects on the trade-off between owning and renting, especially for short holding periods. (Presentations: Western Finance Association 2017)

Residential Real Estate Traders: Returns, Risk and Strategies (with Victor Westrupp)

Presentations: American Finance Association 2017

Data on remodeling permits used in my papers are provided by Buildzoom


Learning, Dispersion of Beliefs, and Risk Premiums in an Aribitrage-free Term Structure Model (with Lars Kristoffer Laursen and Kenneth J. Singleton)

Presentations: EABCN Conference 2016, Western Finance Association 2015, Monetary Policy and Financial Markets Conference at FRB San Francisco 2014