Risk premium

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Working Paper 8.12.2020 Facts and Fantasies about the Green Bond Premium
118

The green bond market has increased exponentially since the first issuance in 2007.

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Working Paper 24.06.2019 Factor Investing in Currency Markets: Does it Make Sense?
44

The concept of factor investing emerged at the end of the 2000s and has completely changed the landscape of equity investing.

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Working Paper 17.06.2019 Variance Premium, Downside Risk, and Expected Stock Returns
30

We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large ...

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Discussion Paper 2.08.2018 Where will the next financial crisis come from? Are we ready to confro...

The world is not yet completely out of the 2007-2008 financial crisis, but the risk of a new crisis already arises.

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Discussion Paper 4.01.2018 Keep Up The Momentum
11

The momentum risk premium is one of the most important alternative risk premia alongside the carry risk premium. However, it appears that it is not always well ...

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Pension Funds letter
Letter 1.07.2017 Amundi Pension Funds Letter n°2
21

Investors on both sides of the Atlantic, having been preoccupied for several months, now have clarity on several fronts.

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Working Paper 19.05.2017 Factor Investing: The Rocky Road from Long-Only to Long-Short
12

This paper examines how restrictions on short positions affect the financial attractiveness of factor investing.

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Working Paper 15.02.2011 Volatility Exposure for Strategic Asset Allocation
10

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