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Verbeek, Marno's
Scholarly Papers
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Aggregate Statistics |
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Total Downloads
17,298 |
Total
Citations
291 |
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1.
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Baquero, G. ESMT European School of Management and Technology Verbeek, Marno Erasmus University - Rotterdam School of Management
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1,054
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23
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hedge funds, flow-performance relation, performance persistence, liquidity restrictions, fund monitoring, searching costs, smart money
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2.
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Short-Term Residual Reversal
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Blitz, David Robeco Asset Management - Quantitative Strategies Huij, Joop Erasmus University - Rotterdam School of Management Lansdorp, Simon D. Robeco Quantitative Strategies Verbeek, Marno Erasmus University - Rotterdam School of Management
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Posted:
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18 Aug 11
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Last Revised:
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01 Nov 12
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1,026
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1
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Blitz, David Robeco Asset Management - Quantitative Strategies Huij, Joop Erasmus University - Rotterdam School of Management Lansdorp, Simon D. Robeco Quantitative Strategies Verbeek, Marno Erasmus University - Rotterdam School of Management
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0
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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency
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Blitz, David Robeco Asset Management - Quantitative Strategies Huij, Joop Erasmus University - Rotterdam School of Management Lansdorp, Simon D. Robeco Quantitative Strategies Verbeek, Marno Erasmus University - Rotterdam School of Management
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18 Aug 11
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Last Revised:
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01 Nov 12
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1,026
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1
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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency
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3.
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On the Use of Multifactor Models to Evaluate Mutual Fund Performance
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Verbeek, Marno Erasmus University - Rotterdam School of Management Huij, Joop Erasmus University - Rotterdam School of Management
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Posted:
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06 Jun 06
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Last Revised:
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06 May 09
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986
(9,500)
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8
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Huij, Joop Erasmus University - Rotterdam School of Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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23 Nov 07
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Last Revised:
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06 May 09
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0
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mutual fund performance, model misspecification, value premium, momentum premium
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Verbeek, Marno Erasmus University - Rotterdam School of Management Huij, Joop Erasmus University - Rotterdam School of Management
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06 Jun 06
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Last Revised:
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04 Feb 08
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986
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8
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mutual fund performance, model misspecification, value premium, momentum premium
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4.
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The Economic Value of Predicting Stock Index Returns and Volatility
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Marquering, Wessel Erasmus University Rotterdam (EUR) - Department of Financial Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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Posted:
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27 Oct 00
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Last Revised:
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12 Feb 09
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968
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50
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Marquering, Wessel Erasmus University Rotterdam (EUR) - Department of Financial Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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0
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return forecasting, volatility, investing, asset allocation
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Marquering, Wessel Erasmus University Rotterdam (EUR) - Department of Financial Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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968
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50
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Predictability of stock returns and volatility, market timing, performance evaluation
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5.
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Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR) Verbeek, Marno Erasmus University - Rotterdam School of Management van der Sluis, Pieter Jelle APG Asset Management, GTAA Fund
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908
(10,797)
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1
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market timing, mutual funds, performance evaluation, pensioenfondsen
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6.
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Baquero, G. ESMT European School of Management and Technology ter Horst, Jenke Tilburg University - Center for Economic Research (CentER) Verbeek, Marno Erasmus University - Rotterdam School of Management
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890
(11,122)
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53
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hedge funds, survival, look-ahead bias, performance persistence
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7.
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Verbeek, Marno Erasmus University - Rotterdam School of Management
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14 Dec 05
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Last Revised:
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12 Nov 07
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846
(12,095)
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9
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repeated cross-sections, pseudo panel data, cohort data
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8.
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Do Countries or Industries Explain Momentum in Europe?
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Nijman, Theo Tilburg University - Center and Faculty of Economics and Business Administration Verbeek, Marno Erasmus University - Rotterdam School of Management Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
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Posted:
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01 Mar 02
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Last Revised:
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19 Oct 10
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784
(13,557)
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13
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Nijman, Theo Tilburg University - Center and Faculty of Economics and Business Administration Verbeek, Marno Erasmus University - Rotterdam School of Management Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
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0
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country risk, industry risk, momentum effect, portfolio selection
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Nijman, Theo Tilburg University - Center and Faculty of Economics and Business Administration Verbeek, Marno Erasmus University - Rotterdam School of Management Swinkels, Laurens A. P. Erasmus University Rotterdam (EUR)
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784
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12
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country risk, industry risk, momentum effect, portfolio selection, technology adoption
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9.
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Baquero, G. ESMT European School of Management and Technology ter Horst, Jenke Tilburg University - Center for Economic Research (CentER) Verbeek, Marno Erasmus University - Rotterdam School of Management
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749
(14,495)
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11
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hedge funds, survival, look-ahead bias, performance measurement
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10.
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Selecting Copulas for Risk Management
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Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno Erasmus University - Rotterdam School of Management Koedijk, Kees C. G. Tilburg University - Department of Finance
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Posted:
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07 Mar 05
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Last Revised:
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22 Jun 07
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715
(15,527)
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16
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Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno Erasmus University - Rotterdam School of Management Koedijk, Kees C. G. Tilburg University - Department of Finance
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0
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Financial dependence, Risk management, Copulas, Distributional tests, Tail dependence
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Koedijk, Kees C. G. Tilburg University - Department of Finance Verbeek, Marno Erasmus University - Rotterdam School of Management Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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29
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16
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Financial dependence, risk management, copulas, distributional tests, tail dependence
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Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno Erasmus University - Rotterdam School of Management Koedijk, Kees C. G. Tilburg University - Department of Finance
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686
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16
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Financial dependence, copulas, distributional tests, tail dependence
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11.
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Verbeek, Marno Erasmus University - Rotterdam School of Management Wang, Yu IMC Financial Markets & Asset Management
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| Posted: |
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10 Mar 10
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Last Revised:
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03 Nov 10
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670
(17,059)
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6
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Mutual Funds, Portfolio Disclosure, Copycat Funds, Relative Performance, SEC
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12.
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Danisevska, Petra Erasmus University Rotterdam (EUR) - Department of Financial Management de Jong, Abe Erasmus University - Rotterdam School of Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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670
(17,059)
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1
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capital structure, debt maturity, bank relationships, international economics, financial economics, source of debt
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13.
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Verbeek, Marno Erasmus University - Rotterdam School of Management Huij, Joop Erasmus University - Rotterdam School of Management
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| Posted: |
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25 Jan 07
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Last Revised:
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08 Jun 10
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538
(23,117)
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3
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Mutual fund flows, marketing, cross-subsidization, favoritism
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14.
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Baquero, G. ESMT European School of Management and Technology Verbeek, Marno Erasmus University - Rotterdam School of Management
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521
(24,175)
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4
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Law of small numbers, performance persistence, overreaction, hedge fund investors, hot-hand bias
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15.
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de Jong, Abe Erasmus University - Rotterdam School of Management Verbeek, Marno Erasmus University - Rotterdam School of Management Verwijmeren, Patrick Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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| Posted: |
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30 Jan 07
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Last Revised:
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11 Aug 09
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519
(24,325)
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5
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Capital structure, pecking order theory, financing deficit
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16.
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Rombouts, J. V. K. HEC Montreal Verbeek, Marno Erasmus University - Rotterdam School of Management
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493
(25,953)
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2
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multivariate GARCH, semi-parametric estimation, value-at-risk, asset allocation
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17.
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Real Estate in an Alm Framework: The Case of Fair Value Accounting
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Brounen, Dirk Erasmus University Rotterdam (EUR) - Department of Financial Management Prado, Melissa Porras Nova School of Business and Economics Verbeek, Marno Erasmus University - Rotterdam School of Management
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Posted:
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24 Oct 07
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Last Revised:
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05 Jan 11
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482
(26,768)
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1
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Brounen, Dirk Erasmus University Rotterdam (EUR) - Department of Financial Management Prado, Melissa Porras Nova School of Business and Economics Verbeek, Marno Erasmus University - Rotterdam School of Management
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1
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1
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Brounen, Dirk Erasmus University Rotterdam (EUR) - Department of Financial Management Prado, Melissa Porras Nova School of Business and Economics Verbeek, Marno Erasmus University - Rotterdam School of Management
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| Posted: |
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24 Oct 07
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Last Revised:
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19 Aug 10
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481
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1
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Real Estate, Asset Liability Management, Liability Hedge Credit
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18.
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de Jong, Abe Erasmus University - Rotterdam School of Management Verbeek, Marno Erasmus University - Rotterdam School of Management Verwijmeren, Patrick Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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444
(29,831)
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2
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Capital structure, pecking order theory, static tradeoff theory, debt capacity
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19.
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Jiang, Hao Erasmus University - Rotterdam School of Management Verbeek, Marno Erasmus University - Rotterdam School of Management Wang, Yu IMC Financial Markets & Asset Management
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| Posted: |
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12 Mar 11
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Last Revised:
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13 Dec 11
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437
(30,444)
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3
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Mutual Funds, Benchmarks, Private Information, Fund Performance
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20.
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Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance
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Verbeek, Marno Erasmus University - Rotterdam School of Management Huij, Joop Erasmus University - Rotterdam School of Management
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Posted:
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23 Jul 04
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Last Revised:
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13 Feb 07
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421
(31,933)
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19
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Verbeek, Marno Erasmus University - Rotterdam School of Management Huij, Joop Erasmus University - Rotterdam School of Management
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0
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Mutual funds, Performance persistence, Bayesian analysis
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Verbeek, Marno Erasmus University - Rotterdam School of Management Huij, Joop Erasmus University - Rotterdam School of Management
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421
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19
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Mutual funds, performance persistence, Bayesian analysis
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21.
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Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Koedijk, Kees C. G. Tilburg University - Department of Finance Verbeek, Marno Erasmus University - Rotterdam School of Management
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374
(37,041)
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stress testing, dependence, extreme values, copulas, tail dependence
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22.
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Baquero, G. ESMT European School of Management and Technology Verbeek, Marno Erasmus University - Rotterdam School of Management
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355
(39,450)
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24
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Hedge Funds, Flow-Performance Relation, Performance Persistence, Liquidity Restrictions, Fund Monitoring, Searching Costs, Smart Money
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23.
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Portfolio Implications of Systemic Crises
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Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno Erasmus University - Rotterdam School of Management Koedijk, Kees C. G. Tilburg University - Department of Finance
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Posted:
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07 Aug 05
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Last Revised:
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07 Aug 06
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288
(50,574)
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6
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Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno Erasmus University - Rotterdam School of Management Koedijk, Kees C. G. Tilburg University - Department of Finance
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0
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Asset allocation, Systemic risk, International finance, Regime switching models
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Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno Erasmus University - Rotterdam School of Management Koedijk, Kees C. G. Tilburg University - Department of Finance
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288
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6
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Asset allocation, systemic risk, international finance, emerging markets, regime switching
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24.
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Weidenmueller, Oliver RSM Erasmus University Verbeek, Marno Erasmus University - Rotterdam School of Management
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282
(51,824)
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1
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Hedge funds, performance, alpha, flows, capacity constraints
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25.
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Baquero, G. ESMT European School of Management and Technology Verbeek, Marno Erasmus University - Rotterdam School of Management
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259
(56,980)
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3
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Law of Small Numbers, Performance Persistence, Overreaction, Hedge Fund Investors, Hot-Hand Bias
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26.
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ter Horst, Jenke Tilburg University - Center for Economic Research (CentER) Verbeek, Marno Erasmus University - Rotterdam School of Management
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246
(60,290)
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2
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Hedge funds, survival, self-selection, look-ahead bias, performance persistence
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27.
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Ravazzolo, Francesco Norges Bank Verbeek, Marno Erasmus University - Rotterdam School of Management van Dijk, H. K. Tinbergen Institute
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243
(61,061)
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4
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Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging
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28.
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Lucas, Andre VU University Amsterdam - Faculty of Economics and Business Siegmann, Arjen VU University Amsterdam - Faculty of Economics and Business Administration Verbeek, Marno Erasmus University - Rotterdam School of Management
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217
(68,852)
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hedge funds, nonlinear systematic risk factors, option factors, stability
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29.
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A Multivariate Nonparametric Test for Return and Volatility Timing
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Marquering, Wessel Erasmus University Rotterdam (EUR) - Department of Financial Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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Posted:
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04 Oct 04
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Last Revised:
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04 Jan 06
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187
(79,942)
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2
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Marquering, Wessel Erasmus University Rotterdam (EUR) - Department of Financial Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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0
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market timing, predictability of stock returns and volatility, nonparametric test
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Marquering, Wessel Erasmus University Rotterdam (EUR) - Department of Financial Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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187
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2
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Nonparametric, Market Timing, Predictability of Stock Returns and Volatility, Realized Volatility
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30.
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Estimating Dynamic Models from Repeated Cross-Sections
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Verbeek, Marno Erasmus University - Rotterdam School of Management Vella, Francis Georgetown University
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Posted:
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03 Sep 04
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Last Revised:
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03 Jan 06
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155
(95,190)
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14
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Verbeek, Marno Erasmus University - Rotterdam School of Management Vella, Francis Georgetown University
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0
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repeated cross-sections, pseudo panel data, cohort data, instrumental variables
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Verbeek, Marno Erasmus University - Rotterdam School of Management Vella, Francis Georgetown University
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155
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14
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Repeated cross-sections, pseudo panel, cohorts, IV
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31.
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Budiono, Diana Syntrus Achmea Asset Management Martens, Martin Erasmus University Rotterdam (EUR) Verbeek, Marno Erasmus University - Rotterdam School of Management
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130
(110,720)
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mutual funds, risk-adjusted returns, dynamics of alphas
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32.
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Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics Kleijn, Richard affiliation not provided to SSRN Ravazzolo, Francesco Norges Bank van Dijk, H. K. Tinbergen Institute Verbeek, Marno Erasmus University - Rotterdam School of Management
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121
(117,373)
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6
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forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle
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33.
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Kole, Erik Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Verbeek, Marno Erasmus University - Rotterdam School of Management Koedijk, Kees C. G. Tilburg University - Department of Finance
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92
(143,134)
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asset allocation, systemic risk, international finance, regime switching
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34.
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Dyakov, Teodor Rotterdam School of Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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90
(146,349)
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mutual funds, front-running, fire-sales, disclosure
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35.
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Verbeek, Marno Erasmus University - Rotterdam School of Management
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85
(150,657)
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2
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Data snooping, look-ahead bias, mutual funds, predictability, efficient market hypothesis
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36.
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Huij, Joop Erasmus University - Rotterdam School of Management Lansdorp, Simon D. Robeco Quantitative Strategies Verbeek, Marno Erasmus University - Rotterdam School of Management
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53
(195,373)
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mutual funds, performance-flow relation, managerial turnover
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37.
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Horst, Jenke ter affiliation not provided to SSRN Verbeek, Marno Erasmus University - Rotterdam School of Management
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G11, G23, G14
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38.
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ter Horst, Jenke Tilburg University - Center for Economic Research (CentER) Verbeek, Marno Erasmus University - Rotterdam School of Management
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hedge funds, performance persistence, look-ahead bias, fund survival
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39.
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Vella, Francis Georgetown University Verbeek, Marno Erasmus University - Rotterdam School of Management
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Two-step estimation; panel data, endogenous regressors, sample selection, conditional maximum likelihood
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40.
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Vella, Francis Georgetown University Verbeek, Marno Erasmus University - Rotterdam School of Management
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treatment effects, control function, instrumental variables
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41.
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Marquering, Wessel Erasmus University Rotterdam (EUR) - Department of Financial Management Verbeek, Marno Erasmus University - Rotterdam School of Management
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Intertemporal asset pricing, transaction costs, habit persistence, pricing errors
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42.
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ter Horst, Jenke Tilburg University - Center for Economic Research (CentER) Verbeek, Marno Erasmus University - Rotterdam School of Management Nijman, Theo Tilburg University - Center and Faculty of Economics and Business Administration
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mutual funds, performance evaluation, look-ahead bias
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43.
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ter Horst, Jenke Tilburg University - Center for Economic Research (CentER) Verbeek, Marno Erasmus University - Rotterdam School of Management
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performance persistence, small sample bias
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44.
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Baquero, G. ESMT European School of Management and Technology Verbeek, Marno Erasmus University - Rotterdam School of Management ter Horst, Jenke Tilburg University - Center for Economic Research (CentER)
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hedge funds, look-ahead bias, performance, persistence
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45.
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Rummery, Sarah Stephen F. Austin State University - Department of Economics and Finance Verbeek, Marno Erasmus University - Rotterdam School of Management Vella, Francis Georgetown University
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instrumental variables, returns to schooling, education
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