Lauren Stagnol

Amundi Institute

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 12,500

SSRN RANKINGS

Top 12,500

in Total Papers Downloads

7,406

SSRN CITATIONS

7

CROSSREF CITATIONS

2

Scholarly Papers (15)

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 1,138 (36,416)

Abstract:

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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, Amundi Technology, Amundi Institute, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads 1,115 (37,488)
Citation 1

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

3.

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 872 (53,188)

Abstract:

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

4.

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 781 (61,605)
Citation 2

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

5.

Monitoring Narratives: An Application to the Equity Market

Number of pages: 38 Posted: 06 May 2022
Amundi Institute, Amundi Institute, Amundi Institute, Amundi Technology, Amundi Institute and Amundi Institute
Downloads 755 (64,423)

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

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 594 (87,419)

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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, Amundi Technology, Amundi Institute, Amundi Institute, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads 435 (127,712)
Citation 1

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

8.

Cutting to the Chase on ESG

Number of pages: 16 Posted: 17 Apr 2024 Last Revised: 22 Apr 2024
Paris Dauphine University, Students, Amundi Institute, Amundi Technology, Amundi Institute, University of Paris-Saclay and Amundi Institute
Downloads 405 (138,714)

Abstract:

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ESG, environmental, social, governance, ESG scoring, ESG rating, asset pricing, active management

9.

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 339 (169,415)

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

10.

Modeling the Links Between Economic Growth, Socio-economic Dynamics and Environmental Dimensions: a Panel VAR Approach

Number of pages: 73 Posted: 13 Mar 2024
University of Paris-Saclay - CentraleSupélec, University of Paris-Saclay, Amundi Institute and Amundi Institute
Downloads 301 (191,657)

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Macroeconomics, economic growth, ESG, extra-financial, Granger causality, VAR modeling, PVAR, Panel data

11.

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 192 (296,434)
Citation 2

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

12.

Introducing Global Term Structure in a Risk Parity Framework

Number of pages: 27 Posted: 21 Apr 2017
Lauren Stagnol
Amundi Institute
Downloads 167 (335,408)

Abstract:

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

13.

Answering Clean Tech Questions with Large Language Models

Number of pages: 26 Posted: 20 Dec 2023
Amundi Institute, Amundi Institute, Université Paris Cité, Amundi Technology, Amundi Technology and Amundi Institute
Downloads 121 (433,969)

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net zero, clean technologies, critical raw materials, critical minerals, natural language processing, NLP, large language models, LLMs, information virality

14.

About SDGs, reading the manual with NLP

Number of pages: 31 Posted: 04 Jun 2024
Amundi Asset Management, Amundi Institute, Amundi Technology, Amundi Institute, University of Paris-Saclay and Amundi Institute
Downloads 118 (442,129)

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Sustainable Development Goals (SDGs), Natural Language Processing (NLP), Large Language Models (LLM), SDG17, Foreign Direct Investments (FDIs), news analytics, financing developing economies JEL Classification: C8

15.

Designing a Corporate Bond Index on Solvency Criteria

Number of pages: 48 Posted: 20 Jan 2016
Lauren Stagnol
Amundi Institute
Downloads 73 (603,590)

Abstract:

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