31/05/2023 Asset Pricing & Behavioural Finance Institutional Ownership and the Resolution of Financial Dist... We analyze the distressed firm’s decision between Chapter 11 and an exchange offer.
26/05/2023 Asset Pricing & Behavioural Finance Behavioural Biases Among Retail and Institutional Investors Decision-makers are often subject to various behavioural biases.
4/10/2022 Asset Pricing & Behavioural Finance Fast Filtering with Large Option Panels: Implications for As... The cross-section of options holds great promise for identifying return distributions and risk premia, but estimating dynamic option valuation models...
27/01/2022 Asset Pricing & Behavioural Finance Choice Overload participation and asset Allocation in French... This paper employs administrative data from one of the largest plan providers in France to investigate the role of plan and default characteristics in...
9/12/2021 Asset Pricing & Behavioural Finance Liquidity Stress Testing in Asset Management - Part 4. A Ste... This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first...
1/12/2021 Asset Pricing & Behavioural Finance Graph Neural Networks for Asset Management In this research article, Amundi Quantitative Research explores the use of graph theory and neural networks in asset management.
6/10/2021 Asset Pricing & Behavioural Finance Liquidity Stress Testing in Asset Management - Part 3. Manag... This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.
18/05/2021 Asset Pricing & Behavioural Finance Liquidity Stress Testing in Asset Management - Part 2. Model... This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first...
22/02/2021 Asset Pricing & Behavioural Finance Tracking ECB’s Communication: Perspectives and Implications ... This article assesses the communication of the European Central Bank (ECB) using Natural Language Processing (NLP) techniques.
5/01/2021 Asset Pricing & Behavioural Finance Liquidity Stress Testing in Asset Management - Part 1. Model... This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions.
30/09/2019 Asset Pricing & Behavioural Finance Forecasting Combination: An Application For Exchange Rates This paper tries to forecast exchange rates by comparing forecasting methods that take into account cointegration and methods that do not.
18/06/2019 Asset Pricing & Behavioural Finance Pricing Individual Stock Options using both Stock and Market... When it comes to individual stock option pricing, most applications consider a univariate framework.
17/06/2019 Asset Pricing & Behavioural Finance Variance Premium, Downside Risk, and Expected Stock Returns We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from...
17/06/2019 Asset Pricing & Behavioural Finance International Stock Market Co-Movements and Politics-Related... We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors.
7/05/2019 Asset Pricing & Behavioural Finance News-Based Indices on Country Fundamentals: Do They Help Exp... This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data.