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See detailMarket efficiency and hedge fund trading strategies
Platania, Federico ULg; Lambert, Marie ULg; Papageorgiou, Nicolas

E-print/Working paper (in press)

Stock and option markets can at times reflect differing information. We identify three reasons for the presence of these periods of "disagreement" between the cash and derivatives markets: 1) high ... [more ▼]

Stock and option markets can at times reflect differing information. We identify three reasons for the presence of these periods of "disagreement" between the cash and derivatives markets: 1) high volatility and noise trading; 2) high level of risk aversion; 3) speculation versus hedging trades. This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option markets and the disagreement/agreement periods. We observe that a disparity in information between the two markets is often associated with deleveraging in directional exposures and reversal strategies. Posterior to the event, active tactical asset allocation in small and value factor investing takes place. We investigate four specific macro events which resulted in significant rebalancing by hedge fund manegers: the Thai Baht depreciation, the Dot-com bubble, the credit crunch and the Nasdaq correction. [less ▲]

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See detailHedge fund styles and macroeconomic uncertainty
Platania, Federico ULg; Lambert, Marie ULg

E-print/Working paper (in press)

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 detailAlternative Investments
Platania, Federico ULg; Lambert, Marie ULg

Scientific 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 ULg; Lambert, Marie ULg

Scientific 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 ▲]

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See detailBelgian Financial Research Forum
Platania, Federico ULg; Lambert, Marie ULg

Scientific 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: 14 (1 ULg)
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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)

Detailed reference viewed: 22 (3 ULg)
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Peer Reviewed
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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Peer Reviewed
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)

Detailed reference viewed: 42 (5 ULg)
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See detailWorld Finance Conference
Platania, Federico ULg; Lambert, Marie ULg; Moreno, Manuel

Scientific conference (2015, July)

Detailed reference viewed: 38 (2 ULg)
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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)

Detailed reference viewed: 22 (0 ULg)
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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)

Detailed reference viewed: 22 (1 ULg)
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Peer Reviewed
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 ▲]

Detailed reference viewed: 143 (28 ULg)
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Peer Reviewed
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: 68 (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)

Detailed reference viewed: 22 (0 ULg)
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Peer Reviewed
See detailSize Matters, book-to-market does not! The F&F empirical CAPM revisited
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2014, December 18)

Detailed reference viewed: 140 (7 ULg)
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Peer Reviewed
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)

Detailed reference viewed: 91 (11 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 16)

Detailed reference viewed: 57 (3 ULg)