Guillaume Coqueret

EMLYON Business School

23 Avenue Guy de Collongue

Ecully, 69132

France

  • EMLYON Business School

SCHOLARLY PAPERS

23

DOWNLOADS

8,763

SSRN CITATIONS

12

CROSSREF CITATIONS

4

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 portfolio construction. ---  ”

  • EMLYON Business School

Scholarly Papers (23)

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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 2,741 (7,186)
Citation 1

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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 CFA, Guillaume Coqueret and Thomas Raffinot
AXA Investment Managers, EMLYON Business School and AXA-IM
Downloads 1,250 (24,500)

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Supervised learning, portfolio choice, transaction costs

3.

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 572 (71,346)
Citation 5

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

4.

Interpretable Supervised Portfolios

Number of pages: 30 Posted: 30 Sep 2022
Guillaume Chevalier CFA, Guillaume Coqueret and Thomas Raffinot
AXA Investment Managers, EMLYON Business School and AXA-IM
Downloads 499 (84,458)

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Interpretable Machine Learning, Rulefit, Supervised learning,portfolio construction

5.

ESG news spillovers across the value chain

Downloads 483 ( 87,852)

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 Nord University
Downloads 430 (99,883)

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

ESG News Spillovers Across the Value Chain

Number of pages: 31 Posted: 13 Sep 2022 Last Revised: 26 Oct 2022
Vu Le Tran and Guillaume Coqueret
Nord University and EMLYON Business School
Downloads 53 (546,587)

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

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 407 (107,047)

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Scope 3 emissions, portfolio optimization, sustainable finance

7.

Persistence in Factor-Based Supervised Learning Models

Downloads 403 (108,317)

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 345 (128,086)

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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 58 (523,806)

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Factor Investing, Machine learning, Asset Pricing, Autocorrelation

8.

Factor investing with reinforcement learning

Downloads 351 (126,461)

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 238 (187,917)

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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 62 (506,690)

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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 51 (556,134)

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

9.

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 337 (132,619)

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ESG, portfolio optimization, factor investing

10.

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 IESEG School of Management
Downloads 333 (133,926)

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Asset Pricing, Predictive Regression, Machine Learning, Estimator Efficiency

11.

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 309 (145,844)

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

12.

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 218 (204,712)

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

13.

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 216 (206,548)
Citation 8

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Portfolio choice, leverage constraint, characteristics-based investing

14.

Forking Paths in Empirical Studies

Number of pages: 46 Posted: 05 Jan 2022 Last Revised: 07 Jul 2022
Guillaume Coqueret
EMLYON Business School
Downloads 192 (229,851)

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

15.

Characteristics-Driven Returns in Equilibrium

Number of pages: 31 Posted: 12 Oct 2021 Last Revised: 24 Jan 2022
Guillaume Coqueret
EMLYON Business School
Downloads 171 (253,914)

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

16.

Dynamic decision making with predictive panels

Number of pages: 33 Posted: 03 Jun 2021 Last Revised: 06 Apr 2022
Guillaume Coqueret and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Downloads 80 (436,016)

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

17.

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 56 (524,178)

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18.

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 48 (560,345)
Citation 4

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

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 45 (580,391)

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factor demand; longitudinal models; sovereign ESG; sustainable investing

20.

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 29 (669,465)

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Bivariate Contracts, Implied Correlation, Risk Management

21.

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 23 (714,452)

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

22.

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

23.

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: 6
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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 6

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Heterogeneous Agents, ABS, Trend-following, Portfolio choice