Publications of Marie Lambert
Bookmark and Share    
Full Text
See detailUnderstanding the Stable Components of Seasonality in the Size Effect
Fays, Boris ULiege; Hübner, Georges ULiege; Lambert, Marie ULiege

in Journal of Portfolio Management (in press), 48(7),

This paper employs a sequential portfolio sorting procedure, called DSN, to factor size characteristics into returns. This leads to narrower portfolios than the original Fama-French (FF) ‘small’ and ‘big’ ... [more ▼]

This paper employs a sequential portfolio sorting procedure, called DSN, to factor size characteristics into returns. This leads to narrower portfolios than the original Fama-French (FF) ‘small’ and ‘big’ SMB components. The DSN sorting uncovers a purely seasonal part of the global size premium, due to a January effect. The stocks that are common to the FF and DSN small cap portfolios are smaller and of lower quality than those that are only retained by the FF procedure. This phenomenon supports a “tax-loss-pruning” hypothesis, in which investors discard small cap stocks with the lowest quality around the year end for tax reasons. [less ▲]

Detailed reference viewed: 30 (5 ULiège)
Full Text
See detailExtremal connectedness of hedge funds
Mhalla, Linda; Hambuckers, Julien ULiege; Lambert, Marie ULiege

in Journal of Applied Econometrics (in press)

We propose a dynamic measure of extremal connectedness tailored to the short reporting period and unbalanced nature of hedge funds data. Using multivariate extreme value regression techniques, we estimate ... [more ▼]

We propose a dynamic measure of extremal connectedness tailored to the short reporting period and unbalanced nature of hedge funds data. Using multivariate extreme value regression techniques, we estimate this measure conditional on factors reflecting the economic uncertainty and the state of the financial markets, and derive risk indicators reflecting the likelihood of extreme spillovers. Empirically, we study the dynamics of tail dependencies between hedge funds grouped per investment strategies, as well as with the banking sector. We show that during crisis periods, some pairs of strategies display an increase in their extremal connectedness, revealing a higher likelihood of simultaneous extreme losses. We also find a sizable tail dependence between hedge funds and banks, indicating that banks are more likely to suffer extreme losses when the hedge fund sector does. Our results highlight that a proactive regulatory framework should account for the dynamic nature of the tail dependence and its link with financial stress. [less ▲]

Detailed reference viewed: 18 (2 ULiège)
Full Text
See detailCommentaires sur l'observatoire “Epargne et investissements”
Lambert, Marie ULiege

Conference given outside the academic context (2021)

Detailed reference viewed: 21 (1 ULiège)
See detailQuel impact des critères ESG pour le financement des entreprises ?
Lambert, Marie ULiege

Conference given outside the academic context (2021)

Le contexte réglementaire faisant suite au plan d'action européen pour le financement de la croissance durable est vaste, complexe et en pleine expansion. De nombreuses contraintes de reporting ... [more ▼]

Le contexte réglementaire faisant suite au plan d'action européen pour le financement de la croissance durable est vaste, complexe et en pleine expansion. De nombreuses contraintes de reporting d’informations extra-financières et de leur impact financier sont en voie d’être imposées aux acteurs financiers comme les gestionnaires d’actifs, banques et assureurs ainsi qu’aux entreprises commerciales. Par ailleurs, on assiste à une expansion du nombre d’agences fournissant une évaluation de l’impact environnemental, social et la gouvernance des entreprises (rating « ESG »). L’objectif de la rencontre-conférence est de comprendre les implications de ces changements réglementaires et de l’existence de ces ratings pour les entreprises, qu’elles soient cotées ou non cotées en bourse, petites ou grandes. Après une introduction quant au contexte réglementaire et aux ratings , la rencontre-conférence commentera sur l’impact de ce contexte sur le financement des entreprises. [less ▲]

Detailed reference viewed: 21 (1 ULiège)
See detailAgency costs of dry powder in private equity funds
Lambert, Marie ULiege; Scivoletto, Alexandre ULiege; Tykvova, Tereza

Scientific conference (2021, October 21)

The amount of non-invested capital in the private equity industry (dry powder) has raised numerous concerns from public opinion. Our paper gives evidence that the accumulation of an excess cash by the ... [more ▼]

The amount of non-invested capital in the private equity industry (dry powder) has raised numerous concerns from public opinion. Our paper gives evidence that the accumulation of an excess cash by the fund (“dry powder”) at the end of the investment period might induce investment distortions rendering the contracts between the General Partner and the Limited Partners inefficient ex post. We perform an empirical analysis of 383 funds sponsoring 1,011 US LBO deals over the period 1980 – 2019. High levels of dry powder are associated with under-utilization of leverage and larger deals with less syndication. These deals reach a significant lower cash on cash return. This drag on performance is also found at fund level. Our interpretation is that funds with high levels of dry powder at the end of the investment period are subject to pressure to spend the dry powder, which gives rise to agency costs. Our results are consistent with GPs focusing more on maximizing their fees rather than maximizing the value for LPs. [less ▲]

Detailed reference viewed: 24 (1 ULiège)
See detailLa finance est-elle compatible avec la notion de durabilité?
Lambert, Marie ULiege

Conference given outside the academic context (2021)

Detailed reference viewed: 21 (1 ULiège)
Full Text
See detailRisk optimizations on basis portfolios: The role of sorting
Fays, Boris ULiege; Papageorgiou, Nicolas; Lambert, Marie ULiege

in Journal of Empirical Finance (2021), 63

This paper investigates the mean-variance and diversification properties of risk-based strategies ex-ecuted on style or basis portfolios. We show that the performance of these risk strategies is ... [more ▼]

This paper investigates the mean-variance and diversification properties of risk-based strategies ex-ecuted on style or basis portfolios. We show that the performance of these risk strategies is highlysensitive to the sorting procedure used to form the basis assets. Whereas the extant literatureprovides mixed support for the outperformance of smart beta strategies based on scientific diver-sification, our designed strategies outperform both the market model and multifactor model. Ourtesting framework is based on bootstrapped mean-variance spanning tests and shows valid conclu-sions when controlling for multiple testing, transaction costs, and luck from random basis portfolioconstruction rules. Economically, our results are supported by diversification-based properties. [less ▲]

Detailed reference viewed: 31 (2 ULiège)
See detailThe practicalities of ESG in private markets
Lambert, Marie ULiege

Speech/Talk (2021)

Detailed reference viewed: 48 (5 ULiège)
Full Text
See detailAgency costs of dry powder in private equity funds
Lambert, Marie ULiege; Scivoletto, Alexandre ULiege; Tykvova, Tereza

Conference (2021, May 27)

The amount of non-invested capital in the private equity industry or “dry powder” has raised numerous concerns from public opinion. To obtain insight about the drivers of the dry powder development, we ... [more ▼]

The amount of non-invested capital in the private equity industry or “dry powder” has raised numerous concerns from public opinion. To obtain insight about the drivers of the dry powder development, we model the investment behavior of a fund sponsor as a function of their expected fees, the latter being a function of their expected returns as well as their profit-sharing agreement with limited partners (LP). Our empirical analysis is performed on 383 funds sponsoring 1,011 US LBO deals over the period 1980 – 2019. We first show that, consistently with the model, the fund management fees, the change in the fee basis computation towards the end of the investment period and the general partner’s (GP) expected return based on their track record and experience have a significant impact on the dry powder of the fund. Small funds, funds with low management fees or GP with a weak track record are more likely to have an abnormal level of dry powder at the end of the investing period. This situation leads to agency costs as we give evidence of the loss in performance for funds with abnormal dry powder at the end of the investing period. We find that high levels of dry powder lead to investment distortions where GPs focus more on maximizing their fees rather than maximizing the value for LPs. Deals undertaken at the end of the investing period by funds with a large volume of dry powder are under-leveraged, are larger and performed with less syndication to maximize the equity spent. They also present a significant lower cash on cash return. [less ▲]

Detailed reference viewed: 52 (6 ULiège)
Full Text
See detailL'industrie financière, un intermédiaire engagé
Lambert, Marie ULiege; Ruth, Jérôme ULiege

Article for general public (2021)

Detailed reference viewed: 26 (1 ULiège)
See detailSustainable finance for a sustainable society
Lambert, Marie ULiege

Scientific conference (2021, January)

The European Commission has recently launched a large market consultation for accelerating the transition towards sustainable finance. The Commission raises the following two issues in particular: (i) the ... [more ▼]

The European Commission has recently launched a large market consultation for accelerating the transition towards sustainable finance. The Commission raises the following two issues in particular: (i) the need for a long-term focus by companies and investors in order to integrate Environmental (E), Social (S), and Governance (G) factors, or ESG, into their decision-making processes; (ii) the need for redirecting investor money to sustainable products in order to accelerate the transition towards a sustainable society. The workshop will discuss and brainstorm with master students some of the issues to address collectively these goals. In particular, we will discuss the following two topics: (i) the information content of sustainable information provided by rating agencies, (ii) the conditions under which shareholders can favour a sustainable transition for the investee firm. [less ▲]

Detailed reference viewed: 65 (2 ULiège)
Full Text
See detailFactor Investing: The Missing Link between Active and Passive Management
Dare, Wale ULiege; Lambert, Marie ULiege; Darolles, Serge et al

Conference (2020, December 19)

Detailed reference viewed: 82 (3 ULiège)
See detailExtremal connectedness and systemic risk of hedge funds
Mhalla, Linda; Hambuckers, Julien ULiege; Lambert, Marie ULiege

Scientific conference (2020, December 11)

Detailed reference viewed: 29 (2 ULiège)
Full Text
See detailFactor Investing : le lien manquant entre la gestion active et passive
Darolles, Serge; Lambert, Marie ULiege

Article for general public (2020)

Detailed reference viewed: 46 (5 ULiège)
See detailExtremal connectedness and systemic risk of hedge funds
Mhalla, Linda; Hambuckers, Julien ULiege; Lambert, Marie ULiege

Scientific conference (2020, October 29)

Detailed reference viewed: 42 (1 ULiège)
Full Text
See detailFactor Investing and the ARP Economic Cycle
Lambert, Marie ULiege

Conference (2020, October 09)

Detailed reference viewed: 61 (2 ULiège)
Full Text
See detailAgency costs of dry powder in private equity funds
Lambert, Marie ULiege; Scivoletto, Alexandre ULiege; Tykvova, Tereza

Scientific conference (2020, September 21)

The amount of non-invested capital in the private equity industry or “dry powder” has raised numerous concerns from public opinion. To obtain insight about the drivers of the dry powder development, we ... [more ▼]

The amount of non-invested capital in the private equity industry or “dry powder” has raised numerous concerns from public opinion. To obtain insight about the drivers of the dry powder development, we model the investment behavior of a fund sponsor as a function of their expected fees, the latter being a function of their expected returns as well as their profit-sharing agreement with limited partners (LP). Our empirical analysis is performed on 383 funds sponsoring 1,011 US LBO deals over the period 1980 – 2019. We first show that, consistently with the model, the fund management fees, the change in the fee basis computation towards the end of the investment period and the general partner’s (GP) expected return based on their track record and experience have a significant impact on the dry powder of the fund. Small funds, funds with low management fees or GP with a weak track record are more likely to have an abnormal level of dry powder at the end of the investing period. This situation leads to agency costs as we give evidence of the loss in performance for funds with abnormal dry powder at the end of the investing period. We find that high levels of dry powder lead to investment distortions where GPs focus more on maximizing their fees rather than maximizing the value for LPs. Deals undertaken at the end of the investing period by funds with a large volume of dry powder are under-leveraged, are larger and performed with less syndication to maximize the equity spent. They also present a significant lower cash on cash return. Key words: Dry powder, agency costs, private equity, LBO, investment distortions [less ▲]

Detailed reference viewed: 171 (11 ULiège)
See detailAgency costs of dry powder in private equity funds
Lambert, Marie ULiege; Scivoletto, Alexandre ULiege; Tykvova, Tereza

Conference (2020, September 09)

The amount of non-invested capital in the private equity industry or “dry powder” has raised numerous concerns from public opinion. To obtain insight about the drivers of the dry powder development, we ... [more ▼]

The amount of non-invested capital in the private equity industry or “dry powder” has raised numerous concerns from public opinion. To obtain insight about the drivers of the dry powder development, we model the investment behavior of a fund sponsor as a function of their expected fees, the latter being a function of their expected returns as well as their profit-sharing agreement with limited partners (LP). Our empirical analysis is performed on 383 funds sponsoring 1,011 US LBO deals over the period 1980 – 2019. We first show that, consistently with the model, the fund management fees, the change in the fee basis computation towards the end of the investment period and the general partner’s (GP) expected return based on their track record and experience have a significant impact on the dry powder of the fund. Small funds, funds with low management fees or GP with a weak track record are more likely to have an abnormal level of dry powder at the end of the investing period. This situation leads to agency costs as we give evidence of the loss in performance for funds with abnormal dry powder at the end of the investing period. We find that high levels of dry powder lead to investment distortions where GPs focus more on maximizing their fees rather than maximizing the value for LPs. Deals undertaken at the end of the investing period by funds with a large volume of dry powder are under-leveraged, are larger and performed with less syndication to maximize the equity spent. They also present a significant lower cash on cash return. Key words: Dry powder, agency costs, private equity, LBO, investment distortions [less ▲]

Detailed reference viewed: 60 (1 ULiège)
Full Text
See detailCommentaires - Observatoire CBC de l’épargne et prévoyance 2020
Lambert, Marie ULiege

Conference given outside the academic context (2020)

Detailed reference viewed: 39 (1 ULiège)