References of "Hübner, Georges"
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See detailEmpirical Evidence on the Market Power, Business Model, Banking Stability and Performance in the Emerging Economies
Yudha Sudrajad, Oktofa; Hübner, Georges ULiege

in Eurasian Business Review (in press)

This paper studies the nexus between banks’ market power and business model represented by non-interest income and non-deposit short-term funding share. We also examine the impact of bank business model ... [more ▼]

This paper studies the nexus between banks’ market power and business model represented by non-interest income and non-deposit short-term funding share. We also examine the impact of bank business model on banking stability and performance. We use a sample made up with six ASEAN country banking sectors from 2002 to 2015. We find that banks with a strong capital base but lower net interest margin perform better in translating their market power to generate non-traditional income as alternative soruce of revenues. Our findings also show that the implementation of Basel 2 Accord encourages banks to create non-interest income from trading & derivatives activities. We also document that banks with higher market power tend to increase non-deposit short-term funding in their banking scheme. In the evaluation of the banking stability, our results suggest that banks with greater non-traditional income are associated with less banking overall risk. Moreover, non-traditional incomes also contribute to better bank performance. [less ▲]

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See detailPerformance sharing in risky portfolios: The case of hedge fund returns and fees
Hübner, Georges ULiege; Lambert, Marie ULiege

in Journal of Portfolio Management (2019), 45(4), 105-118

Institutional investors face various leverage and short-sale restrictions that alter competition in the asset management industry. This distortion enables unconstrained investors with high volatility ... [more ▼]

Institutional investors face various leverage and short-sale restrictions that alter competition in the asset management industry. This distortion enables unconstrained investors with high volatility targets to extract additional income from constrained institutional investors. Using a sample of 1,938 long/short equity hedge funds spanning 15 years, the authors show that high-volatility funds charge higher fees and deliver lower net-of-fees Sharpe ratios than do their low-volatility peers. This evidence could be interpreted as a situational rent extraction or as a service compensation. Conversely, increased volatility could result from a manager's ambition to deliver large net information ratios after accounting for a high fee structure. [less ▲]

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See detailGamma Trading Skills in Hedge Funds
Fays, Boris ULiege; Hübner, Georges ULiege; Lambert, Marie ULiege

Conference (2018, May 11)

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option ... [more ▼]

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option features being endogenously defined. The framework provides a flexible tool to create a benchmark for the convexity or concavity of hedge fund payoffs through the selection of option features. For 10,958 hedge funds, our framework manages to replicate 30% of the funds at the 10% significance level and up to 42% at the 20% significance level. We globally assign hedge fund styles to three categories: directional with market timing skills, non-directional and market timers. We also estimate the impact of our framework on hedge fund performance and find positive adjustments for market timing skills but negative adjustments for negative timing (short put) and convergence bets (top straddles). The adjustments strongly depend on the curvature of the payoff. Combining our approach with standard option-like factors used in the literature, we observe almost no selection skills for hedge funds over the sample period. [less ▲]

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See detailGamma Trading Skills in Hedge Funds
Fays, Boris ULiege; Hübner, Georges ULiege; Lambert, Marie ULiege

Scientific conference (2018, May 03)

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option ... [more ▼]

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option features being endogenously defined. The framework provides a flexible tool to create a benchmark for the convexity or concavity of hedge fund payoffs through the selection of option features. For 10,958 hedge funds, our framework manages to replicate 30% of the funds at the 10% significance level and up to 42% at the 20% significance level. We globally assign hedge fund styles to three categories: directional with market timing skills, non-directional and market timers. We also estimate the impact of our framework on hedge fund performance and find positive adjustments for market timing skills but negative adjustments for negative timing (short put) and convergence bets (top straddles). The adjustments strongly depend on the curvature of the payoff. Combining our approach with standard option-like factors used in the literature, we observe almost no selection skills for hedge funds over the sample period. [less ▲]

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See detailBenchmarking the Market Timing Skills of Hedge Funds: An Adjustment from Option Greeks
Fays, Boris ULiege; Hübner, Georges ULiege; Lambert, Marie ULiege

Poster (2018, January 18)

This paper shed new lights on hedge fund industry managers who claim to time the market. We revisit the Treynor and Mazuy model to infer the nature of the gamma trading of hedge funds style and follow the ... [more ▼]

This paper shed new lights on hedge fund industry managers who claim to time the market. We revisit the Treynor and Mazuy model to infer the nature of the gamma trading of hedge funds style and follow the framework of Hübner (2016) who provide an option-based adjustment of alpha for option-like payoffs. We feature convex and concave payoffs for directional and non-directional bets. Our model has applications in performance analysis as we show that adjusting for the convex nature of trades in hedge funds, the alpha of funds with ”smart” market timing ability (long call payoff) is, on average, increased by 0.70% per month. [less ▲]

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See detailWill robo-advice make wealth management tasteless?
Hübner, Georges ULiege

in Revue Bancaire et Financière (2018)

The fast development of robo-advice has responded to a growing demand for automation and enhanced capabilities to industrialize investment advisory (IA) solutions in the FinTech landscape. Until recently ... [more ▼]

The fast development of robo-advice has responded to a growing demand for automation and enhanced capabilities to industrialize investment advisory (IA) solutions in the FinTech landscape. Until recently, the first generation of robo-advisors have naturally focused on the low-end segment of the IA market, mostly thanks to a rather low sophistication of the portfolio allocation systems based on simplistic versions of Modern Portfolio Theory, leaving wealth managers with no serious competition from fully digitized solutions. Nowadays, the second generation of robo-advisors is more ambitious, both from a scientific and an ergonomic point of view. Even though we are not yet witnessing the age of industrialized big data or machine learning fully automated investment advisors, the maturity level of today’s robo-advisors is sufficient to accommodate behavioral sources of complexity like mental accounting or loss aversion at the investor’s level. The pressure on margins induced by regulation and digitalization gradually increases the competitive advantage of robotized IA in the mass affluent and private banking segments, making them a serious threat to those incumbent firms that cannot adapt with proper tooling or niche offering. In the near future, the mature generation of robo-advisors, with full deep learning and data treatment capacities, will presumably coexist with those firms that have been actively preparing today, that will use performant tools besides human expertise, but in a world in which fees will presumably have largely decreased and service quality will have been improved, at the benefit of the customer. [less ▲]

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See detailGamma Trading Skills in Hedge Funds
Fays, Boris ULiege; Hübner, Georges ULiege; Lambert, Marie ULiege

E-print/Working paper (2018)

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option ... [more ▼]

This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs of hedge funds with traded options, with the option features being endogenously defined in our replication model. On top of providing a flexible tool to create individual benchmarks for the payoff curvature of hedge fund, the model helps assigning hedge fund styles into three categories: directional with market timing skills, non-directional and market timers. Overall, our empirical results show that, on 30% of replicated funds in our sample (10,958 funds), there is no evidence of the presence of selection skills once a fund performance is adjusted with respect to the option-based benchmark and the traditional option-based factors of Agarwal and Naik (2004). This research has an incremental potential to stimulate additional research in the field of hedge funds performance replication through passive strategies. [less ▲]

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See detailFactoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition
Lambert, Marie ULiege; Fays, Boris ULiege; Hübner, Georges ULiege

E-print/Working paper (2018)

This paper thoroughly analyzes competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper diversification of the factor's portfolio constituents ... [more ▼]

This paper thoroughly analyzes competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper diversification of the factor's portfolio constituents for producing relevant and unbiased risk factors or benchmark portfolios. This is an important issue to be solved for asset pricing and performance models defined as a function of characteristics. As a practical case, the paper works on the design of size and value spread portfolios à la Fama-French. This quasi- clinical investigation examines three methodological choices that have an impact on portfolio diversification: the (in)dependence and the (a)symmetry of the stock sorting procedure, and the sorting breakpoints. A sequential and symmetric sort of stocks into long and short portfolios conditioned on control variables produces unbiased factors. Our results are stronger when whole firm samples are used to define breakpoints and are also robust to the inclusion of a third dimension in the multiple sorting. [less ▲]

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See detailSeeking the Best Fundamental Risk Factors: A Clinical Approach to Fama-French Portfolio Decomposition
Lambert, Marie ULiege; Fays, Boris ULiege; Hübner, Georges ULiege

E-print/Working paper (2017)

This paper performs a thorough analysis of competing construction methods for the design of size (SMB) and value (HML) spread portfolios à la Fama-French. This quasi-clinical investigation of ... [more ▼]

This paper performs a thorough analysis of competing construction methods for the design of size (SMB) and value (HML) spread portfolios à la Fama-French. This quasi-clinical investigation of methodological choices uncovers substantial differences in the capacity of estimated premiums to translate stock characteristics into returns. A sequential sort of stocks into long and short portfolios conditioned on control variables (“pre-conditioning”) produces factors that best reflect the corresponding fundamental attributes. Our results are stronger when using the whole firm sample to define breakpoints and a triple sort, which ensures the same diversification (in terms of number of firms) across the characteristic-sorted portfolios forming the long and short legs of the factor. Our results are robust to the inclusion of the momentum dimension in the multiple sorting. The best method produces a volatile and insignificant size premium, but a high and stable value premium. [less ▲]

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See detailPerformance sharing in risky portfolios: The case of hedge fund returns and fees
Lambert, Marie ULiege; Hübner, Georges ULiege

E-print/Working paper (2017)

Institutional investors face different types of leverage and short-sale restrictions that alter competition in the asset management industry. This distortion enables high-risk unconstrained investors (e.g ... [more ▼]

Institutional investors face different types of leverage and short-sale restrictions that alter competition in the asset management industry. This distortion enables high-risk unconstrained investors (e.g., equity long/short hedge fund managers) to extract additional income from constrained institutional investors. Using a sample of 1,938 long/short equity hedge funds spanning 15 years, we show that high-volatility funds deliver lower net-of-fees Sharpe ratios than do their low-volatility peers; furthermore, the managers of these funds usually charge higher fees. This evidence can be interpreted as a situational rent extraction or as compensation for the service of enhancing market functioning. [less ▲]

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

Conference (2016, December 20)

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

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 ULiege; Fays, Boris ULiege; Hübner, Georges ULiege

Conference (2016, May 24)

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

Scientific conference (2016, April 22)

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

in Studies in Economics and 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 detailNew Insight on the Performance of Equity Long/short Investment Styles
Fays, Boris ULiege; Hübner, Georges ULiege; Lambert, Marie ULiege

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

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

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 ▲]

Detailed reference viewed: 35 (11 ULiège)
See detailThe systematic price of credit risk
François, Pascal; Heck, Stéphanie ULiege; Hübner, Georges ULiege et al

Scientific conference (2015, October 02)

Detailed reference viewed: 20 (1 ULiège)