Lauren Stagnol

Amundi Institute

90 Boulevard Pasteur

Paris, 75015

France

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 26,025

SSRN RANKINGS

Top 26,025

in Total Papers Downloads

2,727

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

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 493 (80,608)

Abstract:

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

2.

Corporate ESG News and The Stock Market

Number of pages: 46 Posted: 29 Dec 2020
Ecole Centrale MarseilleUniversité de Paris, CREST - ENSAE, Amundi Asset Management, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads 464 (86,797)
Citation 1

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

3.

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 409 (100,438)

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

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 350 (119,729)

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

5.

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 260 (163,198)

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

6.

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 239 (177,117)

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

7.

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

Number of pages: 26 Posted: 21 Oct 2021
Amundi Asset Management, CREST - ENSAE, Amundi Institute, Amundi Institute, Amundi Asset Management, Amundi Institute and Amundi Institute
Downloads 191 (218,059)

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

8.

Introducing Global Term Structure in a Risk Parity Framework

Number of pages: 27 Posted: 21 Apr 2017
Lauren Stagnol
Amundi Institute
Downloads 143 (277,719)

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

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 133 (293,547)
Citation 1

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

10.

Designing a Corporate Bond Index on Solvency Criteria

Number of pages: 48 Posted: 20 Jan 2016
Lauren Stagnol
Amundi Institute
Downloads 45 (542,050)

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