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

in European Financial Management (2014), forthcoming

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: 36 (9 ULg)
See detailHigher-moment risk exposures in hedge funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Scientific conference (2013, January 16)

Detailed reference viewed: 22 (4 ULg)
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See detailHigher-moment risk exposures in hedge funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2012, December)

Detailed reference viewed: 19 (7 ULg)
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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 ▲]

Detailed reference viewed: 19 (4 ULg)
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See detailHigher-Moment Risk Exposures in Hedge Funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2012, January)

Detailed reference viewed: 9 (2 ULg)
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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)
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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, April)

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See detailStrategic Analysis of Risk-Shifting Incentives with Convertible Debt
François, Pascal; Hübner, Georges ULg; Papageorgiou, Nicolas

in Quarterly Journal of Finance (2011), 1(2), 293-321

Convertible debt eliminates asset substitution in a one-period setting (Green, 1984). But convertible debt terms are usually set before the asset substitution opportunity. This allows shareholders and ... [more ▼]

Convertible debt eliminates asset substitution in a one-period setting (Green, 1984). But convertible debt terms are usually set before the asset substitution opportunity. This allows shareholders and convertible debtholders to play a strategic noncooperative game. Two risk-shifting Nash equilibria are attainable: pure asset substitution when, despite no conversion, shareholders benefit from shifting risk, and strategic conversion when, despite early conversion, convertible debtholders expropriate wealth from straight debtholders. Even when initial convertible debt is designed to minimize the risk-shifting likelihood, the risk of asset substitution remains economically substantial — contrasting with the agency theoretic rationale for issuing convertible debt. [less ▲]

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See detailDirectional and Nondirectional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2010, April)

Detailed reference viewed: 3 (0 ULg)
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See detailDirectional and Nondirectional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2010, April)

Detailed reference viewed: 12 (1 ULg)
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See detailDominating Funds of Funds with Simple Hedge Fund Strategies
Gregoriou, Greg; Hübner, Georges ULg; Papageorgiou, Nicolas et al

in Journal of Derivatives and Hedge Funds (2007), 13(2), 88-106

We construct simple portfolios of hedge funds whose performance characteristics dominate those of funds of funds using three different measures: the alpha, the Sharpe ratio and the Information ratio ... [more ▼]

We construct simple portfolios of hedge funds whose performance characteristics dominate those of funds of funds using three different measures: the alpha, the Sharpe ratio and the Information ratio. Portfolios made up of non-directional funds with the highest Information ratios and/or Sharpe ratios are likely to exhibit a significant amount of persistence and continue to dominate the best funds of funds on all three performance measures. The large risk exposure of directional hedge fund strategies, however, makes them less likely to dominate funds of funds, even when combined with non-directional hedge funds strategies. Overall, these results seem to imply that the extra layer of fees paid to fund of fund managers are largely unmerited, as we can create portfolios of funds, using simple portfolio construction rules and readily available market information, that greatly outperform the best Fund of Funds. [less ▲]

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See detailSurvival of commodity trading advisors: 1990-2003
Gregoriou, Greg N; Hübner, Georges ULg; Papageorgiou, Nicolas et al

in Journal of Futures Markets (2005), 25(8), 795-815

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990-2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full ... [more ▼]

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990-2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full range of CTA classifications is provided, and it is found that the median lifetime of CTAs in this sample is different than previously documented. Through the implementation of nonparametric, parametric, and semiparametric statistical techniques, it is emphasized that CTA survivorship is heavily contingent on the strategy followed by the fund. Furthermore, a significant positive size effect on survival is shown, whereas poor returns, and to a lesser extent, high-risk exposure, appear to hasten mortality. (c) 2005 Wiley Periodicals, Inc. [less ▲]

Detailed reference viewed: 32 (2 ULg)
See detailHedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation
Gregoriou, Greg; Hübner, Georges ULg; Papageorgiou, Nicolas et al

Book published by J. Wiley & sons (2005)

Detailed reference viewed: 15 (4 ULg)
See detailThe performance of CTAs in changing market conditions
Hübner, Georges ULg; Papageorgiou, Nicolas

in Gregoriou, Greg; Karavas, V. N.; L'habitant, François-Serge (Eds.) et al Commodity Trading Advisors: Risk, Performance Analysis and Selection (2004)

Detailed reference viewed: 17 (3 ULg)