Erasmus School of Economics

Staff Personal Homepages

Logo Erasmus Universiteit Rotterdam

laatste wijziging: 13-11-2022



Welcome to the homepage of

Laurens Swinkels

Latest News Personal Info Courses Internships Research  

Latest News

Follow @LaurensSwinkels and Follow

My public data sets can be found here:

2022 Last update: 13 November

















Personal Data

Full name:
Laurens Swinkels
Finance Department, Erasmus School of Economics (ESE), Erasmus University Rotterdam, and

Erasmus Research Institute of Management (ERIM)

Address: P.O. Box 1738, 3000 DR Rotterdam, The Netherlands 
+31 (0)10 408 1285, +31 (0)10 408 1507
lswinkels AT
Downloadable version in PDF-format
Other affiliations:

See up-to-date LinkedIn profile here


FEB12003A in 2013, 2012, 2011, 2010, 2009, 2008: Finance I

FEB12003X in 2022, 2021, 2020, 2019, 2018, 2017, 2016, 2015, 2014, 2013, 2012, 2011, 2010, 2009, 2008, 2007: Finance I

FEB12003 in 2022, 2021, 2020, 2019, 2018, 2017, 2016, 2015, 2014, 2013, 2012, 2011, 2010, 2009, 2008: Finance I

Dutch Actuarial Society 2012: The practice of Pension Asset Liability Management

2009/11 and 2009/04: Strategic Asset Allocation (Nyenrode Business University)

FEB11010X-07: International Lecture Week 1 -- Pensions in Europe

FEB12011X-07: International Lecture Week 2 -- Pensions in Europe

FEW0015 in 2007, 2006, and 2005: Financiering en belegging

2007 and 2006 Master in Financial Management -- Investments & Financial Markets I ("Performance evaluation")

Previously taught introductory courses in econometrics at Tilburg University and lectures for the Dutch chartered financial analysts "VBA"


Note that I live in Oslo now; thesis supervision will be mostly through e-mail and Skype.

Wanted: Students who wish to write their Bachelor or Master Thesis on

        Click here for a list of previous thesis titles.


I recommend everybody to combine the writing of their Bachelor or Master thesis with an internship (in which you are allowed to spend the majority of your time on the research for your thesis). This gives you work experience, personal development, and better chances of finishing the thesis in a short time.

For Super-Quant-internships at Robeco Quantitative Strategies, please see the webpage.


For the latest versions of my working papers, see my SSRN Author Page. If you do not have access to my publications (see my ORCID profile), please drop me a line and I might be able to help you. My reviewing and publication profile can be seen on Publons.


ERIM Journal List: (P) = Primary, (S) = Secondary. My H-index is currently 21 according to Google Scholar Citations, 12 according to Scopus, and 11 according to Web of Science.


The capital-protection capacity of emerging-markets inflation-linked bonds

n     Journal of Portfolio Management (S), 2022, Vol 48, Issue 8, 127-1380, with De Jong.

Shrinking beta

n     Journal of Risk (S), 2022, Vol 24, Issue 6, 25-40, with Blitz, Usaite, and Van Vliet.

Allocating to green bonds

n     Journal of Alternative Investments, 2022, Vol 25, Issue 1, 9-32.

 Global factor premiums

n     Journal of Financial Economics (STAR), 2021, Vol 142, Issue 3, with Baltussen and Van Vliet.

Does excluding sin stocks cost performance?

n     Journal of Sustainable Finance and Investments, 2021, with Blitz

Anomalies in the China A-share market

n     Pacific-Basin Finance Journal (S), 2021, Vol 68, with Jansen and Zhou.

The structure and degree of dependence in government bond markets

n     Journal of International Financial Markets, Institutions, and Money (S), 2021, Vol 74, with Dimic, Piljak, and Vulanovic.

Who owns tobacco stocks?

n     Journal of Asset Management, 2021, Vol 22, with Blitz.  

China A-shares: Strategic allocation to market and factor premiums

n     Journal of Portfolio Management (S), 2021, Vol 47, Issue 7, with De Groot and Zhou.  

Does sustainable investing deprive unsustainable firms of fresh capital?

n    Journal of Impact and ESG Investing, 2021, Vol 1, Issue 3, pp. 10-25, with Blitz and Van Zanten.  

Historical returns of the market portfolio

n     Review of Asset Pricing Studies (P), 2020, Vol 10, Issue 3, pp. 521-567, with Doeswijk en Lam. Data can be downloaded here.

Do tobacco share owners finance the tobacco business?

n    Journal of Impact and ESG Investing, 2020, Vol 1, Issue 2, pp. 53-67, with Blitz.  

Diversiteit van pensioenfondsbesturen: Is het glas half vol of half leeg? [in Dutch: Diversity of pension fund boards: Is the glass half full or half empty?]

n    VBA Journaal, 2020, with Speijer.  

Media attention and the volatility effect

n    Finance Research Letters, 2020, Vol 36, with Blitz, Huisman, and Van Vliet .  

Is exclusion effective?

n     Journal of Portfolio Management (S), 2020, Vol 46, Issue 3, pp. 42-48, with Blitz.  

Pension and insurance solvency regulations and low-risk investing: A comparative analysis of the Nordic countries and the Netherlands

n     Nordic Journal of Busines, 2019, Vol 68, Issue 4 with Houweling.

Treasury bond return data starting in 1962

n    Data, 2019, Vol 4, Issue 3, 91. Monthly data (extended until 1947 and internationally) here.  

Individual pension risk preference elicitation and collective asset allocation with heterogeneity

n    Journal of Banking and Finance (P), 2019, Vol 101, pp. 206-225, with Alserda, Dellaert, and Van der Lecq.  

Simulating historical inflation-linked bond returns

n    Journal of Empirical Finance (P), 2018, Vol 48, pp 374-389. Data here.  

Equity Solvency Capital Requirements: What Institutional Regulation Can Learn from Private Investor Regulation

n    Geneva Papers on Risk and Insurance - Issues and Practice, 2018, Vol 43, Issue 4, pp 633-652, with Blitz, Hallerbach, and Van Vliet.

The impact of FinTech start-ups on incumbent retail banks’ share prices

n    Financial Innovation, 2017, Vol 3, Number 26, with Li and Spigt.

Fundamental indexation for developed, emerging, and frontier government bond markets

n    Journal of Asset Management, 2017, Vol 18, Issue 5, pp 405-420 with Piljak.

Board Diversity and Self-regulation in Dutch pension funds

n    Equality, Diversity, and Inclusion, 2017, Vol 28, Issue 5, pp 939-963, with Shi and Van der Lecq.

Frontier and Emerging Government Bond Markets"

n    Emerging Markets Review, 2017, Vol 30, pp 232-255, with Piljak.

Is the equity market representative of the real economy?

n    Economics, Management, and Financial Markets, 2017, Vol 12, Issue 2, pp 51-66, with Xu.

The Zodiac Calendar and Equity Factor Returns"

n    China Accounting and Finance Review, 2016, Vol 18, Issue 3, pp. 114-130, with Phoeng.

Can Implied Volatility Predict Returns on the Currency Carry Trade?

n     Journal of Banking and Finance (P), 2015, Vol 59, pp 14-26, with Egbers.

Empirical evidence on the currency carry trade, 1900-2012

n     Journal of International Money and Finance (P), 2015, Vol 51, pp. 370-389, with Doskov.

Accounting for market risk in microfinance investments

n     International Journal of Sustainable Economy, 2015, Vol 7, Issue 4, pp. 262-279, with Helwig.

“The Global Multi-Asset Market Portfolio 1959-2012”: Author Response.

n     Financial Analysts Journal (S), 2014, Vol 70, Issue 4, pp. 9-11, with Doeswijk and Lam.

The Global Multi-Asset Market Portfolio 1959-2012

n     Financial Analysts Journal (S), 2014, Vol 70, Issue 2, pp. 26-41, with Doeswijk and Lam.

Can exchange traded funds be used to exploit country and industry momentum?

n     Financial Markets and Portfolio Management, 2013, Vol 27, Issue 2, pp. 127-148, with Andreu and Tjong-A-Tjoe.

The Cross-Section of Stock Returns in Frontier Emerging Markets

n     Journal of Empirical Finance (P), 2012, Vol 19, Issue 5, pp. 796-818, with De Groot and Pang.

Emerging markets inflation-linked bonds

n     Financial Analysts Journal (S), 2012, Vol 68, Issue 5, 38-56.

Mythbusting Defined Contribution

n     Pensions, 2012, Vol 17, Issue 4, pp. 260-269, with Poiesz.

Diversity of Dutch pension fund boards

n     Pensions, 2012, Vol 17, Issue 3, pp. 137-143, with Ziesemer.

On the Performance of European Index Funds and ETFs

n     European Financial Management (S), 2012, Vol 18, Issue 4, pp. 649-662, with Blitz and Huij.

An Anatomy of Calendar Effects

n     Journal of Asset Management, 2012, Vol 13, Issue 4, pp. 271-286, with Van Vliet.

Performance evaluation of Balanced Pension Plans

n     Quantitative Finance (S), 2012, Vol 12, Issue 5, pp. 819-830, with Andreu.

Have pension schemes changed after the introduction of IFRS?

n     Pensions, 2011, Vol 16, Issue 4, pp. 244-255.

The Case for Local Fair Value Discount Rates Under IFRS

n     Pensions, 2011, Vol 16, Issue 2, pp. 107-114.

Uitbesteding van vermogensbeheer [in Dutch: Outsourcing investment management]

n     PBM Dossierreeks 6: Gids voor uitbesteding (edited by Klopper, Crijnen, and Petersen), 2011 with Van der Maarel.

Gevolgen van mogelijke veranderingen in de rekenrente [in Dutch: Consequences of possible changes in the discount rate]

n     Tijdschrift voor Pensioenvraagstukken, 2011, Issue 2, pp. 19-29, with Hoek.

High-conviction equity portfolio optimization

n     Journal of Risk (S), 2011, Vol 13, Issue 2, pp 57-70, with Crezée.

Can theoretical risk premiums be captured by investing in passive funds?

n     VBA Journaal, 2010, Vol 26, Issue 4, 12-15, with Blitz, Houweling, Huij, and Rejeb.

De toekomst met beschikbare premie [in Dutch: The future with defined contribution]

n     PBM Dossierreeks 5: De toekomst van ons pensioenstelsel (edited by Klopper, Petersen, and Van Popta), 2010 with Poiesz.

Hoe waarderen we ons pensioen? [in Dutch: How do we value our pension?]

n     Maandblad voor Accountancy en Bedrijfseconomie (1/3 S), 2010, Issue 5, 245-252, with Van Ommeren.

Pension Fund Asset Allocation under Uncertainty

n        Pension Fund Risk Management: Financial and Actuarial Modeling (edited by Gregoriou, Masala, and Miccoci), 2010, with De Groot.

The economic value of fundamental and technical information in emerging currency markets

n        Journal of International Money and Finance (P), 2009, Vol 28, Issue 4, 581-604, with De Zwart, Markwat, and Van Dijk.

De echte gevolgen van de ontwikkelingen in de regelgeving voor pensioenfondsen [in Dutch; The real implications of regulatory developments for pension funds]

n        VBA Journaal, 2009, Vol 25, Issue 4, 16-20.

Performance evaluation of Polish mutual fund managers

n        International Journal of Emerging Markets, 2009, Vol 4, Issue 1, 26-42, with Rzezniczak.

Fundamental Indexation: An Active Value Strategy in Disguise

n        Journal of Asset Management, 2008, Vol 9, Issue 4, 264-269, with Blitz.

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

n        Handbook of Commodity Investing (edited by Fabozzi, Kaiser, and Füss), July 2008, with Nijman.

Het onzekere voor het zekere nemen [in Dutch; Taking the uncertain for certain]

n        VBA Journaal, 2008, Vol 24, Issue 1, 42-49, with De Groot.

Incorporating uncertainty about alternative assets in strategic pension fund asset allocation

n        Pensions, 2008, Vol 13, Issue 1-2, 71-77, with De Groot.

Het effect van overnames op de aandelenrendementen van biedende ondernemingen

n     Maandblad voor Accountancy en Bedrijfseconomie (1/3 S), 2007, Issue 6, 277-283, with Van den Berg.

Can mutual funds time investment styles?

n     Journal of Asset Management, 2007, Vol 8, Issue 2, 123-132, with Tjong-A-Tjoe.

Zijn pensioenregelingen gewijzigd als gevolg van de introductie van IFRS? [in Dutch; Have pension plans changed after the introduction of IFRS?]

n     Maandblad voor Accountancy en Bedrijfseconomie (1/3 S), 2006, Issue 11, 562-570.

Return-based Style Analysis with Time-varying Exposures

n     European Journal of Finance (S), 2006, Vol 12, Issue 6-7, 529-552, with Van der Sluis.

The impact of new capital requirements on asset allocation for Dutch pension funds

n     Pensions, 2004, Vol 10, Issue 1, 75-81.

Do countries or industries explain momentum in Europe?

n     Journal of Empirical Finance (P), 2004, Vol 11, Issue 4, 461-481, with Nijman and Verbeek.

Momentum Investing: A survey

n     Journal of Asset Management, 2004, Vol 5, Issue 2, 120-143.

IFRS dwingt ondernemingspensioenfonds tot beter afgestemd beleggingsbeleid [in Dutch; IFRS forces corporate pension funds to adjust investment policy]

n     VBA Journaal, 2004, Vol 20, Issue 1, 13-20, with Oosenbrug

Alternative investments and the solvency requirements for defined-benefit pension schemes

n     Society of Actuaries Monograph “The Great Controversy”, 2004

Empirical analysis of investment strategies for institutional investors

n     CentER PhD-thesis 126, 2003, ISBN 90 5668 127 3

Gevolgen van ontwikkelingen in de regelgeving voor de beleggingsmix van pensioenfondsen [in Dutch; Implications of regulatory developments for the asset allocation of pension funds]

n     VBA Journaal, 2003, Vol 19, Issue 3, 9-19, with Nijman

International Industry Momentum

n     Journal of Asset Management, 2002, Vol 3, Issue 2, 124-141.


Working Papers:

Is Risk Arbitrage Compensated? Evidence from the European STRIPS Market

n        with Huij and Livingston

Returns to Market Timing: A Decomposition of Mutual Fund Returns

n        CentER Discussion Paper, 2003-95, with Van der Sluis and Verbeek.

Why don’t Latvian pension funds diversify more internationally?

n        Stockholm School of Economics in Riga Working Paper, 2005-01, with Vejina and Vilans


Non-academic publications:

Defined contribution en asset-allocatie [in Dutch; Defined contribution and asset-allocation]

n     Financial Investigator, September 2010, with Poiesz, Van Vliet, and Zeldenrust.

Beleg verantwoord, beleg actief! [in Dutch; Invest responsibly, invest actively!]

n     Financial Investigator, June 2010.

De mythe ontkracht: Passief beleggen [in Dutch; Myth busting: Passive investing]

n     Financial Investigator, May 2010, with Blitz and Huij.

Dynamische Strategische Asset Allocatie... of toch liever een dynamisch risicobudget? [in Dutch; Dynamische Strategic Asset Allocation... or a dynamic risk budget?]

n     Financial Investigator, December 2009, with Van Rooij.

Versus: "IFRS zou de rekenrente van het FTK moeten overnemen"  [in Dutch; IFRS should use the discount factor of FTK]

n     Nederlands Pensioen- en Beleggingsnieuws, November 2009.

Positive about alternatives

n     Investments and Pensions Europe, November 2009.

Wint de ratio het van de emotie in crisistijden?  [in Dutch; Does reason beat emotion in times of crisis?]

n     Nederlands Pensioen- en Beleggingsnieuws, December 2008, with De Groot.

Minder risico en toch hetzelfde verwacht rendement  [in Dutch; Less risk and the same expected return]

n     Nederlands Pensioen- en Beleggingsnieuws, September 2008.

Inflatiederivaten voor pensioenfondsen [in Dutch; Inflation derivatives for pension funds]

n     De Actuaris, July 2008, 2-4, with Kerkhof.

Hedging interest rate risks with swaps and swaptions

n     FSA Fiducie, FST Faces, FSR Forum, 2007/08, with Xu.

Het belang van strategische asset allocatie [in Dutch; The importance of strategic asset allocation]

n     Nederlands Pensioen- en Beleggingsnieuws, Spring 2007, with Blitz.

Zijn beleggingsfondsen succesvolle stijltimers? [in Dutch; Are mutual funds successful style timers?]

n     FSR Forum, 2006, with Tjong-A-Tjoe

Risk budgeting under shortfall constraints

n     Investments & Pensions Europe - Netherlands, August 2006, with Van Vliet.

De opmars van beleggen in sectoren gestuit? [in Dutch; Has the rise of sector investing come to a halt?]

n     Technische en Kwantitatieve Analyse, April 2006, 39-41.

Dutch insights for the Swedish traffic light system

n     Nordic Region Pensions and Investments News, Autumn 2005, 42-43, with Sagel.

Liability driven investing... of investment driven liabilities? [in Dutch; Liability driven investing... or investment driven liabilities?]

n     Nederlands Pensioen- en Beleggingsnieuws, Autumn 2005, 40-42.

Rentederivaten voor pensioenfondsen [in Dutch; Interest rate derivatives for pension funds]

n     De Actuaris, September 2005, 10-12.

Duration extension – To do or not to do?

n     Investments & Pensions Europe – Netherlands, 2005, Spring, 31.

Dynamic style-analysis for mutual funds

n     Medium Econometrische Toepassingen, 2004, Vol 12, Issue 2, 20-24.

A new benchmark for pension funds

n     Investments & Pensions Europe – Netherlands, 2004, Summer, 32-33.