Boris Fays

University of Liege, HEC Management School

PhD Candidate

Liège

Belgium

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 46,009

in Total Papers Downloads

1,060

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.
Downloads 716 ( 39,789)
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 Liège - HEC Management School, University of Liege, HEC Management School and HEC Liège
Downloads 605 (49,208)

Abstract:

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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 Liège - HEC Management School, University of Liege, HEC Management School and HEC Liège
Downloads 111 (278,787)
Citation 1

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

2.

Risk Optimizations on Basis Portfolios: The Role of Sorting

Number of pages: 45 Posted: 25 May 2018 Last Revised: 27 Oct 2020
University of Liege, HEC Management School, HEC Montreal - Department of Finance and University of Liège - HEC Management School
Downloads 127 (251,362)

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Bootstrap, Mean-variance efficiency, Portfolio sorting, Risk-based optimization, Smart Beta, Style investing.

3.

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 Liège - HEC Management School
Downloads 123 (257,496)

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derivatives, Hedge Funds, market timing, non linear payoffs

4.

Factoring Characteristics into Returns: A Clinical Study on the SMB and HML Portfolio Construction Methods

Journal of Banking and Finance, Forthcoming
Number of pages: 66 Posted: 29 May 2018 Last Revised: 12 Mar 2020
Marie Lambert, Boris Fays and Georges Hübner
University of Liège - HEC Management School, University of Liege, HEC Management School and HEC Liège
Downloads 94 (310,050)

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Portfolio sorting; Factor performance; Factor construction methods