Showing results 1 to 20 of 27
 Higher-moment risk exposures in hedge fundsLambert, Marie  ; Hübner, Georges ; Scientific conference (2013, January 16) Detailed reference viewed: 4 (1 ULg) Comoment risk and stock returnLambert, Marie ; Hübner, Georges Conference (2012, December) Detailed reference viewed: 6 (3 ULg)Higher-moment risk exposures in hedge fundsLambert, Marie ; Hübner, Georges ; Conference (2012, December) Detailed reference viewed: 8 (2 ULg)Comoment Risk and Stock ReturnsLambert, Marie ; Hübner, Georges E-print/Working paper (2012) Detailed reference viewed: 20 (3 ULg)Higher-Moment Risk Exposures in Hedge FundsLambert, Marie ; Hübner, Georges ; 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 ▲] Detailed reference viewed: 21 (5 ULg)Measuring downside and extreme risk allocation in equity hedge fundsLambert, Marie Article for general public (2012) Detailed reference viewed: 8 (4 ULg)Hedge Fund Market Risk Exposures: A SurveyLambert, Marie in Finance (2012), 33(1), 39-78 Detailed reference viewed: 51 (7 ULg)The size and book-to-market effects revisitedLambert, Marie ; Hübner, Georges E-print/Working paper (2012) Detailed reference viewed: 12 (2 ULg)Higher-Moment Risk Exposures in Hedge FundsLambert, Marie ; Hübner, Georges ; 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: 11 (1 ULg)A dynamic analysis of higher-comoment risk premiums in Hedge Fund returnsLambert, Marie 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 ▲] Detailed reference viewed: 22 (3 ULg)Dynamic Trading Strategies of Equity Hedge Funds: Empirical evidence on how they adapt to market conditionsLambert, Marie ; Muller, Aline ; Babaei, Hamid E-print/Working paper (2012) Detailed reference viewed: 49 (15 ULg)Higher-Moment Risk Exposures in Hedge FundsLambert, Marie ; Hübner, Georges ; Conference (2012, January) Detailed reference viewed: 5 (0 ULg)Measuring Downside and Extreme Risk Allocation in Equity Hedge FundsLambert, Marie E-print/Working paper (2012) Detailed reference viewed: 21 (3 ULg)The size and book-to-market effects revisitedLambert, Marie ; Hübner, Georges Scientific conference (2011, September) Detailed reference viewed: 4 (0 ULg)Comoment Risk and Stock ReturnsLambert, Marie ; Hübner, Georges Conference (2011, June) Detailed reference viewed: 2 (0 ULg)Directional and Non-Directional Risk Exposures in Hedge Fund ReturnsLambert, Marie ; Hübner, Georges ; Conference (2011, May 13) Detailed reference viewed: 6 (1 ULg)Directional and non-directional risk exposures in Hedge Fund returnsLambert, Marie ; Hübner, Georges ; Conference (2011, April) Detailed reference viewed: 20 (0 ULg)Comoment risk and stock returnsLambert, Marie ; Hübner, Georges Scientific conference (2011, April) Detailed reference viewed: 5 (0 ULg)Comoment Risk and Stock ReturnsLambert, Marie ; Hübner, Georges Conference (2010, December) Detailed reference viewed: 6 (0 ULg)Comoment Risk and Stock ReturnsLambert, Marie ; Hübner, Georges Conference (2010, November) Detailed reference viewed: 4 (0 ULg)
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