Must read articles

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Thematic Paper 2.06.2022 Shifts & Narratives #18 - The power of narratives for investors

Narratives have been around for a long time but their impact on financial markets has not been fully exploited. Our analysis suggests that narratives complement traditional macro variables when it comes to explaining financial market behaviour.

More > 10 minutes
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Working Paper 7.04.2022 Monitoring Narratives: an Application to the Equity Market

In this research, we show that variables from the Global Database of Events, Language and Tone (GDELT) convey significant informational content that can improve on a purely macroeconomic approach when modeling the US equity market.

More > 10 minutes
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Working Paper 25.02.2022 The Recent Performance of ESG Investing, the Covid-19 Catalyst and the Biden Effect

The purpose of this paper is to appraise recent ESG trends in global equity markets. It contributes to a broader research project started at Amundi in 2014 on the relevance of ESG.

More > 10 minutes
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Working Paper 25.02.2022 Cascading Effects of Carbon Price through the Value Chain: Impact on Firm’s Valuation

To avoid the worst climate change scenario, Greenhouse Gas (GHG) emissions should be reduced drastically during the next decades.

More > 10 minutes
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Working Paper 15.02.2022 Net Zero Carbon Metrics

This research project is both an update of the analysis on carbon emissions trajectories proposed by Le Guenedal et al. (2020) and a companion study of the climate risk measures defined by Le Guenedal and Roncalli (2022).

More > 10 minutes
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Working Paper 3.01.2022 Portfolio Construction with Climate Risk Measures

Because of the 2015 Paris Agreement, the development of ESG investing and the emergence of net zero emission policies, climate risk is certainly the most important topic and challenge for asset owners and managers now and will remain so over the next five years.

More > 10 minutes
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Working Paper 3.06.2021 Measuring and Pricing Cyclone-Related Physical Risk under Changing Climate

We propose a statistical methodology to quantify the financial implications of tropical cyclone-related physical risks implied by climate change.

More > 10 minutes
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Working Paper 22.02.2021 Tracking ECB’s Communication: Perspectives and Implications for Financial Markets
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This article assesses the communication of the European Central Bank (ECB) using Natural Language Processing (NLP) techniques.

More > 10 minutes
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Working Paper 26.01.2021 The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio
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Like ESG investing, climate change is an important concern for asset managers and owners, and a new challenge for portfolio construction.

More > 10 minutes
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