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
9,343
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
4,834
3.
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
2,016
4.
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
1,996
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
1,809
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 Simon School, University of Rochester
Downloads
1,626
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
There are 3 versions of this paper
Corporate Finance in Europe Confronting Theory with Practice
EFA 2004 Maastricht Meetings Paper No. 2769
Number of pages: 44
Posted: 30 Jun 2004
Downloads
1,829
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
Downloads
1,570
Corporate Finance in Europe: Confronting Theory with Practice
Financial Management, Vol. 33, No. 4, Winter 2004
Number of pages: 32
Posted: 25 Dec 2004
Downloads
11
Downloads
1,570
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
1,396
9.
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
1,301
10.
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
There are 2 versions of this paper
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
Downloads
1,291
Downloads
32
Downloads
1,291
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
1,233
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
1,180
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
1,161
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
Graduate School of Business of Nazarbayev University and Robeco Asset Management - Quantitative Strategies
Downloads
1,051
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
1,049
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)
There are 2 versions of this paper
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
Downloads
1,046
A Framework for Managing a Portfolio of Socially Responsible Investments
European Journal of Operational Research, Vol. 153, pp. 517-529, 2004
Posted: 09 Jan 2004
Downloads
1,046
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
There are 2 versions of this paper
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
Downloads
1,039
The Economic Value of Predicting Stock Index Returns and Volatility
Journal of Financial and Quantitative Analysis, Vol. 39, pp. 407-429, June 2004
Posted: 04 Jan 2006
Downloads
1,039
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
1,005
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 Tilburg University
There are 2 versions of this paper
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
Downloads
987
Modeling the Conditional Covariance between Stock and Bond Returns: A Multivariate GARCH Approach
Journal of Financial Econometrics, Vol. 2, No. 4, pp. 531-564, 2004
Posted: 29 Feb 2008
Downloads
987
20.
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
983
21.
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
980
22.
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
925
23.
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
Graduate School of Business of Nazarbayev University, Robeco Asset Management - Quantitative Strategies and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
919
24.
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
904
25.
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)
There are 2 versions of this paper
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
Downloads
849
Do Countries or Industries Explain Momentum in Europe?
Journal of Empirical Finance, Vol. 11, pp. 461-481, 2004
Posted: 19 Dec 2005
Downloads
849
26.
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
There are 3 versions of this paper
Striking Oil: Another Puzzle?
EFA 2005 Moscow Meetings Paper
Number of pages: 43
Posted: 14 Aug 2005
Downloads
7,008
Striking Oil: Another Puzzle
ERIM Report Series Reference No. ERS-2003-082-F&A
Number of pages: 37
Posted: 30 Nov 2006
Downloads
828
Downloads
828
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
776
28.
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
768
29.
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
There are 2 versions of this paper
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
Downloads
766
The Cost of Capital of Cross-Listed Firms
European Financial Management, Vol. 10, No. 3, pp. 465-486, September 2004
Number of pages: 22
Posted: 06 Sep 2004
Downloads
325
Downloads
766
30.
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
There are 2 versions of this paper
The Eco-Efficiency Premium Puzzle
ERIM Report Series Reference No. ERS-2004-043-F&A
Number of pages: 36
Posted: 26 Aug 2006
Downloads
720
The Eco-Efficiency Premium Puzzle
Financial Analysts Journal, Vol. 61, No. 2, pp. 51-63, March/April 2005
Posted: 05 May 2005
Downloads
720
31.
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
716
32.
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
713
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
608
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
ABN AMRO and ABN-Amro Bank, The Netherlands
Downloads
600
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
594
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
FATCA Consultant--Florida
Downloads
591
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
There are 2 versions of this paper
Portfolio Return Characteristics of Different Industries
ERIM Report Series Reference No. ERS-2003-014-F&A
Number of pages: 16
Posted: 27 May 2003
Downloads
532
Portfolio Return Characteristics of Different Industries
MODERN CONCEPTS OF THE THEORY OF THE FIRM, G. Fandel, U. Backes-Gellner, M. Schlueter, J.E. Staufenbiel, eds., Springer-Verlag, Berlin, Heidelberg 2004
Posted: 23 Feb 2004
Downloads
532
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 Graduate School of Business of Nazarbayev University
Downloads
525
39.
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
Graduate School of Business of Nazarbayev University and Robeco Asset Management - Quantitative Strategies
Downloads
508
40.
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
501
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
There are 3 versions of this paper
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
Downloads
500
Purchasing Power Parity and the Euro Area
Journal of International Money and Finance, Vol. 23, pp. 1081-1107, 2004
Number of pages: 37
Posted: 15 May 2011
Downloads
45
Purchasing Power Parity and the Euro Area
CEPR Discussion Paper No. 4510
Number of pages: 39
Posted: 13 Sep 2004
Downloads
18
Downloads
500
42.
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
488
43.
'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
There are 3 versions of this paper
'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
Downloads
476
Downloads
476
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)
There are 2 versions of this paper
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
Downloads
465
A Multidimensional Framework for Financial-Economic Decisions
Journal of Multi-Criteria Decision Analysis, Vol. 11, pp. 111-124, 2002
Posted: 25 Feb 2004
Downloads
465
45.
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
464
46.
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
462
47.
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
There are 2 versions of this paper
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
Downloads
461
Perspectives: Global Risk Factors and the Cost of Capital
Financial Analysts Journal, Vol. 60, No. 2, pp. 32-38, March/April 2004
Posted: 05 May 2004
Downloads
461
48.
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
455
49.
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
446
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
444
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