Publications - Data Science, Economics and Finance
In the three disciplines covered, our professors publish in the best journals and are internationally recognized in many fields: green and climate finance, financial risks, machine learning, portfolio management, etc.
In all three disciplines covered, our faculty publish in top journals including: Journal of Finance, Review of Financial Studies, Journal of Financial Economics, American Economic Review, Econometrica, Management Science and Journal of Econometrics. Many of our researchers are leaders in their respective fields. They are active in international research networks such as the CEPR, and they are editors or members of the scientific or editorial boards of several international journals. The research carried out by our members meets the highest academic standards and aims to be relevant to society, including having a positive impact on the financial industry.
The main areas of research are:
- Finance: asset valuation, portfolio construction, derivatives valuation, risk management, corporate finance, household finance, international finance, sustainable finance, ESG investment, green finance, climate change finance. Part of this research is carried out at the EDHEC- Risk Climate Impact Institute.
- Data Science: financial econometrics, machine learning, time series and high dimensional networks, outlier robust statistics.
- Economics: health economics, family businesses, public policy evaluation, real estate.
European Financial Management, June 2024
Fast Filtering with Large Option Panels: Implications for Asset Pricing
Journal of Financial and Quantitative Analysis, May 2024, Pages 1 - 32
Political Connections and Shareholder Support
British Journal of Management, January 2024
The battle of the factors: Macroeconomic variables or investor sentiment?
Journal of Forecasting, Volume 42, December 2023, Pages 2280 - 2291
Portfolio Losses from Climate Damages: A Guide for Long-Term Investors
EDHEC Risk Climate Impact Institute, EDHEC-Risk Climate Impact Institute Publication, November 2023