Jan Annaert

University of Antwerp Department of Accounting & Finance

Professor of Finance

Faculty of Applied Economics

Prinsstraat 13

Antwerp, B-2000

Belgium

http://https://www.uantwerp.be/en/staff/jan-annaert/

Antwerp Management School

Het Brantijser

Sint-Jacobsmarkt 9-13

Antwerp, 2000

Belgium

SCHOLARLY PAPERS

19

DOWNLOADS
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CITATIONS
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42

Scholarly Papers (19)

1.

Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria

Number of pages: 29 Posted: 04 May 2007
University of Antwerp Department of Accounting & Finance, Ghent University, Department of Financial Economics and KBC Asset Management
Downloads 767 (22,936)
Citation 9

Abstract:

Portfolio insurance, Performance evaluation, Stochastic dominance, Block-bootstrap simulation

2.

Estimating the Yield Curve Using the Nelson-Siegel Model: A Ridge Regression Approach

International Review of Economics & Finance, Forthcoming
Number of pages: 44 Posted: 08 May 2012 Last Revised: 16 Feb 2015
University of Antwerp Department of Accounting & Finance, Facultés Universitaires Saint-Louis, Faculté ESPO, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 661 (20,871)

Abstract:

Smoothed Bootstrap, Ridge Regression, Nelson-Siegel, Spot Rates

3.

Value and Size Effects: Now you see It, Now you don't

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 32 Posted: 21 Mar 2002
affiliation not provided to SSRN, University of Antwerp Department of Accounting & Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 583 (34,006)
Citation 2

Abstract:

book-to-market, size, value strategy

4.

The Estimation of Svensson Model Term Structures and Their Volatilities

Number of pages: 33 Posted: 08 May 2012
University of Antwerp Department of Accounting & Finance, Facultés Universitaires Saint-Louis, Faculté ESPO, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 321 (64,155)

Abstract:

Term Structure, Nelson-Siegel Model, Svensson Model, Ridge Regression

5.

What Determines Euro Area Bank CDS Spreads?

National Bank of Belgium Working Paper No. 190
Number of pages: 38 Posted: 23 Sep 2010 Last Revised: 27 Sep 2010
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus, National Bank of Belgium and affiliation not provided to SSRN
Downloads 303 (73,393)
Citation 10

Abstract:

credit default spreads, credit risk, financial crisis, financial sector, liquidity premia, structural model

Do Universal Banks Create Value? Universal Bank Affiliation and Company Performance in Belgium, 1905-1909

Number of pages: 43 Posted: 08 Feb 2007
affiliation not provided to SSRN, University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp
Downloads 229 (111,149)
Citation 8

Abstract:

Universal Banking, Company Performance, Company Risk, Director Interlocks

Do Universal Banks Create Value? Universal Bank Affiliation and Company Performance in Belgium, 1905-1909

Explorations in Economic History, Forthcoming
Posted: 17 Sep 2008
affiliation not provided to SSRN, University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp

Abstract:

Company Performance, Company Risk, Universal Banks, Director Interlocks

7.

Don't Fall from the Saddle: The Importance of Higher Moments of Credit Loss Distributions

Number of pages: 30 Posted: 16 Jun 2007
University of Antwerp Department of Accounting & Finance, Fitch Solutions, Banking, Finance and Insurance Commission (CBFA) and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 203 (118,263)

Abstract:

CreditRisk+, saddlepoint approximations, Lugannani-Rice formula, Barndorff-Nielsen formula, credit VaR.

8.

Long Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century

EFA 2005 Moscow Meetings Paper
Number of pages: 78 Posted: 04 Mar 2005
Jan Annaert and Wim Van Hyfte
University of Antwerp Department of Accounting & Finance and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 202 (121,044)
Citation 3

Abstract:

Financial market history, market efficiency, univariate stock return predictability

9.

Long Run Stock Returns: Evidence from Belgium 1838-2010

Number of pages: 30 Posted: 04 Oct 2012
Jan Annaert, Frans Buelens and Marc Deloof
University of Antwerp Department of Accounting & Finance, University of Antwerp and University of Antwerp
Downloads 196 (108,332)
Citation 1

Abstract:

long run stock returns, equity premium, size effect, 19th and 20th centuries, Brussels stock exchange

10.

Financial Market Volatility: Informative In Predicting Recessions

Bank of Finland Discussion Paper No. 14/2001
Number of pages: 25 Posted: 23 Jul 2002
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and International Monetary Fund (IMF)
Downloads 187 (132,226)

Abstract:

business cycles, stock market volatility, interest rate volatility, probit model

11.

Is Financial Market Volatility Informative to Predict Recessions?

DNB Staff Report No. 93
Number of pages: 31 Posted: 06 Sep 2003
International Monetary Fund (IMF), University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp Department of Accounting & Finance
Downloads 170 (143,247)
Citation 2

Abstract:

Business cycle forecasting, stock market volatility, interest rate volatility, probit

12.

Are Extreme Returns Priced in the Stock Market? European Evidence

Number of pages: 19 Posted: 14 Feb 2013
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp - Faculty of Applied Economics
Downloads 149 (143,247)

Abstract:

extreme returns, cross-section of expected returns, lottery-like payoffs, skewness, idiosyncratic volatility puzzle

13.

Inter-temporal Stability of the European Credit Spread Co-movement Structure

University of Antwerp Working Paper
Number of pages: 19 Posted: 02 Jan 2004
University of Antwerp - Faculty of Applied Economics - City Campus, University of Antwerp Department of Accounting & Finance and Facultés Universitaires Saint-Louis, Faculté ESPO
Downloads 149 (159,210)

Abstract:

credit spreads, diversification, correlations, corporate bonds

14.

Moment Condition Failure Australian Evidence

EFMA 2001 Lugano Meetings
Number of pages: 16 Posted: 05 May 2001
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and University of Queensland - Faculty of Business, Economics and Law
Downloads 85 (244,158)

Abstract:

Sum stable distributions, Hill-estimator, moments

15.

An Anatomy of Institutional Trading Records

Number of pages: 26 Posted: 11 Dec 2008
Jan Annaert, Dries Heyman and Sofie Van Osselaer
University of Antwerp Department of Accounting & Finance, Ghent University-Universiteit Gent - Department of Financial Economics and Ghent University, Department of Financial Economics
Downloads 82 (244,158)

Abstract:

Mutual Funds, Transactions, Description

16.

To Be or Not Be & 'Too Late': The Case of the Belgian Semi-annual Earnings Announcements

Journal of Business Finance & Accounting, Vol. 29, pp. 477-495, 2002
Number of pages: 19 Posted: 17 May 2002
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus, University of Antwerp - Faculty of Applied Economics and KU Leuven - FEB@HUBrussel
Downloads 31 (396,179)
Citation 7
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Abstract:

17.

On the Assessment of Beta Before World War I: Case Study of Brussels Stock Exchange (BSE)

Number of pages: 34 Posted: 29 Jul 2012 Last Revised: 31 Jul 2012
Lord Mensah and Jan Annaert
University of Ghana Business School and University of Antwerp Department of Accounting & Finance
Downloads 25 (380,505)

Abstract:

Historical Beta Estimation, Brussels Stock Exchange

18.

Time Variation in Mutual Fund Style Exposures

Review of Finance, Vol. 11, Issue 4, pp. 633-661, 2007
Posted: 14 Jul 2008
Jan Annaert and Geert Van Campenhout
University of Antwerp Department of Accounting & Finance and KU Leuven - FEB@HUBrussel

Abstract:

C22, C52, G11, G20

19.

Estimation Risk and International Bond Portfolio Selection

Posted: 20 Dec 1998
Jan Annaert
University of Antwerp Department of Accounting & Finance

Abstract: