SSRN ERIM: Finance & Accounting (Topic)

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

David Blitz and Pim van Vliet

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

Patrick Houweling and Ton Vorst

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

Alexandru Tugui Jr.

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

Ingolf Dittmann and Ernst G. Maug

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

Winfried G. Hallerbach

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

Abe de Jong, Douglas V. DeJong, Gerard Mertens and Charles E. Wasley

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

Abe de Jong, Dirk Brounen and Kees C. G. Koedijk

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

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

Hans Dewachter and Marco Lyrio

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

Frans de Roon, Theo Nijman and Jenke ter Horst

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

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

Cyriel de Jong and Ronald Huisman

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

Hans Dewachter and Marco Lyrio

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

Dirk Brounen, Abe de Jong and Kees C. G. Koedijk

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

G. A. Moerman

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

Thierry Post and Pim van Vliet

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

Abe de Jong, Miguel Angel Rosellón Cifuentes and Patrick Verwijmeren

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

Winfried G. Hallerbach, Haikun Ning, Aloy B.M. Soppe and J. Spronk

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

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

Wessel Marquering and Marno Verbeek

Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University - Rotterdam School of Management

There 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

Abe de Jong, Ronald van Dijk and Chris Veld

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

Wessel Marquering and Peter de Goeij

Erasmus University Rotterdam (EUR) - Department of Financial Management and CentER, Tilburg Law and Economics Center (TILEC), Tilburg University

There 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

Guillermo Baquero, Jenke ter Horst and Marno Verbeek

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

Laurens Swinkels, Marno Verbeek and Pieter Jelle van der Sluis

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

Thierry Post, Pim van Vliet and Haim Levy

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

Ronald Huisman and Ronald Mahieu

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

Theo Nijman, Marno Verbeek and Laurens Swinkels

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

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

Gerben Driesprong, Ben Jacobsen and Benjamin Maat

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

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

Jaap van der Hart, Dick J. C. van Dijk and Gerben J. de Zwart

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

Rezaul Kabir and Peter Roosenboom

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

Kees C. G. Koedijk and Mathijs A. Van Dijk

Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management

There 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

Abe de Jong, Jeroen E. Ligterink and Victor Macrae

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

Petra Danisevska, Abe de Jong and Marno Verbeek

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

Roland F. Spekle

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

Jeroen Derwall, Rob Bauer, Nadja Guenster and Kees C. G. Koedijk

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

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

Frans de Roon, Theo Nijman and Bas J. M. Werker

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

Raoul Pietersz and Marcel Van Regenmortel

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

Winfried G. Hallerbach and J. Spronk

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

Dean Marsan

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

I. Pouchkarev, J. Spronk and Pim van Vliet

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

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

L. Cherchye and Thierry Post

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

Winfried G. Hallerbach, Haikun Ning and J. Spronk

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

Rachel A.J. Pownall and Ronald Huisman

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

Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk

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

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

Ben Jacobsen and Wessel Marquering

Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management

There 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

Thierry Post and Pim van Vliet

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

Winfried G. Hallerbach and J. Spronk

Robeco Asset Management, Quantitative Investment Research and Erasmus Research Institute of Management (ERIM)

There 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

Winfried G. Hallerbach

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

Kees C. G. Koedijk and Mathijs A. Van Dijk

Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management

There 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

Cyriel de Jong

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

Ronald Huisman and C. Huurman

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

Guillermo Baquero and Marno Verbeek

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

Gordon M. Bodnar, Abe de Jong and Victor Macrae

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

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