References of "Hübner, Georges"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailReputational damage of operational loss on the bond market: Evidence from the financial industry
Plunus, Séverine ULg; Gillet, Roland; Hübner, Georges ULg

in International Review of Financial Analysis (2012), 24

We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on ... [more ▼]

We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on the bond market of the companies having suffered those losses as a pure reputational impact of operational loss announcements. For a given operational loss, bond returns might be affected at up to three different periods: at the first press release date, when the company recognizes the loss itself and at the settlement date. These impacts hold stronger than for common stocks. We also study the effect of investors' knowledge of the loss amount, and show that the type of operational event and the proportion of the loss in the firm's market value influence the effect of the loss announcement. Cross-sectional analysis indicates that the abnormal return is mostly affected by market-based characteristics for the first press release date, while firm-related characteristics largely affect bond returns upon loss recognition. [less ▲]

Detailed reference viewed: 52 (6 ULg)
Full Text
Peer Reviewed
See detailIs the KIID sufficient to associate portfolios to investor profiles?
Hübner, Georges ULg

in Bankers, Markets, Investors [=BMI] (2012), (118), 14-22

With the Key Investor Information Document (KID), the new UCITS IV framework brings a useful standardized and simplified scheme to explain the risk of mutual funds to non-professional investors. The ... [more ▼]

With the Key Investor Information Document (KID), the new UCITS IV framework brings a useful standardized and simplified scheme to explain the risk of mutual funds to non-professional investors. The Synthetic Risk and Reward Indicator (SRRI) methodology defines how to assess a volatility equivalent for each type of funds, and recognizes the specificities of various types of investment vehicles in the process. The SRRI rests upon two key principles: (i) risk-volatility mapping: the level of risk can be adequately translated by the volatility of returns; and (ii) reward to volatility: there must be a positive connection between the level of risk borne by the individual investor and the associated reward in terms of returns. We show that the SRRI methodology does not guarantee that these two principles are respected in practice. By forcing any type of risk to be translated into a volatility estimate, the approach overlooks investor’s heterogeneity in the definition of risk. The SRRI synthetic approach is powerless to adequately reflect the trade-off between normal and extreme risks the way it is perceived by individual investors. It also ignores that fund returns are not necessarily only related to volatility. We show that the KID does not replace a proper investment profiling system. The analysis of investor profiles is a necessary complement to the KID in order to provide adequate advice to investors. We provide an approach, based on the linear-exponential utility function, that enables the financial advisor to address the heterogeneity of investors when defining the risk of an investment portfolio. [less ▲]

Detailed reference viewed: 126 (21 ULg)
Full Text
See detailThe size and book-to-market effects revisited
Lambert, Marie ULg; Hübner, Georges ULg

E-print/Working paper (2012)

Detailed reference viewed: 18 (2 ULg)
Full Text
Peer Reviewed
See detailHigher-Moment Risk Exposures in Hedge Funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2012, April)

The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model ... [more ▼]

The paper singles out the key roles of US equity skewness and kurtosis in the determination of the market premia embedded in Hedge Fund returns. We propose a conditional higher-moment asset pricing model with location, trading and higher-moment factors in order to describe the dynamics of the Equity Hedge (Market Neutral, Short Selling and Long/Short strategies), Event Driven, Relative Value, and Funds of Hedge Funds styles. The volatility, skewness and kurtosis implied in the US options markets are used by Hedge Fund managers as instruments to anticipate market movements. Managers should adjust their market exposure in response to variations in the implied higher moments. We show that higher-moment premia improve a conditional asset pricing model both in terms of explanatory power (R-squares and Schwarz criterion) and specification errors across all Hedge Fund styles. [less ▲]

Detailed reference viewed: 19 (4 ULg)
Full Text
Peer Reviewed
See detailHigher-Moment Risk Exposures in Hedge Funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2012, January)

Detailed reference viewed: 9 (2 ULg)
Full Text
Peer Reviewed
See detailMeasuring operational risk in financial institutions
Plunus, Séverine ULg; Hübner, Georges ULg; Peters, Jean-Philippe ULg

in Applied Financial Economics (2012), 22(18), 1553-1569

The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a ... [more ▼]

The scarcity of internal loss databases tends to hinder the use of the advanced approaches for operational risk measurement (Advanced Measurement Approaches (AMA)) in financial institutions. As there is a greater variety in credit risk modelling, this article explores the applicability of a modified version of CreditRisk+ to operational loss data. Our adapted model, OpRisk+, works out very satisfying Values-at-Risk (VaR) at 95% level as compared with estimates drawn from sophisticated AMA models. OpRisk+ proves to be especially worthy in the case of small samples, where more complex methods cannot be applied. OpRisk+ could therefore be used to fit the body of the distribution of operational losses up to the 95%-percentile, while Extreme Value Theory (EVT), external databases or scenario analysis should be used beyond this quantile. [less ▲]

Detailed reference viewed: 85 (12 ULg)
Full Text
See detailThe size and book-to-market effects revisited
Lambert, Marie ULg; Hübner, Georges ULg

Scientific conference (2011, September)

Detailed reference viewed: 7 (0 ULg)
Peer Reviewed
See detailThe alpha of a market timer
Hübner, Georges ULg

Conference (2011, June 23)

The Treynor and Mazuy framework is a widely used return-based model of market timing, but existing corrections of the regression intercept can be manipulated through derivatives trading. We propose an ... [more ▼]

The Treynor and Mazuy framework is a widely used return-based model of market timing, but existing corrections of the regression intercept can be manipulated through derivatives trading. We propose an adjustment based on Merton's option replication approach. The linear and quadratic coefficients of the regression are exploited to assess the cost of the replicating option that yields similar convexity for a passive portfolio. A similar reasoning applies for various timing patterns and in multi-factor models. Our empirical application shows that, unlike existing performance adjustment methods, the portfolio replication approach uncovers a positive link between the convexity and the performance of market timing funds. [less ▲]

Detailed reference viewed: 17 (5 ULg)
Full Text
Peer Reviewed
See detailComoment Risk and Stock Returns
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2011, June)

Detailed reference viewed: 2 (0 ULg)
Peer Reviewed
See detailDirectional and Non-Directional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2011, May 13)

Detailed reference viewed: 11 (1 ULg)
Peer Reviewed
See detailThe alpha of a market timer
Hübner, Georges ULg

Conference (2011, May 12)

The Treynor and Mazuy framework is a widely used return-based model of market timing, but existing corrections of the regression intercept can be manipulated through derivatives trading. We propose an ... [more ▼]

The Treynor and Mazuy framework is a widely used return-based model of market timing, but existing corrections of the regression intercept can be manipulated through derivatives trading. We propose an adjustment based on Merton's option replication approach. The linear and quadratic coefficients of the regression are exploited to assess the cost of the replicating option that yields similar convexity for a passive portfolio. A similar reasoning applies for various timing patterns and in multi-factor models. Our empirical application shows that, unlike existing performance adjustment methods, the portfolio replication approach uncovers a positive link between the convexity and the performance of market timing funds. [less ▲]

Detailed reference viewed: 10 (0 ULg)
Full Text
Peer Reviewed
See detailDirectional and non-directional risk exposures in Hedge Fund returns
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2011, April)

Detailed reference viewed: 51 (2 ULg)
Full Text
See detailComoment risk and stock returns
Lambert, Marie ULg; Hübner, Georges ULg

Scientific conference (2011, April)

Detailed reference viewed: 6 (0 ULg)
See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Cavé, Arnaud; Hübner, Georges ULg; Sougné, Danielle ULg

Conference (2011, March 22)

Purpose -- The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach -- The ... [more ▼]

Purpose -- The purpose of this paper is to gain a better understanding of the market timing skills displayed by hedge fund managers during the 2007-08 financial crisis. Design/methodology/approach -- The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge funds strategies in particular: long-short equity, managed futures, and funds of hedge funds. We analyze a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Findings -- Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify "positive", "mixed" and "negative" market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of redemption orders, and inducing negative performance adjusted for market timing. Research limitations/implications -- The adjustment for market timing opens up the way to numerous tests over longer periods, and in particular comparative studies of hedge fund returns using nonlinear risk factors versus exposures to quadratic returns. Originality/value -- The paper suggests that the convexity in returns that is generally associated with market timing can be attributed to three sources: timing skills, exposure to nonlinear risk factors, or liquidity pressures. We manage to identify the impact of the latter two effects in the context of hedge funds. [less ▲]

Detailed reference viewed: 8 (4 ULg)
Full Text
See detailThe alpha of a market timer
Hübner, Georges ULg

Conference (2011, March 18)

The Treynor and Mazuy framework is a widely used return-based model of market timing, but existing corrections of the regression intercept can be manipulated through derivatives trading. We propose an ... [more ▼]

The Treynor and Mazuy framework is a widely used return-based model of market timing, but existing corrections of the regression intercept can be manipulated through derivatives trading. We propose an adjustment based on Merton's option replication approach. The linear and quadratic coefficients of the regression are exploited to assess the cost of the replicating option that yields similar convexity for a passive portfolio. A similar reasoning applies for various timing patterns and in multi-factor models. Our empirical application shows that, unlike existing performance adjustment methods, the portfolio replication approach uncovers a positive link between the convexity and the performance of market timing funds. [less ▲]

Detailed reference viewed: 16 (1 ULg)
Full Text
Peer Reviewed
See detailThe Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential
Cavenaile, Laurent ULg; Coen, Alain; Hübner, Georges ULg

in Journal of Alternative Investments (2011), 13(4),

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian ... [more ▼]

This paper studies the joint impact of smoothing and fat tails on the risk-return properties of hedge fund strategies. First, we adjust risk and performance measures for illiquidity and the non-Gaussian distribution of hedge funds returns. We use two risk metrics: the Modified Value-at-Risk and a preference-based measure retrieved from the linear-exponential utility function. Second, we revisit the hedge fund diversification effect with these adjustments for illiquidity. Our results report similar fund performance rankings and optimal hedge fund strategy allocations for both adjusted metrics. We also show that the benefits of hedge funds in portfolio diversification are still persistent but tend to weaken after the adjustment for illiquidity. [less ▲]

Detailed reference viewed: 81 (14 ULg)
See detailLa crise économique et financière : quelles conséquences ?
Sapir, André; Estache, Antonio; Hübner, Georges ULg et al

Book published by CIFoP (2011)

This book deals with various aspects of the current crisis that originated in the financial sector but put the light or accelerated some underlying problems in public finances, in the industrial field and ... [more ▼]

This book deals with various aspects of the current crisis that originated in the financial sector but put the light or accelerated some underlying problems in public finances, in the industrial field and regarding globalisation. These various papers have been presented and debatted at the 19th Congress of Belgian French Speaking Economists (Namur, 17 nov. 2011). [less ▲]

Detailed reference viewed: 51 (15 ULg)
Full Text
See detailThe added value of a Central Agency of European Debt
Hübner, Georges ULg; Joliet, Robert

in Sapir, André; Estache, Antonio; Hübner, Georges (Eds.) et al La crise économique et financière: quelles conséquences? (2011)

In this paper, we examine the opportunity to create a Central Agency of European Debt (CAED) to improve the coordination between the issuances of sovereign debt in the EMU, by allowing the Agency to issue ... [more ▼]

In this paper, we examine the opportunity to create a Central Agency of European Debt (CAED) to improve the coordination between the issuances of sovereign debt in the EMU, by allowing the Agency to issue euro – bonds and determine the optimal proportion of foreign currency denominated debt and the corresponding maturity at the EMU level. We argue that this Agency could decrease both the overall cost of sovereign debt at the EMU level and the cost of sovereign debt of the individual EMU countries, including the strongest members (Germany, the Netherlands). Such a mechanism requires four economic conditions: a collective guarantee by members for the euro-bonds, a marking-to-market process for each individual member, a seniority of existing sovereign debt, and an internal sovereign swap market between the members of this Agency. [less ▲]

Detailed reference viewed: 32 (4 ULg)
Full Text
Peer Reviewed
See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Hübner, Georges ULg; Sougné, Danielle ULg; Cavé, Arnaud ULg

in Managerial Finance (2011), vol 38(issue 1), 4-26

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio ... [more ▼]

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge funds strategies in particular: long-short equity, managed futures, and funds of hedge funds. We analyze a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify “positive”, “mixed” and “negative” market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of redemption orders, and inducing negative performance adjusted for market timing. [less ▲]

Detailed reference viewed: 77 (13 ULg)
Full Text
See detailThe Market Timing Skills of Hedge Funds during the Financial Crisis
Hübner, Georges ULg; Sougné, Danielle ULg; Cavé, Arnaud ULg

in Gregoriou, Greg.N. (Ed.) Managerial Finance (2011)

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio ... [more ▼]

The performance of a market timer can be measured through the Treynor and Mazuy (1966) model, provided the regression alpha is properly adjusted by using the cost of an option-based replicating portfolio, as shown by Hübner (2010). We adapt this approach to the case of multi-factor models with positive, negative or neutral betas. This new approach is applied on a sample of hedge funds whose managers are likely to exhibit market timing skills. We stick to funds that post weekly returns, and analyze three hedge funds strategies in particular: long-short equity, managed futures, and funds of hedge funds. We analyze a particular period during which the managers of these funds are likely to magnify their presumed skills, namely around the financial and banking crisis of 2008. Some funds adopt a positive convexity as a response to the US market index, while others have a concave sensitivity to the returns of an emerging market index. Thus, we identify “positive”, “mixed” and “negative” market timers. A number of signs indicate that only positive market timers manage to acquire options below their cost, and deliver economic significant performance, even in the midst of the financial crisis. Negative market timers, by contrast, behave as if they were forced to sell options without getting the associated premium. We interpret this behavior as a possible result of fire sales, leading them to liquidate positions under the pressure of redemption orders, and inducing negative performance adjusted for market timing. [less ▲]

Detailed reference viewed: 96 (9 ULg)