Frank De Jong

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

36

DOWNLOADS
Rank 3,239

SSRN RANKINGS

Top 3,239

in Total Papers Downloads

16,833

SSRN CITATIONS
Rank 2,123

SSRN RANKINGS

Top 2,123

in Total Papers Citations

284

CROSSREF CITATIONS

318

Scholarly Papers (36)

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 - Tilburg University School of Economics and Management
Downloads 3,497 (4,806)
Citation 44

Abstract:

Loading...

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 - Faculty of Business and Economics (FEB), Tilburg University - Department of Finance and Pontificia Universidad Católica de Chile
Downloads 1,220 (24,857)
Citation 17

Abstract:

Loading...

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 - Faculty of Business and Economics (FEB), Tilburg University - Department of Finance and Pontificia Universidad Católica de Chile
Downloads 406 (105,880)
Citation 11

Abstract:

Loading...

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 - Tilburg University School of Economics and Management and Maastricht University
Downloads 1,400 (20,597)
Citation 3

Abstract:

Loading...

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 - Tilburg University School of Economics and Management
Downloads 975 (34,407)
Citation 6

Abstract:

Loading...

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 - Tilburg University School of Economics and Management
Downloads 295 (150,421)
Citation 24

Abstract:

Loading...

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

5.

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 - Tilburg University School of Economics and Management
Downloads 1,260 (24,106)
Citation 1

Abstract:

Loading...

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 - Tilburg University School of Economics and Management
Downloads 1,151 (27,466)
Citation 26

Abstract:

Loading...

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 - Tilburg University School of Economics and Management and Man AHL
Downloads 940 (36,732)
Citation 18

Abstract:

Loading...

Housing futures, portfolio choice, mortgage

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

Number of pages: 50 Posted: 27 Apr 2005
Yiu Chung Cheung, Barbara Rindi and Frank De Jong
Tinbergen Institute, Bocconi University and IGIER and Baffi Carefin and Tilburg University - Department of Finance
Downloads 582 (68,487)
Citation 2

Abstract:

Loading...

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

Number of pages: 50 Posted: 06 Apr 2004
Yiu Chung Cheung, Barbara Rindi and Frank De Jong
Tinbergen Institute, Bocconi University and IGIER and Baffi Carefin and Tilburg University - Department of Finance
Downloads 30 (675,913)
  • Add to Cart

Abstract:

Loading...

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 - Faculty of Business and Economics (FEB), Tilburg University - Department of Finance and IESEG School of Management
Downloads 327 (135,054)
Citation 30

Abstract:

Loading...

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 - Faculty of Business and Economics (FEB), Tilburg University - Department of Finance and IESEG School of Management
Downloads 276 (161,120)
Citation 1

Abstract:

Loading...

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 - Tilburg University School of Economics and Management and Maastricht University
Downloads 546 (75,219)
Citation 7

Abstract:

Loading...

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
University of AmsterdamAlgemene Pensioen Groep (APG), Tilburg University - Department of Finance and Algemene Pensioen Groep (APG)
Downloads 512 (81,227)
Citation 40

Abstract:

Loading...

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 - Tilburg University School of Economics and Management
Downloads 507 (82,192)
Citation 4

Abstract:

Loading...

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 349 (126,556)
Citation 1

Abstract:

Loading...

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

14.

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 - Tilburg University School of Economics and Management
Downloads 296 (150,711)
Citation 3

Abstract:

Loading...

Investments, illiquid assets

15.

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

Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 67 Posted: 07 May 2019 Last Revised: 18 Oct 2021
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 265 (168,702)

Abstract:

Loading...

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

16.

European Yield Differentials and Basis Risk: A Hedging Perspective

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 260 (172,032)

Abstract:

Loading...

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

17.

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 253 (176,613)
Citation 3

Abstract:

Loading...

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

18.

Revisiting the Bond Premium Puzzle: A Robustness Approach

Number of pages: 60 Posted: 11 Apr 2016 Last Revised: 06 Jul 2021
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
City University of Hong Kong (CityU), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 250 (178,582)
Citation 4

Abstract:

Loading...

robustness, ambiguity, bond premium puzzle, stochastic subjective discount rate, dynamic asset allocation

19.

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 (CityU), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 221 (201,077)

Abstract:

Loading...

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

20.

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
Vrije Universiteit Amsterdam, affiliation not provided to SSRN and Tilburg University - Department of Finance
Downloads 220 (201,914)

Abstract:

Loading...

government bond, order imbalance, euro, international

21.

Valuation of Pension Liabilities in Incomplete Markets

Number of pages: 25 Posted: 05 Mar 2007
Frank De Jong
Tilburg University - Department of Finance
Downloads 181 (240,595)
Citation 4

Abstract:

Loading...

incomplete markets, pension valuation, wage risk

22.

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 180 (241,675)

Abstract:

Loading...

Mutual funds, Performance, Private ownership

23.

How do Funds Deviate from Benchmarks? Evidence from MSCI's Inclusion of Chinese A-shares

Number of pages: 59 Posted: 11 Oct 2021 Last Revised: 29 Oct 2021
Lennart Dekker, Jasmin Gider and Frank De Jong
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Department of Finance
Downloads 126 (321,982)

Abstract:

Loading...

Index providers, benchmarks, financial integration, passive asset management

24.

Liquidity Pricing in Emerging Market Corporate Bonds

Number of pages: 36 Posted: 12 Dec 2019 Last Revised: 06 Jan 2021
Lennart Dekker and Frank De Jong
Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 79 (436,358)
Citation 1

Abstract:

Loading...

corporate bonds, emerging markets, liquidity

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 46 (577,608)

Abstract:

Loading...

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 22 (740,813)
Citation 2

Abstract:

Loading...

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
Downloads 0
Citation 8
  • Add to Cart

Abstract:

Loading...

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

26.

Time-Varying Market Integration and Expected Returns in Emerging Markets

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 (597,882)
Citation 27
  • Add to Cart

Abstract:

Loading...

Emerging markets, asset pricing, market integration

27.

Privatization and Stock Market Liquidity

Number of pages: 40 Posted: 27 Jul 2004
Bocconi University, Tilburg University - Department of Finance, University of Turin - Department ESOMAS and Central European University
Downloads 36 (620,514)
Citation 1
  • Add to Cart

Abstract:

Loading...

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 33 (654,622)

Abstract:

Loading...

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
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

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

Price Discovery in Fragmented Markets

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 (715,111)
Citation 1
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

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

30.

Pseudo Market Timing: Fact or Fiction?

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 (778,716)
  • Add to Cart

Abstract:

Loading...

Abnormal return measures, endogenous events, event studies, initial public offerings, long-run underperformance, pseudo market timing

31.

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 - Faculty of Business and Economics (FEB) and Pontificia Universidad Católica de Chile
Downloads 9 (839,202)
Citation 12
  • Add to Cart

Abstract:

Loading...

dark trading, fragmentation, liquidity, market microstructure

32.

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 (908,681)
Citation 9
  • Add to Cart

Abstract:

Loading...

co-movement, Euro-intelligence, GIIPS, interest rate spreads, new variables, non-GIIPS, spill-overs

33.

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

Posted: 17 May 2001
Antoon Pelsser, Frank De Jong and Joost Driessen
Maastricht University, Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management

Abstract:

Loading...

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

34.

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

Abstract:

Loading...

35.

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

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

Abstract:

Loading...

36.

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

Posted: 30 Dec 1998
Pedro Santa-Clara and Frank De Jong
Nova School of Business and Economics and Tilburg University - Department of Finance

Abstract:

Loading...