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Is convexity efficiently priced? Evidence from international swap markets

Author(s) :
Riccardo Rebonato, Riccardo Ronzani
While it is widely claimed in the literature that convexity is correctly priced, we find evidence in four major swap markets that this is the case...

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
In this article "Benefits of Open Architecture and Multi-Management in Real Estate Markets—Evidence from French Nonlisted Investment Trusts", ...

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

Author(s) :
Gianfranco Gianfrate, Tim Kievid and Mathijs van Dijk
Recent research on the U.S. stock market finds that the stocks of firms with high ESG (environmental, social, and corporate governance) ratings...

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

Author(s) :
Riccardo Rebonato and Amir El Aouadi
Abstract Authors present a straightforward extension valid in the current negative-rate regime of the “universal relationship” uncovered in De...

Digitising investing in the light of behavioural finance findings

Author(s) :
Jurgen Vandenbroucke
Investing is still very much the least digitised banking service. All too often, digitisation boils down to cold automation, which explains why...

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

Author(s) :
Bernd Scherer, Milot Hasaj
The authors investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in...

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

Author(s) :
Gianfranco Gianfrate, Marco Spinelli
This study explores whether the green bonds rated “dark green” by CICERO are priced differently in the market from the light/medium-green ones as...

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

Author(s) :
Lionel Martellini, Vincent Milhau
This paper introduces an integrated asset-liability management model that allows for the joint quantitative analysis of capital structure choices,...

Optimal Portfolio Strategies in the Presence of Regimes in Asset Returns

Author(s) :
Carlos Heitor Campania, René Garcia, Marcelo Lewina
This paper analyses optimal portfolio and consumption strategies in a regime-switching economy with unobservable states and predictability of risky...

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  

Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications

Author(s) :
Riccardo Rebonato, Ivan Saroka, Vlad Putiatyn
International Journal of Theoretical and Applied Finance, Vol. 24 N° 7 pp. 1 - 36, March 2020