Weili Zhou

Robeco Asset Management

Rotterdam, 3011 AG

Netherlands

http://www.robeco.com/quant

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SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Another Look at Trading Costs and Short-Term Reversal Profits

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Another Look at Trading Costs and Short-Term Reversal Profits

Number of pages: 44 Posted: 15 May 2010 Last Revised: 26 Jul 2011
Wilma de Groot, Joop Huij and Weili Zhou
Robeco Asset Management, Erasmus University - Rotterdam School of Management and Robeco Asset Management
Downloads 3,040 (3,483)
Citation 7

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market efficieny, anomalies, short-term reversal, portfolio construction, market impact, transaction costs, liquidity

Another Look at Trading Costs and Short-Term Reversal Profits

Journal of Banking and Finance, Vol. 36, No. 2, 2012
Posted: 22 Nov 2011
Wilma de Groot, Joop Huij and Weili Zhou
Robeco Asset Management, Erasmus University - Rotterdam School of Management and Robeco Asset Management

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market efficieny, anomalies, short-term reversal, portfolio construction, market impact, transaction costs, liquidity

2.

Exploiting Option Information in the Equity Market

Financial Analysts Journal, Forthcoming
Number of pages: 39 Posted: 08 Feb 2012
Guido Baltussen, Bart van der Grient, Wilma de Groot, Weili Zhou and Erik Hennink
Erasmus University Rotterdam (EUR), Robeco Asset Management - Quantitative Strategies, Robeco Asset Management, Robeco Asset Management and Rabobank International, Netherlands
Downloads 1,864 (8,156)

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stock selection, behavioral finance, alpha strategies, equity returns, option markets, stock markets, information spillover, asset pricing

3.

Exploiting Commodity Momentum Along the Futures Curves

Journal of Banking and Finance, Forthcoming
Number of pages: 51 Posted: 23 Aug 2014
Wilma de Groot, Dennis Karstanje and Weili Zhou
Robeco Asset Management, Erasmus University Rotterdam and Robeco Asset Management
Downloads 843 (27,677)

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commodity futures, momentum, term structure, futures curve, roll yield, backwardation, contango, transaction costs