Academic Publications

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Investigating the Influence of News Sources and Language Models on Climate Beta Estimates

Author(s) :
Jean-Michel Maeso, Dominic O'Kane
The Journal of Portfolio Management, Novel Risks and Sources of Volatility Special Issue, Vol 50, Number 2, December 2023 In this article, the...

Asleep at the Wheel? The Risk of Sudden Price Adjustments

Author(s) :
Riccardo Rebonato
The Journal of Portfolio Management, Novel Risks and Sources of Volatility Special Issue, Vol 50, Number 2, December 2023 A large number of...

What’s in a shade? The market relevance of green bonds’ external reviews

Author(s) :
Marco Ghitti, Gianfranco Gianfrate, Florencio López de Silanes, Marco Spinelli
The British Accounting Review, published online 28 October 2023. With the growth of green bonds as an asset class, the certification of the actual...

Precision Investing: On the Optimal Design of Personalized Performance Portfolios for Liability-Driven Investors

Author(s) :
Nicole BeeversHannes Du PlessisLionel MartelliniVincent Milhau
The Journal of Portfolio Management Volume 50, Issue 3 Quantitative Special Issue 2024 This article provides an explicit characterization for the...

The agency of greenwashing

Author(s) :
Gianfranco Gianfrate, Marco Ghitti, Lorenza Palma
The Journal of Management and Governance (2023)  As climate change increasingly challenges business models, the disclosure of firm...

Robust management of climate risk damages

Author(s) :
Riccardo Rebonato, Riccardo Ronzani, Lionel Melin
Risk Management 25, 15 (2023) The authors consider the case of a risk manager or policymaker who does not know the true climate and economic...

Asset-level climate physical risk assessment is key for adaptation finance

Author(s) :
Giacomo Bressan, Anja Duranovic, Irene Monasterolo, Stefano Battiston
Climate physical risk assessment is crucial to inform adaptation policies and finance. However, science-based and transparent solutions to assess...

Optimal Climate Policy with Negative Emissions

Author(s) :
Riccardo Rebonato, Dherminder Kainth, Lionel Melin, Dominic O'Kane
We can limit the future temperature impact of climate change in two ways: (i) reducing our use of CO2 emitting fuels as an energy source (...

A Sustainable Capital Asset Pricing Model (S-CAPM): Evidence from Environmental Integration and Sin Stock Exclusion

Author(s) :
Olivier David Zerbib, Affiliate Member, EDHEC-Risk Climate Impact Institute, Associate Professor, EDHEC Business School
Review of Finance, Volume 26, Issue 6, November 2022 This article shows how sustainable investing—through the joint practice of exclusionary...

Climate Output at Risk

Author(s) :
Riccardo Rebonato, Dherminder Kainth, Lionel Melin
The Journal of Portfolio Management Novel-Risks 2022, Vol. 48, Issue 10 Investors and regulators are increasingly concerned that...

Sustainable investing and climate transition risk: a portfolio rebalancing approach

Author(s) :
Giacomo Bressan, Irene Monasterolo, Stefano Battiston
The Journal of Portfolio Management Novel-Risks 2022, Vol. 48, Issue 8 The authors study how greenness can be combined with other...

Multiform flood risk in a rapidly changing world: what we do not do, what we should and why it matters

Author(s) :
Andrew Kruczkiewicz, Fabio Cian, Irene Monasterolo, Giuliano Di Baldassarre, Astrid Caldas, Moriah Royz, Margaret Glasscoe, Nicola Ranger, Maarten van Aals
Environmental Research Letters, Volume 17, Number 8 On a global scale, recent environmental, public health, socioeconomic and political...

Capital structure choices, pension fund allocation decisions and the rational pricing of liability streams

Author(s) :
Lionel Martellini, Vincent Milhau
Journal of Pension Economics & Finance, Volume 21, Issue 3 , July 2022, pp. 425 - 445 This paper introduces an integrated asset-...

Why Does the Cieslak–Povala Model Predict Treasury Returns? A Reinterpretation

Author(s) :
Riccardo Rebonato, Taku Hatano
The Journal of Fixed Income, Vol. 31, Issue 4, Spring 2022   This article presents a simple reformulation of the restricted...

Assessing Financial Risks from Physical Climate Shocks: A Framework for Scenario Generation

Author(s) :
Nicola Ranger, Olivier Mahul, and Irene Monasterolo
Equitable Growth, Finance & Institution Insights Climate change has become a main concern of ministries of finance, central banks, and...

Lessons from COVID-19 for managing transboundary climate risks and building resilience

Author(s) :
Andrew K.Ringsmuth, Ilona M.Otto, Bart van den Hurk, Glada Lahn, Christopher P.O.Reyer,Timothy R.Carter, Piotr Magnuszewski, Irene Monasterolo, Jeroen C.J.H.Aerts, Magnus Benzie, Emanuele Campiglio, Stefan Fronzek, Franziska Gaupp, Lukasz Jarzabek...
Climate Risk Management, Volume 35 COVID-19 has revealed how challenging it is to manage global, systemic and compounding crises. Like COVID-19,...

Derisking the low-carbon transition: investors’ reaction to climate policies, decarbonization and distributive effects

Author(s) :
Irene Monasterolo (Research Programme Director, EDHEC-Risk Climate) Nepomuk Dunz (World Bank), Andrea Mazzocchetti (Ca’ Foscari University of Venice), Régis Gourdel (Vienna University of Economics and Business)
Review of Evolutionary Political Economy, 2022 The role of climate finance policies and instruments in scaling up and derisking low-carbon...

An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints

Author(s) :
Romain Deguest, Lionel Martellini, Vincent Milhau
The Journal of Fixed Income, Vol. 31, Issue 3, Winter 2022     This article analyzes the out-of-sample performance of portfolio...

Climate risk and IMF surveillance policy: a baseline analysis

Author(s) :
Luma Ramos, Kevin P. Gallagher, Corinne Stephenson, Irene Monasterolo
Climate Policy, December 2021

Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?

Author(s) :
Daniel Mantilla-Garcia, Juliana Malagon, Julian R.Aldana-Galindo
Finance Research Letters, Wiley, December 21. Authors unveil a theoretical link between the portfolio excess growth rate (EGR) and two measures of...