References of "Lambert, Marie"
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See detailValuation and acquisition finance
Lambert, Marie ULiege

Conference given outside the academic context (2019)

Workshop Valorisation et financement d’une acquisition Cet atelier aborde les questions de valorisation et de structure du capital dans les cas particuliers de fusions, acquisitions ou de transactions ... [more ▼]

Workshop Valorisation et financement d’une acquisition Cet atelier aborde les questions de valorisation et de structure du capital dans les cas particuliers de fusions, acquisitions ou de transactions impliquant des investisseurs financiers. Les orateurs présenteront les notions de base en matière de valorisation, les déterminants de la valeur d’une entreprise et de ce type de transactions. Ils partageront leur expertise sur les questions spécifiques liées à la valorisation de ces fondamentaux lors du processus d’évaluation de la société cible ainsi que de la modélisation de la structure du capital. [less ▲]

Detailed reference viewed: 20 (1 ULiège)
See detailThe EAD puzzle in the value premium
Lambert, Marie ULiege

Scientific conference (2019, April 30)

Firm-specific news content has multiple times greater impact on stock returns during earnings announcements (EA). Using Thomson Reuters News Analytics, we show that glamour stocks are almost twice as ... [more ▼]

Firm-specific news content has multiple times greater impact on stock returns during earnings announcements (EA). Using Thomson Reuters News Analytics, we show that glamour stocks are almost twice as respon- sive to this news release than value stocks which only exhibit a weak initial response. The EA-news effect is not reversed over the rest of the quarter, suggesting that the impact of news is permanent and informative. Our findings are consistent with an increase in idiosyncratic risk post-EA for value stocks due to slower information assimilation. If investors realize on EA that value stocks news convey a disappointing amount of informa- tion (in the sense that implications for future earnings and returns are less obvious than for growth stocks), then those investors will command a premium for bearing post-EA idiosyncratic risk. We further find that low reaction to EA-news is priced: stocks with the lowest sensitivity to EA-news earn a significant 19.80% annualized return and exhibit much greater idiosyncratic risk levels post-EA. [less ▲]

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See detailLooking for the Tangent Portfolio: Risk Optimization Techniques on Equity Style Buckets
Lambert, Marie ULiege

Scientific conference (2019, February 21)

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See detailLooking for the Tangent Portfolio: Risk Optimization Techniques on Equity Style Buckets
Lambert, Marie ULiege

Scientific conference (2019, February 07)

Detailed reference viewed: 20 (1 ULiège)
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Peer Reviewed
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 detailOn the Importance of Factor Construction and Methodology Choice
Lambert, Marie ULiege

Conference given outside the academic context (2018)

Detailed reference viewed: 15 (2 ULiège)
See detailThe challenges of defining a responsible and impactful research policy
Lambert, Marie ULiege

Speech/Talk (2018)

This session addresses the question of how fundamental and applied research both contribute to define a business school. Peter McKiernan and Marie Lambert will share their experience regarding the ... [more ▼]

This session addresses the question of how fundamental and applied research both contribute to define a business school. Peter McKiernan and Marie Lambert will share their experience regarding the challenges related to defining a responsible research policy that promotes and values both types of research in business and management, with the common objective of making an impact on society. We will discuss the issues surrounding the 'Responsibility turn' in B&M research; the challenges of translating fundamental research into research actions and into management practice; and, we will discuss another challenge of capitalising applied research into published research outputs that are shared widely with the international community. [less ▲]

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See detailFactor methodologies matter
Lambert, Marie ULiege

Speech/Talk (2018)

Detailed reference viewed: 25 (1 ULiège)
See detailCommentaires sur le baromètre de l'épargne CBC 2018
Lambert, Marie ULiege

Conference given outside the academic context (2018)

http://www.lalibre.be/economie/placements/savez-vous-ce-qu-il-y-a-vraiment-derriere-un-investissement-durable-infographie-5bb258e8cd70d3638da48ba8

Detailed reference viewed: 19 (1 ULiège)
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 ▲]

Detailed reference viewed: 34 (1 ULiège)
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 ▲]

Detailed reference viewed: 22 (3 ULiège)
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Peer Reviewed
See detailThe impact of external market conditions on real options valuation
Lambert, Marie ULiege

Conference (2018, March 27)

Detailed reference viewed: 18 (4 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: 38 (3 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 ▲]

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Peer Reviewed
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: 41 (12 ULiège)
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See detailSmart Equity Investing: Implementing Risk Optimization Techniques on Strategic Beta Portfolios
Fays, Boris ULiege; Lambert, Marie ULiege; Nicolas, Papageorgiou

E-print/Working paper (2018)

We examine the performance of risk-optimization techniques on equity style portfolios. To form these portfolios, also called Strategic Beta factors by practitioners and data providers, we group stocks ... [more ▼]

We examine the performance of risk-optimization techniques on equity style portfolios. To form these portfolios, also called Strategic Beta factors by practitioners and data providers, we group stocks based on size, value and momentum characteristics through either independent or dependent sorting. Overall, performing risk-oriented strategies on style portfolios constructed with a dependent sort deliver greater abnormal returns. On average, we observe these strategies to significantly outperform 42% of the risk-oriented ETFs listed on US exchanges, compared to 31% when the risk-oriented strategies are performed on portfolios formed with an independent sort. We attribute the outperformance yielded by dependent sorting to the fact that it provides a better stratification of the set of stocks’ opportunity and diversification properties. [less ▲]

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Peer Reviewed
See detailMoral Hazard in High-Risk Environments: Optimal Follow-on Investing in Venture Capital Finance
Tennert, Julius; Lambert, Marie ULiege; Burghof, Hans-Peter

in Venture Capital (2018), 20(4), 323-338

This paper examines the joint effect of environmental risk and moral hazard on staging activity in venture capital financing. We show theoretically and empirically that venture capitalists face a trade ... [more ▼]

This paper examines the joint effect of environmental risk and moral hazard on staging activity in venture capital financing. We show theoretically and empirically that venture capitalists face a trade-off between a) deferring and staging investments to engage in learning of the risky venture and avoid downside losses and b) committing additional funds to update the incentive of the entrepreneur. We describe this trade-off through the timing of follow-on investments and show that highly qualified entrepreneurs demand greater compensation (a larger share) than do less qualified entrepreneurs in situations of high risk. [less ▲]

Detailed reference viewed: 72 (8 ULiège)
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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 ▲]

Detailed reference viewed: 81 (6 ULiège)
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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 ▲]

Detailed reference viewed: 80 (3 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: 127 (3 ULiège)