Fays, B., Hübner, G., & Lambert, M. (July 2022). Understanding the Stable Components of Seasonality in the Size Effect. Journal of Portfolio Management, 48 (7), 138-155. doi:10.3905/jpm.2022.1.363 |
Fays, B., Hübner, G., & Lambert, M. (13 June 2022). Harvesting the seasons of the size anomaly. Journal of Asset Management, 23 (4), 337-349. doi:10.1057/s41260-022-00272-2 |
Fays, B., Papageorgiou, N., & Lambert, M. (September 2021). Risk optimizations on basis portfolios: The role of sorting. Journal of Empirical Finance, 63, 136-163. doi:10.1016/j.jempfin.2021.06.002 |
Lambert, M., Fays, B., & Hübner, G. (May 2020). Factoring Characteristics into Returns: A Clinical Study on the SMB and HML Portfolio Construction Methods. Journal of Banking and Finance, 114. doi:10.1016/j.jbankfin.2020.105811 |
Fays, B., Hübner, G., & Lambert, M. (2020). The Seasons of the True Size Anomaly. Eprint/Working paper retrieved from https://orbi.uliege.be/2268/252949. |
Fays, B., Papageorgiou, N., & Lambert, M. (2020). Risk optimizations on basis portfolios: The role of sorting. Eprint/Working paper retrieved from https://orbi.uliege.be/2268/252029. |
Fays, B., Hübner, G., & Lambert, M. (05 December 2019). Gamma Trading Skills in Hedge Funds. Paper presented at Séminaire EM Lyon, Lyon, France. |
Fays, B. (2019). Efficient Construction of Linear and Nonlinear Equity Risk Strategies. Unpublished doctoral thesis, ULiège - Université de Liège. Jury: Lambert, M. (Promotor), Hübner, G. (Promotor), Hambuckers, J., Agarwal, V., ... Papageorgiou, N. |
Fays, B., Lambert, M., & Papageorgiou, N. (June 2019). Looking for the Tangent Portfolio: Risk Optimization Techniques on Equity Style Buckets. Paper presented at 36th Annual Conference of the French Finance Association (AFFI). |
Fays, B., Hübner, G., & Lambert, M. (May 2019). Gamma Trading Skills in Hedge Funds. Paper presented at 4th International Workshop on “Financial Markets and Nonlinear Dynamics” (FMND), Paris, France. |
Fays, B., Hübner, G., & Lambert, M. (15 January 2019). Gamma Trading Skills in Hedge Funds. Paper presented at Séminaire de recherche - IAE Aix-en-Provence, Aix-en-Provence, France. |
Fays, B. (03 January 2019). Implied Volatility Spread, Options’ Greeks and the Cross-Section of Stock Returns. Poster session presented at American Finance Association. |
Fays, B., Hübner, G., & Lambert, M. (11 May 2018). Gamma Trading Skills in Hedge Funds. Paper presented at HEC / MCGILL SPRING FINANCE WORKSHOP 2018, Montebello, Canada. |
Fays, B., Hübner, G., & Lambert, M. (03 May 2018). Gamma Trading Skills in Hedge Funds. Paper presented at Research Seminar, Québec, Canada. |
Fays, B., Hübner, G., & Lambert, M. (18 January 2018). Benchmarking the Market Timing Skills of Hedge Funds: An Adjustment from Option Greeks. Poster session presented at 10th Annual Hedge Fund and Private Equity Research Conference, Paris, France. |
Fays, B., Hübner, G., & Lambert, M. (2018). Gamma Trading Skills in Hedge Funds. Eprint/Working paper retrieved from https://orbi.uliege.be/2268/223584. |
Fays, B., Lambert, M., & Nicolas, P. (2018). Smart Equity Investing: Implementing Risk Optimization Techniques on Strategic Beta Portfolios. Eprint/Working paper retrieved from https://orbi.uliege.be/2268/223582. |
Lambert, M., Fays, B., & Hübner, G. (2018). Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition. Eprint/Working paper retrieved from https://orbi.uliege.be/2268/223585. |
Lambert, M., Fays, B., & Hübner, G. (2017). Seeking the Best Fundamental Risk Factors: A Clinical Approach to Fama-French Portfolio Decomposition. Eprint/Working paper retrieved from https://orbi.uliege.be/2268/218067. |
Fays, B., Lambert, M., & Papageorgiou, N. (31 May 2017). Strategic Beta and Style Investing: Implication of a (In)dependent Sorting. Paper presented at AFFI international Conference 2017, Valence, France. |
Lambert, M., Fays, B., & Hübner, G. (20 December 2016). Size and Value Matter But Not the Way You Thought. Paper presented at 14th Paris December Finance Meeting, Paris, France. |
Lambert, M., Hübner, G., & Fays, B. (July 2016). Size and Value Matter But Not the Way You Thought. Paper presented at World Finance Conference, NYC, United States - New York. |
Lambert, M., Fays, B., & Hübner, G. (24 May 2016). Size and Value Matter But Not the Way You Thought. Paper presented at 33rd International Conference of the French Finance Association, Liege, Belgium. |
Lambert, M., Fays, B., & Hübner, G. (22 April 2016). Size and Value Matter But Not the Way You Thought. Paper presented at Research seminar et EM Strasbourg, Strasbourg, France. |
Fays, B., Hübner, G., & Lambert, M. (2016). New Insight on the Performance of Equity Long/short Investment Styles. Bankers, Markets, Investors, 140 (January-February), 34-45. |
Lambert, M., Fays, B., & Hübner, G. (2016). Size and Value Matter But Not the Way You Thought. Eprint/Working paper retrieved from https://orbi.uliege.be/2268/201334. |
Lambert, M., Fays, B., & Hübner, G. (18 December 2015). Size and Value Matter But Not the Way You Thought. Paper presented at 28th Australian Conference in Banking and Finance, Sydney, Australia. |