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Welcome to the homepage ofLaurens Swinkels |
| Latest News | Personal Info | Courses | Internships | Research |
https://doi.org/10.25397/eur.9371741 Historical composition of the global market portfolio (updated until Dec 2021) from the Financial Analysts Journal (2014) article
https://doi.org/10.25397/eur.9419585 Historical returns of the global market portfolio (until Dec 2017) from the Review of Asset Pricing Studies (2020) article
https://doi.org/10.25397/eur.8152748 Historical returns on international government bond markets (updated until Apr 2021) from the Data (2019) article
https://doi.org/10.25397/eur.11379600 Historically simulated returns on international inflation-linked bonds (until Dec 2017) from the Journal of Empirical Finance (2018) article
https://doi.org/10.25397/eur.16608529 Daily historical data on currencies traded in Amsterdam over the period 1916-1925.
https://doi.org/10.25397/eur.14237024 Historical returns on global factor premiums (until Dec 2016) from the Journal of Financial Economics (2021) article
https://doi.org/10.25397/eur.18817850 Historical returns on Chinese A-share equity market factors (from the 2022 working paper)
https://doi.org/10.25397/eur.19771261 Historical returns on Chinese A-share anomalies (from the 2021 Pacific-Basin Finance Journal (2021) article
2023 Last update: 19 March
I will present my working paper "Factor models for Chinese A-shares" at Southwestern University of Finance and Economics (China) at 3 April 2023.
My working paper "Investing in inflation, deflation, and stagflation regimes" has been accepted for publication in Financial Analysts Journal.
My working paper "Investing in carbon credits" is available on-line.
I presented my paper "Empirical evidence on the ownership and liquidity of real estate tokens" at an online seminar at the New Jersey Institute of Technology on 28 February.
My working paper "Trading carbon credit tokens on the blockchain" is available on-line"
My working paper "Integrating the Sustainable Development Goals in government bond investment strategies" is available on-line.
My working paper "Corporate carbon emissions data for equity and bond portfolios" is available on-line
My paper "Empirical evidence on the ownership and liquidity of real estate tokens" has been published open access in Financial Innovation.
My working paper "More powerful tests for anomalies in the China A-share market" is available on-line
My working paper "Factor models for Chinese A-shares" is available on-line. Data available here.
My working paper "The Buffett indicator: International evidence" is available on-line
2022
I presented my paper "Empirical evidence on the ownership and liquidity of real estate tokens" at the Inquire Europe Autumn Conference in Marseille (France) on 2-4 October.
I presented my paper "Empirical evidence on the ownership and liquidity of real estate tokens" at the Economics of Financial Technology Conference in Edinburgh (UK) on 11-13 May.
My paper "Shrinking beta" has been published in the Journal of Risk.
My paper "The capital-protection capacity of emerging-markets inflation-linked bonds" is published in the Journal of Portfolio Management
I presented my research "Empirical evidence on the ownership and liquidity of real estate tokens" at the CryptoAssets and Digital Asset Investment Conference in Rennes (France) on 7-8 April.
My paper "Allocating to green bonds" has been published in the Journal of Alternative Investments.
2021
My paper "Global factor premiums" has been published open access in Journal of Financial Economics. Summary on the Alpha Architect investment blog can be found here.
I presented my research "Empirical evidence on the ownership and liquidity of real estate tokens" at the 4th UWA Blockchain and Cryptocurrency on 22 November.
My paper "Does excluding sin stocks cost performance?" has been published open access in the Journal of Sustainable Finance and Investments.
My paper "Anomalies in the China A-share market" has been published open access in Pacific-Basin Finance Journal.
My paper "The structure and degree of dependence in government bond markets" has been published open access in Journal of International Financial Markets, Institutions, and Money.
My paper "Who owns tobacco stocks?" has been published in the Journal of Asset Management. Open access read-only through this link here. Summary on the Duke FinReg blog can be found here.
My paper "Does sustainable investing deprive unsustainable firms of fresh capital?" has been published in Journal of Impact and ESG Investing. Summary on the Duke FinReg blog can be found here.
My paper "China A-shares: Strategic allocation to market and factor premiums" has been published in Journal of Portfolio Management
I presented my working paper "Factor models for Chinese A-shares" at Oslo Business School (Oslo Metropolitan University, Norway) at 18 February 2021.
2020
My paper "Historical returns of the market portfolio" has been published open access in the Review of Asset Pricing Studies. Data can be downloaded here. Summary on the Alpha Architect investment blog can be found here.
My paper "Media attention and the volatility effect" has been published in Finance Research Letters. Summary on the Alpha Architect investment blog can be found here.
My paper "Do tobacco share owners finance the tobacco business?" has been published in Journal of Impact and ESG Investing
My paper "Diversiteit van pensioenfondsbesturen: Is het glas half vol of half leeg?" has been publishd open access in VBA Journaal
I presented my working paper "Global factor premiums" at the Technical University Munich (Germany) on 14 Jan 2020
My paper "Is exclusion effective?" has been published in the Journal of Portfolio Management.
2019
My paper "Pension and insurance solvency regulations and low-risk investing: A comparative analysis of the Nordic countries and the Netherlands" has been published open access in Nordic Journal of Business
I presented my working paper "Global factor premiums" at Vaasa University (Finland) on 14 November
My paper "Treasury bond return data starting in 1962" is published open access in Data. The resulting monthly data (extended until 1947 for the US and internationally for several countries as well) can be downloaded here.
My paper "Individual pension risk preference elicitation and collective asset allocation with heterogeneity" is published open access in Journal of Banking and Finance
I was a committee member of the PhD-thesis entitled "On drivers of asset pricing factors" by Milan Vidojevic at VU Amsterdam, Netherlands, April 2019.
I presented my working paper "Global factor premiums" at the Oslo Business School (Oslo Metropolitan University) on 14 February
2018
I presented my paper "Momentum investing in the cryptocurrency market" at the FinTech and Cryptofinance Workshop at NEOMA Business School in Paris on 8 November
My paper "Simulating historical inflation-linked bond returns" has been published in Journal of Empirical Finance.
I presented my paper "P-hacking? Global return factors tested since 1800" at the Research in Behavioral Finance Conference in Amsterdam 20-21 September.
My paper "Equity Solvency Capital Requirements: What Institutional Regulation Can Learn from Private Investor Regulation" has been published in Geneva Papers on Risk and Insurance - Issues and Practice. A summary of this research can be found here (on IPE.com, in English) and here (on Me Judice, in Dutch).
I gave a seminar on "P-hacking? Global return factors tested since 1800" at Hanken School of Economics in Helsinki (Finland) on 31 May.
I gave a seminar on "P-hacking? Global return factors tested since 1800" at Southwestern University of Finance and Economics in Chengdu (China) on 27 March.
I was a committee member of the PhD-thesis entitled "Investment style and strategy" by Eshan Ramezanifar at Maastricht University, Netherlands, February 2018.
I gave a seminar on "P-hacking? Global return factors tested since 1800" at Maastricht University (Netherlands) on 28 February.
2017
I was be a committee member of the PhD-thesis entitled "Assessing asset pricing anomalies" by Wilma de Groot at RSM Erasmus University, Netherlands, December 2017.
My paper "The impact of FinTech start-ups on incumbent retail banks’ share prices" is published open access in Financial Innovation.
I was be a committee member of the PhD-thesis entitled "Essays on empirical finance and monetary policy" by Frederiek van Holle at Tilburg University, Netherlands, December 2017.
My paper "Fundamental indexation for developed, emerging, and frontier government bond markets" is published in Journal of Asset Management.
I was a committee member of the PhD-thesis entitled "Essays on emerging markets finance" by Nebojsa Dimic at the University of Vaasa, Finland, November 2017.
My paper "Board Diversity and Self-regulation in Dutch pension funds" is published in Equality, Diversity, and Inclusion
My paper "Frontier and Emerging Government Bond Markets" is published in Emerging Markets Review
My paper "Is the equity market representative of the real economy?" is published in Economics, Management, and Financial Markets.
2016
I visited the European Finance Association Annual Meeting in Oslo in August 2016.
My paper "Fundamental Indexation: An Active Value Strategy in Disguise" is republished Asset Management: Portfolio construction, Performance, and Returns, which contains the most impactful papers published in the Journal of Asset Management over the past two decades.
My paper "The Zodiac Calendar and Equity Factor Returns" is published in the China Accounting and Finance Review.
I started at Robeco Institutional Asset Management on 1 July.
I presented my paper "Fundamental indexation for developed, emerging, and frontier government bond markets" at the University of Neuchatel in Switzerland on 13 May.
2015
My paper "Can Implied Volatility Predict Returns on the Currency Carry Trade?" is published in Journal of Banking and Finance.
I was a committee member of the PhD-thesis entitled "Essays on structured products and algorithmic portfolios" by Jürgen Vandenbroucke at the University of Anwerp, Belgium, September 2015.
My paper "Accounting for market risk in microfinance investments" is published in International Journal of Sustainable Economy.
My paper "The Global Multi-Asset Market Portfolio 1959-2012" received the Graham and Dodd Readers' Choice Award for articles published in Financial Analysts Journal in 2014.
My paper "Empirical Evidence on the Currency Carry Trade, 1900-2012" is published in Journal of International Money and Finance.
2014
My response to a letter on "The Global Multi-Asset Market Portfolio 1959-2012" is published in Financial Analysts Journal.
I presented my research "Frontier and Emerging Government Bond Markets" at the brown bag seminar at Erasmus University Rotterdam on 12 November 2014.
My paper "The Global Multi-Asset Market Portfolio 1959-2012" published in Financial Analysts Journal. Accompanying data available from FAJ website or here in Excel-format.
I was a committee member of the PhD-thesis entitled "The impact of country and industry diversification on equity portfolios" by Fan Wu at the University of Saint Louis in Brussels, Belgium, June 2014.
I supervised a student from the Fulbright-Schuman Program in European Affairs during academic year 2013-2014 on pensions.
I visited the Annual Meeting of the American Finance Association in Philadelphia on 3-5 January 2014.
2013
I gave a brown bag seminar on "Individual pension risk preference elicitation and collective asset allocation with heterogeneity" at Erasmus University Rotterdam on 13 November 2013
I presented my research on "The Global Multi-Asset Market Portfolio 1959-2012" at the Quantitative Finance Summer Research Workshop at Singapore Management University on 31 July 2013
I was a discussant at the 6th Professional Asset Management Conference in Rotterdam on 6 June 2013
My paper "Can exchange traded funds be used to exploit country and industry momentum?" is published in Financial Markets and Portfolio Management.
I visited the Annual Meeting of the American Finance Association in San Diego on 4-6 January 2013
I started at Norges Bank Investment Management in Oslo (Norway) in January
2012
My paper "The Cross-section of Stock Returns in Frontier Emerging Markets" is published by the Journal of Empirical Finance
My paper "Emerging markets inflation-linked bonds" is published in the Financial Analysts Journal.
I was a speaker at the European Pension Fund Congress organized by the European Federation for Pension Provision on 20 November in Frankfurt, Germany
My paper "On the Performance of European Index Funds and ETFs" is is published in European Financial Management.
My paper "An Anatomy of Calendar Effects" is published in the Journal of Asset Management.
My paper "Performance evaluation of balanced pension plans" is published in Quantitative Finance.
My paper "Diversity of Dutch pension fund boards" is published in Pensions. Data appendix can be found here.
I was a pannelist at the EFAMA Pension Day on 24 April 2012 in Brussels, Belgium.
I was a discussant at the Netspar seminar Pensioencommunicatie en keuzes (Pension communication and choices) on 17 April 2012 in The Hague.
I was a discussant at the Netspar seminar Investment and risk management for pension funds and insurers on 9 March 2012 in Amsterdam.
I visited the American Finance Assocation Annual Meeting in Chicago in January 2012
2011
My paper "Have pension schemes changed after the introduction of IFRS?" is published in Pensions.
I was a committee member of the PhD-thesis entitled "Cross-sectional predictability of stock returns: Evidence from the 19th century Brussels Stock Exchange" by Lord Mensah at the University of Antwerp, Belgium, October 2011.
I presented my paper "Value and Momentum in Frontier Emerging Markets" at the South Western University of Finance and Economics in Chengdu, China on 23 September 2011
My paper "The Case for Local Fair Value Discount Rates Under IFRS" is published in Pensions.
My paper "Can exchange traded funds be used to exploit country and industry momentum?" was presented at the European Financial Management Association Annual Meeting in Braga, Portugal on 22-25 June 2011 by my coauthor Andreu.
My paper "Value and Momentum in Frontier Emerging Markets" was presented at the World Finance Conference at Rhodes, Greece on 15-17 June by my coauthor Pang.
I was a discussant that the 5th Professional Asset Management Conference in Rotterdam on 12 May 2011
My paper "De gevolgen van mogelijke veranderingen in de rekenrente" was published in Tijdschrift voor Pensioenvraagstukken
I presented my paper "Value and Momentum in Frontier Emerging Markets" at the University of Maastricht on 11 May 2011
I presented my paper "Value and Momentum in Frontier Emerging Markets" at the 3rd Emerging Markets Group Conference at Cass Business School in London on 5-6 May 2011
I presented my papers on seasonals and frontier markets at the Eastern Finance Association in Savannah GA on 13 April 2011
I presented my paper "Value and Momentum in Frontier Emerging Markets" at the 14th Swiss Society for Financial Markets Research in Zurich on 8 April 2011
My paper "High-conviction equity portfolio optimization" is published in the Journal of Risk.
2010
My paper "Can theoretical risk premiums be captured by investing in passive funds?" is published in the VBA Journaal.
My working paper "Is Risk Arbitrage Compensated? Evidence from the European STRIPS Market" is available online.
My paper "Value and Momentum in Frontier Emerging Markets" has been presented at the XVIII Spanish Finance Forum in Alicante on 18-19 November 2010 by my coauthor Juan Pang.
I presented my working paper "Value and Momentum in Frontier Emerging Markets" at the University of Groningen on 22 September 2010.
I visited the European Finance Association Annual Meeting in Frankfurt on 25-28 August 2010.
I presented my paper "Value and Momentum in Frontier Emerging Markets" at a brown bag seminar at Erasmus University on 23 June 2010.
My paper "De toekomst met beschikbare premie" is published in "PBM Dossierreeks 5: De toekomst van ons pensioenstelsel" edited by Klopper, Petersen, and Van Popta in June 2010
My paper "Hoe waarderen we ons pensioen?" is published in Maandblad voor Accountancy and Bedrijfseconomie in May 2010
I was an invited speaker at the International Pension Fund Congress (see programme) in Cartagena de Indias (Colombia) on 15 April 2010
I was a discussant at the 4th One-Day Conference on Professional Asset Management (LinkedIn) on 19 March 2010
I was a visting scholar at the Center for Retirement Research at Boston College in January 2010
I visited the American Finance Assocation Annual Meeting in Atlanta in January 2010
My paper "Pension Fund Asset Allocation under Uncertainty" is published as a chapter in the book "Pension Fund Risk Management" edited by Gregoriou, Masala, and Miccoci by Chapman-Hall in January 2010
2009
My article on the consequences of pension fund regulation (in Dutch; available upon request) has been published in the VBA Journaal.
I presented my research on On the Performance of European Index Funds and ETFs at Erasmus University on 16 September
My paper "The economic value of fundamental and technical information in emerging currency markets" is published in the Journal of International Money and Finance, Volume 28, Issue 4, pp. 581-604
I presented a research paper on bond investing at a seminar at the University of Zaragoza on 16 June 2009
I was a committee member of the PhD thesis entitled "Financial Management of Spanish Pension Plans" by Laura Andreu at the University of Zaragoza on 15 June 2009.
I was a discussant at the 3rd Conference on Professional Asset Management at RSM Erasmus University in Rotterdam on 20 March 2009
I was a panellist in the EFAMA conference on Payout Solutions for Pension Schemes in Brussels on 18 February 2009
I presented my research on inflation hedging at a European Pension Academy seminar in Tilburg on 12 February 2009
My paper "Performance evaluation of Polish mutual fund managers" is published in the International Journal of Emerging Markets
2008
My paper "Fundamental Indexation: An Active Value Strategy in Disguise" is published in the Journal of Asset Management
I presented my paper "The economic value of fundamental and technical information in emerging currency markets" at the Financial Management Association Annual Meeting in Dallas in October 2008
I gave a presentation on the Longevity Risk conference in Amsterdam in 25-26 September 2008
I presented my paper "The economic value of fundamental and technical information in emerging currency markets" at the European Finance Association Annual Meeting in Athens (Greece) in August 2008
I joined the International Research Project on Corporate Social Responsibility and Investments organized by FSR to Brazil in July 2008
An updated version of my working paper "Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes" is published in the Handbook of Commodity Investing, edited by Fabozzi, Füss, and Kaiser in July 2008.
I presented "Can exchange traded funds be used to exploit sector momentum?" on the Technical Analyst Global Equities Conference in London on 26 June 2008
My paper "Incorporating uncertainty about alternative assets in strategic pension fund asset allocation" is published in Pensions.
My Dutch paper Het onzekere voor het zekere nemen (available upon request) is published in the VBA Journaal.
I presented my research at the Scarcity and Rational Investments conference in Zurich (Switzerland) on 18 March 2008
2007
My paper "Can mutual funds time investment styles?" is published in the Journal of Asset Management.
My paper "Het effect van overnames op de aandelenrendementen van biedende ondernemingen" is published in the Maandblad voor Accountancy and Bedrijfseconomie.
I visited the European Finance Association Conference in Ljubljana (Slovenia) in August 2007
I presented on an ECFR/Netspar conference on pension fund investment strategies on 12 June 2007 in Rotterdam.
I presented my paper Chartists and Fundamentalists in Emerging Currency Markets at a seminar at the University of Groningen on 6 June 2007.
I presented my paper at a research forum on the European Accounting Association in Lisbon on 25 April 2007
I discussed a paper at the ERIM/Netspar Conference on Professional Asset Management in Rotterdam on 9 March 2007
I presented my paper on the Conference on Hetergeneous Agents In Financial Markets organized by the Nijmegen Centre of Economics on 24 January 2007
2006
My paper "Return based style analysis with time-varying exposures" is published in the European Journal of Finance
I received a Netspar research grant for my research on the impact of accounting standards on pension agreements
I discussed a paper on the Netspar Pension Day in Maastricht on 23 November 2006
My paper "Zijn pensioenregelingen gewijzigd als gevolg van de introductie van IFRS?" has been published in the Maandblad voor Accountancy and Bedrijfseconomie
I presented my paper about Pension Accounting at the International Accounting and Finance Conference in Thessaloniki (Greece) in September
I visited the European Finance Association Conference in Zurich (Switzerland) in August
Personal Data
|
Full name: |
Laurens Swinkels |
|
Affiliation: |
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 |
|
Room: |
H14-25 |
|
Phone: |
+31 (0)10 408 1285, +31 (0)10 408 1507 |
|
Email: |
lswinkels AT ese.eur.nl |
|
CV: |
Downloadable version in PDF-format |
|
Other affiliations: |
See up-to-date LinkedIn profile here |
Courses
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"
Theses
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
- Investment strategies
- Pension fund investing and risk management.
- Finance applications to the Nordics
Click here for a list of previous thesis titles.
Internships
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.
Research
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.
Publications:
ERIM Journal List: (P) = Primary, (S) = Secondary. My H-index is currently 21 according to Google Scholar Citations, 1
2 according to Scopus, and 11 according to Web of Science.
Investing in inflation, deflation, and stagflation regimes
n Financial Analysts Journal (S), 2023, with Baltussen and Van Vliet.
Empirical evidence on the ownership and liquidity of real estate tokens
n Financial Innovation, Vol 9, Art 9, 2023.
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.n Journal of Risk (S), 2022, Vol 24, Issue 6, 25-40, with Blitz, Usaite, and Van Vliet.
n Journal of Alternative Investments, 2022, Vol 25, Issue 1, 9-32.
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 BlitzAnomalies 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.
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 .
n Journal of Portfolio Management (S), 2020, Vol 46, Issue 3, pp. 42-48, with Blitz.
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.
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.
, 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.
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.
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.
