Matthijs Lof

Aalto University

P.O. Box 21210

Helsinki, 00101

Finland

http://sites.google.com/site/matthijslof/

SCHOLARLY PAPERS

11

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CITATIONS
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4

Scholarly Papers (11)

1.

Slow Trading and Stock Return Predictability

AFA 2017 Chicago
Number of pages: 45 Posted: 10 Oct 2015 Last Revised: 13 Oct 2018
Allaudeen Hameed, Matthijs Lof and Matti Suominen
National University of Singapore (NUS) - Department of Finance, Aalto University and Aalto University School of Business
Downloads 1,326 (12,915)

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institutional trading, liquidity, return predictability, size premium

Asymmetric Information and the Distribution of Trading Volume

Number of pages: 71 Posted: 03 Feb 2016 Last Revised: 26 Sep 2018
Matthijs Lof and Jos van Bommel
Aalto University and Luxembourg School of Finance
Downloads 371 (72,798)

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VCV, Trading volume, Informed trading

Asymmetric Information and the Distribution of Trading Volume

Bank of Finland Research Discussion Paper No. 1/2018
Number of pages: 67 Posted: 22 Jan 2018 Last Revised: 28 Jan 2018
Matthijs Lof and Jos van Bommel
Aalto University and Luxembourg School of Finance
Downloads 66 (321,149)

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Volume Coefficient of Variation (VCV), Trading volume, Informed trading

3.

Noncausality and the Commodity Currency Hypothesis

Energy Economics, 65, 424-433, (2017)
Number of pages: 20 Posted: 24 Apr 2015 Last Revised: 02 Sep 2018
Matthijs Lof and Henri Nyberg
Aalto University and University of Helsinki
Downloads 194 (145,198)

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Commodity prices, exchange rates, noncausal autoregression, nonlinearity

4.

Heterogeneity in Stock Prices: A STAR Model with Multivariate Transition Function

Journal of Economic Dynamics and Control, Vol. 13, No. 12, 2012
Number of pages: 26 Posted: 11 Aug 2010 Last Revised: 22 Jul 2014
Matthijs Lof
Aalto University
Downloads 108 (234,513)
Citation 3

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Asset pricing, Heterogeneous beliefs, Smooth-transition autoregression

5.

Identifying Accounting Conservatism in the Presence of Skewness

Number of pages: 41 Posted: 29 Mar 2018 Last Revised: 30 Aug 2018
Henry Jarva and Matthijs Lof
Aalto University - School of Business and Aalto University
Downloads 81 (282,618)

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conditional conservatism; asymmetric timeliness; earnings-return relation; accruals; write-offs

6.

Rational Speculators, Contrarians and Excess Volatility

Management Science, 61,1889-1901, (2015)
Number of pages: 34 Posted: 30 Dec 2012 Last Revised: 02 Sep 2018
Matthijs Lof
Aalto University
Downloads 80 (284,715)

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asset pricing, heterogeneous agents, VAR approach

7.

Does Sovereign Debt Weaken Economic Growth? A Panel VAR Analysis

Economics Letters, Vol. 122, No. 3, 2014
Number of pages: 12 Posted: 22 Jul 2014
Matthijs Lof and Tuomas Malinen
Aalto University and HECER, University of Helsinki
Downloads 69 (309,862)

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Public debt, Debt share, GDP growth

8.

Noncausality and Asset Pricing

Studies in Nonlinear Dynamics and Econometrics, Vol. 17, 2013
Number of pages: 17 Posted: 11 Apr 2011 Last Revised: 22 Jul 2014
Matthijs Lof
Aalto University
Downloads 66 (317,246)
Citation 1

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noncausal autoregressions, stock prices, heterogeneous expectations

9.

GMM Estimation with Noncausal Instruments Under Rational Expectations

Helsinki Center of Economic Research Discussion Paper No. 343
Number of pages: 14 Posted: 22 Dec 2011
Matthijs Lof
Aalto University
Downloads 36 (412,112)

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generalized method of moments, noncausal autoregression, rational expectations

Aid and Income: Another Time-Series Perspective

World Development; DOI: 10.1016/j.worlddev.2013.12.015
Posted: 13 Dec 2014
Matthijs Lof, Tseday Mekasha and Finn Tarp
Aalto University, Independent and University of Copenhagen - Department of Economics

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Aid and Income: Another Time-Series Perspective

UNU-WIDER working paper 07/2013; 2013/069.
Posted: 14 Dec 2014 Last Revised: 14 Jan 2015
Finn Tarp, Matthijs Lof and Tseday Mekasha
University of Copenhagen - Department of Economics, Aalto University and Independent

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foreign aid, growth, time series, VAR models

11.

GMM Estimation with Non‐Causal Instruments Under Rational Expectations

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 2, pp. 279-286, 2014
Number of pages: 8 Posted: 08 Mar 2014
Matthijs Lof
Aalto University
Downloads 0 (617,485)
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