References of "Hübner, Georges"
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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 ▲]

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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 ▲]

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See detailLa gestion de portefeuille
Cobbaut, Robert; Gillet, Roland; Hübner, Georges ULg

Book published by de boeck (2011)

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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 ▲]

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See detailComoment Risk and Stock Returns
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, December)

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See detailComoment Risk and Stock Returns
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, November)

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See detailHow to construct fundamental risk factors?
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, June)

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See detailPerformance de Portefeuille
Bodson, Laurent ULg; Grandin, Pascal; Hübner, Georges ULg et al

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

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See detailHow to construct fundamental risk factors?
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, May)

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See detailHow to construct fundamental risk factors?
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2010, May)

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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 ▲]

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See detailDirectional and Nondirectional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2010, April)

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See detailDirectional and Nondirectional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2010, April)

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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 ▲]

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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)

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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 ▲]

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See detailHedge fund return specification with errors-in-variables
Coën, Alain; Hübner, Georges ULg; Desfleurs, Aurélie

in Journal of Derivatives and Hedge Funds (2010), 16(1), 22-52

In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME ... [more ▼]

In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME) introduced by Dagenais and Dagenais (1997) effectively deals with these issues. Results on individual funds show that the HME specification does not uncover systematic performance biases, but can modify estimated alphas in most cases and identifies relative persistence for directional funds in bearish market conditions. Overall, the risk premia calculated with HME remain relatively stable when compared to ordinary least squares specifications. [less ▲]

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See detailOptimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach
Schyns, Michael ULg; Crama, Yves ULg; Hübner, Georges ULg

in Annals of Operations Research (2010), 181

This paper introduces a multiperiod model for the optimal selection of a financial portfolio of options linked to a single index. The objective of the model is to maximize the expected return of the ... [more ▼]

This paper introduces a multiperiod model for the optimal selection of a financial portfolio of options linked to a single index. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value-at-Risk. We rely on scenarios to represent future security prices. The model contains several interesting features, like the consideration of transaction costs, bid-ask spreads, arbitrage-free option pricing, and the possibility to rebalance the portfolio with options introduced at the start of each period. The resulting mixed integer programming model is applied to realistic test instances involving options on the S&P500 index. In spite of the large size and of the numerical difficulty of this model, near-optimal solutions can be computed by a standard branch-and-cut solver or by a specialized heuristic. The structure and the financial features of the selected portfolios are also investigated. [less ▲]

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULg; Coën, Alain; Hübner, Georges ULg

in Journal of Financial Research (2010), 33(3), 201-221

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute ... [more ▼]

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy. [less ▲]

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