References of "Lambert, Marie"
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See detailValuation and price expectation mismatch in SME business transfer
Lambert, Marie ULg

Conference (2014, March 26)

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See detailProceedings - Corporate Finance Day
Lambert, Marie ULg

in Proceedings - 11th Corporate Finance Day (2013, October)

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See detail11th Corporate Finance Day
Lambert, Marie ULg

Scientific conference (2013, September 19)

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See detailHigher-moment risk exposures in hedge funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Scientific conference (2013, January 16)

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See detailComoment risk and stock returns
Lambert, Marie ULg; Hübner, Georges ULg

in Journal of Empirical Finance (2013), 23

We estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium ... [more ▼]

We estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium and a cokurtosis premium. We construct zero-investment strategies that are long and short in coskewness and cokurtosis equity risks; we infer from the spread the returns attached to a unit exposure to US equity coskewness and cokurtosis. The coskewness and cokurtosis premiums present positive monthly average returns of 0.27% and 0.14% from January 1959 to December 2011. Comoment risks appear to be significantly priced within the US stock market and display significant explanatory power regarding the US size and book-to-market effects. The premiums do not subsume, but rather complement the empirical capital asset pricing model. Our analysis relies on data collected from CRSP (Chicago Research Center for Security Prices) over December 1955 to December 2011. To our knowledge, the paper is the first to propose investable higher-moment risk factors over such an extensive time period. [less ▲]

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See detailComoment risk and stock return
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2012, December)

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See detailHigher-moment risk exposures in hedge funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2012, December)

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

E-print/Working paper (2012)

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See detailHigher-Moment Risk Exposures in Hedge Funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

E-print/Working paper (2012)

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 ▲]

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See detailMeasuring downside and extreme risk allocation in equity hedge funds
Lambert, Marie ULg

Article for general public (2012)

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See detailHedge Fund Market Risk Exposures: A Survey
Lambert, Marie ULg

in Finance (2012), 33(1), 39-78

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See detailThe size and book-to-market effects revisited
Lambert, Marie ULg; Hübner, Georges ULg

E-print/Working paper (2012)

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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 ▲]

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See detailA dynamic analysis of higher-comoment risk premiums in Hedge Fund returns
Lambert, Marie ULg

in Journal of Derivatives and Hedge Funds (2012), 18(1), 73-84

Hedge funds display a strong non-linear payoff structure because of the use of highly dynamic trading strategies. This article examines the relevance of using higherorder comoment equity risk premiums ... [more ▼]

Hedge funds display a strong non-linear payoff structure because of the use of highly dynamic trading strategies. This article examines the relevance of using higherorder comoment equity risk premiums implied in the United States and the emerging markets for capturing these return non-linearities. We provide evidence that the higherorder comoment equity risk premiums help in explaining the returns of the different hedge fund strategies from the Hedge Fund Research classification. We perform a dynamic analysis where moment risk exposures are examined separately in up and down markets. We show that hedge fund styles tend to vary their exposures to moment risks according to the market regimes. [less ▲]

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See detailHigher-Moment Risk Exposures in Hedge Funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2012, January)

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See detailMeasuring Downside and Extreme Risk Allocation in Equity Hedge Funds
Lambert, Marie ULg

E-print/Working paper (2012)

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See detailThe size and book-to-market effects revisited
Lambert, Marie ULg; Hübner, Georges ULg

Scientific conference (2011, September)

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

Conference (2011, June)

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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)