Publications and communications of Boris Fays

Fays, B., Hübner, G., & Lambert, M. (July 2022). Understanding the Stable Components of Seasonality in the Size Effect. Journal of Portfolio Management, 48 (7), 138-155. doi:10.3905/jpm.2022.1.363

Fays, B., Hübner, G., & Lambert, M. (13 June 2022). Harvesting the seasons of the size anomaly. Journal of Asset Management, 23 (4), 337-349. doi:10.1057/s41260-022-00272-2

Fays, B., Papageorgiou, N., & Lambert, M. (September 2021). Risk optimizations on basis portfolios: The role of sorting. Journal of Empirical Finance, 63, 136-163. doi:10.1016/j.jempfin.2021.06.002

Lambert, M., Fays, B., & Hübner, G. (May 2020). Factoring Characteristics into Returns: A Clinical Study on the SMB and HML Portfolio Construction Methods. Journal of Banking and Finance, 114. doi:10.1016/j.jbankfin.2020.105811

Fays, B., Hübner, G., & Lambert, M. (2020). The Seasons of the True Size Anomaly. ORBi-University of Liège. https://orbi.uliege.be/handle/2268/252949.

Fays, B., Papageorgiou, N., & Lambert, M. (2020). Risk optimizations on basis portfolios: The role of sorting. ORBi-University of Liège. https://orbi.uliege.be/handle/2268/252029.

Fays, B., Hübner, G., & Lambert, M. (05 December 2019). Gamma Trading Skills in Hedge Funds [Paper presentation]. Séminaire EM Lyon, Lyon, France.

Fays, B. (2019). Efficient Construction of Linear and Nonlinear Equity Risk Strategies [Doctoral thesis, ULiège - Université de Liège]. ORBi-University of Liège. https://orbi.uliege.be/handle/2268/241633

Fays, B., Lambert, M., & Papageorgiou, N. (June 2019). Looking for the Tangent Portfolio: Risk Optimization Techniques on Equity Style Buckets [Paper presentation]. 36th Annual Conference of the French Finance Association (AFFI).

Fays, B., Hübner, G., & Lambert, M. (May 2019). Gamma Trading Skills in Hedge Funds [Paper presentation]. 4th International Workshop on “Financial Markets and Nonlinear Dynamics” (FMND), Paris, France.

Fays, B., Hübner, G., & Lambert, M. (15 January 2019). Gamma Trading Skills in Hedge Funds [Paper presentation]. Séminaire de recherche - IAE Aix-en-Provence, Aix-en-Provence, France.

Fays, B. (03 January 2019). Implied Volatility Spread, Options’ Greeks and the Cross-Section of Stock Returns [Poster presentation]. American Finance Association.

Fays, B., Hübner, G., & Lambert, M. (11 May 2018). Gamma Trading Skills in Hedge Funds [Paper presentation]. HEC / MCGILL SPRING FINANCE WORKSHOP 2018, Montebello, Canada.

Fays, B., Hübner, G., & Lambert, M. (03 May 2018). Gamma Trading Skills in Hedge Funds [Paper presentation]. Research Seminar, Québec, Canada.

Fays, B., Hübner, G., & Lambert, M. (18 January 2018). Benchmarking the Market Timing Skills of Hedge Funds: An Adjustment from Option Greeks [Poster presentation]. 10th Annual Hedge Fund and Private Equity Research Conference, Paris, France.

Fays, B., Hübner, G., & Lambert, M. (2018). Gamma Trading Skills in Hedge Funds. ORBi-University of Liège. https://orbi.uliege.be/handle/2268/223584.

Fays, B., Lambert, M., & Nicolas, P. (2018). Smart Equity Investing: Implementing Risk Optimization Techniques on Strategic Beta Portfolios. ORBi-University of Liège. https://orbi.uliege.be/handle/2268/223582.

Lambert, M., Fays, B., & Hübner, G. (2018). Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition. ORBi-University of Liège. https://orbi.uliege.be/handle/2268/223585.

Lambert, M., Fays, B., & Hübner, G. (2017). Seeking the Best Fundamental Risk Factors: A Clinical Approach to Fama-French Portfolio Decomposition. ORBi-University of Liège. https://orbi.uliege.be/handle/2268/218067.

Fays, B., Lambert, M., & Papageorgiou, N. (31 May 2017). Strategic Beta and Style Investing: Implication of a (In)dependent Sorting [Paper presentation]. AFFI international Conference 2017, Valence, France.

Lambert, M., Fays, B., & Hübner, G. (20 December 2016). Size and Value Matter But Not the Way You Thought [Paper presentation]. 14th Paris December Finance Meeting, Paris, France.

Lambert, M., Hübner, G., & Fays, B. (July 2016). Size and Value Matter But Not the Way You Thought [Paper presentation]. World Finance Conference, NYC, United States - New York.

Lambert, M., Fays, B., & Hübner, G. (24 May 2016). Size and Value Matter But Not the Way You Thought [Paper presentation]. 33rd International Conference of the French Finance Association, Liege, Belgium.

Lambert, M., Fays, B., & Hübner, G. (22 April 2016). Size and Value Matter But Not the Way You Thought [Paper presentation]. Research seminar et EM Strasbourg, Strasbourg, France.

Fays, B., Hübner, G., & Lambert, M. (2016). New Insight on the Performance of Equity Long/short Investment Styles. Bankers, Markets, Investors, 140 (January-February), 34-45.

Lambert, M., Fays, B., & Hübner, G. (2016). Size and Value Matter But Not the Way You Thought. ORBi-University of Liège. https://orbi.uliege.be/handle/2268/201334.

Lambert, M., Fays, B., & Hübner, G. (18 December 2015). Size and Value Matter But Not the Way You Thought [Paper presentation]. 28th Australian Conference in Banking and Finance, Sydney, Australia.