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Welcome to the homepage of           

Guido Baltussen          


Personal Data

Publications and Working Papers

Media Coverage




Personal Data

Personal Description:

Guido Baltussen is Professor in Behavioral Finance and Financial Markets. In addition, Guido works at Robeco Asset Management as Head of Factor Investing & Co-Head of Quant Fixed Income, managing quantitative investment strategies in Equities, Fixed Income and other asset classes. Before he obtained his PhD in Finance at the Erasmus University Rotterdam, and was visiting Scholar at Stern School of Business of New York University, New York, USA. His expertise is Behavioral Finance, Market Anomalies, and Factor-based Investing, with research focusing on the boundaries of Behavioral Finance and Asset Pricing, Investments, Portfolio Construction and Individual Investor Decision Making. Guido has published several articles in the leading finance journals (e.g. American Economic Review, Journal of Financial Economics, Management Science, Journal of Financial and Quantitative Analysis) and practitioner journals (Financial Analyst Journal, Journal of Portfolio Management). His research is covered in various media such as the Wall Street Journal, Bloomberg, Morningstar, America Today, and MoneyWeek.

Work Address and Contact Information:

Department of Business Economics,
Erasmus School of Economics and Tinbergen Institute
PO Box 1738,
3000 DR Rotterdam, the Netherlands


Publications and Working Papers

Published Articles:

·    “Deal or No Deal? Decision Making Under Risk in a Large-Payoff Game Show” (joint with Thierry Post, Martijn Van den Assem,and Richard H. Thaler), American Economic Review 98(1), p. 38-71, 2008.

·    “Global Factor Premiums” (joint with Laurens Swinkels and Pim Van Vliet), Journal of Financial Economics, forthcoming, 2021.

·    “Hedging Demand and Market Intraday Momentum” (joint with Zhi Da, Sten Lammers and Martin Martens), Journal of Financial Economics, forthcoming, 2021.

·    “Indexing and Stock Market Serial Dependence around the World” (together with Sjoerd van Bekkum and Zhi Da), Journal of Financial Economics, 132(1), p. 26-48, 2019.

·    “Vol-of-vol and Stock Returns” (together with Sjoerd van Bekkum and Barthold van der Grient), Journal of Financial and Quantitative Analysis, 53(4), p.1615-1651, 2018.

·    “Irrational Diversification: An Examination of Portfolio Choice” (joint with Thierry Post), Journal of Financial and Quantitative Analysis 46(5), p. 1463-1491, 2011.

·    “Violations of CPT in Mixed Gambles” (joint with Thierry Post and Pim Van Vliet), Management Science 52(8), p. 1288-1290, 2006. 

·    “Risky Choice in the Limelight” (joint with Martijn Van den Assem and Dennie van Dolder), Review of Economics and Statistics, 98(2), p. 318-332, 2016.

·    “Random Incentive Systems in a Dynamic Choice Experiment” (together with Martijn Van den Assem, Thierry Post, and Peter Wakker), Experimental Economics 15, p. 418-443, 2012.

·    “Downside Risk Aversion, Fixed-Income Exposure, and the Value Premium Puzzle” (together with G.T. Post and Pim Van Vliet), Journal of Banking and Finance 36(12), p. 3382-3398, 2012..

·    “Path-Dependence in Risky Choice: Affective and Deliberative Processes in Brain and Behavior” (together with Kaisa Hytonen, Martijn Van den Assem, Valery Klucharev, Ale Smidts, and Alan Sanfey), Journal of Economic Behavior and Organization, 107(B), p.566-581, 2014.

·    “Exploiting Option Information in the Equity Market” (together with Barthold van der Grient, Wilma de Groot, Erik Hennink and Weili Zhou), Financial Analyst Journal 68(4), p. 56–72, 2012.

·    “The Volatility Effect Revisited” (together with D. Blitz and P. Van Vliet), Journal of Portfolio Management 46(2), p. 45-63, 2020.

·    “When Equity Factors Drop Their Shorts” (together with David Blitz and Pim Van Vliet) Financial Analyst Journal 76(4), p. 73-99, 2020.

·    “Predicting Bond Returns: 70 Years of International Evidence” (together with Olaf Penninga and Martin Martens), Financial Analyst Journal forthcoming, 2021.


Working Papers:

·     “Behavioral Finance: An Introduction”

·    “Risky Choice and the Relative Size of Stakes” (together with Martijn Van den Assem)




At the Erasmus I teach a master-seminar about Behavioral Finance and the world and practice of Investing; 'Behavioral Investing'. For more information about this course, please click here.


Media Coverage

For my 'Behavioral Finance' columns for the popular Dutch investment site, please click here.