Lauren Stagnol

Amundi Institute

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 18,009

SSRN RANKINGS

Top 18,009

in Total Papers Downloads

4,591

SSRN CITATIONS

4

CROSSREF CITATIONS

1

Scholarly Papers (11)

1.

Equity Convexity and Unconventional Monetary Policy

Number of pages: 37 Posted: 15 Mar 2022 Last Revised: 08 Apr 2022
Amundi Institute, Amundi Asset Management and Amundi Asset Management
Downloads 907 (42,102)

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Convexity, co-skewness, higher-moment CAPM, time-varying moments, volatility, asset pricing, stock returns, equity strategy.

2.

Corporate ESG News and The Stock Market

Number of pages: 46 Posted: 29 Dec 2020
Ecole Centrale MarseilleUniversité de Paris, CREST-ENSAE, Amundi Institute, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads 777 (52,029)
Citation 1

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ESG, ESG sentiment, ESG materiality, SASB, SDG, multi-factor models, NLP

3.

Monitoring Narratives: An Application to the Equity Market

Number of pages: 38 Posted: 06 May 2022
Amundi Institute, Amundi Institute, Amundi Institute, CREST-ENSAE, Amundi Institute and Amundi Institute
Downloads 620 (69,981)

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macroeconomics, narrative economics, FRED, GDELT project, natural language processing, sentiment, financial markets

4.

ESG and Sovereign Risk: What is Priced in by the Bond Market and Credit Rating Agencies?

Number of pages: 67 Posted: 12 Oct 2021 Last Revised: 08 Nov 2021
Raphaël Semet, Thierry Roncalli and Lauren Stagnol
University of Paris-Saclay, Amundi Asset Management and Amundi Institute
Downloads 489 (93,853)

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ESG, Sovereign risk, debt, bond yield, credit spread

5.

Understanding the Performance of the Equity Value Factor

Number of pages: 29 Posted: 06 Apr 2021
Amundi Institute, Banque CPR, Amundi Asset Management and Amundi Asset Management
Downloads 482 (95,573)
Citation 1

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Value, risk factor, risk premium, factor investing, valuation, deep value, inflation, interest rates, ESG, carbon risk

6.

The Market Effect of Acute Biodiversity Risk: The Case of Corporate Bonds

Number of pages: 70 Posted: 08 Dec 2022
Amina Cherief, Takaya Sekine and Lauren Stagnol
Amundi Institute, Amundi Institute and Amundi Institute
Downloads 356 (135,624)

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biodiversity, ecosystems services, ESG, asset pricing, corporate bonds, corporate sustainability, natural language processing, event studies, food security.

7.

The Recent Performance of ESG Investing, the COVID-19 Catalyst and the Biden Effect

Number of pages: 26 Posted: 21 Oct 2021
Amundi Institute, CREST-ENSAE, Amundi Institute, Amundi Institute, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads 302 (161,625)

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ESG, environmental, social, governance, asset pricing, active management, factor investing, COVID-19, feature extraction, machine learning

8.

The Risk Parity Principle Applied on a Corporate Bond Index Using Duration Times Spread

Number of pages: 31 Posted: 10 Sep 2016
Lauren Stagnol
Amundi Institute
Downloads 280 (174,929)

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Equal Risk Contribution, Risk Parity, Smart Beta, Risk Measure, Risk-Based Indexing

9.

Analysing the Exposure of Low-Volatility Equity Strategies to Interest Rates

Number of pages: 26 Posted: 23 Jan 2018 Last Revised: 12 Feb 2018
Lauren Stagnol and Bruno Taillardat
Amundi Institute and Amundi Asset Management
Downloads 160 (294,245)
Citation 1

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Factor investing, low-volatility anomaly, interest rates, yield curve, monetary regimes

10.

Introducing Global Term Structure in a Risk Parity Framework

Number of pages: 27 Posted: 21 Apr 2017
Lauren Stagnol
Amundi Institute
Downloads 157 (298,943)

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Equal Risk Contribution, Yield Curve, Risk Parity, Smart Beta, Risk Measure, Risk-Based Indexing, Sovereign Bonds, Term Structure

11.

Designing a Corporate Bond Index on Solvency Criteria

Number of pages: 48 Posted: 20 Jan 2016
Lauren Stagnol
Amundi Institute
Downloads 61 (557,972)

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fundamental indexing, alternative corporate bond index, solvency criteria, market efficiency