Publications of Georges Hubner
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See detailEfficient Resource Allocation in the Context of the Coronavirus Crisis: Towards a Private Equity Fund Financed by Collective Savings
Hübner, Georges ULiege

in Revue Bancaire et Financière (2020), 2020/4

With the coronavirus crisis, we anticipate an aggravation of the inefficiency of the allocation of financial resources in the Belgian economy, with excess idle savings from households and an increasing ... [more ▼]

With the coronavirus crisis, we anticipate an aggravation of the inefficiency of the allocation of financial resources in the Belgian economy, with excess idle savings from households and an increasing shortfall of equity for many companies impacted by the economic downturn. We discuss the conditions under which, on the one hand, the savings surplus could be mobilized, and on the other hand, the corporate world could accept the infusion of outside equity capital. The proposed solution, following standard Asset & Liabilities Management (ALM) principles, is the setup of a private equity fund offering callable, convertible and cumulative preferred shares, funded through the issuance of either (i) a popular bond with floating coupon assorted with the government guarantee, or (ii) an asset backed security with a senior fixed coupon and a junior equity tranche, with the collaboration of the financial sector. [less ▲]

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See detailTurning collective savings into private equity investments: The Covid-19 crisis as a catalyst for pan-European efficient resource allocation
Hübner, Georges ULiege

in SUERF Policy Notes (2020), (166), 1-11

With the coronavirus crisis, we anticipate an aggravation of the inefficiency of the allocation of financial resources in Europe, with excess idle savings from households and an increasing shortfall of ... [more ▼]

With the coronavirus crisis, we anticipate an aggravation of the inefficiency of the allocation of financial resources in Europe, with excess idle savings from households and an increasing shortfall of equity for many companies impacted by the economic downturn. We discuss the conditions under which, on the one hand, the savings surplus could be mobilized, and on the other hand, the corporate world could accept the infusion of outside equity capital. The proposed solution, following standard Asset & Liability Management (ALM) principles, is the setup of a private equity fund offering callable, convertible and cumulative preferred shares, funded through the issuance of either (i) a pan-European bond with floating coupon assorted with the public guarantee, or (ii) an asset backed security with a senior fixed coupon and a junior equity tranche, with the collaboration of the financial sector. [less ▲]

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See detailFactoring Characteristics into Returns: A Clinical Study on the SMB and HML Portfolio Construction Methods
Lambert, Marie ULiege; Fays, Boris ULiege; Hübner, Georges ULiege

in Journal of Banking and Finance (2020), 114

Factor performance is highly sensitive to the number of stocks composing its long and short basis portfolios. We examine three methodological choices that have an impact on portfolio diversification: the ... [more ▼]

Factor performance is highly sensitive to the number of stocks composing its long and short basis portfolios. We examine 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. We show that these methodological choices have to be considered jointly and that a dependent (D) sort that starts with the control variables with whole sample or “name” (N) breakpoints and that performs a symmetric (S) sort on characteristics minimizes the biases from unpriced risks. This paper also demonstrates that the biases introduced by currently popular sorting methodologies can become very severe under specific market conditions and are not driven by small capitalizations. This alternative framework generates much stronger “turn-of-the- year” size and “through-the-year” book-to-market effects than what is conventionally documented. [less ▲]

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See detailInternational Mutual Funds Performance and Persistence across the Universe of Performance Measures
Cogneau, Philippe ULiege; Hübner, Georges ULiege

in Finance (2020), 41(1), 97-176

We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity ... [more ▼]

We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential strong performance persistence. These factors reflect various forms of incremental return and preference-adjusted performance. Our paper is the first one that shows statistical and economic evidence that conditioning portfolio formation on past realizations of these factors may produce significant outperformance, from the point of view of naïve portfolio allocation as well as more classical selection criteria like the Sharpe ratio. [less ▲]

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See detailMental Accounts with Horizon and Asymmetry Preferences
Hübner, Georges ULiege; Lejeune, Thomas ULiege

Conference (2019, December 19)

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

Scientific conference (2019, December 05)

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See detailMental Accounts with Horizon and Asymmetry Preferences
Hübner, Georges ULiege; Lejeune, Thomas ULiege

Conference (2019, June)

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

Conference (2019, May)

Detailed reference viewed: 18 (0 ULiège)
See detailMental Accounts with Horizon and Asymmetry Preferences
Hübner, Georges ULiege; Lejeune, Thomas ULiege

Conference (2019, April)

Detailed reference viewed: 14 (1 ULiège)
See detailGamma Trading Skills in Hedge Funds
Fays, Boris ULiege; Hübner, Georges ULiege; Lambert, Marie ULiege

Scientific conference (2019, January 15)

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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 detailGestion de portefeuille
Gillet, Roland; Hübner, Georges ULiege

Book published by De Boeck Supérieur - 3ème édition (2019)

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See detailEmpirical evidence on bank market power, business models, stability and performance in the emerging economies
Yudha Sudrajad, Oktofa; Hübner, Georges ULiege

in Eurasian Business Review (2019), 9

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 detailHow do Volatility Regimes Affect the Pricing of Quality and Liquidity in the Stock Market ?
Bazgour, Tarik ULiege; Heuchenne, Cédric ULiege; Hübner, Georges ULiege et al

in Studies in Nonlinear Dynamics and Econometrics (2019)

This paper shows how stock market volatility regimes affect the cross-section of stock returns along quality and liquidity dimensions. We find that, during crisis periods, low quality and low liquidity ... [more ▼]

This paper shows how stock market volatility regimes affect the cross-section of stock returns along quality and liquidity dimensions. We find that, during crisis periods, low quality and low liquidity stocks experience relatively higher losses than predicted in normal times, while high quality and high liquidity stocks experience rather relatively lower losses. These findings lend strong support to the presence of cross-market and within-market flight-to-quality and to-liquidity episodes during crisis periods. During low volatility periods, however, low quality and low liquidity stocks earn relatively larger returns, while high quality and high liquidity stocks yield lower returns; suggesting that low volatility conditions benefit junk and illiquid stocks but not quality and liquid stocks. Finally, our results reveal that liquidity-level dominates liquidity-beta in explaining stock returns across the different market volatility regimes. [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 ▲]

Detailed reference viewed: 41 (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: 29 (4 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 ▲]

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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 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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