References of "Lambert, Marie"
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See detailThe impact of external market conditions on real options valuation
Lambert, Marie ULiege

Conference (2018, March 27)

Detailed reference viewed: 13 (1 ULiège)
See detailFactoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition
Lambert, Marie ULiege

Scientific conference (2018, March 15)

Detailed reference viewed: 18 (1 ULiège)
See detailFactoring characteristics into returns
Lambert, Marie ULiege

Scientific conference (2018, March 15)

Detailed reference viewed: 21 (0 ULiège)
See detailL'auto belge est en pleine mutation (CHRONIQUE)
Lambert, Marie ULiege; Ledent, Maxime ULiege; Davoli, Joachim ULiege

Article for general public (2018)

Alors que le Salon de l’auto 2018 bat son plein, HEC Liège finalise une étude des concessionnaires de véhicules neufs en Belgique. Cette étude est effectuée par le service d’analyse financière et de ... [more ▼]

Alors que le Salon de l’auto 2018 bat son plein, HEC Liège finalise une étude des concessionnaires de véhicules neufs en Belgique. Cette étude est effectuée par le service d’analyse financière et de finance d’entreprise de HEC Liège (ULiège) dirigé par le Professeur Marie Lambert dans le cadre d’un partenariat avec BNP Paribas Fortis. L’objectif de l’étude est de mieux appréhender le secteur via une analyse de son évolution, de sa sensibilité face à différentes variables macroéconomiques, et de sa santé financière. Pour ce faire, les comptes annuels de 2010 à 2016 de 35 groupes de concessionnaires sous formats anonymes ont fait l’objet d’une analyse financière détaillée, complétée par des entretiens menés avec deux acteurs majeurs du secteur (Traxio et la Febiac) ainsi que par une enquête auprès des clients concessionnaires de BNP Paribas Fortis et de ses chargés de relations. [less ▲]

Detailed reference viewed: 25 (2 ULiège)
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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 ▲]

Detailed reference viewed: 15 (4 ULiège)
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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 ▲]

Detailed reference viewed: 69 (3 ULiège)
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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 ▲]

Detailed reference viewed: 32 (2 ULiège)
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See detailMedia content for Value and Growth stocks
Lambert, Marie ULiege; Moreno Miranda, Nicolas ULiege

Scientific conference (2017, November 10)

We find evidence that news content relative to value and growth stocks impact the upcoming returns of those stocks using a measure of relative media performance. Looking at value and growth portfolios we ... [more ▼]

We find evidence that news content relative to value and growth stocks impact the upcoming returns of those stocks using a measure of relative media performance. Looking at value and growth portfolios we find that an increase in good news related to one portfolio relative to the other predicts an increase in its return after controlling for the market. This result provides evidence that investors like to simplify their method of portfolio allocation or that given the dichotomy between those stocks they prefer to compare them one with another instead of comparing them to market fundamentals. The results are economically significant as about 5% of monthly returns are explained with our relative media performance index. [less ▲]

Detailed reference viewed: 7 (1 ULiège)
Peer Reviewed
See detailSize and Value Matter But Not the Way You Thought
Lambert, Marie ULiege

Conference (2017, October 12)

Detailed reference viewed: 9 (1 ULiège)
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See detailMedia content for value and growth stocks
Lambert, Marie ULiege; Moreno Miranda, Nicolas ULiege

Scientific conference (2017, September 21)

This paper aims at providing new insights on the risk drivers underly- ing the value premium documented by Fama and French (1993). By using news stories supplied by Thomson Reuters, we seek to explain ... [more ▼]

This paper aims at providing new insights on the risk drivers underly- ing the value premium documented by Fama and French (1993). By using news stories supplied by Thomson Reuters, we seek to explain comove- ment in value and growth stock returns from common information factors embedded in news. We also distinguish between information coming from common news stories and idiosyncratic shocks concerning a smaller subset of firms. This framework allows us to answer three questions: 1) Is there a common risk factor in the news which explains the value anomaly? 2) Is idiosyncratic news information priced? and 3) Does the amount of media attention to an information prime over the polarity of this information? [less ▲]

Detailed reference viewed: 27 (6 ULiège)
Peer Reviewed
See detailReal Options Valuation and Stress Test Analysis
Lambert, Marie ULiege

Conference (2017, July 27)

Detailed reference viewed: 27 (5 ULiège)
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See detailMarket Efficiency and Hedge Fund Trading Strategies
Lambert, Marie ULiege

Conference (2017, July 26)

Detailed reference viewed: 19 (2 ULiège)
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See detailStrategic Beta and Style Investing: Implication of a (In)dependent Sorting
Fays, Boris ULiege; Lambert, Marie ULiege; Papageorgiou, Nicolas

Conference (2017, May 31)

We examine the performance of Strategic Beta on investment style portfolios instead of individual stocks. This method simplifies the allocation and reduces the errors in the covariance matrix of returns ... [more ▼]

We examine the performance of Strategic Beta on investment style portfolios instead of individual stocks. This method simplifies the allocation and reduces the errors in the covariance matrix of returns. We group stocks in categories on size, value and momentum characteristics according to either a traditional independent sort as in Fama and French (1993) or a dependent sort (Lambert and Hübner 2013). Because a dependent sort controls for correlated variables and better stratifies the stock universe in investment style portfolios, Strategic Beta on dependent portfolios delivers significant higher Sharpe ratios. We explain this outperformance with a decomposition of the diversification return from Booth and Fama (1992). [less ▲]

Detailed reference viewed: 11 (2 ULiège)
Peer Reviewed
See detailMarket Efficiency And Hedge Fund Trading Strategies
Lambert, Marie ULiege

Conference (2017, May 31)

Detailed reference viewed: 20 (2 ULiège)
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See detailHedge fund trading strategies and performance: theory and practice
Lambert, Marie ULiege

Scientific conference (2017, April 28)

Detailed reference viewed: 67 (5 ULiège)
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See detailBaromètre financier du secteur Transport et Logistique : évolution et perspectives
Lambert, Marie ULiege

Conference given outside the academic context (2017)

Detailed reference viewed: 28 (4 ULiège)
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See detailAnalyse financière du secteur Transport & Logistique en Belgique
Lambert, Marie ULiege; Ledent, Maxime ULiege; Davoli, Joachim ULiege

Report (2017)

Dans le cadre du partenariat de recherche entre BNP Paribas Fortis et HEC Liège (Université de Liège), nous étudions le secteur « Transport et Logistique » en Belgique. Nous déterminons la situation ... [more ▼]

Dans le cadre du partenariat de recherche entre BNP Paribas Fortis et HEC Liège (Université de Liège), nous étudions le secteur « Transport et Logistique » en Belgique. Nous déterminons la situation financière de ses acteurs au niveau de leur rentabilité et de leur solvabilité, ainsi que l’évolution du secteur en ce qui concerne sa croissance, sa consolidation et son besoin de financement. <br />Deux entretiens réalisés, d’une part, avec un acteur majeur du secteur que nous appellerons fictivement DeltaTrans (22 novembre 2016) et, d’autre part, avec l’UPTR1 (23 janvier 2017), nous permettent de commenter de manière plus « qualitative » nos analyses. <br />L’étude porte sur l’analyse financière des 20 principaux acteurs du secteur « Transport et Logistique » en Belgique sur base du critère de la valeur ajoutée. [less ▲]

Detailed reference viewed: 54 (7 ULiège)
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See detailThe impact of external market conditions on R&D valuation
Lambert, Marie ULiege; Platania, Federico; Moreno, Manuel

E-print/Working paper (2017)

Traditional real options models regard the idiosyncratic risk of a project as the main value driver. Beyond the specific risks embedded in the project, i.e., both its technical and idiosyncratic risk, our ... [more ▼]

Traditional real options models regard the idiosyncratic risk of a project as the main value driver. Beyond the specific risks embedded in the project, i.e., both its technical and idiosyncratic risk, our model captures the interactions among different market, economic and social forces and their impact on R&D project valuation. Using Fourier series, our model aggregates external forces that play relevant roles in the process that determines the cash flow structure. Consequently, the posited model provides managers and policy makers with a powerful yet flexible tool to stress test several economic scenarios under which the project could develop. In a practical case, we apply our novel model and methodology to the valuation of a pharmaceutical R&D project and examine the impact of external forces on the optimal time to launch the project. The real options approach also allows for the possibility of optimally abandoning a project before completion whenever the investment cost exceeds the expected net cash flow stream after considering the impact of market conditions. [less ▲]

Detailed reference viewed: 18 (1 ULiège)
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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)

Detailed reference viewed: 36 (5 ULiège)
See detailBrown Bag Seminar: Size and Value Matter, but not the way you thought
Lambert, Marie ULiege

Scientific conference (2016, July 07)

Detailed reference viewed: 22 (4 ULiège)