Academic Publications
Cross-Sectional and Time-Series Momentum in the US Sovereign Bond Market
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
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)
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
Nature, October 2021.
Natural disasters negatively impact regions and exacerbate socioeconomic vulnerabilities. While the ...
Measuring and Managing the Opportunity Cost of Downside Risk Protection
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
The Journal of Fixed Income Winter 2021
The authors introduce a method to create two interpretable liquidity measures, which we...
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
