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See detailHedge Fund Market Risk Exposures: A Survey
Lambert, Marie ULiege

in Finance (2012), 33(1), 39-78

Detailed reference viewed: 152 (18 ULiège)
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See detailHedge fund performance and persistence in bull and bear markets
Capocci, Daniel; Corhay, Albert ULiege; Hübner, Georges ULiege

in European Journal of Finance (2005), 11(5), 361-392

This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly ... [more ▼]

This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high attrition rate of funds observed in the down market. An original ten-factor composite performance model is applied that achieves very high significance levels. The analysis of performance indicates that most hedge funds significantly outperformed the market during the whole test period, mostly thanks to the bullish subperiod. In contrast, no significant underperformance of individual hedge funds strategies is observed when markets headed south. The analysis of persistence yields very similar results, with most of the predictability being found among middle performers during the bullish period. However, the "Market Neutral" strategy represents a remarkable exception, as abnormal performance is sustained throughout and significant persistence can be found between the 20% and 69% best performers in this category, probably thanks to an extreme adaptability and a very active investment behaviour.(Abstract EconLit copié le 29/06/06) [less ▲]

Detailed reference viewed: 74 (9 ULiège)
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See detailHedge fund return specification with errors-in-variables
Coën, Alain; Hübner, Georges ULiege; Desfleurs, Aurélie

in Journal of Derivatives and Hedge Funds (2010), 16(1), 22-52

In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME ... [more ▼]

In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME) introduced by Dagenais and Dagenais (1997) effectively deals with these issues. Results on individual funds show that the HME specification does not uncover systematic performance biases, but can modify estimated alphas in most cases and identifies relative persistence for directional funds in bearish market conditions. Overall, the risk premia calculated with HME remain relatively stable when compared to ordinary least squares specifications. [less ▲]

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See detailHedge fund styles and macroeconomic uncertainty
Platania, Federico ULiege; Lambert, Marie ULiege

Conference (2016, May 25)

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades ... [more ▼]

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades, examining which conditioning/macroeconomic variables strongly lead the time variation in fund trades. We report the significance of macroeconomic factors such as interest rates, dividend yield, GDP growth and US unemployment. We show that hedge fund managers do control the intensity of their exposures according to economic uncertainty and that differences between up- and down-market regimes can be observed. Commonly, Hedge funds tend to dislike high-dividend paying stocks. Besides, all hedge fund styles are shown to display pro-cyclical exposures towards directional equity factors as well as credit and liquidity risks. Small growth stocks, however, are revealed to be crisis investments whose allocation increases with unemployment, inflation or volatility. As volatility increases, the value of growth options embedded into growth stocks indeed increases. Growth stocks are shown to hedge market reversals and volatility. The outperformance of growth companies in recessions might also relate to their cost flexibility. Allocation to small stocks embed strong micro risks and might also constitute a hedge in economic slowdowns. This might explain why some funds with such a particular investment focus appear to be countercyclical. [less ▲]

Detailed reference viewed: 23 (4 ULiège)
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See detailHedge fund styles and macroeconomic uncertainty
Platania, Federico ULiege; Lambert, Marie ULiege

Conference (2016, May 10)

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades ... [more ▼]

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades, examining which conditioning/macroeconomic variables strongly lead the time variation in fund trades. We report the significance of macroeconomic factors such as interest rates, dividend yield, GDP growth and US unemployment. We show that hedge fund managers do control the intensity of their exposures according to economic uncertainty and that differences between up- and down-market regimes can be observed. Commonly, Hedge funds tend to dislike high-dividend paying stocks. Besides, all hedge fund styles are shown to display pro-cyclical exposures towards directional equity factors as well as credit and liquidity risks. Small growth stocks, however, are revealed to be crisis investments whose allocation increases with unemployment, inflation or volatility. As volatility increases, the value of growth options embedded into growth stocks indeed increases. Growth stocks are shown to hedge market reversals and volatility. The outperformance of growth companies in recessions might also relate to their cost flexibility. Allocation to small stocks embed strong micro risks and might also constitute a hedge in economic slowdowns. This might explain why some funds with such a particular investment focus appear to be countercyclical. [less ▲]

Detailed reference viewed: 18 (5 ULiège)
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See detailHedge fund styles and macroeconomic uncertainty
Platania, Federico ULiege; Lambert, Marie ULiege

E-print/Working paper (2016)

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades ... [more ▼]

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades, examining which conditioning/macroeconomic variables strongly lead the time variation in fund trades. We report the significance of macroeconomic factors such as interest rates, dividend yield, GDP growth and US unemployment. We show that hedge fund managers do control the intensity of their exposures according to economic uncertainty and that differences between up- and down-market regimes can be observed. Commonly, Hedge funds tend to dislike high-dividend paying stocks. Besides, all hedge fund styles are shown to display pro-cyclical exposures towards directional equity factors as well as credit and liquidity risks. Small growth stocks, however, are revealed to be crisis investments whose allocation increases with unemployment, inflation or volatility. As volatility increases, the value of growth options embedded into growth stocks indeed increases. Growth stocks are shown to hedge market reversals and volatility. The outperformance of growth companies in recessions might also relate to their cost flexibility. Allocation to small stocks embed strong micro risks and might also constitute a hedge in economic slowdowns. This might explain why some funds with such a particular investment focus appear to be countercyclical. [less ▲]

Detailed reference viewed: 22 (4 ULiège)
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See detailHedge fund styles and market uncertainty
Platania, Federico ULiege; Lambert, Marie ULiege

Conference (2016, June 03)

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades ... [more ▼]

This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles. We further investigate the risk drivers of dynamic trades, examining which conditioning/macroeconomic variables strongly lead the time variation in fund trades. We report the significance of macroeconomic factors such as interest rates, dividend yield, GDP growth and US unemployment. We show that hedge fund managers do control the intensity of their exposures according to economic uncertainty and that differences between up- and down-market regimes can be observed. Commonly, Hedge funds tend to dislike high-dividend paying stocks. Besides, all hedge fund styles are shown to display pro-cyclical exposures towards directional equity factors as well as credit and liquidity risks. Small growth stocks, however, are revealed to be crisis investments whose allocation increases with unemployment, inflation or volatility. As volatility increases, the value of growth options embedded into growth stocks indeed increases. Growth stocks are shown to hedge market reversals and volatility. The outperformance of growth companies in recessions might also relate to their cost flexibility. Allocation to small stocks embed strong micro risks and might also constitute a hedge in economic slowdowns. This might explain why some funds with such a particular investment focus appear to be countercyclical. [less ▲]

Detailed reference viewed: 41 (8 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: 66 (5 ULiège)
See detailHedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation
Gregoriou, Greg; Hübner, Georges ULiege; Papageorgiou, Nicolas et al

Book published by J. Wiley & sons (2005)

Detailed reference viewed: 68 (4 ULiège)
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See detailHedgehog ringworm in humans and a dog.
Pierard-Franchimont, Claudine; Hermanns, Jean-François ULiege; Collette, C. et al

in Acta Clinica Belgica (2008), 64

Detailed reference viewed: 13 (0 ULiège)
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See detailHedgehog signaling pathway is inactive in colorectal cancer cell lines
Chatel, Guillaume; Ganeff, Corinne ULiege; Boussif, Naima et al

in International Journal of Cancer = Journal International du Cancer (2007), 121(12), 2622-2627

The Hedgehog (Hh) signaling pathway plays an important role in human development. Abnormal activation of this pathway has been observed in several types of human cancers, such as the upper gastro ... [more ▼]

The Hedgehog (Hh) signaling pathway plays an important role in human development. Abnormal activation of this pathway has been observed in several types of human cancers, such as the upper gastro-intestinal tract cancers. However, activation of the Hh pathway in colorectal cancers is controversial. We analyzed the expression of the main key members of the Hh pathway in 7 colon cancer cell lines in order to discover whether the pathway is constitutively active in these cells. We estimated the expression of SHH, IHH, PTCH, SMO, GLI1, GLI2, GLI3, SUFU and HHIP genes by RT-PCR. Moreover, Hh ligand, Gli3 and Sufu protein levels were quantified by western blotting. None of the cell lines expressed the complete set of Hh pathway members. The ligands were absent from Colo320 and HCT116 cells, Smo from Colo205, HT29 and WiDr. GLI1 gene was not expressed in SW480 cells nor were GLI2/GLI3 in Colo205 or Caco-2 cells. Furthermore the repressive form of Gli3, characteristic of an inactive pathway, was detected in SW480 and Colo320 cells. Finally treatment of colon cancer cells with cyclopamine, a specific inhibitor of the Hh pathway, did not downregulate PTCH and GLI1 genes expression in the colorectal cells, whereas it did so in PANC1 control cells. Taken together, these results indicate that the aberrant activation of the Hh signaling pathway is not common in colorectal cancer cell lines. (c) 2007 Wiley-Liss, Inc. [less ▲]

Detailed reference viewed: 88 (13 ULiège)
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See detailHedgehog- and mTOR-targeted therapies for advanced basal cell carcinomas.
FRANCHIMONT, Claudine ULiege; Hermanns-Lê, Trinh ULiege; PAQUET, Philippe ULiege et al

in Future Oncology (2015), 11

Basal cell carcinomas (BCCs) are the most frequent human cancer. Over 90% of all BCCs have a mutation in patched homologue 1 (PTCH 1) or smoothened (SMO), two conducting proteins of the Hedgehog (Hh ... [more ▼]

Basal cell carcinomas (BCCs) are the most frequent human cancer. Over 90% of all BCCs have a mutation in patched homologue 1 (PTCH 1) or smoothened (SMO), two conducting proteins of the Hedgehog (Hh) pathway. They rarely progress deeply and metastasize; however, if they do, these advanced BCC become amenable to treatment by inhibiting the Hedgehog and the P13K–mTOR pathways. Such innovative drugs include vismodegib, cyclopamine, itraconazole, everolimus and a few other agents that are in early clinical development. [less ▲]

Detailed reference viewed: 97 (26 ULiège)
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See detailHedges and woody strips browsing by cattle on pasture in Wallonia, Belgium
Vandermeulen, Sophie ULiege; Pascal, Mathilde; Marche, Christian et al

in Michalk, David L.; Millar, Geoffrey D.; Badgery, Warwick B. (Eds.) et al Revitalising Grasslands to Sustain our Communities: Proceedings 22nd International Grassland Congress, Sydney 15-19 september 2013 (2013, September)

Agri-environmental measures promote woody hedges along meadows in Wallonia, raising the interest in tree and shrub as forage in intensive mixed dairy temperate production systems. This study aimed at (1 ... [more ▼]

Agri-environmental measures promote woody hedges along meadows in Wallonia, raising the interest in tree and shrub as forage in intensive mixed dairy temperate production systems. This study aimed at (1) determining the influence of an access to hedges on the grazing behavior of young cattle and (2) assessing the fermentation characteristics of woody species promoted in Wallonia. Twelve heifers, divided in two groups, were set to graze a ryegrass and white clover-based pasture in May 2012. The first group had access to a hedge composed of 12 temperate tree and shrub species, and the second group grazed the pasture only. The grazing and browsing behavior of the animals was recorded for 4 weeks along with pasture biomass availability, using the hand-plucking method. Samples of the 12 tree species were fermented using rumen fluid in an automated gas pressure monitoring system and gas production kinetics compared to ryegrass and white clover. Results suggest that the feeding behavior was influenced by the hedge. Grazing time of the control group was higher than heifers that could browse woody foliage (P<0.05). Browsing was especially noticeable when grass availability on pasture was lowest. In vitro ruminal fermentation kinetics differed among species (P<0.01) with Populus nigra and Fraxinus excelsior showing a potential of fermentation similar to herbaceous forages. It can be concluded that due to the browsing by cattle some woody species could be interesting as complementary feeding. Besides their attributes regarding the agricultural landscape, their feeding qualities should be considered when planting the hedges. [less ▲]

Detailed reference viewed: 135 (57 ULiège)
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See detailThe Hedonic Analysis : an Application to the Belgian Housing Market
Broos, Sébastien ULiege

Master's dissertation (2013)

The goal of this master’s thesis is to build a hedonic model to analyse the Belgian housing market and in particular, the market for apartments. We will start by describing what the hedonic theory is and ... [more ▼]

The goal of this master’s thesis is to build a hedonic model to analyse the Belgian housing market and in particular, the market for apartments. We will start by describing what the hedonic theory is and why it is useful. We will also present traditional price indices and the specificities of the housing market. A hedonic price index will be built through ordinary least squares regressions. With its help, we will see that prices of apartments, between 2011 and 2012 and at constant quality, have increased in some regions in Belgium. We will compare our results with another hedonic study about Belgium and with the re- sults from traditional price indices. This comparison will show some conclusions that can be drawn thanks to hedonic price indices. It will also show that they are absolutely needed if economists want to understand the real estate market rigorously. [less ▲]

Detailed reference viewed: 151 (64 ULiège)
Peer Reviewed
See detailA hedonic cost function for water distribution in Belgium: The effect of alternative institutional forms
Evrard, Olivier; Lejeune, Bernard ULiege; Thiry, Bernard

Conference (1993, October 21)

Detailed reference viewed: 53 (22 ULiège)
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See detailHedwig Bock and Albert Wertheim (eds), Essays on Contemporary Post-Colonial Fiction
Maes-Jelinek, Hena ULiege; Pagnoulle, Christine ULiege

in Commonwealth : Essays and Studies (1988), 11(1), 115-117

Detailed reference viewed: 30 (1 ULiège)
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See detailHedwig Margrethe Elisabeth von Ranzau
Henneau, Marie-Elisabeth ULiege

E-print/Working paper (2014)

Detailed reference viewed: 43 (4 ULiège)
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See detailHeel effects on joint contact force components in the equine digit : a sensitivity analysis
Noble, Prisca ULiege; Lejeune, Jean-Philippe ULiege; Caudron, Isabelle ULiege et al

in Equine Veterinary Journal. Supplement (2010), 42

Reasons for performing study: Whereas the effect of heel configuration on the tension of the suspensory apparatus is well documented in the literature, there are few reports of joint contact force ... [more ▼]

Reasons for performing study: Whereas the effect of heel configuration on the tension of the suspensory apparatus is well documented in the literature, there are few reports of joint contact force components in the equine distal forelimb. Objectives: To improve understanding of the effect of heel configuration on equine digit joint loading, a sensitivity analysis was performed to compare the effect of a raised heel on joint contact force components in the coffin and fetlock joints during the stance phase of the trot. Materials and methods: FourWarmblood horses were used. An inverse dynamic analysis was carried out using kinematic and kinetic data. Taking into account the tendon wrapping forces (WF) around the sesamoid bones in the calculations, the joint contact forces (CF) were estimated for the coffin and fetlock joints during the trot stance phase (4 m/s). To test the sensitivity of the results to heel configuration changes, calculations were performed repeatedly for different heel configurations (raised by 0, 6 and 12°). A one-way ANOVA with repeated measures was used to test the effect of heel configuration (at the 3 levels) (a = 0.05; P<0.05; post hoc testing: Bonferroni). Results: For heel configurations raised from 0–12°: whereas the tension of the deep digital flexor tendon decreased and the tension of the superficial digital flexor tendon increased, for the coffin joint the peakWF(1.4 +- 0.25 bwt; 1.2 +- 0.2 bwt; 0.95 +- 0.1 bwt) and the peak CF (2.45 +- 0.25 bwt; 2.2 +- 0.2 bwt; 2 +- 0.1 bwt) decreased significantly (P<0.05). For the fetlock joint, the peak WF (3.8 +- 0.7 bwt; 4.1 +- 0.3 bwt; 4.4 0.25 bwt) and the peak CF (4.35 +- 0.7 bwt; 4.7 +- 0.35 bwt; 5 +- 0.3 bwt) increased, but not significantly. Conclusion: This analysis suggests that the coffin joint loading and fetlock joint loading are strongly connected. The heel configuration may influence both coffin joint and fetlock joint contact force components. [less ▲]

Detailed reference viewed: 87 (10 ULiège)
See detailHegel anthropologue
Lejeune, Guillaume ULiege

Book published by CNRS-éditions (2016)

Detailed reference viewed: 38 (7 ULiège)
See detailHegel critique de l'ontologie
Seba, Jean-Renaud ULiege

Scientific conference (2003, January 16)

Detailed reference viewed: 40 (2 ULiège)