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

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 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 detailOption Replication and the Performance of a Market Timer
Hübner, Georges ULg

in Studies in Economics & Finance (2016), 33(1), 2-25

The Treynor and Mazuy framework is a widely used return-based model of market timing. However, existing corrections to the regression intercept can be manipulated through derivatives trading. We propose ... [more ▼]

The Treynor and Mazuy framework is a widely used return-based model of market timing. However, existing corrections to the regression intercept can be manipulated through derivatives trading. We propose an adjustment based on Merton's option replication approach. The linear and quadratic coefficients of the regression are exploited to assess the cost of the replicating option that yields similar convexity for a passive portfolio. A similar reasoning applies for various timing patterns and in multi-factor models. The proposed framework induces a potential rebalancing risk and involves the delicate issue of choosing the cheapest option. We show that these issues can be overcome for reasonable tolerance levels. [less ▲]

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

E-print/Working paper (2016)

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 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 detailThe systematic price of credit risk
François, Pascal; Heck, Stéphanie ULg; Hübner, Georges ULg et al

Conference (2015, June 01)

Using corporate bond index series over a period of 16 years, we provide a detailed decomposition of a bond’s expected returns. We are able to distinguish between the pre- mium related to systematic ... [more ▼]

Using corporate bond index series over a period of 16 years, we provide a detailed decomposition of a bond’s expected returns. We are able to distinguish between the pre- mium related to systematic default risk and the premium related to the default event. We further analyze the determinants of expected returns and of the identified risk premiums, using variables constructed from credit markets, from stock markets and from moment related risk. The variables successfully explain a large part of the variations in those two premiums, however the signs on the variables are exactly opposed in the explanation of the systematic default risk premium and the default event premium. [less ▲]

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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 detailHow does governmental versus private venture capital backing affect a firm's efficiency? Evidence from Belgium
Alperovych; Hübner, Georges ULg; Lobet, Fabrice

in Journal of Business Venturing (2015), 30

We investigate the implications of venture capital (VC) investor type (government or private) on the operating efficiency of a sample of 515 Belgian portfolio firms up to 3 years after the investment. We ... [more ▼]

We investigate the implications of venture capital (VC) investor type (government or private) on the operating efficiency of a sample of 515 Belgian portfolio firms up to 3 years after the investment. We find that the government VC-backed firms display significant reductions in productivity. No significant differences in efficiency are found in firms backed by private VC compared with their non-VC-backed peers. Finally, significant reductions in efficiency exist in targets of government VC compared to their non-VC-backed peers. [less ▲]

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See detailThe prediction of fund failure through performance diagnostics
Cogneau, Philippe ULg; Hübner, Georges ULg

in Journal of Banking and Finance (2015), 50

Using an international database featuring 1624 mutual funds over 15 years, this paper analyses the joint abilities of performance measures to predict subsequent fund failure. We examine the probability of ... [more ▼]

Using an international database featuring 1624 mutual funds over 15 years, this paper analyses the joint abilities of performance measures to predict subsequent fund failure. We examine the probability of disappearance over a time window, and expected fund survival time, and study the circumstances of a fund’s disappearance, its currency and domicile. By combining relevant measures, fund failure appears to a significant extent predictable, more than with single classical measures. Survivorship predictability has significant economic value. Such evidence suggests that past performance does not only influence investors’ perception of fund quality, but also reflects managers’ ability to sustain performance. [less ▲]

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

Scientific conference (2014, October 16)

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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 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)

Detailed reference viewed: 27 (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: 28 (6 ULg)
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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 ▲]

Detailed reference viewed: 51 (8 ULg)
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)

Detailed reference viewed: 41 (9 ULg)