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

  • IESEG School of Management

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

SCHOLARLY PAPERS

13

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14

CROSSREF CITATIONS

19

Ideas:
“  Machine learning for stock prediction, selection of asset pricing factors, momentum strategies  ”

  • IESEG School of Management

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

Scholarly Papers (13)

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1.

Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly

Number of pages: 62 Posted: 11 Feb 2002 Last Revised: 05 May 2022
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 1,639 (17,067)
Citation 15

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Beta, Herding, Overconfidence, Low-beta Anomaly

2.

The Disappearance of Momentum

The European Journal of Finance, 21:7, 584-607, DOI: 10.1080/1351847X.2013.865654
Number of pages: 39 Posted: 05 Mar 2007 Last Revised: 13 Dec 2021
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 1,393 (21,814)
Citation 21

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Momentum premium, Arbitrage, High-tech and Telecom Bubble

3.

Machine learning portfolios with equal risk contributions: evidence from the Brazilian market

Number of pages: 56 Posted: 08 Aug 2019 Last Revised: 21 Oct 2021
Alexandre Rubesam
IESEG School of Management
Downloads 750 (52,451)

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emerging markets, machine learning, stock market prediction, portfolio optimization, equalrisk contribution, risk parity

4.

Bayesian selection of asset pricing factors using individual stocks

A previous version of this paper circulated under the title "Searching the Factor Zoo". A revised version has been published on the Journal of Financial Econometrics (https://doi.org/10.1093/jjfinec/nbaa045)
Number of pages: 48 Posted: 12 Mar 2018 Last Revised: 21 Oct 2021
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 726 (54,738)
Citation 1

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

5.

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 648 (63,577)
Citation 1

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

6.

Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly

Number of pages: 62 Posted: 15 Aug 2018 Last Revised: 05 May 2022
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 634 (65,454)
Citation 11

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

7.

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 417 (109,107)
Citation 1

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linear factor model, asset pricing, Bayesian, variable selection

8.

Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective

IÉSEG WORKING PAPER SERIES 2018-ACF-04
Number of pages: 35 Posted: 12 Jun 2018 Last Revised: 16 Oct 2019
Alexandre Rubesam and Soosung Hwang
IESEG School of Management and Sungkyunkwan University - Department of Economics
Downloads 389 (118,144)
Citation 1

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

9.

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 171 (267,119)

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

10.

Forecasting Realized Volatility: Does Anything Beat Linear Models?

Number of pages: 56 Posted: 29 Sep 2022
Rafael Branco, Alexandre Rubesam and Mauricio Zevallos
University of Campinas, IESEG School of Management and Universidade Estadual de Campinas (UNICAMP)
Downloads 77 (478,825)

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Volatility forecasting, Machine Learning, Realized Volatility, Model Confidence Set, Value-at-Risk

11.

COVID-19 and Herding in Global Equity Markets

Forthcoming, Journal of Behavioral and Experimental Finance
Number of pages: 49 Posted: 13 Dec 2021 Last Revised: 26 May 2022
Alexandre Rubesam and Gerson de Souza Raimundo Júnior
IESEG School of Management and Pontifical Catholic University of Rio de Janeiro (PUC-Rio)
Downloads 71 (493,298)

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COVID-19, herding, coronavirus, pandemic

12.

Multi-facets of Beta

Number of pages: 52 Posted: 19 Oct 2022 Last Revised: 23 Dec 2022
Soosung Hwang and Alexandre Rubesam
Sungkyunkwan University - Department of Economics and IESEG School of Management
Downloads 42 (626,605)

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Asymmetric Response Model, Firm Characteristics, Fama-MacBeth procedure, Contemporaneous Risk-Return Relationship.

13.

The Long and the Short of Risk Parity

Forthcoming, Journal of Portfolio Management
Posted: 22 Oct 2019 Last Revised: 24 May 2021
Alexandre Rubesam
IESEG School of Management

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