Academic Publications

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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 1, March 2021. The authors investigate the role of sectors on the performance...

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...

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, pp. 1 - 21, 2021. This paper introduces an integrated asset-liability management model that...

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
Action against climate change is urgent and requires the participation of firms. The progressive internalization of carbon costs by firms is...

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  

Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model

Author(s) :
Riccardo Rebonato, Riccardo Ronzani
The Journal of Fixed Income, Vol. 30, Issue 1, Summer 2020  

Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?

Author(s) :
Jean-Michel Maeso, Lionel Martellini
Quantitative Finance, Volume 20, 2020 - Issue 7  

Factor based commodity investing

Author(s) :
Athanasios Sakkas, NikolaosTessaromatis
Journal of Banking & Finance, Volume 115, June 2020  

Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods

Author(s) :
Marie Lambert, Boris Fays, Georges Hübner
Journal of Banking & Finance, Volume 114, May 2020  

Securing Replacement Income with Goal-Based Retirement Investing Strategies

Author(s) :
Lionel Martellini, Vincent Milhau, John Mulvey
To supplement retirement benefits received from public and private pension systems, individuals need to make voluntary contributions and decide how...

Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective

Author(s) :
Lionel Martellini, Vincent Milhau
The Journal of Portfolio Management, Multi-Asset Special Issue, Vol. 46, Issue 6, June 2020   

Harvesting Macroeconomic Risk Premia

Author(s) :
Kyriakos Chousakos and Daniel Giamouridis
The Journal of Portfolio Management Multi-Asset Special Issue 2020, jpm.2020