I supervise both Bachelor's and Master's theses. Titles of theses that I
supervised before include
- Improving residual momentum
(August 2021)
- Gambling versus the law of large numbers
(August 2021)
- Picking outperformers in the technology sector (August 2021)
- Buffett's Indicator and Shiller's CAPE ratio as sentiment proxies
(August 2021)
- The relationship between the Buffett Indicator and subsequent
long-term equity returns
(August 2021)
- NL: Mean-reversion en carry trade strategie: Een
analyse over de periode 1916-1925 (August 2021).
- The relation between returns on human capital and equity returns
(May 2021)
- The cross section of cryptocurrency returns (January 2021)
- Voting in the age of sustainable investing: A study onf voting
behavior of asset managers (November 2020)
- Is human capital correlated to financial markets? Evidence from
international data (October 2020)
- Forecasting Time-Varying International Factor Correlations (August
2020)
- The predictive power of the Altman, financial and operational
variables on financial distress for health care institutions (August
2020)
- Momentum Trading Strategies in the Netherlands: A ‘winners only’
approach (August 2020)
- NL: Factorbeleggen in de markt van
cryptovaluta’s (August 2020)
- A Cointegration Trading Strategy for Currency Exchange Rates (August
2020)
- An Asset Pricing Model for Cryptocurrencies (July 2020)
- NL: Menselijk kapitaal en
aandelenprestaties in Nederland (July 2020)
- Demography and asset returns (July 2020)
- Co-movements between frontier and global bond markets: Exploring the
dynamics of frontier bond markets (June 2020)
- The Impact of the Financial Crisis on Homeowners’ Portfolio Choice
in Greece (May 2020)
- Factor Investing Strategies Applied to Corporate Bond ETF
Constituents (April 2020)
- The effect of political uncertainty on the Dutch stock market (March
2020)
- Sin stocks a closer look: evidence on institutional ownership,
analyst coverage and volatility (March 2020)
- An Analysis of the Age and Gender Diversity of the Dutch Pension
Boards of 2019 (February 2020)
Modified version published in VBA Journaal
(2020)
- The impact of mutual funds on corporate governance (February 2020)
- Aging populations and Stock markets (August 2019)
- Green Bond Premium: what does it reflect? (August 2019)
- Does a Demographic Dividend translate in higher economic and
financial gain? (August 2019)
- The effects of changing global demographics on fiancial asset
returns revisited (July 2019)
- International portfolio diversification: Did industry and country
effects change after the formation of the euro? (July 2019)
- The influence of Corporate Social Responsibility on the level of
institutional ownership (August 2018)
- Who invests in sin stocks? (August 2018)
- Institutional ownership and righteous stocks (August 2018)
- Momentum/contrarian strategy and volatility of cryptocurrencies
(August 2018)
- Institutional ownership in publicly traded US sin stocks (August
2018)
- The difference in institutional ownership of sin stocks and normal
stocks (July 2018)
- The effects of El Nino on the stock markets: A comparative
geographical analysis (February 2018)
- The effect of ENSO on G7 stock markets (February 2018)
- Survivorship bias in the foreign exchange literature (December 2017)
- Fundamental weighting schemes for Developed, Emerging and Frontier
government bond markets (August 2017)
- Survivorship bias in carry trading (August 2017)
- The effect of El Nino on stock markets (August 2017)
- Can value and momentum be explained by macro economic exposures
(August 2017)
- The effect of El Nino on the stock market (August 2017)
- The added value of green bonds (August 2017)
- Can value, momentum, and other anomalies be explained by
macroeconomic exposures? (August 2017)
- Survivorship bias in the currency carry trade literature (August 2017)
- The effect of El Nino on stock market: The evidence for thirteen
U.S. industry markets and twenty-two international markets (August 2017)
- NL: Hoe goed werken asset pricing modellen voor staatsobligaties (July
2017)
- Hypothetical inflation-linked bonds (February 2017)
- Translating event study results into realistic portfolios that outperform: Evidence from share buyback, SEO, and acquisition announcements (August 2016)
- On the determinants of the maturity structure of the government debt (August 2016)
- How well do simple asset pricing models work for government bonds (August 2016)
- Impact of Foreign Direct Investment on real GDP growth in transition economies (August 2016)
- The impact of short sale on volatility of individual assets: Evidence from the SP500 stock index (August 2016)
- Simple asset pricing models to evaluate government bonds: international evidence (August 2016)
- NL: Het Ramadan-effect op financiele markten van islamitische en niet-islamitische landen (August
2016)
- NL: Factor prijsmodellen en internationale overheidsobligaties (August
2016)
- Creating hypothetical inflation-linked bond series for global asset
allocation (August 2015)
- Value and size premium patterns in the Greek stock market before and
after the crisis (August 2015)
- Portfolio rebalancing in the stock market during Quantitative Easing
(August 2015)
- Green Bonds: Role in Capital Markets and
Mobilization of Private Investment to Fund Environmental-Friendly
Projects (August 2015)
- Inflation hedging:U.S. Real Estate Investment Trusts (August 2015)
- NL: Effecten van herzieningen van de AEX (August
2015)
- NL: Het effect op aandelenmarkten bij de
aankondiging van Quantitative Easing (August 2015)
- NL: International Industry Momentum (July 2015)
- NL: Het dividendbeleid van beursgenoteerde
ondernemingen in Nederland (July 2015)
- NL:
De Chinese dierenriem en de Amerikaanse aandelenmarkten (June 2015)
Modified version published in China Accounting
and Finance Review (2016)
-
Oil price predictability in stock markets: A universal approach (March
2015)
- Causal relationship between stock markets and exchange rates (March
2015)
- Determinants that Influence Maturities of Governments Bonds (March
2015)
- Demystifying the Building Blocks of Listed Private Equity: a Factor
Approach (March 2015)
- Are macroeconomic variables able to explain the excess return earned
with a carry trade investment strategy (September
2014)
- NL: De grootte van Exchange-Traded Funds in de
Verenigde Staten
(August 2014)
- The optimal floating asset portfolio of an insurance company (August
2014)
- Investing in microfinance institutions (August 2014)
Modified version published in International
Journal of Sustainable Economy 2015)
- The integration of sovereign bond markets (August 2014)
- An Historical Analysis of IPO Underpricing in India (June 2014)
- Risk elicitation of Dutch pension plan members (October 2013)
- What is the effect of M&A on the stock price of bidding firms in
India (August 2013)
- NL: Beloningsbeleid voor pensioenfondsbestuurders
(August 2013)
- Return anomalies in currency carry trading (June 2013)
- Stated, revealed and normative risk attitudes in the pension domain
(February 2013)
- A crisis-robust carry trade strategy developed with the VIX
(December 2012)
Modified version published in Journal of
Banking and Finance (2015)
- Tactical asset allocation with VIX futures (December 2012)
- Risk attitude in pension plans: the effect of home ownership
(December 2012)
- The price effect and beta changes of stocks added to or deleted from
MSCI Emerging Markets Index (November 2012)
- Trust, risky business? An analysis of the trust-risk relation in
Dutch second pillar pension plan members (November 2012)
- NL: Chinese kalender en aandeelrendementen (August 2012)
- Investigating the relation between past trading volume and future
returns (August 2012)
- Assessment of a survey based risk aversion coefficient and asset allocation (August
2012)
- Mean-semivariance verus mean-variance optimization model (July 2012)
- Hedging inflation with different asset classes: the Dutch case (July 2012)
- NL: Hoe zit het beloningsbeleid
voor het bestuur van Nederlandse pensioenfondsen in elkaar? (July 2012)
- Stock market integration and expected stock returns (June 2012)
- Determinants of liquidity in the government bond market (November 2011)
- Portfolio optimization using farmland and timberland (September 2011)
- Fuel hedging and firm value: The European airline industry (August 2011)
- NL: Wat is de reactie van de markt op
dividendverhogingen en/of verlagingen van Nederlandse beursondernemingen (August 2011)
- Forecasting equity and bond market volatility (August 2011)
- The performance of asset allocation funds (August 2011)
- The impact of the Dutch credit guarantee scheme on Dutch credit
spreads (May 2011)
- What determines FDI in emerging markets? (May 2011)
- Shorting ban 2010: What did we learn? (May 2011)
- Pairs trading: Testing the consistency of an investment strategy (November 2010)
- Asset allocation with inflation-linked bonds in emerging markets
(November 2010)
Modified version published in Financial
Analysts Journal (2012)
- The influence of pension accounting on defined benefit pension plans (September 2010)
- NL: Magische beleggingsformule? Een test van
Joel Greenblatt’s formule op Nederlandse aandelen (August 2010)
- Performance evaluation of equity mutual funds in Central and Eastern
Europe (June 2010)
- On hedge fund reward structure and returns (June 2010)
- Hedging inflation by selecting stock industries (June 2010)
- Future commodity prices (August 2009)
- Inflation hedging (August 2009)
- Performance persistence in Dutch equity funds (August 2009)
- NL: Richtlijn 271 Personeelsbeloningen (July 2009)
- NL: Pensioenen in balans (July 2009)
Modified version published in Maandblad voor Accountancy en
Bedrijfseconomie (2010)
- Optimal diversification with U.S. stocks and international stock
indices (December 2008)
Modified version version published in Journal
of Risk (2011)
- Seasonal strategies (November 2008)
Modified version published in Journal of Asset
Management (2012)
- Hedging inflation risk with real assets (October 2008)
- Sector multiples applied to the valuation of U.S. listed stocks
(September 2008)
- Absolute return funds (August 2008)
- Latvian pension funds: performance evaluation (August 2008)
- NL: Momentum effect in Nederland (August 2008)
- NL: De invloed van beta, size, en book-to-market ratio op
aandelenrendementen (August 2008)
-
Can retail investors exploit country momentum? (July 2008)
- Is industry momentum attainable using ETFs? (June 2008)
Modified version published in Financial Markets
and Portfolio Management (2013)
-
Active share, a new measure, does it give new information too? (June
2008)
-
Pricing of matched-maturity principal and coupon strips (January 2008)
- Profitability of value-growth rotation strategies (December 2007)
-
Polish mutual fund
performance: Selectivity, Timing, and Diversification (August 2007)
Modified version published in International Journal of Emerging
Markets (2009)
-
NL: Duurzaam beleggen: een verantwoord appeltje voor de dorst?
(August 2007)
- The impact of IAS 19 on the pension plan classification in the
Netherlands (June 2007)
- NL: De economische gevolgen van IAS 19 en RJ 271 voor het
pensioenlandschap in Nederland (June 2007)
- Hunting equity style in continental Europe (June 2007)
- The adoption of IFRS 3 and its effect on idiosyncratic stock price
volatility (May 2007)
- The equity premium: past, puzzles, and the consumption wealth ratio
(March 2007)
- NL: Pensioen ondergaat een verandering sinds de invoering van IFRS
(January 2007)
- Does M&A create or destroy shareholder value? (August 2006)
Modified version published in Maandblad voor Accountancy en
Bedrijfseconomie (2007)
- International size rotation strategies: evidence from continental
Europe (August 2006)
- Does the quality of acquisitions decline as M&A activity increases?
(August 2006)
- Timing by mutual funds in a four-factor environment (August 2006)
Modified version published in Journal of Asset Management (2007)
- NL: De invloed van IFRS op Nederlandse pensioenregelingen (April 2006)
* work in progress
Back to homepage.
