Academic Publications

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Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market

Author(s) :
Lionel Martellini, Riccardo Rebonato and Jean-Michel Maeso
The Journal of Fixed Income, Vol. 31, Issue 3 Winter 2022. In this article, authors undertake a systematic, security-level analysis of...

Europe's cross-border trade, human security and financial connections: A climate risk perspective

Author(s) :
Christopher D.Westa, Emilie Stokeld, Emaan König, Hanne Knaepen, Piotr Magnuszenuele Campiglio, Simon Croft, Adrien Detges, Anja Duranovic, Adrianvon Jagow, Łukasz Jarząbeke, Christiwskie, Irene Monasterolo, Christopher P.O.Reyer
Climate Risk Management Volume 34, 2021. As the impacts of climate change begin to take hold, increased attention is being paid to the...

Managing the financial risks of climate change and pandemics: What we know (and don’t know)

Author(s) :
Nicola Ranger, Olivier Mahul, Irene Monasterolo
PERSPECTIVE| VOLUME 4, ISSUE 10, P1375-1385, OCTOBER 22, 2021. The COVID-19 pandemic is generating the largest shock in the global...

Assessing the cascading impacts of natural disasters in a multi-layer behavioral network framework

Author(s) :
Asjad Naqvi, Irene Monasterolo
Nature, October 2021. Natural disasters negatively impact regions and exacerbate socioeconomic vulnerabilities. While the ...

Measuring and Managing the Opportunity Cost of Downside Risk Protection

Author(s) :
Nicole Beevers, Hannes Du Plessis, Lionel Martellini and Vincent Milhau
The Journal of Portfolio Management November 2021, Vol. 47, Issue 10 Special Real Estate Issue 2021. Portfolio insurance targets the elimination...

Accounting for finance is key for climate mitigation pathways

Author(s) :
Stefano Battiston, Irene Monasterolo, Keywan Riahi, Bas J. Van Ruijven
Science Vol 372, Issue 6545. The financial system—the ecosystem of investors (e.g., banks, investment funds, insurance), markets, and instruments—...

Compounding COVID-19 and climate risks: The interplay of banks’ lending and government’s policy in the shock recovery

Author(s) :
Nepomuk Dunz, Arthur Hrast Essenfelder, Andrea Mazzocchetti, Irene Monasterolo, Marco Raberto
Journal of Banking & Finance, Volume 136, March 2022. Authors assess the individual and compounding impacts of COVID-19 and...

Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing

Author(s) :
Lionel Martellini, Lou-Salomé Vallée
The Journal of Portfolio Management, Vol. 48, Issue 2, Quantitative Special Issue 2022.   This article shows that...

Is convexity efficiently priced? Evidence from international swap markets

Author(s) :
Riccardo Rebonato, Riccardo Ronzani
Journal of Empirical Finance, Volume 63, September 2021, Pages 392-413. While it is widely claimed in the literature that convexity is correctly...

Benefits of Open Architecture and Multi-Management in Real Estate Markets—Evidence from French Nonlisted Investment Trusts

Author(s) :
Béatrice Guedj, Lionel Martellini, Shahyar Safaee
The Journal of Portfolio Management, Vol. 47, Issue 7, Non-US Financial Markets 2021.   In this article "Benefits of Open...

On the Resilience of ESG Stocks during COVID-19: Global Evidence

Author(s) :
Gianfranco Gianfrate, Tim Kievid and Mathijs van Dijk
CEPR, Covid Economics, Issue 83, July 2021. Recent research on the U.S. stock market finds that the stocks of firms with high ESG (...

How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” Revisited

Author(s) :
Riccardo Rebonato and Amir El Aouadi
The Journal of Fixed Income, Vol. 30, Issue 4, Spring 2021.   Abstract Authors present a straightforward extension valid...

The European ETF Market: Growth, Trends, and Impact on Underlying Instruments

Author(s) :
Véronique Le Sourd, Shahyar Safaee
The Journal of Portfolio Management Non-US Financial Markets 2021, 47 (7) 95-111 This article presents some key figures about...

Digitising investing in the light of behavioural finance findings

Author(s) :
Jurgen Vandenbroucke
Journal of Digital Banking, Volume 5, Issue 4. Investing is still very much the least digitised banking service. All too often, digitisation boils...

Covid-19 and smart beta: A case study on the role of sectors

Author(s) :
Bernd Scherer, Milot Hasaj
Financial Markets and Portfolio Management (FMPM) - Volume 35, Issue 4, December 2021. The authors investigate the role of sectors on the...

Do the Shades of Green Matter? The Pricing and Ownership of “Dark-green” Bonds

Author(s) :
Gianfranco Gianfrate, Marco Spinelli
Hong Kong Academy of Finance (AoF), January 2021. This study explores whether the green bonds rated “dark green” by CICERO are priced...

Optimal Portfolio Strategies in the Presence of Regimes in Asset Returns

Author(s) :
Carlos Heitor Campania, René Garcia, Marcelo Lewina
Journal of Banking & Finance, Volume 123, February 2021, 106030 This paper analyses optimal portfolio and consumption strategies in a regime-...

Determinants of internal carbon pricing

Author(s) :
Nuno Bento, Gianfranco Gianfrate
Energy Policy, Volume 143 Action against climate change is urgent and requires the participation of firms. The progressive internalization of...

National Climate Policies and Corporate Internal Carbon Pricing

Author(s) :
Nuno Bento, Gianfranco Gianfrate , Joseph E. Aldy
While national governments pledged to reduce their greenhouse gas emissions under the Paris Agreement, delivering on these aims will require...

Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity

Author(s) :
Riccardo Rebonato, Hong Sherwin
The Journal of Fixed Income Winter 2021   The authors introduce a method to create two interpretable liquidity measures, which we...