Guillaume Coqueret

EMLYON Business School

23 Avenue Guy de Collongue

Ecully, 69132

France

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 6,163

SSRN RANKINGS

Top 6,163

in Total Papers Downloads

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. ---  ”

Scholarly Papers (26)

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

Abstract:

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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

Abstract:

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Supervised learning, portfolio choice, transaction costs

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)

Abstract:

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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)

Abstract:

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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

Abstract:

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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)

Abstract:

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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
AXA Investment Managers, EMLYON Business School, EMLYON Business School and AXA-IM
Downloads 557 (86,042)

Abstract:

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

8.
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

Abstract:

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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)

Abstract:

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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)

Abstract:

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

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)

Abstract:

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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

Abstract:

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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
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

Abstract:

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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)

Abstract:

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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

Abstract:

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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

Abstract:

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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

Abstract:

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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

Abstract:

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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)

Abstract:

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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)

Abstract:

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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)

Abstract:

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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

Abstract:

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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
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

Abstract:

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Heterogeneous Agents, ABS, Trend-following, Portfolio choice