Working papers
A Greenwashing Index, will Hélène Mathurin.
We construct a news-implied index of greenwashing. Our index reveals that greenwashing has become particularly prominent in the past five years. Its increase was driven by skepticism towards the financial sector, specifically ESG funds, ESG ratings and green bonds. We show that greenwashing impacts investors' behavior. Unexpected increases in the greenwashing index are followed by decreases of flows into funds advertised as sustainable, both for retail and institutional investors. They furthermore bias the estimation of stocks' beta on climate risk, distorting the estimated climate risk premium. When accounting for greenwashing, the climate risk premium becomes small and statistically insignificant.
Private Market Fund Factors, with Will Goetzmann and Ludovic Phalippou.
Recipient of the Jack Treynor Prize, sponsored by the Q-Group (The Institute for Quantitative Research in Finance).
Recipient of the 2019 ICPM (International Centre for Pension Management) Research Award.
We present a new and flexible methodology to build factors in illiquid markets, from an unbalanced panel of smoothed asset returns. We apply this methodology to a large and unique panel of private market funds.
Main publications and forthcoming papers
Capital Commitment, with Ludovic Phalippou and Mark Westerfield. Forthcoming in the Journal of Finance.
We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors’ portfolios and welfare, and we quantify those effects. Investors are under-allocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counter-intuitively, commitment risk premiums increase with secondary market liquidity and they do not disappear when investments are spread over many funds.
Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets, with Chris Bardgett and Markus Leippold, 2019, Journal of Financial Economics, 131(3), 593-618.
We show that the VIX options' market contains information on the term structure of variance of S&P 500 returns, which is not already spanned by the S&P 500 options' market. We make inferences on the term structure of the variance risk premium and show how they can be used to form trading signals and predict S&P 500 returns.
Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini, 2016, Journal of Financial Economics, 119(1), 44-68.
We introduce a novel class of quadratic term structure models for variance swaps, which fit variance swaps on the S&P 500 remarkably well. We solve a dynamic optimal portfolio problem in variance swaps, index option, stock index and bond, and show that the optimal investment in variance swaps can be used either to achieve stable wealth growth or to seek additional risk premium, depending on the risk profile of the investor.
Other publications
A two-factor cointegrated commodity price model with an application to spread option pricing, with Walter Farkas, Robert Huitema and Ciprian Necula, 2017, Journal of Banking and Finance, 77, 249-268.
We propose a new model for a system of cointegrated commodity prices and show that the cointegration component allows capturing well-known features of commodity prices.
Valuation of options on discretely sampled variance: A general analytic approximation, with Gabriel Drimus and Walter Warkas, 2016, Journal of Computational Finance, 20(2), 39–66.
We propose new methods to value options on discretely sampled variance and provide a thorough comparative analysis of available methods.
Quantification of Operational Risk using Extreme-Value Theory and Copulas : From Theory to Practice, with Donato Abbate and Walter Farkas, 2009, Journal of Operational Risk, 4(3).
Permanent working papers
Pricing of Idiosyncratic Equity and Variance Risks, with Alexander Kontoghiorghes. AFA 2016, EFA 2016.
I find that investors not only require compensation for the systematic movements in returns and variance, but also for non hedgeable idiosyncratic risks. I provide a categorization of sectors and highlight the high prices of idiosyncratic risks in the Energy, Financial and Consumer Discretionary sectors.
A Greenwashing Index, will Hélène Mathurin.
We construct a news-implied index of greenwashing. Our index reveals that greenwashing has become particularly prominent in the past five years. Its increase was driven by skepticism towards the financial sector, specifically ESG funds, ESG ratings and green bonds. We show that greenwashing impacts investors' behavior. Unexpected increases in the greenwashing index are followed by decreases of flows into funds advertised as sustainable, both for retail and institutional investors. They furthermore bias the estimation of stocks' beta on climate risk, distorting the estimated climate risk premium. When accounting for greenwashing, the climate risk premium becomes small and statistically insignificant.
Private Market Fund Factors, with Will Goetzmann and Ludovic Phalippou.
Recipient of the Jack Treynor Prize, sponsored by the Q-Group (The Institute for Quantitative Research in Finance).
Recipient of the 2019 ICPM (International Centre for Pension Management) Research Award.
We present a new and flexible methodology to build factors in illiquid markets, from an unbalanced panel of smoothed asset returns. We apply this methodology to a large and unique panel of private market funds.
Main publications and forthcoming papers
Capital Commitment, with Ludovic Phalippou and Mark Westerfield. Forthcoming in the Journal of Finance.
We show within a novel dynamic portfolio allocation model that ex-ante commitment has large effects on investors’ portfolios and welfare, and we quantify those effects. Investors are under-allocated to private market funds and are willing to pay a larger premium to adjust the quantity committed than to eliminate other frictions, like timing uncertainty and limited tradability. Perhaps counter-intuitively, commitment risk premiums increase with secondary market liquidity and they do not disappear when investments are spread over many funds.
Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets, with Chris Bardgett and Markus Leippold, 2019, Journal of Financial Economics, 131(3), 593-618.
We show that the VIX options' market contains information on the term structure of variance of S&P 500 returns, which is not already spanned by the S&P 500 options' market. We make inferences on the term structure of the variance risk premium and show how they can be used to form trading signals and predict S&P 500 returns.
Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini, 2016, Journal of Financial Economics, 119(1), 44-68.
We introduce a novel class of quadratic term structure models for variance swaps, which fit variance swaps on the S&P 500 remarkably well. We solve a dynamic optimal portfolio problem in variance swaps, index option, stock index and bond, and show that the optimal investment in variance swaps can be used either to achieve stable wealth growth or to seek additional risk premium, depending on the risk profile of the investor.
Other publications
A two-factor cointegrated commodity price model with an application to spread option pricing, with Walter Farkas, Robert Huitema and Ciprian Necula, 2017, Journal of Banking and Finance, 77, 249-268.
We propose a new model for a system of cointegrated commodity prices and show that the cointegration component allows capturing well-known features of commodity prices.
Valuation of options on discretely sampled variance: A general analytic approximation, with Gabriel Drimus and Walter Warkas, 2016, Journal of Computational Finance, 20(2), 39–66.
We propose new methods to value options on discretely sampled variance and provide a thorough comparative analysis of available methods.
Quantification of Operational Risk using Extreme-Value Theory and Copulas : From Theory to Practice, with Donato Abbate and Walter Farkas, 2009, Journal of Operational Risk, 4(3).
Permanent working papers
Pricing of Idiosyncratic Equity and Variance Risks, with Alexander Kontoghiorghes. AFA 2016, EFA 2016.
I find that investors not only require compensation for the systematic movements in returns and variance, but also for non hedgeable idiosyncratic risks. I provide a categorization of sectors and highlight the high prices of idiosyncratic risks in the Energy, Financial and Consumer Discretionary sectors.