Academic Publications
Investigating the Influence of News Sources and Language Models on Climate Beta Estimates
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
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
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
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
The Journal of Management and Governance (2023)
As climate change increasingly challenges business models, the disclosure of firm...
Robust management of climate risk damages
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
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
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
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
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
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
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
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
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
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
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
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
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
Climate Policy, December 2021
Can the portfolio excess growth rate explain the predictive power of idiosyncratic volatility?
Finance Research Letters, Wiley, December 21.
Authors unveil a theoretical link between the portfolio excess growth rate (EGR) and two measures of...
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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.
