Guillaume Coqueret

EMLYON Business School

23 Avenue Guy de Collongue

Ecully, 69132

France

  • EMLYON Business School

SCHOLARLY PAPERS

26

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12,277

SSRN CITATIONS

30

CROSSREF CITATIONS

7

Ideas:
“  I'm currently working on: 1. out-of-sample fit of linear models (=> not that simple!). 2. empirical (factor/characteristics-based) asset pricing. 3. ESG-driven asset pricing and portfolio construction. ---  ”

  • EMLYON Business School

Scholarly Papers (26)

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1.

Perspectives in ESG equity investing

Number of pages: 81 Posted: 13 Nov 2020 Last Revised: 10 Mar 2021
Guillaume Coqueret
EMLYON Business School
Downloads 3,340 (6,269)
Citation 3

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ESG investing, sustainable finance, climate change risk, corporate social responsibility

2.

Supervised Portfolios

Number of pages: 33 Posted: 02 Nov 2021 Last Revised: 21 Jul 2022
Guillaume Chevalier, Guillaume Coqueret and Thomas Raffinot
AXA Investment Managers, EMLYON Business School and AXA-IM
Downloads 1,671 (18,623)
Citation 1

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Supervised learning, portfolio choice, transaction costs

3.

ESG news spillovers across the value chain

Downloads 764 (57,548)

ESG news spillovers across the value chain

Number of pages: 30 Posted: 10 Jan 2022 Last Revised: 01 Sep 2022
Guillaume Coqueret and Vu Le Tran
EMLYON Business School and Gjensidige Pensjonsforsikring AS
Downloads 620 (74,484)

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ESG investing, sustainable finance, supply chain, spill-over effect

ESG News Spillovers Across the Value Chain

Number of pages: 39 Posted: 13 Sep 2022 Last Revised: 21 Mar 2023
Vu Le Tran and Guillaume Coqueret
Gjensidige Pensjonsforsikring AS and EMLYON Business School
Downloads 144 (343,658)

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ESG investing, sustainable finance, supply chain, spill-over effect

4.

Interpretable Supervised Portfolios

Number of pages: 30 Posted: 30 Sep 2022
Guillaume Chevalier, Guillaume Coqueret and Thomas Raffinot
AXA Investment Managers, EMLYON Business School and AXA-IM
Downloads 733 (60,591)

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Interpretable Machine Learning, Rulefit, Supervised learning,portfolio construction

5.

Stock Returns and the Cross-Section of Characteristics: A Tree-Based Approach

Number of pages: 17 Posted: 18 May 2018
Guillaume Coqueret and Tony Guida
EMLYON Business School and Université de Savoie - Finance and Banking
Downloads 643 (71,962)
Citation 5

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Regression trees, Cross-section of stock returns, Firm characteristics, Portfolio choice

6.

Scope 3 Emissions and Their Impact on Green Portfolios

Number of pages: 32 Posted: 27 Jan 2022 Last Revised: 15 Jul 2022
THEOPHILE ANQUETIN, Guillaume Coqueret, Bertrand Tavin and lou welgryn
CARBON4 FINANCE, EMLYON Business School, EMLYON Business School and affiliation not provided to SSRN
Downloads 582 (81,367)

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Scope 3 emissions, portfolio optimization, sustainable finance

7.

Interactions in Asset Pricing

Number of pages: 35 Posted: 17 Jul 2023 Last Revised: 06 Nov 2023
Guillaume Chevalier, Guillaume Coqueret, Martial Laguerre and Thomas Raffinot
AXA Investment Managers, EMLYON Business School, EMLYON Business School and AXA-IM
Downloads 557 (86,042)

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asset pricing, firm characteristics, marcoeconomic variables, machine learning, rulefit, interpretability

8.

Factor investing with reinforcement learning

Downloads 520 (94,190)
Citation 1

Factor investing with reinforcement learning

Number of pages: 47 Posted: 12 Nov 2020 Last Revised: 22 Jul 2022
Eric André and Guillaume Coqueret
EMLYON Business School and EMLYON Business School
Downloads 327 (159,186)
Citation 2

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Reinforcement learning, Factor investing, Equally-weighted portfolio, Asset pricing

Factor Investing with Reinforcement Learning

Number of pages: 41 Posted: 07 May 2022
Guillaume Coqueret and Eric André
EMLYON Business School and EMLYON Business School
Downloads 104 (439,918)

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Reinforcement learning, Factor investing, Equally-weighted portfolio, Asset pricing. JEL classifications: C38, G11, G12

Factor Investing with Reinforcement Learning

Number of pages: 41 Posted: 07 May 2022
Guillaume Coqueret and Eric André
EMLYON Business School and EMLYON Business School
Downloads 89 (492,180)

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Reinforcement learning, Factor investing, Equally-weighted portfolio, Asset pricing. JEL classifications: C38, G11, G12

9.

Persistence in Factor-Based Supervised Learning Models

Downloads 482 (102,818)
Citation 4

Persistence in Factor-Based Supervised Learning Models

Journal of Finance and Data Science
Number of pages: 30 Posted: 29 Jun 2020 Last Revised: 02 Nov 2021
Guillaume Coqueret
EMLYON Business School
Downloads 414 (121,816)

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Factor investing, Machine learning, Asset Pricing, Autocorrelation

Persistence in Factor-Based Supervised Learning Models

Number of pages: 32 Posted: 28 Oct 2021
Guillaume Coqueret
EMLYON Business School
Downloads 68 (573,844)
Citation 5

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Factor Investing, Machine learning, Asset Pricing, Autocorrelation

10.

Boosting ESG-Based Optimization With Asset Pricing Characteristics

Number of pages: 18 Posted: 14 Jul 2021 Last Revised: 23 Jul 2021
Guillaume Coqueret, Sascha Stiernegrip, Christian Morgenstern, James Kelly, Johannes Frey-Skött and Björn Österberg
EMLYON Business School, Informed Portfolio Management AB, Imperial College London - Department of Infectious Disease Epidemiology, Independent, Informed Portfolio Management AB and Informed Portfolio Management AB
Downloads 442 (113,885)
Citation 1

Abstract:

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ESG, portfolio optimization, factor investing

11.

Predictive Regressions: A Machine Learning Perspective

Number of pages: 46 Posted: 10 Nov 2020 Last Revised: 11 Nov 2020
Guillaume Coqueret and Romain Deguest
EMLYON Business School and World Bank
Downloads 401 (127,616)
Citation 2

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Asset Pricing, Predictive Regression, Machine Learning, Estimator Efficiency

12.

Training Trees on Tails with Applications to Portfolio Choice

Number of pages: 34 Posted: 20 Jun 2019 Last Revised: 24 Feb 2020
Guillaume Coqueret and Tony Guida
EMLYON Business School and Université de Savoie - Finance and Banking
Downloads 385 (133,293)

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Decision trees; Filtering training set; Factor investing; Portfolio choice; Feature selection

13.

A Closer Look at the Biodiversity Premium

Number of pages: 20 Posted: 26 Jun 2023 Last Revised: 21 Jul 2023
Guillaume Coqueret and Thomas Giroux
EMLYON Business School and CREST-ENSAE
Downloads 344 (150,767)

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Biodiversity, Corporate Biodiversity Footprint, Stock returns, Asset pricing, Risk Premium

14.

Forking Paths in Empirical Studies

Number of pages: 48 Posted: 05 Jan 2022 Last Revised: 10 Feb 2023
Guillaume Coqueret
EMLYON Business School
Downloads 290 (180,622)
Citation 1

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p-hacking, publication bias, design choices, empirical protocol, model averaging, multiple testing

15.

The Economic Value of Firm-Specific News Sentiment

Number of pages: 42 Posted: 06 Oct 2018 Last Revised: 01 May 2019
Guillaume Coqueret
EMLYON Business School
Downloads 253 (208,012)

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News Sentiment, Predictability, p-hacking, Portfolio Sorts, Market Timing

16.

Characteristics-Based Portfolio Choice with Leverage Constraints

Journal of Banking and Finance, Forthcoming, University of St. Gallen, School of Finance Research Paper No. 2016/06
Number of pages: 46 Posted: 23 Feb 2016 Last Revised: 20 Oct 2020
Manuel Ammann, Guillaume Coqueret and Jan-Philip Schade
University of St. Gallen - School of Finance, EMLYON Business School and University of St. Gallen - School of Finance
Downloads 228 (229,334)
Citation 14

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Portfolio choice, leverage constraint, characteristics-based investing

17.

Characteristics-Driven Returns in Equilibrium

Number of pages: 40 Posted: 12 Oct 2021 Last Revised: 22 Dec 2022
Guillaume Coqueret
EMLYON Business School
Downloads 192 (269,876)
Citation 2

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Characteristics-based investing, Asset pricing, Cross-section of returns

18.

Dynamic decision making with predictive panels

Number of pages: 36 Posted: 03 Jun 2021 Last Revised: 05 Jun 2023
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 110 (422,671)

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Predictive Regressions, Panel Models, Error Decomposition, Out-of-Sample Accuracy, Distribution Shifts

19.

International market exposure to sovereign ESG

Published in the Journal of Sustainable Finance & Investment, by Taylor & Francis. https://doi.org/10.1080/20430795.2022.2148817
Number of pages: 41 Posted: 21 Jun 2022 Last Revised: 28 Nov 2022
Christian Morgenstern, Guillaume Coqueret and James Kelly
Imperial College London - Department of Infectious Disease Epidemiology, EMLYON Business School and Independent
Downloads 84 (501,735)
Citation 1

Abstract:

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factor demand; longitudinal models; sovereign ESG; sustainable investing

20.

An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility

European Journal of Operational Research, Volume 253, Issue 3, September 2016, Pages 648-658
Number of pages: 41 Posted: 02 Aug 2014 Last Revised: 04 Dec 2016
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 71 (552,854)
Citation 4

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Risk Management, Model Risk, Robustness and Sensitivity Analysis, Variance Swap, Forward-start option

21.

Procedural Rationality, Asset Heterogeneity and Market Selection

Number of pages: 47 Posted: 16 Apr 2017 Last Revised: 23 Sep 2018
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 64 (583,872)

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22.

A Note on Implied Correlation for Bivariate Contracts

Economics Bulletin, 2020, Vol. 40, Issue 2, pp. 1388-1396
Number of pages: 10 Posted: 15 Mar 2021
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 49 (661,773)

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Bivariate Contracts, Implied Correlation, Risk Management

23.

Combining Economic and Search-Request Variables to Predict Local Airline Market Shares: A Comparison of Forecasting Methods

Number of pages: 30 Posted: 20 Jul 2020
Paul Chiambaretto and Guillaume Coqueret
Montpellier Business School and EMLYON Business School
Downloads 39 (725,251)

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Airline traffic prediction, machine learning, tree-based methods, search engine requests, frugal forecasting

24.

Interactions in Asset Pricing

Number of pages: 38 Posted: 21 Jul 2023
Guillaume Coqueret, Guillaume Chevalier and Thomas Raffinot
EMLYON Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 33 (768,696)

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Asset pricing, machine learning, decision trees, Portfolio choice, conditional sorts

25.

Tuning Trend Following Strategies with Macro ESG Data

The Journal of Impact and ESG Investing, 2(2), 117–136 https://jesg.pm-research.com/content/2/2/117
Posted: 10 May 2021 Last Revised: 07 Dec 2021
Christian Morgenstern, Guillaume Coqueret and James Kelly
Imperial College London - Department of Infectious Disease Epidemiology, EMLYON Business School and Independent

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Trend Following, Macro ESG, Portfolio Construction

26.

Ensemble Learning Applied to Quant Equity: Gradient Boosting in a Multi-Factor Framework

Big Data and Machine Learning in Quantitative Investment, Wiley finance series. 2018
Posted: 16 Aug 2018
Tony Guida and Guillaume Coqueret
Université de Savoie - Finance and Banking and EMLYON Business School

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Machine learning, Factor Investing, Stock selection, Portfolio construction, Quantitative investment

Other Papers (1)

Total Downloads: 13
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1.

Empirical Properties of a Heterogeneous Agent Model in Large Dimensions

29th Australasian Finance and Banking Conference 2016
Number of pages: 28 Posted: 02 May 2016 Last Revised: 29 May 2018
Guillaume Coqueret
EMLYON Business School
Downloads 13

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Heterogeneous Agents, ABS, Trend-following, Portfolio choice