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See detailSize and Value Matter But Not the Way You Thought
Lambert, Marie ULg; Fays, Boris ULg; Hübner, Georges ULg

Scientific conference (2016, April 22)

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See detailNew Insight on the Performance of Equity Long/short Investment Styles
Fays, Boris ULg; Hübner, Georges ULg; Lambert, Marie ULg

in Bankers, Markets, Investors (2016), 140(January-February), 34-45

Long-short equity strategies have recently generated exceptional performance raising a set of concerns about the strategies’ propensity to deliver alpha or beta. This paper revisits the performance of ... [more ▼]

Long-short equity strategies have recently generated exceptional performance raising a set of concerns about the strategies’ propensity to deliver alpha or beta. This paper revisits the performance of equity long-short hedge funds across investments styles. We first categorize individual hedge funds with regard to their size and/or value factor investing along the generalization of Sharpe (1992) style analysis. Style weights on size and value factors are used to split the equity long-short universe in 5x5 hedge fund style portfolios. To analyze the performance of each style, we consider two sets of innovative factors. First, we apply sequential Fama-French model of Lambert, Fays and Hübner (2015). Besides, to captures downside and extreme risk embedded in hedge fund strategies we augment the model with the co-skewness and co-kurtosis factors developed by Lambert and Hübner (2013). Under this framework, we perform cross-sectional performance analyses of individual hedge funds as well as time-series analysis on the hedge fund style broad category. Our contributions are threefold; first, our alternative framework significantly improves the explanatory power of the multi-factor model in the context of long-short equity funds, second, considering higher-moment factors aim to capture part of the abnormal return of the downside and extreme risk exposures taken by a fund manager, and finally, long-short equity hedge funds are, to some extent, less exposed to small capitalisation stocks than expected and instead rather prefer higher momentum levels in their strategies. [less ▲]

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See detailCompte rendu - 28th Australian Conference in Banking and Finance
Lambert, Marie ULg; Fays, Boris ULg; Hübner, Georges ULg

Conference (2015, December 18)

Fama and French risk premiums do not reliably estimate the magnitude of the size or book-to-market effects, inducing many researchers to inflate the number of factors. We object that controlling ex ante ... [more ▼]

Fama and French risk premiums do not reliably estimate the magnitude of the size or book-to-market effects, inducing many researchers to inflate the number of factors. We object that controlling ex ante for noise in the estimation procedure enables to keep a parsimonious set of factors. We replace Fama and French’s independent rankings with the conditional ones introduced by Lambert and Hübner (2013). This alternative framework generates much stronger “turn-of-the-year” size and “through-the-year” book-to-market effects than conventionally documented. Furthermore, the factors deliver less specification errors when used to price portfolios, especially regarding the “small angels” (low size – high BTM stocks). [less ▲]

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See detail2015 FMA Annual Meeting
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

Scientific conference (2015, October)

In this paper we develop a novel valuation model and methodology to value a pharmaceutical R&D project based on real options approach. The real options approach enables the possibility of optimally ... [more ▼]

In this paper we develop a novel valuation model and methodology to value a pharmaceutical R&D project based on real options approach. The real options approach enables the possibility of optimally abandon the project before completion whenever the investment cost turns out to be larger than the expected net cash flow stream. On the other hand, the proposed model accounts for two different sources of uncertainty, those are technical and economic risk. This model incor- porates a novel economic state vector where each economic state captures the interaction among different market and economic forces using Fourier series as the particular basis for the economic function space. In this sense, Fourier series are considered as an aggregate of forces playing a relevant role in the process evolution determining the cash flow structure and also allowing us to properly define an economic scenario where the project will be developed. [less ▲]

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See detailXXIII Foro de Finanzas, Meeting of the Spanish Finance Association
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

Scientific conference (2015, July)

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See detailWorld Finance Conference
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

Scientific conference (2015, July)

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See detail32nd International Conference of the French Finance Association
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

Scientific conference (2015, June)

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See detail5th International Conference of the Financial Engineering and Banking Society
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

Scientific conference (2015, June)

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See detailICRA6 International Conference on Risk Analysis
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

Scientific conference (2015, May)

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

in European Financial Management (2015), 21(2), 236-264

This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund return generating process. We propose a conditional higher-moment model with location, trading, and higher-moment ... [more ▼]

This paper singles out the key roles of US equity skewness and kurtosis in the hedge fund return generating process. We propose a conditional higher-moment model with location, trading, and higher-moment factors to describe the dynamics of the equity hedge, event-driven, relative value, and fund of funds styles. If the volatility, skewness, and kurtosis implied in US options are used by fund managers as instruments to anticipate market movements, managers should adjust their market exposure in response to variations in these moments. We indeed show that higher-moment premia improve the conditional asset pricing model across all hedge fund styles. [less ▲]

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See detailReal options valuation under uncertainty
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

E-print/Working paper (2015)

In this paper we develop a novel valuation model and methodology to value a pharmaceutical R&D project based on real options approach. The real options approach enables the possibility of optimally ... [more ▼]

In this paper we develop a novel valuation model and methodology to value a pharmaceutical R&D project based on real options approach. The real options approach enables the possibility of optimally abandon the project before completion whenever the investment cost turns out to be larger than the expected net cash flow stream. On the other hand, the proposed model accounts for two different sources of uncertainty, those are technical and economic risk. This model incorporates a novel economic state vector where each economic state captures the interaction among different market and economic forces using Fourier series as the particular basis for the economic function space. In this sense, Fourier series are considered as an aggregate of forces playing a relevant role in the process evolution determining the cash flow structure and also allowing us to properly define an economic scenario where the project will be developed. [less ▲]

Detailed reference viewed: 60 (11 ULg)
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See detail22nd Annual Conference of the Multinational Finance Society
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

Scientific conference (2015)

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See detailSize Matters, book-to-market does not! The F&F empirical CAPM revisited
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2014, December 18)

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See detailLes fondamentaux de la valeur des entreprises en Europe
Lambert, Marie ULg; Lenglois, Julien; Streel, Alexandre ULg et al

in Comptabilité et Fiscalité Pratiques (2014)

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See detailSize Matters, Book Value does not! The Fama-French empirical CAPM revisited
Lambert, Marie ULg; Hübner, Georges ULg

Scientific conference (2014, October 16)

Detailed reference viewed: 40 (3 ULg)
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See detailSize Matters, Book Value does not! The Fama-French empirical CAPM revisited
Lambert, Marie ULg; Hübner, Georges ULg

Scientific conference (2014, October 10)

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See detail27èmes Entretiens Jacques Cartier
Lambert, Marie ULg

Conference (2014, October 07)

Detailed reference viewed: 19 (0 ULg)
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See detailLes determinants des Price-Earnings ratios en Europe
Lambert, Marie ULg; Lenglois, Julien ULg; Streel, Alexandre ULg et al

E-print/Working paper (2014)

Méthode largement employée en matière d’évaluation d’entreprise, l’analyse dite comparative s’appuie sur une estimation de la valeur des entreprises selon un multiple de leur agrégat financier. Aussi ... [more ▼]

Méthode largement employée en matière d’évaluation d’entreprise, l’analyse dite comparative s’appuie sur une estimation de la valeur des entreprises selon un multiple de leur agrégat financier. Aussi appelée ‘méthode des pairs’, les multiples sont définis sur base d’un échantillon d’entreprises considérées comme comparable en termes de croissance et de risque. Le secteur est généralement retenu en pratique comme critère sous-tendant la croissance et le profil de risque opérationnel de l’entreprise. L’analyse menée dans cet article démontre l’importance des fondamentaux tels que la croissance, le risque et le taux de distribution des bénéfices dans la définition des pairs et donc de la valeur des entreprises. Sur base d’un échantillon des 100 entreprises cotées sur l’EURONEXT, entreprises les plus capitalisées et liquides, l’étude met en évidence un impact différencié de ces déterminants selon les conditions économiques. Les conséquences de notre analyse sont multiples. Premièrement, notre étude témoigne de l’importance des variables telles que le profil de risque et les perspectives croissance pour la sélection des pairs. Notre approche permet par ailleurs d’appréhender la valeur des entreprises sur base de leurs propres fondamentaux, corrigeant ainsi la méthode des multiples ‘sectoriels’ pour les différences qui subsistent au sein des sous-jacents de la valeur. Finalement, cet article nourrit une discussion quant à l’impact de la finance comportementale sur la valorisation de l’entreprise de par l’impact différencié des fondamentaux sur la valeur des entreprises au cours du temps. [less ▲]

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

Conference (2014, March 26)

Detailed reference viewed: 50 (9 ULg)
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See detailSize Matters, Book Value does not! The Fama-French empirical CAPM revisited
Lambert, Marie ULg; Hübner, Georges ULg

E-print/Working paper (2014)

The Fama and French (F&F) factors do not reliably estimate the size and book-to-market effects. Our paper shows that the former has been underestimated in the US market while the latter overestimated. We ... [more ▼]

The Fama and French (F&F) factors do not reliably estimate the size and book-to-market effects. Our paper shows that the former has been underestimated in the US market while the latter overestimated. We do so by replacing F&F’s independent rankings by the conditional ones introduced by Lambert and Hübner (2013), over which we improve the sorting procedure. This new specification better reflects the properties of the individual risk premiums. We emphasize a much stronger size effect than conventionally documented. As a major related outcome, the alternative risk factors deliver less specification errors when used to price passive investment indices [less ▲]

Detailed reference viewed: 196 (15 ULg)