Alexandre Rubesam

IESEG School of Management

Assistant Professor of Finance

Socle de la Grande Arche

1 Parvis de la Defense

Puteaux, Paris 92800

France

French National Center for Scientific Research (CNRS) - Lille Economie & Management (LEM) UMR 9221

Lille

France

SCHOLARLY PAPERS

9

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3,563

SSRN CITATIONS
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Top 37,282

in Total Papers Citations

3

CROSSREF CITATIONS

12

Scholarly Papers (9)

1.

The Disappearance of Momentum

European Journal of Finance, Forthcoming
Number of pages: 39 Posted: 05 Mar 2007 Last Revised: 24 Oct 2014
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 1,302 (14,654)
Citation 17

Abstract:

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Momentum premium, Arbitrage, High-tech and Telecom Bubble

2.

Is Value Really Riskier than Growth? An Answer with Time-Varying Return Reversal

AFA 2007 Chicago Meetings Paper, A revised version is published in Journal of Banking and Finance, Vol. 37, No. 7, 2013
Number of pages: 42 Posted: 17 Mar 2006 Last Revised: 26 Feb 2014
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 617 (42,624)
Citation 1

Abstract:

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Overconfidence, Self-attribution bias, Value anomaly, Return reversals

3.

Searching the Factor Zoo

IÉSEG Working Paper Series 2018-ACF-03
Number of pages: 51 Posted: 12 Mar 2018 Last Revised: 24 Mar 2019
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 485 (58,073)

Abstract:

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Multi-factor model, Factor zoo, Factor selection, Bayesian variable selection, SeeminglyUnrelated Regressions

4.

Fishing with a Licence: An Empirical Search for Asset Pricing Factors

Number of pages: 41 Posted: 09 Nov 2008
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 376 (78,750)
Citation 1

Abstract:

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linear factor model, asset pricing, Bayesian, variable selection

5.

Overconfidence, Sentiment and Beta Herding: A Behavioral Explanation of the Low-Beta Anomaly

Number of pages: 53 Posted: 15 Aug 2018
Soosung Hwang, Alexandre Rubesam and Mark Salmon
Sungkyunkwan University - Department of Economics, IESEG School of Management and University of Cambridge - Faculty of Economics and Politics
Downloads 303 (100,834)
Citation 4

Abstract:

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Beta, Herding, Overconfidence, Sentiment, Low-beta Anomaly

6.

Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective

IÉSEG WORKING PAPER SERIES 2018-ACF-04
Number of pages: 41 Posted: 12 Jun 2018 Last Revised: 23 Jan 2019
Alexandre Rubesam and Soosung Hwang
IESEG School of Management and Sungkyunkwan University - Department of Economics
Downloads 208 (147,343)

Abstract:

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Smart Beta, Strategic Beta, Factor Investing, Factor Selection, Bayesian Variable Selection

7.

Machine Learning Portfolios with Equal Risk Contributions

Number of pages: 30 Posted: 08 Aug 2019 Last Revised: 01 Sep 2019
Alexandre Rubesam
IESEG School of Management
Downloads 151 (195,819)

Abstract:

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machine learning, forecasting, return prediction, risk parity, equal risk contribution

8.

Is Value Really Riskier Than Growth?

A revised version is published in Journal of Banking and Finance, Vol. 37, No. 7, 2013
Number of pages: 59 Posted: 21 Aug 2011 Last Revised: 26 Feb 2014
Alexandre Rubesam and Soosung Hwang
IESEG School of Management and Sungkyunkwan University - Department of Economics
Downloads 121 (233,287)

Abstract:

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Value premium, Regime switching, Risk measures, Biased self-attribution

9.

The long and the short of risk parity

Number of pages: 13
Alexandre Rubesam
IESEG School of Management
Downloads 0

Abstract:

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risk parity, equal risk contribution, long-short portfolios, factor investing, pairs trading