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See detailSeeking the Best Fundamental Risk Factors: A Clinical Approach to Fama-French Portfolio Decomposition
Lambert, Marie ULiege; Fays, Boris ULiege; Hübner, Georges ULiege

E-print/Working paper (2017)

This paper performs a thorough analysis of competing construction methods for the design of size (SMB) and value (HML) spread portfolios à la Fama-French. This quasi-clinical investigation of ... [more ▼]

This paper performs a thorough analysis of competing construction methods for the design of size (SMB) and value (HML) spread portfolios à la Fama-French. This quasi-clinical investigation of methodological choices uncovers substantial differences in the capacity of estimated premiums to translate stock characteristics into returns. A sequential sort of stocks into long and short portfolios conditioned on control variables (“pre-conditioning”) produces factors that best reflect the corresponding fundamental attributes. Our results are stronger when using the whole firm sample to define breakpoints and a triple sort, which ensures the same diversification (in terms of number of firms) across the characteristic-sorted portfolios forming the long and short legs of the factor. Our results are robust to the inclusion of the momentum dimension in the multiple sorting. The best method produces a volatile and insignificant size premium, but a high and stable value premium. [less ▲]

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See detailPerformance sharing in risky portfolios: The case of hedge fund returns and fees
Lambert, Marie ULiege; Hübner, Georges ULiege

E-print/Working paper (2017)

Institutional investors face different types of leverage and short-sale restrictions that alter competition in the asset management industry. This distortion enables high-risk unconstrained investors (e.g ... [more ▼]

Institutional investors face different types of leverage and short-sale restrictions that alter competition in the asset management industry. This distortion enables high-risk unconstrained investors (e.g., equity long/short hedge fund managers) to extract additional income from constrained institutional investors. Using a sample of 1,938 long/short equity hedge funds spanning 15 years, we show that high-volatility funds deliver lower net-of-fees Sharpe ratios than do their low-volatility peers; furthermore, the managers of these funds usually charge higher fees. This evidence can be interpreted as a situational rent extraction or as compensation for the service of enhancing market functioning. [less ▲]

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See detailSize and Value Matter But Not the Way You Thought
Lambert, Marie ULiege

Conference (2017, October 12)

Detailed reference viewed: 8 (1 ULiège)
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See detailMedia content for value and growth stocks
Lambert, Marie ULiege; Moreno Miranda, Nicolas ULiege

Scientific conference (2017, September 21)

This paper aims at providing new insights on the risk drivers underly- ing the value premium documented by Fama and French (1993). By using news stories supplied by Thomson Reuters, we seek to explain ... [more ▼]

This paper aims at providing new insights on the risk drivers underly- ing the value premium documented by Fama and French (1993). By using news stories supplied by Thomson Reuters, we seek to explain comove- ment in value and growth stock returns from common information factors embedded in news. We also distinguish between information coming from common news stories and idiosyncratic shocks concerning a smaller subset of firms. This framework allows us to answer three questions: 1) Is there a common risk factor in the news which explains the value anomaly? 2) Is idiosyncratic news information priced? and 3) Does the amount of media attention to an information prime over the polarity of this information? [less ▲]

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See detailReal Options Valuation and Stress Test Analysis
Lambert, Marie ULiege

Conference (2017, July 27)

Detailed reference viewed: 27 (5 ULiège)
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See detailMarket Efficiency and Hedge Fund Trading Strategies
Lambert, Marie ULiege

Conference (2017, July 26)

Detailed reference viewed: 18 (2 ULiège)
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See detailMarket Efficiency And Hedge Fund Trading Strategies
Lambert, Marie ULiege

Conference (2017, May 31)

Detailed reference viewed: 19 (2 ULiège)
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See detailHedge fund trading strategies and performance: theory and practice
Lambert, Marie ULiege

Scientific conference (2017, April 28)

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See detailBaromètre financier du secteur Transport et Logistique : évolution et perspectives
Lambert, Marie ULiege

Conference given outside the academic context (2017)

Detailed reference viewed: 27 (3 ULiège)
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See detailThe impact of external market conditions on R&D valuation
Lambert, Marie ULiege; Platania, Federico; Moreno, Manuel

E-print/Working paper (2017)

Traditional real options models regard the idiosyncratic risk of a project as the main value driver. Beyond the specific risks embedded in the project, i.e., both its technical and idiosyncratic risk, our ... [more ▼]

Traditional real options models regard the idiosyncratic risk of a project as the main value driver. Beyond the specific risks embedded in the project, i.e., both its technical and idiosyncratic risk, our model captures the interactions among different market, economic and social forces and their impact on R&D project valuation. Using Fourier series, our model aggregates external forces that play relevant roles in the process that determines the cash flow structure. Consequently, the posited model provides managers and policy makers with a powerful yet flexible tool to stress test several economic scenarios under which the project could develop. In a practical case, we apply our novel model and methodology to the valuation of a pharmaceutical R&D project and examine the impact of external forces on the optimal time to launch the project. The real options approach also allows for the possibility of optimally abandoning a project before completion whenever the investment cost exceeds the expected net cash flow stream after considering the impact of market conditions. [less ▲]

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

Conference (2016, December 20)

Detailed reference viewed: 35 (5 ULiège)
See detailBrown Bag Seminar: Size and Value Matter, but not the way you thought
Lambert, Marie ULiege

Scientific conference (2016, July 07)

Detailed reference viewed: 22 (4 ULiège)
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See detailSize and Value Matter But Not the Way You Thought
Lambert, Marie ULiege; Hübner, Georges ULiege; Fays, Boris ULiege

Conference (2016, July)

We propose a simple but fundamental methodological change to Fama and French (1993) factor construction procedure. Consistent with Lambert and Hübner (2013) sequential sorting procedure to classify stocks ... [more ▼]

We propose a simple but fundamental methodological change to Fama and French (1993) factor construction procedure. Consistent with Lambert and Hübner (2013) sequential sorting procedure to classify stocks, our methodology controls ex ante for pricing errors produced by multifactor models. Our size and value factors deliver less specification errors when used to price portfolios, especially regarding low size and high B/M stocks. Furthermore, this alternative framework generates much stronger “turn-of-the-year” size and “through-the-year” book-to-market effects than conventionally documented. The factors also display a slight competitive advantage on the taxonomy of low turnover market anomalies defined by Novy-Marx and Velikov (2015). [less ▲]

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See detailHedge fund styles and market uncertainty
Platania, Federico ULiege; Lambert, Marie ULiege

Conference (2016, June 03)

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades ... [more ▼]

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades, examining which conditioning/macroeconomic variables strongly lead the time variation in fund trades. We report the significance of macroeconomic factors such as interest rates, dividend yield, GDP growth and US unemployment. We show that hedge fund managers do control the intensity of their exposures according to economic uncertainty and that differences between up- and down-market regimes can be observed. Commonly, Hedge funds tend to dislike high-dividend paying stocks. Besides, all hedge fund styles are shown to display pro-cyclical exposures towards directional equity factors as well as credit and liquidity risks. Small growth stocks, however, are revealed to be crisis investments whose allocation increases with unemployment, inflation or volatility. As volatility increases, the value of growth options embedded into growth stocks indeed increases. Growth stocks are shown to hedge market reversals and volatility. The outperformance of growth companies in recessions might also relate to their cost flexibility. Allocation to small stocks embed strong micro risks and might also constitute a hedge in economic slowdowns. This might explain why some funds with such a particular investment focus appear to be countercyclical. [less ▲]

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See detail33rd International AFFI Conference 2016
Platania, Federico ULiege; Lambert, Marie ULiege

Conference (2016, May 25)

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades ... [more ▼]

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades, examining which conditioning/macroeconomic variables strongly lead the time variation in fund trades. We report the significance of macroeconomic factors such as interest rates, dividend yield, GDP growth and US unemployment. We show that hedge fund managers do control the intensity of their exposures according to economic uncertainty and that differences between up- and down-market regimes can be observed. Commonly, Hedge funds tend to dislike high-dividend paying stocks. Besides, all hedge fund styles are shown to display pro-cyclical exposures towards directional equity factors as well as credit and liquidity risks. Small growth stocks, however, are revealed to be crisis investments whose allocation increases with unemployment, inflation or volatility. As volatility increases, the value of growth options embedded into growth stocks indeed increases. Growth stocks are shown to hedge market reversals and volatility. The outperformance of growth companies in recessions might also relate to their cost flexibility. Allocation to small stocks embed strong micro risks and might also constitute a hedge in economic slowdowns. This might explain why some funds with such a particular investment focus appear to be countercyclical. [less ▲]

Detailed reference viewed: 19 (3 ULiège)
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See detailSize and Value Matter But Not the Way You Thought
Lambert, Marie ULiege; Fays, Boris ULiege; Hübner, Georges ULiege

Conference (2016, May 24)

Detailed reference viewed: 23 (3 ULiège)
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See detailBelgian Financial Research Forum
Platania, Federico ULiege; Lambert, Marie ULiege

Conference (2016, May 10)

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades ... [more ▼]

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades, examining which conditioning/macroeconomic variables strongly lead the time variation in fund trades. We report the significance of macroeconomic factors such as interest rates, dividend yield, GDP growth and US unemployment. We show that hedge fund managers do control the intensity of their exposures according to economic uncertainty and that differences between up- and down-market regimes can be observed. Commonly, Hedge funds tend to dislike high-dividend paying stocks. Besides, all hedge fund styles are shown to display pro-cyclical exposures towards directional equity factors as well as credit and liquidity risks. Small growth stocks, however, are revealed to be crisis investments whose allocation increases with unemployment, inflation or volatility. As volatility increases, the value of growth options embedded into growth stocks indeed increases. Growth stocks are shown to hedge market reversals and volatility. The outperformance of growth companies in recessions might also relate to their cost flexibility. Allocation to small stocks embed strong micro risks and might also constitute a hedge in economic slowdowns. This might explain why some funds with such a particular investment focus appear to be countercyclical. [less ▲]

Detailed reference viewed: 16 (3 ULiège)
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See detailSize and Value Matter But Not the Way You Thought
Lambert, Marie ULiege; Fays, Boris ULiege; Hübner, Georges ULiege

Scientific conference (2016, April 22)

Detailed reference viewed: 28 (4 ULiège)
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See detailMoral Hazard in VC Finance: More Expensive than You Thought
Lambert, Marie ULiege; Tennert, Julius; Burghof, Hans-Peter

E-print/Working paper (2016)

Detailed reference viewed: 38 (3 ULiège)