Frank De Jong

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

33

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Scholarly Papers (33)

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 2,161 (3,551)
Citation 54

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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 1,006 (17,240)
Citation 9

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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 312 (81,085)
Citation 9

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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 1,314 (11,205)
Citation 8

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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 1,118 (14,213)
Citation 8

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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 804 (24,154)
Citation 2

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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 237 (109,336)
Citation 2

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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 1,039 (16,757)
Citation 38

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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 674 (27,992)
Citation 9

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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 494 (46,561)
Citation 8

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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 (416,706)
Citation 8
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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 302 (84,183)
Citation 3

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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 214 (121,148)
Citation 3

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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 499 (44,288)
Citation 10

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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 415 (55,217)
Citation 13

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

12.

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 233 (108,878)

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

13.

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 222 (112,174)
Citation 4

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

14.

Valuation of Pension Liabilities in Incomplete Markets

Number of pages: 25 Posted: 05 Mar 2007
Frank De Jong
Tilburg University - Department of Finance
Downloads 149 (157,524)
Citation 13

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incomplete markets, pension valuation, wage risk

15.

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 University Amsterdam, affiliation not provided to SSRN and Tilburg University - Department of Finance
Downloads 147 (154,294)
Citation 5

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government bond, order imbalance, euro, international

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 136 (127,187)

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Investments, illiquid assets

17.

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 132 (162,774)

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Mutual funds, Performance, Private ownership

18.

The Dividend Term Structure

Netspar Discussion Paper No. 11/2014-055
Number of pages: 54 Posted: 26 Dec 2014 Last Revised: 15 Apr 2015
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 84 (255,537)

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19.

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 51 (249,964)

Abstract:

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

20.

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 (368,125)
Citation 46
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Emerging markets, asset pricing, market integration

21.

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 of Economics and Statistics and BI Norwegian Business School
Downloads 36 (382,447)
Citation 14
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Privatization, financial market development, international finance

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 19 (476,984)

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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 15 (500,206)

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

23.
Downloads 25 (429,585)
Citation 5

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 - Limburg Institute of Financial Economics (LIFE)
Downloads 25 (442,299)
Citation 5
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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 - Limburg Institute of Financial Economics (LIFE)

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

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 23 (453,588)

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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

25.

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 (481,567)
Citation 9
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Abnormal return measures, endogenous events, event studies, initial public offerings, long-run underperformance, pseudo market timing

26.

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 (512,437)
Citation 9
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dark trading, fragmentation, liquidity, market microstructure

27.

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 (541,264)
Citation 2
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co-movement, Euro-intelligence, GIIPS, interest rate spreads, new variables, non-GIIPS, spill-overs

28.

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

Number of pages: 81 Posted: 08 Jun 2017 Last Revised: 20 Oct 2017
University of Amsterdam Business School, University of Amsterdam - Amsterdam School of Economics and Tilburg University - Department of Finance
Downloads 0 (181,358)

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

29.

Robust Pricing of Fixed Income Securities

Number of pages: 54 Posted: 11 Apr 2016 Last Revised: 30 Aug 2016
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 0 (174,153)

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

30.

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

31.

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 - Limburg Institute of Financial Economics (LIFE)

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32.

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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33.

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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