Frank De Jong

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

35

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363

Scholarly Papers (35)

1.

Liquidity Risk Premia in Corporate Bond Markets

Number of pages: 47 Posted: 08 Apr 2005 Last Revised: 07 May 2009
Frank De Jong and Joost Driessen
Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 2,944 (3,716)
Citation 33

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Credit spread, liquidity premium

The Impact of Dark Trading and Visible Fragmentation on Market Quality

TILEC Discussion Paper No. 2011-026
Number of pages: 44 Posted: 19 May 2011 Last Revised: 17 Feb 2014
Hans Degryse, Frank De Jong and Vincent van Kervel
KU Leuven, Department Accounting, Finance and Insurance, Tilburg University - Department of Finance and Pontifical Catholic University of Chile
Downloads 1,084 (18,716)
Citation 13

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Market microstructure, Fragmentation, Dark trading, Liquidity

The Impact of Dark Trading and Visible Fragmentation on Market Quality

Forthcoming in the Review of Finance, CentER Discussion Paper Series No. 2011-069, European Banking Center Discussion Paper No. 2011-016
Number of pages: 44 Posted: 25 Apr 2011 Last Revised: 14 Jun 2014
Hans Degryse, Frank De Jong and Vincent van Kervel
KU Leuven, Department Accounting, Finance and Insurance, Tilburg University - Department of Finance and Pontifical Catholic University of Chile
Downloads 361 (80,846)
Citation 15

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Market microstructure, Fragmentation, Dark trading, Liquidity

3.

Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

Number of pages: 45 Posted: 11 Mar 2000
Frank De Jong, Joost Driessen and Antoon Pelsser
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Maastricht University
Downloads 1,365 (13,395)
Citation 3

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4.

Libor Market Models Versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

Number of pages: 45 Posted: 17 May 2001
Antoon Pelsser, Frank De Jong and Joost Driessen
Maastricht University, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 1,200 (16,357)

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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Number of pages: 65 Posted: 23 Apr 2011 Last Revised: 14 Mar 2012
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 885 (25,259)
Citation 8

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Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Netspar Discussion Paper No. 03/2012-017
Number of pages: 66 Posted: 25 May 2012
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 264 (114,275)
Citation 9

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Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle

6.

Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

Journal of Finance, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 66 Posted: 01 Mar 2007 Last Revised: 24 Jan 2010
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 1,077 (19,265)
Citation 3

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CDS, Liquidity, Liquidity Risk

7.

Hedging House Price Risk: Portfolio Choice With Housing Futures

Number of pages: 49 Posted: 13 Jun 2005 Last Revised: 17 May 2015
Frank De Jong, Joost Driessen and Otto Van Hemert
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Man AHL
Downloads 770 (31,165)
Citation 15

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Housing futures, portfolio choice, mortgage

Trading European Sovereign Bonds: The Microstructure of the Mts Trading Platforms

ECB Working Paper No. 432; EFA 2003 Annual Conference Paper No. 245
Number of pages: 50 Posted: 27 Apr 2005
Yiu Chung Cheung, Barbara Rindi and Frank De Jong
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA), Bocconi University and IGIER and Baffi Carefin and Tilburg University - Department of Finance
Downloads 514 (52,529)

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Trading European Sovereign Bonds: The Microstructure of the Mts Trading Platforms

CEPR Discussion Paper No. 4285
Number of pages: 50 Posted: 06 Apr 2004
Yiu Chung Cheung, Barbara Rindi and Frank De Jong
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA), Bocconi University and IGIER and Baffi Carefin and Tilburg University - Department of Finance
Downloads 30 (477,205)
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Bonds markets, microstructure, order flow

An Empirical Analysis of Legal Insider Trading in the Netherlands

CentER Discussion Paper Series No. 2009-48, TILEC Discussion Paper No. 2009-026
Number of pages: 49 Posted: 16 Feb 2009 Last Revised: 29 Jun 2009
Hans Degryse, Frank De Jong and Jérémie Lefebvre
KU Leuven, Department Accounting, Finance and Insurance, Tilburg University - Department of Finance and IESEG School of Management
Downloads 309 (96,506)
Citation 24

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Insider trading, Financial market regulation

An Empirical Analysis of Legal Insider Trading in the Netherlands

CESifo Working Paper Series No. 2687
Number of pages: 53 Posted: 10 Jul 2009
Hans Degryse, Frank De Jong and Jérémie Lefebvre
KU Leuven, Department Accounting, Finance and Insurance, Tilburg University - Department of Finance and IESEG School of Management
Downloads 232 (130,478)

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insider trading, financial market regulation

10.

On the Information in the Interest Rate Term Structure and Option Prices

Review of Derivatives Research, Vol. 7, No. 2, 2004
Number of pages: 40 Posted: 28 Feb 2002 Last Revised: 08 May 2011
Frank De Jong, Joost Driessen and Antoon Pelsser
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Maastricht University
Downloads 530 (51,148)
Citation 1

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Term Structure Models, Interest Rate Derivatives, Volatility Hump, Caps and Swaptions

11.

Intergenerational Risk Sharing within Funded Pension Schemes

Number of pages: 35 Posted: 29 May 2007 Last Revised: 03 Feb 2009
Jiajia Cui, Frank De Jong and Eduard H.M. Ponds
Algemene Pensioen Groep (APG), Tilburg University - Department of Finance and Algemene Pensioen Groep (APG)
Downloads 462 (60,817)
Citation 14

Abstract:

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fair value, value-based generational accounting, intergenerational risk sharing

12.

The Dividend Term Structure

Number of pages: 58 Posted: 19 Nov 2014 Last Revised: 12 Dec 2018
Jac Kragt, Frank De Jong and Joost Driessen
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 397 (72,990)
Citation 4

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Dividend futures, dividend swaps, dividend derivatives, term structure, state space model

13.

Feedback Between Credit and Liquidity Risk in the US Corporate Bond Market

30th Australasian Finance and Banking Conference 2017
Number of pages: 81 Posted: 08 Jun 2017 Last Revised: 20 Oct 2017
University of Amsterdam Business School, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Department of Finance
Downloads 280 (107,916)
Citation 1

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Credit risk, Liquidity risk, Corporate bonds, Mutually exciting processes, Jumps, MCMC

14.

European Yield Differentials and Basis Risk: A Hedging Perspective

EFA 2005 Moscow Meetings Paper
Number of pages: 35 Posted: 07 Oct 2004
Yiu Chung Cheung and Frank De Jong
affiliation not provided to SSRN and Tilburg University - Department of Finance
Downloads 242 (125,591)

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Bonds markets, Microstructure, Yield Differentials, Hedging, Kalman Filter

15.

Pseudo Market Timing: a Reappraisal

Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, No. 3, 2008
Number of pages: 41 Posted: 28 Jul 2004 Last Revised: 13 Aug 2015
Magnus Dahlquist and Frank De Jong
Stockholm School of Economics and Tilburg University - Department of Finance
Downloads 239 (127,192)

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Abnormal return measures, Endogenous events, Event studies, Initial public offerings, Long-run underperformance

16.

The Norwegian Government Pension Fund's Potential for Capturing Illiquidity Premiums

Number of pages: 69 Posted: 10 Oct 2013
Frank De Jong and Joost Driessen
Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 233 (130,453)
Citation 1

Abstract:

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Investments, illiquid assets

17.

Robust Pricing of Fixed Income Securities

Number of pages: 59 Posted: 11 Apr 2016 Last Revised: 22 Nov 2017
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
City University of Hong Kong (CityUHK), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 186 (161,375)
Citation 3

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dynamic asset allocation, robustness, uncertainty, ambiguity, bond premium puzzle

18.

Euro Area Sovereign Yield Dynamics: The Role of Order Imbalance

ECB Working Paper No. 385, EFA 2005 Moscow Meetings Paper
Number of pages: 50 Posted: 10 Dec 2004
VU Amsterdam, affiliation not provided to SSRN and Tilburg University - Department of Finance
Downloads 175 (170,478)

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government bond, order imbalance, euro, international

19.

Valuation of Pension Liabilities in Incomplete Markets

Number of pages: 25 Posted: 05 Mar 2007
Frank De Jong
Tilburg University - Department of Finance
Downloads 165 (179,376)
Citation 2

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incomplete markets, pension valuation, wage risk

20.

Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds

Number of pages: 20 Posted: 05 Mar 2011
Frank De Jong and Loes Wingens
Tilburg University - Department of Finance and Kempen Capital Management
Downloads 162 (182,177)

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Mutual funds, Performance, Private ownership

21.

Dynamic Asset Liability Management Under Model Uncertainty

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 35 Posted: 19 Jan 2018 Last Revised: 23 Jan 2018
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
City University of Hong Kong (CityUHK), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 143 (202,121)

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asset liability management, liability-driven investment, robustness, uncertainty, ambiguity

22.

Portfolio and Consumption Choice with Habit Formation Under Inflation

Netspar Discussion Paper No. 08/2013-023
Number of pages: 39 Posted: 20 Aug 2013 Last Revised: 27 Oct 2013
Frank De Jong and Yang Zhou
Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 100 (263,669)

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portfolio and consumption choice, habit formation, inflation risk, money illusion

23.

Labor Income Risk and Stock Returns: The Role of Horizon Effects

Number of pages: 67 Posted: 07 May 2019
University of Amsterdam - Amsterdam Business School, Tilburg University - Department of Finance, University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam Business School
Downloads 80 (303,515)

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Labor and Finance, Human Capital, Horizon Effects, Cross-Section of Stock Returns, Hedging Demand

Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis

ECB Working Paper No. 1595
Number of pages: 45 Posted: 09 Oct 2013
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM), University of Amsterdam - Faculty of Economics & Econometrics (FEE), Tilburg University - Department of Finance and BNG Vermogensbeheer
Downloads 24 (511,710)
Citation 1

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public debt, auctions, yield movements, euro-zone, crisis, Italy, Germany, event study, primary dealers, bid-to-cover ratio

Price Effects of Sovereign Debt Auctions in the Euro-Zone: The Role of the Crisis

Number of pages: 41 Posted: 18 Sep 2013
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM), University of Amsterdam - Faculty of Economics & Econometrics (FEE), Tilburg University - Department of Finance and BNG Vermogensbeheer
Downloads 17 (556,520)

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public debt, auctions, yield movements, euro-zone, crisis, Italy, Germany, event study, primary dealers, bid-to-cover ratio

Price Effects of Sovereign Debt Auctions in the Euro-Zone: The Role of the Crisis

CEPR Discussion Paper No. DP9659
Number of pages: 44 Posted: 24 Sep 2013
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM), Tilburg University - Department of Finance, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and BNG Vermogensbeheer
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Citation 2
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auctions, bid-to-cover ratio, crisis, euro-zone, event study, Germany, Italy, primary dealers, public debt, yield movements

25.

Time-Varying Market Integration and Expected Returns in Emerging Markets

CEPR Discussion Paper No. 3102
Number of pages: 47 Posted: 15 Jan 2002
Frans de Roon and Frank De Jong
Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 40 (422,191)
Citation 15
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Emerging markets, asset pricing, market integration

26.

Privatization and Stock Market Liquidity

CEPR Discussion Paper No. 4449
Number of pages: 40 Posted: 27 Jul 2004
Bocconi University, Tilburg University - Department of Finance, University of Turin - Department ESOMAS and BI Norwegian Business School
Downloads 36 (438,416)
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Privatization, financial market development, international finance

The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market

ECB Working Paper No. 1629
Number of pages: 44 Posted: 11 Feb 2014
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM), Tilburg University - Department of Finance, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and BNG Vermogensbeheer
Downloads 26 (499,512)

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eurozone, SMP, crisis, sovereign debt, realized covariances, spillovers

The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market

CEPR Discussion Paper No. DP9803
Number of pages: 45 Posted: 02 Jun 2014
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM), Tilburg University - Department of Finance, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and BNG Vermogensbeheer
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crisis, Eurozone, realized covariances, SMP, sovereign debt, spillovers

Price Discovery in Fragmented Markets

CEPR Discussion Paper No. 3987
Number of pages: 28 Posted: 10 Sep 2003
Frank De Jong and Peter C. Schotman
Tilburg University - Department of Finance and Maastricht University - Department of Finance
Downloads 25 (505,534)
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High-frequency data, microstructure, structural time series models

Price Discovery in Fragmented Markets

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 1-28, 2010
Posted: 28 Dec 2009
Frank De Jong and Peter C. Schotman
Tilburg University - Department of Finance and Maastricht University - Department of Finance

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C32, F31, High-frequency data, microstructure, structural time-series models

29.

Pseudo Market Timing: Fact or Fiction?

CEPR Discussion Paper No. 4609
Number of pages: 39 Posted: 28 Oct 2004
Magnus Dahlquist and Frank De Jong
Stockholm School of Economics and Tilburg University - Department of Finance
Downloads 15 (548,352)
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Abnormal return measures, endogenous events, event studies, initial public offerings, long-run underperformance, pseudo market timing

30.

The Impact of Dark Trading and Visible Fragmentation on Market Quality

CEPR Discussion Paper No. DP8630
Number of pages: 53 Posted: 24 Nov 2011
Frank De Jong, Hans Degryse and Vincent van Kervel
Tilburg University - Department of Finance, KU Leuven, Department Accounting, Finance and Insurance and Pontifical Catholic University of Chile
Downloads 9 (585,417)
Citation 4
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dark trading, fragmentation, liquidity, market microstructure

31.

Spread the News: How the Crisis Affected the Impact of News On the European Sovereign Bond Markets

CEPR Discussion Paper No. DP9043
Number of pages: 39 Posted: 28 Sep 2012
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM), Tilburg University - Department of Finance, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and BNG Vermogensbeheer
Downloads 3 (626,349)
Citation 3
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co-movement, Euro-intelligence, GIIPS, interest rate spreads, new variables, non-GIIPS, spill-overs

32.

Libor Market Models Versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

European Finance Review, Vol. 5, No. 3
Posted: 17 May 2001
Antoon Pelsser, Frank De Jong and Joost Driessen
Maastricht University, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration

Abstract:

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Term structure models, interest rate derivatives, lognormal pricing models, Black formula

33.

Price Discovery on Foreign Exchange Markets

CEPR Discussion Paper No. 2296
Posted: 18 May 2000
Tilburg University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Department of Finance

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34.

Time-Series and Cross-Section Information in Affine Term Structure Models

Posted: 23 Apr 1999
Frank De Jong
Tilburg University - Department of Finance

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35.

The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables

Journal of Financial and Quantitative Analysis, March 1999
Posted: 30 Dec 1998
Pedro Santa-Clara and Frank De Jong
New University of Lisbon - Nova School of Business and Economics and Tilburg University - Department of Finance

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