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Alexandre Rubesam

Personal Details

First Name:Alexandre
Middle Name:
Last Name:Rubesam
Suffix:
RePEc Short-ID:pru312
[This author has chosen not to make the email address public]

Affiliation

(50%) Lille Économie et Management (LEM)

Lille, France
http://lem.univ-lille.fr/
RePEc:edi:laborfr (more details at EDIRC)

(50%) IESEG School of Management
Université Catholique de Lille

Lille, France
http://www.ieseg.fr/
RePEc:edi:iesegfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Alexandre Rubesam, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Post-Print hal-03707365, HAL.
  2. Alexandre Rubesam, 2022. "The Long and the Short of Risk Parity," Post-Print hal-03707367, HAL.
  3. Soosung Hwang & Alexandre Rubesam & Mark Salmon, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Post-Print hal-03275894, HAL.
  4. Soosung Hwang & Alexandre Rubesam, 2020. "Bayesian Selection of Asset Pricing Factors Using Individual Stocks," Post-Print hal-03275900, HAL.
  5. Alexandre Rubesam & Soosung Hwang, 2018. "Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective," Working Papers 2018-ACF-04, IESEG School of Management.
  6. Soosung Hwang & Alexandre Rubesam, 2018. "Searching the Factor Zoo," Working Papers 2018-ACF-03, IESEG School of Management.

Articles

  1. Soosung Hwang & Alexandre Rubesam, 2022. "Bayesian Selection of Asset Pricing Factors Using Individual Stocks [Bayesian Variable Selection for the Seemingly Unrelated Regression Model with a Large Number of Predictors]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 716-761.
  2. Rubesam, Alexandre, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Emerging Markets Review, Elsevier, vol. 51(PB).
  3. Rubesam, Alexandre & Raimundo, Gerson de Souza, 2022. "Covid-19 and herding in global equity markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).
  4. Hwang, Soosung & Rubesam, Alexandre & Salmon, Mark, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Journal of International Money and Finance, Elsevier, vol. 111(C).
  5. Soosung Hwang & Alexandre Rubesam, 2015. "The disappearance of momentum," The European Journal of Finance, Taylor & Francis Journals, vol. 21(7), pages 584-607, May.
  6. Alexandre Rubesam & André Lomonaco Beltrame, 2013. "Minimum Variance Portfolios in the Brazilian Equity Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 81-118.
  7. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alexandre Rubesam, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Post-Print hal-03707365, HAL.

    Cited by:

    1. Hanauer, Matthias X. & Kalsbach, Tobias, 2023. "Machine learning and the cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 55(C).
    2. Christian Fieberg & Daniel Metko & Thorsten Poddig & Thomas Loy, 2023. "Machine learning techniques for cross-sectional equity returns’ prediction," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 289-323, March.

  2. Soosung Hwang & Alexandre Rubesam & Mark Salmon, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Post-Print hal-03275894, HAL.

    Cited by:

    1. Yi-Chang Chen & Hung-Che Wu & Yuanyuan Zhang & Shih-Ming Kuo, 2021. "A Transmission of Beta Herding during Subprime Crisis in Taiwan’s Market: DCC-MIDAS Approach," IJFS, MDPI, vol. 9(4), pages 1-16, December.
    2. Lee, Hsiu-Chuan & Lee, Yun-Huan & Nguyen, Cuong, 2023. "Tail comovements of implied volatility indices and global index futures returns predictability," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    3. Alonso Conde, Ana B. & Rojo Suárez, Javier, 2022. "Trends in the explanatory power of factor-based asset pricing models in determining the cost of capital," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    4. Fei, Tianlun & Liu, Xiaoquan, 2021. "Herding and market volatility," International Review of Financial Analysis, Elsevier, vol. 78(C).
    5. Mingyang Zhang & Xufeng Yang & Taichiu Edwin Cheng & Chen Chang, 2022. "Inventory Management of Perishable Goods with Overconfident Retailers," Mathematics, MDPI, vol. 10(10), pages 1-14, May.
    6. Filip, Angela Maria & Pochea, Maria Miruna, 2023. "Intentional and spurious herding behavior: A sentiment driven analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    7. Santi, Caterina & Zwinkels, Remco C.J., 2023. "Exploring style herding by mutual funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    8. Agoraki, Maria-Eleni K. & Aslanidis, Nektarios & Kouretas, Georgios P., 2022. "U.S. banks’ lending, financial stability, and text-based sentiment analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 73-90.
    9. Hu, May & Tuilautala, Mataiasi & Yang, Jingjing & Zhong, Qian, 2022. "Asymmetric information and inside management trading in the Chinese market," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    10. Yang, Baochen & Ye, Tao & Ma, Yao, 2022. "Financing anomaly, mispricing and cross-sectional return predictability," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 579-598.
    11. Bradrania, Reza & Veron, Jose Francisco & Wu, Winston, 2023. "The beta anomaly and the quality effect in international stock markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    12. Agoraki, Maria-Eleni & Aslanidis, Nektarios & Kouretas, Georgios P., 2021. "U.S. Banks’ lending behaviour, financial stability, and investor sentiment: A textual analysis," Working Papers 2072/534915, Universitat Rovira i Virgili, Department of Economics.
    13. Abraham Oketooyin GBADEBO & Yusuf Olatunji OYEDEKO, 2022. "Effect Of Liquidity Risk On Low Volatility Anomaly In Nigerian Stock Market," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 7(3), pages 25-42.
    14. Ferreruela, Sandra & Mallor, Tania, 2021. "Herding in the bad times: The 2008 and COVID-19 crises," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).

  3. Soosung Hwang & Alexandre Rubesam, 2020. "Bayesian Selection of Asset Pricing Factors Using Individual Stocks," Post-Print hal-03275900, HAL.

    Cited by:

    1. Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
    2. Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.

  4. Soosung Hwang & Alexandre Rubesam, 2018. "Searching the Factor Zoo," Working Papers 2018-ACF-03, IESEG School of Management.

    Cited by:

    1. Oehler, Andreas & Horn, Matthias & Wendt, Stefan, 2020. "Information Illusion: Placebic Information and Stock Price Estimates," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224575, Verein für Socialpolitik / German Economic Association.

Articles

  1. Soosung Hwang & Alexandre Rubesam, 2022. "Bayesian Selection of Asset Pricing Factors Using Individual Stocks [Bayesian Variable Selection for the Seemingly Unrelated Regression Model with a Large Number of Predictors]," Journal of Financial Econometrics, Oxford University Press, vol. 20(4), pages 716-761.
    See citations under working paper version above.
  2. Rubesam, Alexandre, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Emerging Markets Review, Elsevier, vol. 51(PB).
    See citations under working paper version above.
  3. Rubesam, Alexandre & Raimundo, Gerson de Souza, 2022. "Covid-19 and herding in global equity markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).

    Cited by:

    1. Filip, Angela Maria & Pochea, Maria Miruna, 2023. "Intentional and spurious herding behavior: A sentiment driven analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).

  4. Hwang, Soosung & Rubesam, Alexandre & Salmon, Mark, 2021. "Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly," Journal of International Money and Finance, Elsevier, vol. 111(C).
    See citations under working paper version above.
  5. Soosung Hwang & Alexandre Rubesam, 2015. "The disappearance of momentum," The European Journal of Finance, Taylor & Francis Journals, vol. 21(7), pages 584-607, May.

    Cited by:

    1. Montgomery, William & Raza, Ahmad & Ülkü, Numan, 2019. "Tests of technical trading rules and the 52-week high strategy in the corporate bond market," Global Finance Journal, Elsevier, vol. 40(C), pages 85-103.
    2. Tim Herberger & Daniel Kohlert & Andreas Oehler, 2011. "Momentum and industry-dependence: An analysis of the Swiss stock market," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 391-400, February.
    3. James Foye, 2015. "A New Perspective on the Size, Value, and Momentum Effects: Broad Sample Evidence from Europe," Proceedings of International Academic Conferences 2604415, International Institute of Social and Economic Sciences.
    4. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic Portfolios," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707430, HAL.
    5. Rebecca Westphal & Didier Sornette, 2019. "Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model," Swiss Finance Institute Research Paper Series 19-29, Swiss Finance Institute.
    6. L. Lin & M. Schatz & D. Sornette, 2019. "A simple mechanism for financial bubbles: time-varying momentum horizon," Quantitative Finance, Taylor & Francis Journals, vol. 19(6), pages 937-959, June.
    7. Boubaker, Sabri & Hamza, Taher & Vidal-García, Javier, 2018. "Financial distress and equity returns: A leverage-augmented three-factor model," Research in International Business and Finance, Elsevier, vol. 46(C), pages 1-15.
    8. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the benefits of active stock selection strategies for diversified investors," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 342-354.
    9. Li Lin & Didier Sornette, 2016. "A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon," Swiss Finance Institute Research Paper Series 16-61, Swiss Finance Institute.
    10. Paola Brighi & Stefano d'Addona & Antonio Carlo Francesco Della Bina, 2010. "Too Small or too Low? New Evidence on the 4-Factor Model," Working Paper series 31_10, Rimini Centre for Economic Analysis.
    11. Milian Bachem & Lerby Ergun & Casper de Vries, 2021. "Covariates Hiding in the Tails," Staff Working Papers 21-45, Bank of Canada.
    12. H. W. Wayne Yang & Po-Wei Shen & An-Sing Chen, 2020. "Trimming Effects And Momentum Investing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 14(2), pages 73-87.
    13. Tim A. Herberger & Matthias Horn & Andreas Oehler, 2020. "Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 179-197, June.
    14. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the time-varying dynamics of stock and commodity momentum returns," Finance Research Letters, Elsevier, vol. 46(PB).
    15. Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017. "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 191-218, January.
    16. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic," Documents de travail du Centre d'Economie de la Sorbonne 12036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    17. Claire Y. C. Liang & Rengong Zhang, 2020. "Post-earnings announcement drift and parameter uncertainty: evidence from industry and market news," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 695-738, August.
    18. Martin H. Schmidt, 2017. "Trading strategies based on past returns: evidence from Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 201-256, May.
    19. Fangming Xu & Huainan Zhao & Liyi Zheng, 2022. "Investment momentum: A two‐dimensional behavioural strategy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1191-1207, January.
    20. Ron Bird & Xiaojun Gao & Danny Yeung, 2017. "Time-series and cross-sectional momentum strategies under alternative implementation strategies," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 230-251, May.
    21. Minh Phuong Doan & Vitali Alexeev & Robert Brooks, 2016. "Concurrent momentum and contrarian strategies in the Australian stock market," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 77-106, February.
    22. Blanco, Ivan & De Jesus, Miguel & Remesal, Alvaro, 2023. "Overlapping momentum portfolios," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 1-22.
    23. Westphal, Rebecca & Sornette, Didier, 2020. "Market impact and performance of arbitrageurs of financial bubbles in an agent-based model," Journal of Economic Behavior & Organization, Elsevier, vol. 171(C), pages 1-23.

  6. Alexandre Rubesam & André Lomonaco Beltrame, 2013. "Minimum Variance Portfolios in the Brazilian Equity Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 81-118.

    Cited by:

    1. Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.

  7. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.

    Cited by:

    1. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    2. Eero J. Pätäri & Ville Karell & Pasi Luukka, 2016. "Can size-, industry-, and leverage-adjustment of valuation ratios benefit the value investor?," International Journal of Business Innovation and Research, Inderscience Enterprises Ltd, vol. 11(1), pages 76-109.
    3. Lindaas, Knut F. & Simlai, Prodosh, 2014. "The value premium, aggregate risk innovations, and average stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 303-317.
    4. Zhang, Bing & Zhou, Yun, 2015. "Asymmetries in stock marketsAuthor-Name: Wang, Peijie," European Journal of Operational Research, Elsevier, vol. 241(3), pages 749-762.
    5. Harshita & Shveta Singh & Surendra S. Yadav, 2018. "Changing Nature of the Value Premium in the Indian Stock Market," Vision, , vol. 22(2), pages 135-143, June.

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