References of "Hübner, Georges"
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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 ▲]

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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 ▲]

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See detailCurrency Total Return Swaps: Valuation and Risk Factor Analysis
Cuchet, Romain; François, Pascal; Hübner, Georges ULg

in Quantitative Finance (2013), 13(7), 1135-1148

Currency total return swaps (CTRS) are hybrid derivatives instruments that allow to simultaneously hedge against credit and currency risks. We develop a structural credit risk model to evaluate CTRS ... [more ▼]

Currency total return swaps (CTRS) are hybrid derivatives instruments that allow to simultaneously hedge against credit and currency risks. We develop a structural credit risk model to evaluate CTRS premia. Empirical test on a sample of 23,005 price observations from 59 underlying issuers yields an average percentage error of around 10%. This indicates that, beyond interest rate risk, firm-specific factors are major drivers of the variations in the valuation of these instruments. Regression analysis of residuals shows that exchange rate determinants account for up to 40% of model pricing errors — indicating that a currency risk premium affects the CTRS price significantly but only marginally, which confirms the prevalence of credit risk in the pricing of CTRS. [less ▲]

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See detailRisk Horizon and Expected Market Returns
Hübner, Georges ULg; Lejeune, Thomas ULg

Conference (2013, June 08)

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See detailRisk Horizon and Expected Market Returns
Hübner, Georges ULg; Lejeune, Thomas ULg

Conference (2013, April)

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See detailHigher-moment risk exposures in hedge funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Scientific conference (2013, January 16)

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See detailPredicting funds of hedge funds attrition through performance diagnostics
Cogneau, Philippe ULg; Debatty, Philippe; Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Reconsidering Funds of Hedge Funds (2013)

The analysis of individual mutual funds survivorship reveals that a model based on the consideration of a wide class of performance measures can be a solid predictor of their disappearance. Given the ... [more ▼]

The analysis of individual mutual funds survivorship reveals that a model based on the consideration of a wide class of performance measures can be a solid predictor of their disappearance. Given the importance of performance fees, this phenomenon is likely to be all the more relevant for funds of hedge funds. In this analysis, we apply a diagnostics methodology to predict the disappearance of funds of hedge funds from databases, which we consider a sign of their attrition. Our research shows that prediction is also possible for these types of hedge funds, and even that the predictive ability of the model is stronger than for mutual funds. [less ▲]

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See detailIs There a Link Between Past Performance and Fund Failure?
Cogneau, Philippe ULg; Bodson, Laurent ULg; Hübner, Georges ULg

in Terraza, Virginie; Razafitombo, Hery (Eds.) Understanding Investment Funds (2013)

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See detailGovernment Debt Denomination Policies Before and After the EMU Advent
Hübner, Georges ULg; Joliet, Robert

in Open Economies Review (2013), 24

Through a cost-minimizing approach, this paper derives joint indicators to assess the efficiency of the mix of sovereign debt currencies between the countries belonging to the European Monetary Union (EMU ... [more ▼]

Through a cost-minimizing approach, this paper derives joint indicators to assess the efficiency of the mix of sovereign debt currencies between the countries belonging to the European Monetary Union (EMU). This theoretical insight enables us to explain why and how the introduction of the euro and the adoption of a common monetary policy may have led to significant changes in debt structure among EMU members, notably in favor of further euro-denominated debt. The interplay of intrinsic and strategic variables yields stylized facts that are consistent with country-specific empirical evidence. Following the sovereign debt crisis, we further emphasize the value-added of a coordinated debt issuance policy among EMU countries. [less ▲]

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See detailIncremental impact of venture capital financing
Alperovych, Yan; Hübner, Georges ULg

in Small Business Economics (2013), 41

This paper investigates the differences in the return generating process of venture capital (VC)-backed firms and their peers that operate without VC financing. Using a unique hand-picked database of 990 ... [more ▼]

This paper investigates the differences in the return generating process of venture capital (VC)-backed firms and their peers that operate without VC financing. Using a unique hand-picked database of 990 VC-backed Belgian firms and a complete population of Belgian small and medium-sized enterprises (SMEs), we focus on the extent to which the presence of a VC investor affects the sensitivity of a firm’s returns to the changes in the capital structure, in the operating cycle, and in the industry dynamics. The differences may stem from the (self-) selection of better companies into VC portfolios, from the venture capitalists’ (VCs) value-adding activities, and/or from both. We examine these factors in the context of a complex simulation procedure which allows separating selection from value-adding when traditional approaches are difficult to implement. Our results indicate that VC-backed firms are able to extract more rent from the changing industry conditions and from the optimizations in their capital structure. The presence of VCs in the firm’s equity seems to have only a marginal effect on the operating cycle efficiency. Overall, the results are suggestive of the value-adding being the main driver of the VC-backed firm’s performance. [less ▲]

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See detailComoment risk and stock returns
Lambert, Marie ULg; Hübner, Georges ULg

in Journal of Empirical Finance (2013), 23

We estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium ... [more ▼]

We estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium and a cokurtosis premium. We construct zero-investment strategies that are long and short in coskewness and cokurtosis equity risks; we infer from the spread the returns attached to a unit exposure to US equity coskewness and cokurtosis. The coskewness and cokurtosis premiums present positive monthly average returns of 0.27% and 0.14% from January 1959 to December 2011. Comoment risks appear to be significantly priced within the US stock market and display significant explanatory power regarding the US size and book-to-market effects. The premiums do not subsume, but rather complement the empirical capital asset pricing model. Our analysis relies on data collected from CRSP (Chicago Research Center for Security Prices) over December 1955 to December 2011. To our knowledge, the paper is the first to propose investable higher-moment risk factors over such an extensive time period. [less ▲]

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See detailAccommodating profile dynamism in MiFID II
Hübner, Georges ULg; Plunus, Séverine ULg

in Revue Bancaire et Financière = Bank- en Financiewezen (2013), (3),

The requirements of the MiFID I and II Directives regarding suitability of investor's advice seem a burden to many banks. Such a point of view induces them, in turn, to consider investor profiling with ... [more ▼]

The requirements of the MiFID I and II Directives regarding suitability of investor's advice seem a burden to many banks. Such a point of view induces them, in turn, to consider investor profiling with great reluctance, and restrict their view on the administrative side only. In this paper, we claim that a genuine client-centric advisory process could turn the personal information gathering and analysis stage into a real asset for a loyal and mutually profitable relationship. The recognition of the different facets of investor profiles - objectives and constraints, horizon, but most notably the distinct dimensions of risk aversion and loss aversion - enables the financial advisor to get a much more refined, objective and convincing financial picture of the client. This, in turn, opens up the way to a greater alignment of the portfolio on the profile. We show, with the example of traditional portfolio allocations based on a static asset allocation process, that the full complexity of the investor's requirement is not met by only accounting for risk aversion in the profiling process. Worse still, the new MiFID II requirement of a dynamic monitoring of the portfolio-profile relation over time can totally become out of control. We also demonstrate that with proper tools, the advisor and portfolio manager can indeed combine a compliance to the letter and spirit of the regulatory process, with the fulfillment of the investor's objective and the generation of "happy moments" in the customer relationship. To achieve this virtuous cycle, financial institutions have to understand that the traditional approaches inherited from the 20th century have to evolve, just like medicine cannot afford to diagnoses diseases on the basis of remedies that used to be state-of-the-art decades ago. [less ▲]

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See detailEvaluating Portfolio Performance: Reconciling Asset Selection and Market Timing
Cavé, Arnaud; Hübner, Georges ULg; Lejeune, Thomas ULg

in Baker, H. Kent; Filbeck, Georges (Eds.) Portfolio Theory and Management (2013)

This chapter examines the performance measurement of mutual funds when both security selection and market timing management skills are considered. In an option replication approach, linear and quadratic ... [more ▼]

This chapter examines the performance measurement of mutual funds when both security selection and market timing management skills are considered. In an option replication approach, linear and quadratic coefficients of the Treynor and Mazuy regression are combined to assess performance in presence of market timing. This new correction has the potential to overcome the “artificial timing” bias and delivers particularly encouraging results on a sample of 1,413 U.S. mutual funds selected for an empirical analysis. Unlike alternative approaches proposed in the literature, most of positive market timers seem to be rewarded for the convexity they add to their portfolio, while negative market timers are penalized, and a correlation between abnormal performance and the convexity parameter is found. [less ▲]

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See detailRisk Horizon and Equilibrium Asset Prices
Hübner, Georges ULg; Lejeune, Thomas ULg

Conference (2012, December 18)

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See detailExcess Return Forecast Using a Dynamic Asset Class Factor Model
Hübner, Georges ULg; Sougné, Danielle ULg; Wijnandts, Jean-Charles ULg

E-print/Working paper (2012)

We propose a Dynamic Hierarchical Factor Model using Asset classes to predict mutual funds excess returns. We use different forecast combination schemes of bivariate model considering each asset class ... [more ▼]

We propose a Dynamic Hierarchical Factor Model using Asset classes to predict mutual funds excess returns. We use different forecast combination schemes of bivariate model considering each asset class factor in isolation. Primary analysis highlights the importance to account for asset class specific variations together with between classes or common variations. Further refinements of the a priori repartition are however in order. Forecasting performance of the model outperforms the historical mean benchmark both in terms of MSPE and utility based criteria. A forecasting exercise matching more closely real-time conditions must be undertaken to validate these initial results. [less ▲]

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See detailComoment risk and stock return
Lambert, Marie ULg; Hübner, Georges ULg

Conference (2012, December)

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See detailHigher-moment risk exposures in hedge funds
Lambert, Marie ULg; Hübner, Georges ULg; Papageorgiou, Nicolas

Conference (2012, December)

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See detailComoment Risk and Stock Returns
Lambert, Marie ULg; Hübner, Georges ULg

E-print/Working paper (2012)

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See detailRisk Horizon and Expected Market Returns
Hübner, Georges ULg; Lejeune, Thomas ULg

E-print/Working paper (2012)

The paper proposes an equilibrium asset pricing model that accounts of the incomplete information on returns distribution and investors' preferences. Only moments up to order four of unknown unconditional ... [more ▼]

The paper proposes an equilibrium asset pricing model that accounts of the incomplete information on returns distribution and investors' preferences. Only moments up to order four of unknown unconditional distribution can be observed, and the model does not impose that portfolio diversi fication or moments preference should hold. Using Chebyshev-type of inequalities, an intuitive risk measure (risk horizon) is introduced with reference to the speed of convergence of a security's mean return to its expectations. By an arbitrage argument, this risk measure is related to the horizon of treasury securities in a system of equations that allows the calibration of the model parameters using term structure information. In particular, the expected return on the market portfolio can be endogenously estimated inside this system. The model calibration on U.S. market data provides plausible parameters estimates and interesting cyclical patterns in the time series of the expected return. The empirical relevance of these estimates is examined with tests of statistical and economic predictive ability for stock excess returns. The results provide signi ficant evidence on the added value of the estimates when compared to popular predictors found in the literature (see a.o. Lettau and Ludvigson, 2001; Rapach and Wohar, 2006; Goyal and Welch, 2008). [less ▲]

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See detailReputational damage of operational loss on the bond market: Evidence from the financial industry
Plunus, Séverine ULg; Gillet, Roland; Hübner, Georges ULg

in International Review of Financial Analysis (2012), 24

We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on ... [more ▼]

We examine bond market reactions to the announcement of operational losses by financial companies. Thanks to the fact the corporate debt is senior to equity, we interpret the cumulated abnormal returns on the bond market of the companies having suffered those losses as a pure reputational impact of operational loss announcements. For a given operational loss, bond returns might be affected at up to three different periods: at the first press release date, when the company recognizes the loss itself and at the settlement date. These impacts hold stronger than for common stocks. We also study the effect of investors' knowledge of the loss amount, and show that the type of operational event and the proportion of the loss in the firm's market value influence the effect of the loss announcement. Cross-sectional analysis indicates that the abnormal return is mostly affected by market-based characteristics for the first press release date, while firm-related characteristics largely affect bond returns upon loss recognition. [less ▲]

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