Mary Pieterse-Bloem

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

8

DOWNLOADS

1,378

SSRN CITATIONS

5

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Gamma Positioning and Market Quality

Number of pages: 36 Posted: 19 May 2022 Last Revised: 17 Feb 2023
ABN AMRO - ABN-Amro Bank, The Netherlands, Erasmus Research Institute of Management (ERIM), Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 347 (160,021)

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feedback effect; simulation; market quality; market liquidity; dynamic hedging

2.

Expected Issuance Fees and Market Liquidity

Number of pages: 41 Posted: 02 Oct 2017 Last Revised: 12 Nov 2018
ABN AMRO - ABN-Amro Bank, The Netherlands, Erasmus Research Institute of Management (ERIM), Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 273 (205,890)
Citation 1

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sovereign bonds; market microstructure; market liquidity; issuance fee

3.

Beating the Benchmark: Bond Portfolios based on Country and Industry Factors

Number of pages: 29 Posted: 18 Aug 2017 Last Revised: 08 Jan 2021
Erasmus Research Institute of Management (ERIM), Vrije Universiteit Amsterdam, School of Business and Economics, Erasmus University Rotterdam (EUR) - Department of Business Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 200 (277,532)

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Corporate bonds; Dynamic portfolio strategies; Country and industry factors; Mean-variance model

4.

Time-Varying Importance of Country and Industry Factors in European Corporate Bonds

Journal of Empirical Finance, Forthcoming
Number of pages: 53 Posted: 21 Feb 2014 Last Revised: 01 Feb 2016
Erasmus Research Institute of Management (ERIM), Erasmus University Rotterdam (EUR) - Department of Business Economics, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 178 (308,143)
Citation 2

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market integration, corporate bond markets, factor decomposition, Sovereign debt crisis

5.

Factor Decomposition and Diversification in European Corporate Bond Markets

Number of pages: 33 Posted: 25 Aug 2010 Last Revised: 12 Sep 2011
Ronald Mahieu and Mary Pieterse-Bloem
Tilburg University - Center for Economic Research, Econometrics and Finance Group and Erasmus Research Institute of Management (ERIM)
Downloads 171 (319,121)
Citation 1

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6.

How European Unification Has Shaped the Debate on Measuring International Financial Integration

Number of pages: 19 Posted: 03 Jan 2012 Last Revised: 11 Feb 2013
Mary Pieterse-Bloem and Sylvester C. W. Eijffinger
Erasmus Research Institute of Management (ERIM) and Tilburg University (CentER) - Department of Economics
Downloads 85 (540,533)

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Europe, international financial integration, financial markets, macroeconomics, finance

Dynamic Connectedness between Credit and Liquidity Risks in EMU Sovereign Debt Markets

Number of pages: 78 Posted: 08 Dec 2022
Marta Gómez-Puig, Mary Pieterse-Bloem and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, Erasmus Research Institute of Management (ERIM) and UCM Institute for Economic Analysis
Downloads 33 (850,037)

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Liquidity risk, Credit risk, Eurozone sovereign bonds, MTS bond market, dynamic connectedness, Time-varying parameters

Dynamic Connectedness between Credit and Liquidity Risks in Emu Sovereign Debt Markets

Number of pages: 78 Posted: 29 Sep 2022
Marta Gómez-Puig, Mary Pieterse-Bloem and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, Erasmus Research Institute of Management (ERIM) and UCM Institute for Economic Analysis
Downloads 31 (867,363)

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Liquidity risk, Credit Risk, Eurozone sovereign bonds, MTS bond market, Dynamic connectedness, Time-varying parameters

8.

Gamma Positioning and Market Quality

Number of pages: 36 Posted: 21 Jan 2023
Vrije Universiteit Amsterdam, Erasmus Research Institute of Management (ERIM), Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 60 (649,461)

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dynamic hedging, feedback effect, market liquidity, market quality, Simulation

Other Papers (1)

Total Downloads: 976
1.

Sustainable Retail Investing: Motivations, Portfolio Consequences and the Role of ESG Ratings

Number of pages: 63 Posted: 11 May 2020 Last Revised: 16 Jun 2023
Amir Amel-Zadeh, Rik Lustermans and Mary Pieterse-Bloem
University of Oxford - Said Business School, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus Research Institute of Management (ERIM)
Downloads 976 (43,141)

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Sustainable investing, retail investors, ESG ratings, wealthy households, investor behaviour, portfolio characteristics