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

10

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SSRN CITATIONS
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Top 34,246

in Total Papers Citations

5

CROSSREF CITATIONS

19

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

Scholarly Papers (10)

1.

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

Number of pages: 62 Posted: 11 Feb 2002 Last Revised: 19 Nov 2020
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 1,527 (14,667)
Citation 15

Abstract:

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Beta, Herding, Overconfidence, Low-beta Anomaly

2.

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 1,352 (17,778)
Citation 18

Abstract:

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Momentum premium, Arbitrage, High-tech and Telecom Bubble

3.

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 629 (52,221)
Citation 1

Abstract:

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

4.

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 600 (55,465)

Abstract:

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

5.

Machine Learning Portfolios with Equal Risk Contributions

Number of pages: 38 Posted: 08 Aug 2019 Last Revised: 10 Apr 2021
Alexandre Rubesam
IESEG School of Management
Downloads 517 (66,786)

Abstract:

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machine learning, stock market prediction, portfolio optimization, equal risk contribution

6.

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 486 (72,132)
Citation 8

Abstract:

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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 390 (93,502)
Citation 1

Abstract:

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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 328 (113,709)
Citation 1

Abstract:

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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 136 (258,740)

Abstract:

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

10.

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

Abstract:

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