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/

University of Antwerp - Antwerp Management School

Boogkeers 5

Antwerp, 2000

Belgium

  • University of Antwerp Department of Accounting & Finance

  • University of Antwerp - Antwerp Management School

SCHOLARLY PAPERS

21

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12,014

TOTAL CITATIONS
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Top 12,682

in Total Papers Citations

97

Scholarly Papers (21)

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1.

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
Jan Annaert, Anouk G. P. Claes, Anouk G. P. Claes, Marc J. K. de Ceuster and Hairui Zhang
University of Antwerp Department of Accounting & Finance, University of Antwerp, Faculty of Applied Economics - City CampusUniversité Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 5,631 (3,170)
Citation 10

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

2.

Performance Evaluation of Portfolio Insurance Strategies Using Stochastic Dominance Criteria

Number of pages: 29 Posted: 04 May 2007
Jan Annaert, Sofie Van Osselaer and Bert Verstraete
University of Antwerp Department of Accounting & Finance, Ghent University, Department of Financial Economics and KBC Asset Management
Downloads 1,030 (46,579)
Citation 21

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

3.

Value and Size Effects: Now You See it, Now You Don't

Number of pages: 32 Posted: 21 Mar 2002
Frederiek Van Holle, Jan Annaert, John Crombez and Bart Spinel
Degroof Petercam Asset Management, University of Antwerp Department of Accounting & Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 766 (69,678)
Citation 1

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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
Jan Annaert, Anouk G. P. Claes, Anouk G. P. Claes, Marc J. K. de Ceuster and Hairui Zhang
University of Antwerp Department of Accounting & Finance, University of Antwerp, Faculty of Applied Economics - City CampusUniversité Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 577 (100,162)
Citation 1

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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
Jan Annaert, Marc J. K. de Ceuster, Patrick Van Roy and Cristina Vespro
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 447 (136,872)
Citation 27

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

6.

Dividend Growth and Return Predictability: A Long-Run Re-Examination of Conventional Wisdom

Journal of Empirical Finance, Vol. 52, 2019
Number of pages: 65 Posted: 29 Nov 2018 Last Revised: 08 Oct 2019
Gertjan Verdickt, Jan Annaert and Marc Deloof
University of Auckland - Department of Accounting and Finance, University of Antwerp Department of Accounting & Finance and University of Antwerp
Downloads 444 (138,001)
Citation 2

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return predictability, dividend growth predictability, equity duration, financial history

7.

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 389 (160,514)
Citation 2

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

8.

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

Number of pages: 30 Posted: 16 Jun 2007
Jan Annaert, Joao Garcia, Jeroen Lamoot and Gleb Lanine
University of Antwerp Department of Accounting & Finance, Fitch Solutions, Banking, Finance and Insurance Commission (CBFA) and Ghent University - Department of Financial Economics
Downloads 339 (186,849)
Citation 3

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

9.

Are Extreme Returns Priced in the Stock Market? European Evidence

Number of pages: 19 Posted: 14 Feb 2013
Jan Annaert, Marc J. K. de Ceuster and Kurt Verstegen
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 298 (214,322)
Citation 6

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

10.

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

Downloads 280 (228,739)
Citation 10

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

Number of pages: 43 Posted: 08 Feb 2007
Wouter Van Overfelt, Jan Annaert, Marc J. K. de Ceuster and Marc Deloof
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 280 (227,133)
Citation 10

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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
Wouter Van Overfelt, Jan Annaert, Marc J. K. de Ceuster and Marc Deloof
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

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Company Performance, Company Risk, Universal Banks, Director Interlocks

11.

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

Number of pages: 78 Posted: 04 Mar 2005
Jan Annaert and Wim Van Hyfte
University of Antwerp Department of Accounting & Finance and Ghent University - Department of Financial Economics
Downloads 280 (228,739)
Citation 5

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Financial market history, market efficiency, univariate stock return predictability

12.

Is Financial Market Volatility Informative to Predict Recessions?

DNB Staff Report No. 93
Number of pages: 31 Posted: 06 Sep 2003
Nico Valckx, Marc J. K. de Ceuster and Jan Annaert
International Monetary Fund (IMF), University of Antwerp - Faculty of Applied Economics - City Campus and University of Antwerp Department of Accounting & Finance
Downloads 275 (232,972)
Citation 2

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

13.

Go Active or Stay Passive: Investment Trust, Financial Innovation and Diversification in Belgium's early days

Number of pages: 45 Posted: 24 Oct 2019 Last Revised: 21 Sep 2020
Jan Annaert and Gertjan Verdickt
University of Antwerp Department of Accounting & Finance and University of Auckland - Department of Accounting and Finance
Downloads 263 (243,761)
Citation 3

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Diversification, Investment trusts, Financial innovation, Price anchoring

14.

Inter-Temporal Stability of the European Credit Spread Co-Movement Structure

University of Antwerp Working Paper
Number of pages: 19 Posted: 02 Jan 2004
Marc J. K. de Ceuster, Jan Annaert, Anouk G. P. Claes and Anouk G. P. Claes
University of Antwerp - Faculty of Applied Economics - City Campus, University of Antwerp Department of Accounting & Finance and University of Antwerp, Faculty of Applied Economics - City CampusUniversité Saint-Louis Brussels
Downloads 257 (249,535)

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credit spreads, diversification, correlations, corporate bonds

15.

Financial Market Volatility: Informative in Predicting Recessions

Bank of Finland Discussion Paper No. 14/2001
Number of pages: 25 Posted: 23 Jul 2002
Jan Annaert, Marc J. K. de Ceuster and Nico Valckx
University of Antwerp Department of Accounting & Finance, University of Antwerp - Faculty of Applied Economics - City Campus and International Monetary Fund (IMF)
Downloads 252 (254,597)
Citation 2

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

16.

Bonds for the Long Run? The Rate of Return on Corporate Bonds in Belgium, 1838-1939

Van Mencxel, K., Annaert, J., & Deloof, M. (2024). Bonds for the long run? The rate of return on corporate bonds in Belgium, 1838-1939. Forthcoming at The Economic History Review.
Number of pages: 64 Posted: 01 Jun 2022 Last Revised: 03 Apr 2024
Kevin Van Mencxel, Jan Annaert and Marc Deloof
University of Antwerp - Department of Accounting & Finance, University of Antwerp Department of Accounting & Finance and University of Antwerp
Downloads 167 (373,658)
Citation 1

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Indices, Long-Run Returns, Corporate Bonds, Historical Bond Markets, Data Bias

17.

Moment Condition Failure Australian Evidence

Number of pages: 16 Posted: 05 May 2001
Jan Annaert, Marc J. K. de Ceuster and Allan Hodgson
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 121 (485,155)

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Sum stable distributions, Hill-estimator, moments

18.

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 - Department of Financial Economics and Ghent University, Department of Financial Economics
Downloads 120 (488,266)
Citation 1

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Mutual Funds, Transactions, Description

19.

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, Lord Mensah and Jan Annaert
University of GhanaUniversity of Ghana Business School and University of Antwerp Department of Accounting & Finance
Downloads 78 (649,472)

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Historical Beta Estimation, Brussels Stock Exchange

20.

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

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C22, C52, G11, G20

21.

Estimation Risk and International Bond Portfolio Selection

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

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