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

SCHOLARLY PAPERS

21

DOWNLOADS
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Top 7,835

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7,376

SSRN CITATIONS
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SSRN RANKINGS

Top 11,842

in Total Papers Citations

51

CROSSREF CITATIONS

53

Scholarly Papers (21)

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
University of Antwerp Department of Accounting & Finance, Université Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 2,400 (7,202)
Citation 5

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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
University of Antwerp Department of Accounting & Finance, Ghent University, Department of Financial Economics and KBC Asset Management
Downloads 923 (31,464)
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
Degroof Petercam Asset Management, University of Antwerp Department of Accounting & Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 688 (47,010)
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
University of Antwerp Department of Accounting & Finance, Université Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 453 (79,585)
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
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 384 (96,501)
Citation 14

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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
KU Leuven, Department Accounting, Finance and Insurance, University of Antwerp Department of Accounting & Finance and University of Antwerp
Downloads 297 (128,042)
Citation 2

Abstract:

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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 291 (130,872)
Citation 2

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

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 242 (157,045)
Citation 10

Abstract:

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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
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

9.

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 - Department of Financial Economics
Downloads 235 (162,176)
Citation 3

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

10.

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 233 (163,515)
Citation 5

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Financial market history, market efficiency, univariate stock return predictability

11.

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 223 (170,508)
Citation 6

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

12.

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 205 (184,474)
Citation 2

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

13.

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 190 (197,723)
Citation 2

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

14.

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 KU Leuven, Department Accounting, Finance and Insurance
Downloads 177 (210,415)

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Diversification, Investment trusts, Financial innovation, Price anchoring

15.

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 Université Saint-Louis Brussels
Downloads 165 (223,368)

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credit spreads, diversification, correlations, corporate bonds

16.

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 98 (329,952)
Citation 1

Abstract:

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Mutual Funds, Transactions, Description

17.

Moment Condition Failure Australian Evidence

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 95 (336,713)

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Sum stable distributions, Hill-estimator, moments

18.

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 46 (490,926)

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Historical Beta Estimation, Brussels Stock Exchange

19.

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

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 (564,651)
Citation 2
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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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