Marie Lambert

University of Liege - HEC Management School

Associate Professor

HEC-Liège

rue Louvrex 14

LIEGE, Liege 4000

Belgium

SCHOLARLY PAPERS

14

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Top 18,914

in Total Papers Downloads

2,506

CITATIONS

8

Scholarly Papers (14)

1.
Downloads 682 ( 36,773)
Citation 1

Size and Value Matter, But Not the Way You Thought

28th Australasian Finance and Banking Conference
Number of pages: 58 Posted: 20 Aug 2015 Last Revised: 28 Jul 2016
Marie Lambert, Boris Fays and Georges Hübner
University of Liege - HEC Management School, University of Liege, HEC Management School and HEC Liège
Downloads 585 (44,494)

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size, value, small angels, Fama and French, sequential sorting, January effects

Size and Value Matter, But Not the Way You Thought

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 30 May 2016 Last Revised: 02 Feb 2017
Marie Lambert, Boris Fays and Georges Hübner
University of Liege - HEC Management School, University of Liege, HEC Management School and HEC Liège
Downloads 97 (270,819)
Citation 1

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size, value, small angels, Fama and French, sequential sorting, January effects

Size Matters, Book Value Does Not! The Fama-French Empirical CAPM Revisited

Number of pages: 59 Posted: 19 Nov 2015
Marie Lambert and Georges Hübner
University of Liege - HEC Management School and HEC Liège
Downloads 375 (77,244)

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Asset Pricing, Size, Book-to-market, momentum, mimicking portfolios

Size Matters, Book Value Does Not! The Fama-French Empirical CAPM Revisited

Posted: 19 Nov 2015
Marie Lambert and Georges Hübner
University of Liege - HEC Management School and HEC Liège

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Asset Pricing, Size, Book-to-market, momentum, mimicking portfolios

3.
Downloads 287 (105,144)
Citation 3

Higher-Moment Risk Exposures in Hedge Funds

Number of pages: 44 Posted: 24 Apr 2012
University of Liege - HEC Management School, HEC Liège and HEC Montreal - Department of Finance
Downloads 186 (161,303)

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Hedge Funds, Implied higher-moments, Conditioning factors

Higher-Moment Risk Exposures in Hedge Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 45 Posted: 05 Jun 2012
University of Liege - HEC Management School, HEC Liège and HEC Montreal - Department of Finance
Downloads 101 (263,571)

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Hedge Funds, Implied higher-moments, Conditioning factors

Higher‐Moment Risk Exposures in Hedge Funds

European Financial Management, Vol. 21, Issue 2, pp. 236-264, 2015
Number of pages: 29 Posted: 13 Mar 2015
HEC Liège, University of Liege - HEC Management School and HEC Montreal - Department of Finance
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hedge funds, implied higher‐moments, conditioning factors

4.

Directional and Non-Directional Risk Exposures in Hedge Fund Returns

International Conference of the French Finance Association (AFFI), May 2011
Number of pages: 50 Posted: 07 May 2011
HEC Liège, University of Liege - HEC Management School and HEC Montreal - Department of Finance
Downloads 227 (133,813)

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Hedge Funds, Nonlinear Risk Premiums, Comoments, Implied Higher-Moments

5.

How to Construct Fundamental Risk Factors?

Number of pages: 41 Posted: 11 Mar 2010
Marie Lambert and Georges Hübner
University of Liege - HEC Management School and HEC Liège
Downloads 207 (146,096)

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Fama and French Factors, Momentum, Hedge/mimicking Portfolios, Market Risk Fundamentals

6.

Dynamic Trading Strategies of Equity Hedge Funds: Empirical Evidence on How They Adapt to Market Conditions

Number of pages: 27 Posted: 12 Jun 2012
Aline Muller, Marie Lambert and Hamid Babaei
HEC Management School University of Liège, University of Liege - HEC Management School and University of Liege - HEC Management School
Downloads 163 (181,199)

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hedge funds, markov chain, beta regimes, higher moments

7.

Moral Hazard in VC Finance: More Expensive than You Thought

Number of pages: 36 Posted: 01 May 2016 Last Revised: 21 Dec 2016
Julius Tennert, Marie Lambert and Hans-Peter Burghof
University of Hohenheim, University of Liege - HEC Management School and University of Hohenheim
Downloads 112 (243,646)

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Venture Finance, Real Option, Agency Cost, Moral Hazard

8.

Smart Equity Investing: Implementing Risk Optimization Techniques on Strategic Beta Portfolios

Number of pages: 84 Posted: 25 May 2018
Boris Fays, Marie Lambert and Nicolas A. Papageorgiou
University of Liege, HEC Management School, University of Liege - HEC Management School and HEC Montreal - Department of Finance
Downloads 103 (258,419)

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Portfolio Management, Depend Sort, Risk Premia, Smart Beta

9.

Market Efficiency and Hedge Fund Trading Strategies

Number of pages: 40 Posted: 02 Jun 2016
University of Liege - HEC Management School, HEC Montreal - Department of Finance and University of Liege
Downloads 89 (284,188)

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hedge funds, price discovery, options, informed trading, asset management

10.

Gamma Trading Skills in Hedge Funds

Number of pages: 57 Posted: 29 May 2018 Last Revised: 05 Jun 2018
Boris Fays, Georges Hübner and Marie Lambert
University of Liege, HEC Management School, HEC Liège and University of Liege - HEC Management School
Downloads 81 (301,218)

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derivatives, Hedge Funds, market timing, non linear payoffs

11.

Real Options Valuation Under Uncertainty

Number of pages: 42 Posted: 20 Aug 2015
Marie Lambert, Manuel Moreno and Federico Platania
University of Liege - HEC Management School, University of Castilla-La Mancha and University of Liege
Downloads 77 (310,366)

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Real options, R&D, Economic risk, Fourier series, Pharmaceutical industry, Risk factor

12.

Hedge Fund Styles and Macroeconomic Uncertainty

Number of pages: 56 Posted: 31 May 2016
Marie Lambert and Federico Platania
University of Liege - HEC Management School and University of Liege
Downloads 58 (360,658)

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Kalman filter, Markov switching, macroeconomic factors, dynamic betas

13.

Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition

Number of pages: 58 Posted: 29 May 2018 Last Revised: 25 Jun 2018
Marie Lambert, Boris Fays and Georges Hübner
University of Liege - HEC Management School, University of Liege, HEC Management School and HEC Liège
Downloads 45 (403,525)

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asset pricing, characteristics, attribute-matched portfolios, size, value

14.

Comoment Risk and Stock Returns

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Posted: 22 Oct 2010
Marie Lambert and Georges Hübner
University of Liege - HEC Management School and HEC Liège

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Comoment, Hedge Portfolios, Fama and French Method, Fama-MacBeth Test