Georges Hübner

HEC Liège

Professor of Finance

Rue Louvrex 14, Bldg. N1

Liege, 4000

Belgium

  • HEC Liège

    • Email
    • Tel: +32 42327428
SCHOLARLY PAPERS

46

DOWNLOADS
Rank 2,175

SSRN RANKINGS

Top 2,175

in Total Papers Downloads

15,694

SSRN CITATIONS
Rank 5,738

SSRN RANKINGS

Top 5,738

in Total Papers Citations

17

CROSSREF CITATIONS

171

Scholarly Papers (46)

Actions:
Email selected abstracts
1.

Measuring and Managing Operational Risk in the Financial Sector: An Integrated Framework

Number of pages: 33 Posted: 07 May 2005
Ariane Chapelle, Yves Crama, Georges Hübner and Jean-Philippe Peters
University College London - Department of Computer Science, University of Liege - HEC Management School, HEC Liège and Deloitte Luxembourg
Downloads 3,423 (3,042)
Citation 10

Abstract:

Loading...

Basel 2, operational risk, extreme value theory, external data, RAROC

2.

The 101 Ways to Measure Portfolio Performance

Number of pages: 40 Posted: 13 Jan 2009 Last Revised: 27 Jul 2012
Philippe Cogneau and Georges Hübner
University of Liege - HEC Management School and HEC Liège
Downloads 2,609 (4,853)
Citation 9

Abstract:

Loading...

performance measurement, portfolio, funds, Sharpe, alpha, Treynor, market timing

3.

Hedge Fund Performance and Persistence in Bull and Bear Markets

Downloads 1,420 ( 13,252)
Citation 14

Hedge Fund Performance and Persistence in Bull and Bear Markets

Number of pages: 40 Posted: 09 Jan 2004
Daniel P.J. Capocci, A. Corhay and Georges Hübner
HEC - Université de Liège, University of Liege - Department of Financial Management and HEC Liège
Downloads 1,420 (12,981)
Citation 14

Abstract:

Loading...

Hedge fund, hedge funds, carhart, capocci, hubner, performance, persistence, decile analysis

Hedge Fund Performance and Persistence in Bull and Bear Markets

European Journal of Finance, Vol. 11, No. 5, pp. 361-392, October 2005
Posted: 13 Nov 2005
Georges Hübner, A. Corhay and Daniel P.J. Capocci
HEC Liège, University of Liege - Department of Financial Management and HEC - Université de Liège

Abstract:

Loading...

Hedge funds, funds of funds, selection bias, abnormal returns, bullish market, bearish market, persistence

4.

The Generalized Treynor Ratio: A Note

University of Liege, Management Working Paper
Number of pages: 16 Posted: 20 Feb 2003
Georges Hübner
HEC Liège
Downloads 1,038 (21,315)
Citation 4

Abstract:

Loading...

Asset pricing, portfolio management, funds performance, Jensen's alpha, Treynor ratio

5.

Basel II and Operational Risk: Implications for Risk Measurement and Management in the Financial Sector

National Bank of Belgium Working Paper No. 51
Number of pages: 58 Posted: 14 Oct 2010
Ariane Chapelle, Yves Crama, Georges Hübner and Jean-Philippe Peters
University College London - Department of Computer Science, University of Liege - HEC Management School, HEC Liège and Deloitte Luxembourg
Downloads 930 (25,049)
Citation 23

Abstract:

Loading...

operational risk management, basel II, advanced measurement approach, copulae, external data, EVT, RAROC, cost-benefit analysis

6.

Size and Value Matter, But Not the Way You Thought

Downloads 692 ( 37,782)
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 589 (46,208)

Abstract:

Loading...

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 103 (270,914)
Citation 1

Abstract:

Loading...

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

7.

Credit Derivatives with Multiple Debt Issues

Number of pages: 39 Posted: 22 Nov 2001
Georges Hübner and Pascal Francois
HEC Liège and HEC Montreal - Department of Finance
Downloads 557 (50,294)
Citation 1

Abstract:

Loading...

credit derivatives, credit risk, structural model

8.

Dynamic Hedge Fund Style Analysis with Errors-in-Variables

Number of pages: 36 Posted: 01 May 2008
Laurent Bodson, Alain Coen and Georges Hübner
HEC Management School - University of Liège, Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG) and HEC Liège
Downloads 446 (66,347)
Citation 4

Abstract:

Loading...

style analysis, Kalman filter, errors-in-variables, measurement errors, higher moment estimators, hedge funds

9.

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

Downloads 388 ( 78,323)

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 388 (77,627)

Abstract:

Loading...

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

Abstract:

Loading...

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

10.

The Performance of Performance Measures for Multi-Index Models

Number of pages: 35 Posted: 10 Aug 2005
Georges Hübner
HEC Liège
Downloads 333 (93,383)

Abstract:

Loading...

Performance measurement, multi-index models, mutual funds performance, alpha, information ratio, Treynor ratio

11.

Concentrated Announcements on Clustered Data: An Event Study on Biotechnology Stocks

Downloads 309 (101,352)
Citation 3

Concentrated Announcements on Clustered Data: An Event Study on Biotechnology Stocks

EFA 2004 Maastricht Meetings Paper; Universite de Liege Finance Working Paper No. 200405
Number of pages: 66 Posted: 21 Jun 2004
Véronique Bastin and Georges Hübner
University of Liege - Department of Financial Management and HEC Liège
Downloads 295 (106,076)

Abstract:

Loading...

Event study, biotechnologies, patent valuation

Concentrated Announcements on Clustered Data: An Event Study on Biotechnology Stocks

Financial Management, Vol. 35, No. 1, Spring 2006
Number of pages: 29 Posted: 19 Jun 2006
Véronique Bastin and Georges Hübner
University of Liege - Department of Financial Management and HEC Liège
Downloads 14 (600,310)
  • Add to Cart

Abstract:

Loading...

12.

The Alpha of a Market Timer

Downloads 299 (105,080)
Citation 1

The Alpha of a Market Timer

Number of pages: 44 Posted: 19 Dec 2010
Georges Hübner
HEC Liège
Downloads 192 (163,444)
Citation 1

Abstract:

Loading...

Performance Measurement, Market Timing, Treynor and Mazuy, Option Replication, Mutual Fund Performance

The Alpha of a Market Timer

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 44 Posted: 09 May 2011
Georges Hübner
HEC Liège
Downloads 107 (263,653)
Citation 1

Abstract:

Loading...

Performance measurement, market timing, Treynor and Mazuy, option replication, mutual fund performance.

13.

Higher-Moment Risk Exposures in Hedge Funds

Downloads 288 (109,450)
Citation 3

Higher-Moment Risk Exposures in Hedge Funds

Number of pages: 44 Posted: 24 Apr 2012
Marie Lambert, Georges Hübner and Nicolas A. Papageorgiou
University of Liege - HEC Management School, HEC Liège and HEC Montreal - Department of Finance
Downloads 187 (167,435)

Abstract:

Loading...

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
Marie Lambert, Georges Hübner and Nicolas A. Papageorgiou
University of Liege - HEC Management School, HEC Liège and HEC Montreal - Department of Finance
Downloads 101 (274,600)

Abstract:

Loading...

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
Georges Hübner, Marie Lambert and Nicolas A. Papageorgiou
HEC Liège, University of Liege - HEC Management School and HEC Montreal - Department of Finance
Downloads 0
  • Add to Cart

Abstract:

Loading...

hedge funds, implied higher‐moments, conditioning factors

14.

A Dynamic Model of Risk-Shifting Incentives with Convertible Debt

Number of pages: 43 Posted: 21 Feb 2006 Last Revised: 17 Aug 2009
Pascal Francois, Georges Hübner and Nicolas A. Papageorgiou
HEC Montreal - Department of Finance, HEC Liège and HEC Montreal - Department of Finance
Downloads 264 (119,944)

Abstract:

Loading...

Convertible debt, Risk shifting, Non-cooperative game

15.

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
Georges Hübner, Marie Lambert and Nicolas A. Papageorgiou
HEC Liège, University of Liege - HEC Management School and HEC Montreal - Department of Finance
Downloads 228 (139,081)

Abstract:

Loading...

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

16.

The Market Timing Skills of Hedge Funds During the Financial Crisis

Number of pages: 35 Posted: 23 May 2011
Arnaud Cavé, Georges Hübner and Danielle Marie Sougné
HEC Management School - University of Liège, HEC Liège and University of Liege - HEC Management School
Downloads 220 (143,991)
Citation 1

Abstract:

Loading...

Performance measurement, market timing, Treynor and Mazuy, option replication, hedge fund performance

17.

A Structural Balance Sheet Model of Sovereign Credit Risk

Number of pages: 35 Posted: 22 Dec 2011
Pascal Francois, Georges Hübner and Jean-Roch Sibille
HEC Montreal - Department of Finance, HEC Liège and Riskdynamcis
Downloads 215 (147,119)
Citation 3

Abstract:

Loading...

Sovereign Credit Spread, Balance Sheet, Recovery Rate, Contingent Claims Analysis, Contagion Effects

18.

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 210 (150,428)

Abstract:

Loading...

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

19.

Equilibrium Asset Pricing with Nonparametric Horizon Risk

Number of pages: 26 Posted: 19 Aug 2002
Georges Hübner and Dorothee Honhon
HEC Liège and University of Texas at Dallas
Downloads 207 (152,495)
Citation 1

Abstract:

Loading...

equilibrium asset pricing, multi-moment, skewness, kurtosis, nonparametric risk, horizon, Chebyshev's inequality

20.

Currency Total Return Swaps: Valuation and Risk Factor Analysis

Number of pages: 38 Posted: 03 Jun 2011
Romain Cuchet, Pascal Francois and Georges Hübner
Barclays Corporate Banking, HEC Montreal - Department of Finance and HEC Liège
Downloads 198 (159,006)

Abstract:

Loading...

Credit derivative, credit risk, currency risk

21.

A Portfolio Approach to Venture Capital Financing

Number of pages: 38 Posted: 01 Dec 2009 Last Revised: 02 May 2013
Pascal Francois and Georges Hübner
HEC Montreal - Department of Finance and HEC Liège
Downloads 193 (162,764)

Abstract:

Loading...

Venture capital, portfolio theory, financial contracting, entrepreneur's risk aversion, cost of capital

22.

International Mutual Funds Performance and Persistence across the Universe of Performance Measures

Number of pages: 94 Posted: 08 Jun 2015 Last Revised: 25 Dec 2017
Philippe Cogneau and Georges Hübner
University of Liege - HEC Management School and HEC Liège
Downloads 156 (196,173)

Abstract:

Loading...

Performance measurement, persistence analysis, mutual funds, principal component analysis

23.

Optional and Conditional Components in Hedge Fund Returns

Number of pages: 70 Posted: 17 Mar 2006
Georges Hübner and Nicolas A. Papageorgiou
HEC Liège and HEC Montreal - Department of Finance
Downloads 147 (206,138)
Citation 1

Abstract:

Loading...

hedge funds, implied higher moments, performance, persistence

24.

Mental Accounts with Horizon and Asymmetry Preferences

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 44 Posted: 07 Jan 2017 Last Revised: 01 Oct 2019
Georges Hübner and Thomas Lejeune
HEC Liège and National Bank of Belgium
Downloads 142 (212,040)

Abstract:

Loading...

mental accounts, portfolio choice, horizon, upside potential, risk aversion

25.

Correlation between the Recovery Rate and the State of an Economy - Application on the iTraxx

Number of pages: 32 Posted: 08 Jan 2009
Jean-Roch Sibille and Georges Hübner
University of Liege - Department of Financial Management and HEC Liège
Downloads 126 (232,923)

Abstract:

Loading...

CDO, Gaussian Copula, Credit Derivatives, Recovery Rate, State of the Economy, iTraxx

26.

Risk Horizon and Expected Market Returns

Number of pages: 49 Posted: 18 Oct 2012 Last Revised: 10 Sep 2013
Georges Hübner and Thomas Lejeune
HEC Liège and University of Liege
Downloads 114 (250,767)

Abstract:

Loading...

expected returns, risk horizon, asset pricing

27.

Grafting Information in Scenario Trees - Application to Option Prices

University of Namur, Center for Research in Finance and Management, and University of Liege, Management Working Paper
Number of pages: 29 Posted: 16 Aug 2003 Last Revised: 21 Dec 2010
M. Schyns, Yves Crama and Georges Hübner
University of Liege - HEC Management School, University of Liege - HEC Management School and HEC Liège
Downloads 114 (250,767)

Abstract:

Loading...

option pricing, arbitrage-free valuation, scenario trees, numerical analysis, out-of-sample testing

28.

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 99 (276,606)

Abstract:

Loading...

derivatives, Hedge Funds, market timing, non linear payoffs

29.

Comoment Risk in Corporate Bond Yields and Returns

Number of pages: 42 Posted: 10 Oct 2017 Last Revised: 09 May 2018
Pascal Francois, Stephanie Heck, Georges Hübner and Thomas Lejeune
HEC Montreal - Department of Finance, HEC-Management School of the University of Liège, HEC Liège and National Bank of Belgium
Downloads 95 (284,089)

Abstract:

Loading...

Credit risk, Bond returns, Comoment risk

30.

The Prediction of Fund Failure Through Performance Diagnostics

Number of pages: 59 Posted: 26 May 2013
Philippe Cogneau and Georges Hübner
University of Liege - HEC Management School and HEC Liège
Downloads 81 (313,810)
Citation 1

Abstract:

Loading...

fund survival, performance measurement, persistence analysis, mutual funds

31.

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 55 (385,393)

Abstract:

Loading...

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

32.

Classical Portfolio Performance Measures: A Primer

Number of pages: 48 Posted: 09 Feb 2020
Pascal Francois and Georges Hübner
HEC Montreal - Department of Finance and HEC Liège
Downloads 34 (465,229)

Abstract:

Loading...

Portfolio Performance, Sharpe Ratio, Jensen's alpha, Treynor Ratio, Information Ratio, Peer Group Comparison

33.

Development Path and Capital Structure of Belgian Biotechnology Firms

National Bank of Belgium Working Paper No. 30
Number of pages: 56 Posted: 16 Oct 2010
Véronique Bastin, A. Corhay, Georges Hübner and Pierre-Armand Michel
University of Liege - Department of Financial Management, University of Liege - Department of Financial Management, HEC Liège and University of Liege - HEC Management School
Downloads 34 (465,229)
Citation 121

Abstract:

Loading...

34.

The Added Value of a Central Agency of European Debt

Number of pages: 20 Posted: 22 Sep 2011
Georges Hübner and Robert Joliet
HEC Liège and IESEG School of Management Lille/Paris
Downloads 30 (484,215)

Abstract:

Loading...

European Monetary Union, Sovereign debt, consortium, cost saving, euro-bonds

35.

Empirical Evidence on Bank Market Power, Business Models, Stability and Performance in the Emerging Economies

Sudrajad, O.Y. & Hübner, G. Eurasian Bus Rev (2018), DOI: 10.1007/s40821-018-0112-1
Posted: 27 Jun 2018 Last Revised: 17 Sep 2018
Oktofa Yudha Sudrajad and Georges Hübner
HEC Liège and HEC Liège

Abstract:

Loading...

lerner index, market power, bank business model, bank stability

36.

Incremental Impact of Venture Capital Financing

Small Business Economics, Vol. 41, No. 3, 2013
Posted: 28 Mar 2015
Yan Alperovych and Georges Hübner
EMLYON Business School and HEC Liège

Abstract:

Loading...

Venture capital; Performance; Simulation; Value-adding; Selection

37.

How Does Governmental versus Private Venture Capital Backing Affect a Firm's Efficiency? Evidence from Belgium

Journal of Business Venturing 30 (2015) 508-525
Posted: 28 Mar 2015 Last Revised: 19 May 2015
Yan Alperovych, Georges Hübner and Fabrice Lobet
EMLYON Business School, HEC Liège and Vrije Universiteit Brussel (VUB)

Abstract:

Loading...

Venture capital; Efficiency; Data envelopment analysis; Fund type; Public investor

38.

Explaining Returns on Venture Capital-Backed Companies: Evidence from Belgium

Research in International Business and Finance 25 (2011) 277–295
Posted: 23 Dec 2014
Yan Alperovych and Georges Hübner
EMLYON Business School and HEC Liège

Abstract:

Loading...

Venture Capital, Return, Strategy, Entrepreneurship, Life Cycle, Compatibility

39.

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

Abstract:

Loading...

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

40.

The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential

Journal of Alternative Investments, Forthcoming
Posted: 17 Nov 2009 Last Revised: 19 Feb 2011
Laurent Cavenaile, Alain Coen and Georges Hübner
University of Toronto - Rotman School of Management, Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG) and HEC Liège

Abstract:

Loading...

Illiquidity, Non-Gaussian returns, Hedge fund performance, Modified Value-at-Risk, Portfolio diversification

41.

Explaining Returns on Venture Capital Backed Companies: Evidence from Belgium

Research in International Business and Finance, Vol. 25, No. 3, pp. 277-295
Posted: 12 Nov 2008 Last Revised: 03 Apr 2011
Yan Alperovych and Georges Hübner
EMLYON Business School and HEC Liège

Abstract:

Loading...

Venture Capital, Return, Strategy, Entrepreneurship, Life Cycle, Compatibility

42.

Corporate International Diversification and the Cost of Equity: European Evidence

Journal of International Money and Finance, Vol. 1, pp. 102-123, 2008
Posted: 14 Apr 2007 Last Revised: 09 Mar 2008
Robert Joliet and Georges Hübner
IESEG School of Management Lille/Paris and HEC Liège

Abstract:

Loading...

Internationalization, Psychic Distance, Asset Pricing

43.

Operational Risk and Reputation in the Financial Industry

Posted: 04 Mar 2007
Roland L. Gillet, Georges Hübner and Severine Plunus
Université Paris I Panthéon-Sorbonne, HEC Liège and University of Liege - Department of Financial Management

Abstract:

Loading...

Operational risk, Reputational risk, Event study

44.

The Generalized Treynor Ratio

Review of Finance, Vol. 9, pp. 415-435, 2005
Posted: 19 Aug 2005
Georges Hübner
HEC Liège

Abstract:

Loading...

Performance measurement, Jensen's alpha, Information Ratio, Treynor Ratio

45.

Measuring Operational Risk in Financial Institutions: Contribution of Credit Risk Modeling

Posted: 12 Apr 2005
Georges Hübner, Jean-Philippe Peters and Severine Plunus
HEC Liège, Deloitte Luxembourg and University of Liege - Department of Financial Management

Abstract:

Loading...

Operational Risk, Value-at-Risk, CreditRisk+, AMA

46.

An Analysis of Hedge Fund Performance

Journal of Empirical Finance Journal of Empirical Finance, Vol. 11, No. 1, pp. 55-89, January 2004
Posted: 15 Apr 2003
Daniel P.J. Capocci and Georges Hübner
HEC - Université de Liège and HEC Liège

Abstract:

Loading...

Hedge funds, performance, persistence, Asian crisis, emerging markets, CAPM, dissolution frequenties, survivorship bias, correlation, history bias, total returns