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ERIM: Finance & Accounting (Topic)

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Viewing: 1 - 50 of 89 papers

1.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A
Number of pages: 23 Posted: 17 Apr 2007
Accepted Paper Series
Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 7,765
2.

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49 Posted: 24 Dec 2001
Accepted Paper Series
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 4,772
3.

A New Model for Inflation Accounting

Number of pages: 17 Posted: 27 Sep 2005 Last Revised: 17 Jul 2014
Working Paper Series
Al. I. Cuza University
Downloads 1,950
4.

Biases and Error Measures: How to Compare Valuation Methods

ERIM Report Series Reference No. ERS-2006-011-F&A, Mannheim Finance Working Paper No. 2006-07
Number of pages: 41 Posted: 26 Feb 2006 Last Revised: 26 Aug 2008
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Mannheim Business School
Downloads 1,923
5.

An Improved Estimator for Black-Scholes-Merton Implied Volatility

ERIM Report Series No. ERS-2004-054-F&A
Number of pages: 21 Posted: 23 Jul 2004
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 1,589
6.

The Role of Self-Regulation in Corporate Governance: Evidence and Implications from The Netherlands

Simon School of Business Working Paper No. FR 00-20; ERIM Report Series Reference No. ERS-2001-87-F&A
Number of pages: 49 Posted: 14 Feb 2001
Working Paper Series
Rotterdam School of Management, Erasmus University, University of Iowa - Tippie College of Business, Erasmus University Rotterdam (EUR) - Department of Financial Management and University of Rochester - Simon Business School
Downloads 1,572
7.

Corporate Finance in Europe Confronting Theory with Practice

ERIM Report Series Reference No. ERS-2004-002-F&A
Number of pages: 44 Posted: 11 Jan 2004
Working Paper Series
Rotterdam School of Management, Erasmus University, Erasmus University Rotterdam (EUR) - Department of Financial Management and Tilburg University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,497
8.

Macro Factors and the Term Structure of Interest Rates

ERIM Report Series Reference No. ERS-2003-037-F&A; EFA 2003 Annual Conference Paper No. 101
Number of pages: 24 Posted: 24 Mar 2003
Working Paper Series
Catholic University of Leuven (KUL) - Department of Economics and Insper Institute of Education and Research
Downloads 1,367
9.

Evaluating Style Analysis

ERIM Report Series Reference No. ERS-2000-11-F&A; EFMA 2001 Lugano Meetings
Number of pages: 35 Posted: 28 Feb 2001
Working Paper Series
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and TIAS School for Business and Society

Multiple version iconThere are 2 versions of this paper

Downloads 1,265
10.

Option Formulas for Mean-Reverting Power Prices with Spikes

Energy Global Research Paper; and ERIM Report Series Reference No. ERS-2002-96-F&A
Number of pages: 32 Posted: 15 Dec 2002
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,228
11.

The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation

ERIM Report Series Reference No. ERS-2003-052-F&A
Number of pages: 19 Posted: 24 May 2006
Working Paper Series
Catholic University of Leuven (KUL) - Department of Economics and Insper Institute of Education and Research
Downloads 1,172
12.

Capital Structure Policies in Europe: Survey Evidence

ERIM Report Series Reference No. ERS-2005-005-F&A
Number of pages: 38 Posted: 09 Sep 2005
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Financial Management, Rotterdam School of Management, Erasmus University and Tilburg University - Department of Finance
Downloads 1,146
13.

How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area

ERIM Report Series Reference No. ERS-2005-035-F&A
Number of pages: 32 Posted: 09 Jun 2005
Working Paper Series
AEGON Asset Management
Downloads 1,086
14.

Downside Risk and Asset Pricing

ERIM Report Series Reference No. ERS-2004-018-F&A, Journal of Banking and Finance, Vol. 30, No. 3, pp. 823-849, March 2006
Number of pages: 36 Posted: 17 Feb 2004
Working Paper Series
Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Downloads 1,030
15.

The Economic Consequences of IFRS: The Impact of Ias 32 on Preference Shares in the Netherlands

ERIM Report Series Reference No. ERS-2006-021-F&A
Number of pages: 27 Posted: 03 May 2006
Working Paper Series
Rotterdam School of Management, Erasmus University, Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,025
16.

A Framework for Managing a Portfolio of Socially Responsible Investments

ERIM Report Series Reference No. ERS-2002-54-F&A
Number of pages: 24 Posted: 18 Feb 2003
Working Paper Series
Robeco Asset Management, Quantitative Investment Research, Erasmus Research Institute of Management (ERIM), Erasmus School of Law and Erasmus Research Institute of Management (ERIM)

Multiple version iconThere are 2 versions of this paper

Downloads 1,024
17.

The Economic Value of Predicting Stock Index Returns and Volatility

ERIM Report Series Reference No. ERS-2001-75-F&A
Number of pages: 50 Posted: 27 Oct 2000
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University - Rotterdam School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,020
18.

The Dividend and Share Repurchase Policies of Canadian Firms

ERIM Report Series Reference No. ERS-2001-88-F&A
Number of pages: 46 Posted: 28 Apr 2000
Working Paper Series
Rotterdam School of Management, Erasmus University, APG Asset Management and Monash University
Downloads 998
19.

Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate Garch Approach

ERIM Report Series No. ERS-2002-11-F&A, EFA 2002 Berlin Meetings Discussion Paper, EFMA 2002 London Meetings
Number of pages: 45 Posted: 16 Mar 2002
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Financial Management and CentER, Tilburg Law and Economics Center (TILEC), Tilburg University

Multiple version iconThere are 2 versions of this paper

Downloads 971
20.

Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

ERIM Report Series Reference No. ERS-2002-104-F&A, EFA 2003 Annual Conference Paper No. 567
Number of pages: 51 Posted: 18 Jan 2003
Working Paper Series
ESMT European School of Management and Technology, TIAS School for Business and Society and Erasmus University - Rotterdam School of Management
Downloads 968
21.

Market Timing: A Decomposition of Mutual Fund Returns

ERIM Report Series Reference No. ERS-2003-074-F&A
Number of pages: 43 Posted: 06 Nov 2003
Working Paper Series
Erasmus University Rotterdam (EUR), Erasmus University - Rotterdam School of Management and APG Asset Management, GTAA Fund
Downloads 964
22.

Risk Aversion and Skewness Preference: A Comment

ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008
Number of pages: 19 Posted: 23 Feb 2006
Working Paper Series
Koc University - Graduate School of Business, Robeco Asset Management - Quantitative Strategies and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 900
23.

Regime Jumps in Electricity Prices

ERIM Report Series Reference No. ERS-2001-48-F&A
Number of pages: 20 Posted: 04 Jun 2001
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 892
24.

Do Countries or Industries Explain Momentum in Europe?

ERIM Report Series Reference No. ERS-2002-91-F&A, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 45 Posted: 01 Mar 2002
Working Paper Series
Tilburg University - Center and Faculty of Economics and Business Administration, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

Multiple version iconThere are 2 versions of this paper

Downloads 841
25.

Striking Oil: Another Puzzle

ERIM Report Series Reference No. ERS-2003-082-F&A
Number of pages: 37 Posted: 30 Nov 2006
Working Paper Series
Erasmus University Rotterdam - Rotterdam School of Management, Tilburg University - TIAS School for Business and Society and APG Asset Management

Multiple version iconThere are 3 versions of this paper

Downloads 820
26.

The Success of Stock Selection Strategies in Emerging Markets: Is it Risk or Behavioral Bias?

ERIM Report Series Reference No. ERS-2005-012-F&A
Number of pages: 35 Posted: 20 Sep 2005
Working Paper Series
ROBECO Group - Emerging Markets Team, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and APG Asset Management
Downloads 811
27.

Can the Stock Market Anticipate Future Operating Performance? Evidence from Equity Rights Issues

ERIM Report Series Reference No. ERS-2002-102-F&A
Number of pages: 47 Posted: 18 Jan 2003
Working Paper Series
University of Twente - Department of Finance and Accounting and Rotterdam School of Management, Erasmus University
Downloads 768
28.

The Cost of Capital of Cross-Listed Firms

EFMA 2001 Lugano Meetings; and ERIM Report Series Reference No. ERS-2002-99-F&A
Number of pages: 37 Posted: 15 Jun 2001
Working Paper Series
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 758
29.

A Firm-Specific Analysis of the Exchange-Rate Exposure of Dutch Firms

ERIM Report Series Reference No. ERS-2002-109-F&A
Number of pages: 33 Posted: 18 Jan 2003
Working Paper Series
Rotterdam School of Management, Erasmus University, University of Amsterdam - Department of Finance and Organization and Nyenrode University - Center for Finance
Downloads 751
30.

Do Banks Influence the Capital Structure Choices of Firms?

ERIM Report Series Reference No. ERS-2004-040-F&A
Number of pages: 39 Posted: 28 Mar 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Financial Management, Rotterdam School of Management, Erasmus University and Erasmus University - Rotterdam School of Management
Downloads 707
31.

Towards a Transaction Cost Theory of Management Control

ERIM Report Series Reference No. ERS-2002-06-F&A
Number of pages: 25 Posted: 20 Feb 2003
Working Paper Series
Nyenrode Business University
Downloads 704
32.

The Eco-Efficiency Premium Puzzle

ERIM Report Series Reference No. ERS-2004-043-F&A
Number of pages: 36 Posted: 26 Aug 2006
Working Paper Series
Maastricht University - European Centre for Corporate Engagement, Maastricht University, University of Muenster - Finance Center Muenster and Tilburg University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 684
33.

Currency Hedging for International Stock Portfolios

ERIM Report Series Reference No. ERS-2000-21-F&A
Number of pages: 39 Posted: 20 Jan 2003
Working Paper Series
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 595
34.

Generic Market Models

ERIM Report Series Reference No. ERS-2005-010-F&A
Number of pages: 28 Posted: 16 Oct 2004
Working Paper Series
Erasmus Research Institute of Management (ERIM) and ABN-Amro Bank, The Netherlands
Downloads 593
35.

The Relevance of Mcdm for Financial Decisions

ERIM Report Series Reference No. ERS-2002-69-F&A
Number of pages: 22 Posted: 17 Feb 2003
Working Paper Series
Robeco Asset Management, Quantitative Investment Research and Erasmus Research Institute of Management (ERIM)
Downloads 592
36.

FATCA: The Global Financial System Must Now Implement a New U.S. Reporting and Withholding System for Foreign Account Tax Compliance, Which Will Create Significant New Exposures – Managing this Risk (Part I)

Taxes – The Tax Magazine, Vol. 88, No. 7, pp. 27-92, 2010,
Number of pages: 66 Posted: 19 Jul 2010
Accepted Paper Series
Formerly Charles Schwab and Co., Inc.
Downloads 571
37.

Portfolio Return Characteristics of Different Industries

ERIM Report Series Reference No. ERS-2003-014-F&A
Number of pages: 16 Posted: 27 May 2003
Working Paper Series
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Erasmus Research Institute of Management (ERIM) and Robeco Asset Management - Quantitative Strategies

Multiple version iconThere are 2 versions of this paper

Downloads 526
38.

Methodological Advances in Dea

ERIM Report Series Reference No. ERS-2001-53-F&A
Number of pages: 30 Posted: 18 Feb 2003
Working Paper Series
KU Leuven and Koc University - Graduate School of Business
Downloads 521
39.

The Effects of Decision Flexibility in the Hierarchical Investment Decision Process

ERIM Report Series Reference No. ERS-2003-047-F&A
Number of pages: 27 Posted: 26 Aug 2006
Working Paper Series
Robeco Asset Management, Quantitative Investment Research, Erasmus Research Institute of Management (ERIM) and Erasmus Research Institute of Management (ERIM)
Downloads 499
40.

Measuring Credit Spread Risk: Incorporating the Tails

ERIM Report Series Reference No. ERS-2001-95-F&A
Number of pages: 24 Posted: 20 Jan 2003
Working Paper Series
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 484
41.

Purchasing Power Parity and the Euro Area

ERIM Report Series Reference No. ERS-2004-025-F&A
Number of pages: 41 Posted: 29 Mar 2004
Working Paper Series
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 484
42.

'Is it the Weather?'

ERIM Report Series Reference No. ERS-2004-100-F&A
Number of pages: 32 Posted: 21 Sep 2005 Last Revised: 19 Dec 2009
Working Paper Series
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management

Multiple version iconThere are 3 versions of this paper

Downloads 471
43.

Conditional Downside Risk and the CAPM

ERIM Report Series Reference No. ERS-2004-048-F&A
Number of pages: 34 Posted: 26 Aug 2006
Working Paper Series
Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Downloads 469
44.

A Multidimensional Framework for Financial-Economic Decisions

ERIM Report Series Reference No. ERS-2003-021-F&A
Number of pages: 23 Posted: 13 Feb 2006
Working Paper Series
Robeco Asset Management, Quantitative Investment Research and Erasmus Research Institute of Management (ERIM)

Multiple version iconThere are 2 versions of this paper

Downloads 461
45.

Holding Period Return-Risk Modeling: Ambiguity in Estimation

ERIM Report Series Reference No. ERS-2003-063-F&A
Number of pages: 22 Posted: 15 Oct 2003
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 452
46.

Do Global Risk Factors Matter for International Cost of Capital Computations?

ERIM Report Series Reference No. ERS-2002-100-F&A
Number of pages: 19 Posted: 18 Jan 2003
Working Paper Series
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 451
47.

Informed Option Trading Strategies

ERIM Report Series Reference No. ERS-2001-55-F&A
Number of pages: 35 Posted: 18 Feb 2003
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 451
48.

Fat Tails in Power Prices

ERIM Report Series Reference No. ERS-2003-059-F&A
Number of pages: 17 Posted: 15 Oct 2003
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 443
49.

A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money

ERIM Report Series Reference No. ERS-2005-068-F&A
Number of pages: 53 Posted: 21 Dec 2005
Working Paper Series
ESMT European School of Management and Technology and Erasmus University - Rotterdam School of Management
Downloads 439
50.

The Impact of Institutional Differences on Derivatives Usage: A Comparitive Study of US and Dutch Firms

ERIM Report Series Reference No. ERS-2001-89-F&A; EFMA 2002 London Meetings
Number of pages: 41 Posted: 02 Jun 2002
Working Paper Series
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS), Rotterdam School of Management, Erasmus University and Nyenrode University - Center for Finance
Downloads 437