References of "Hübner, Georges"
     in
Bookmark and Share    
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: 82 (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)
Full Text
Peer Reviewed
See detailExplaining Returns on Venture Capital-Backed Companies: Evidence from Belgium
Alperovych, Yan ULg; Hübner, Georges ULg

in Research in International Business and Finance (2011), 25(3), 277-295

Using a unique database of 990 VC-backed Belgian firms, we study whether compatibility between corporate and environmental characteristics matters. We address two questions: (i) Does the interplay of ... [more ▼]

Using a unique database of 990 VC-backed Belgian firms, we study whether compatibility between corporate and environmental characteristics matters. We address two questions: (i) Does the interplay of company, industry, and product factors affect the expected returns of the VC-backed firms? (ii) Does the joint compatibility between these factors results in a non-linear increase in performance? Panel data analysis shows a significant influence of factor compatibility on returns. Quantile regression analysis indicates a non-linear relationship between the return and its determinants. Conjoint analysis identifies certain combinations of factors, which collapse into classifiable patterns described in the strategic management literature. [less ▲]

Detailed reference viewed: 48 (15 ULg)
Full Text
Peer Reviewed
See detailStrategic Analysis of Risk-Shifting Incentives with Convertible Debt
François, Pascal; Hübner, Georges ULg; Papageorgiou, Nicolas

in Quarterly Journal of Finance (2011), 1(2), 293-321

Convertible debt eliminates asset substitution in a one-period setting (Green, 1984). But convertible debt terms are usually set before the asset substitution opportunity. This allows shareholders and ... [more ▼]

Convertible debt eliminates asset substitution in a one-period setting (Green, 1984). But convertible debt terms are usually set before the asset substitution opportunity. This allows shareholders and convertible debtholders to play a strategic noncooperative game. Two risk-shifting Nash equilibria are attainable: pure asset substitution when, despite no conversion, shareholders benefit from shifting risk, and strategic conversion when, despite early conversion, convertible debtholders expropriate wealth from straight debtholders. Even when initial convertible debt is designed to minimize the risk-shifting likelihood, the risk of asset substitution remains economically substantial — contrasting with the agency theoretic rationale for issuing convertible debt. [less ▲]

Detailed reference viewed: 52 (3 ULg)
See detailLa gestion de portefeuille
Cobbaut, Robert; Gillet, Roland; Hübner, Georges ULg

Book published by de boeck (2011)

Detailed reference viewed: 72 (10 ULg)
Full Text
Peer Reviewed
See detailA Structural Balance Sheet Model of Sovereign Credit Risk
François, Pascal; Hübner, Georges ULg; Sibille, Jean-Roch

in Finance (2011), 1(2), 293-321

This paper studies sovereign credit spreads using a contingent claims model and a balance sheet representation of the sovereign economy. Analytical formulae for domestic and external debt values as well ... [more ▼]

This paper studies sovereign credit spreads using a contingent claims model and a balance sheet representation of the sovereign economy. Analytical formulae for domestic and external debt values as well as for the financial guarantee are derived in a framework where recovery rate is endogenously determined as the solution of a strategic bargaining game. The approach allows to relate sovereign credit spreads to observable macroeconomic factors, and in particular accounts for contagion effects through the corporate and banking sectors. Pricing performance as well as predictions about credit spread determinants are successfully tested on the Brazilian economy. [less ▲]

Detailed reference viewed: 30 (6 ULg)
Full Text
Peer Reviewed
See detailComoment Risk and Stock Returns
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, December)

Detailed reference viewed: 7 (1 ULg)
Full Text
Peer Reviewed
See detailComoment Risk and Stock Returns
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, November)

Detailed reference viewed: 6 (0 ULg)
Full Text
Peer Reviewed
See detailHow to construct fundamental risk factors?
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, June)

Detailed reference viewed: 10 (0 ULg)
See detailPerformance de Portefeuille
Bodson, Laurent ULg; Grandin, Pascal; Hübner, Georges ULg et al

Book published by Pearson - 2ème éd. (2010)

Detailed reference viewed: 128 (16 ULg)
Peer Reviewed
See detailHow to construct fundamental risk factors?
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, May)

Detailed reference viewed: 10 (2 ULg)
Peer Reviewed
See detailHow to construct fundamental risk factors?
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, May)

Detailed reference viewed: 15 (1 ULg)
Full Text
Peer Reviewed
See detailPortfolio Theory with Venture Capital
François, Pascal; Hübner, Georges ULg

Conference (2010, May)

This paper studies the contracting choices between an entrepreneur and venture capital investors in a portfolio context. We rely on the mean-variance framework and derive the optimal choices for an ... [more ▼]

This paper studies the contracting choices between an entrepreneur and venture capital investors in a portfolio context. We rely on the mean-variance framework and derive the optimal choices for an entrepreneur with and without the presence of different kinds of venture capitalists. In particular, we show that the entrepreneur always has the incentive to share the risk and benefits of the venture whenever possible. On the basis of their objectives and characteristics, we distinguish the situations of the corporate, independent, and bank-sponsored venture capital funds. Our framework enables us to derive the optimal contract design for the entrepreneur, featuring the choice of investor, the entrepreneur's investment in the venture, and her dilution in the project's equity as a function of her bargaining power. This result allows us to characterize the choice of the investor depending on her cost of equity and debt capital. In addition to project size and risk, entrepreneur's risk aversion turns out to be a critical determinant of VC investor choice -- a finding which is strongly supported by a panel analysis of VC fund flows for 5 European countries over the 2002--2009 period. [less ▲]

Detailed reference viewed: 141 (7 ULg)
Full Text
Peer Reviewed
See detailDirectional and Nondirectional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2010, April)

Detailed reference viewed: 3 (0 ULg)
Full Text
Peer Reviewed
See detailDirectional and Nondirectional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2010, April)

Detailed reference viewed: 14 (1 ULg)
Full Text
Peer Reviewed
See detailPerformance and persistence of commodity trading advisors: Parametric evidence
Gregoriou, Greg; Hübner, Georges ULg; Kooli, Maher

in Journal of Futures Markets (2010), 30(8), 725-752

We re-examine the performance of Commodity Trading Advisors (CTAs) over the January 1995 to October 2008 period. We compare abnormal performance based on a number of alternative existing models, as well ... [more ▼]

We re-examine the performance of Commodity Trading Advisors (CTAs) over the January 1995 to October 2008 period. We compare abnormal performance based on a number of alternative existing models, as well as a category-specific model introducing asset-, option-, and moments-based factors. Taking more factors into account significantly raises the explanatory power, and 9 out of 12 CTA categories significantly outperform the market. We find that numerous CTAs show persistence over a horizon of at least three months and they are also more likely to be persistent over a longer period. Yet, most of the persistence fades away upon the “acid test” of considering only the top and bottom quartiles of CTAs. [less ▲]

Detailed reference viewed: 66 (5 ULg)
See detailEffect of Benchmark Misspecification on Risk-Adjusted Performance Measures
Bodson, Laurent ULg; Hübner, Georges ULg

in Gregoriou, Greg N.; Hoppe, Christian; Wehn, Carsten (Eds.) The Risk Modeling Evaluation Handbook (2010)

Detailed reference viewed: 101 (25 ULg)
Full Text
Peer Reviewed
See detailOperational Risk and Reputation in the Financial Industry
Gillet, Roland; Hübner, Georges ULg; Plunus, Séverine ULg

in Journal of Banking and Finance (2010), 34

By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals ... [more ▼]

By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals with 154 events coming from the FIRST database of OpVantage. Events occurred between 1990 and 2004 in companies belonging to the financial sector and that are listed on the major European and US Stock Exchanges. Results show significant, negative abnormal returns at the announcement date of the loss, along with an increase in the volumes of trade. In cases of internal fraud, the loss in market value is greater that the operational loss amount announced, which is interpreted as a sign of reputational damage. Negative impact is proportionally greater when the loss amount represents a larger share in the company’s net profit. [less ▲]

Detailed reference viewed: 101 (10 ULg)