Patrick Houweling

Robeco Asset Management

Rotterdam, 3011 AG

Netherlands

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 1,945

SSRN RANKINGS

Top 1,945

in Total Papers Downloads

29,831

SSRN CITATIONS
Rank 10,495

SSRN RANKINGS

Top 10,495

in Total Papers Citations

138

CROSSREF CITATIONS

22

Scholarly Papers (14)

1.

Factor Investing in the Corporate Bond Market

Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49 Posted: 31 Oct 2014 Last Revised: 30 May 2024
Patrick Houweling and Jeroen van Zundert
Robeco Asset Management and Cubist Systematic Strategies
Downloads 8,920 (1,308)
Citation 29

Abstract:

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corporate bonds, factor premiums, strategic asset allocation, size, low-risk, value, momentum

2.

Dts (Duration Times Spread)

Journal of Portfolio Management, Winter 2007
Number of pages: 48 Posted: 14 Jan 2007
Lehman Brothers, New York - Fixed Income Research, Lehman Brothers, Lehman Brothers, Robeco Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads 6,071 (2,512)
Citation 2

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credit risk, corporate bonds

3.

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49 Posted: 24 Dec 2001
Patrick Houweling and Ton Vorst
Robeco Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 5,001 (3,531)
Citation 19

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credit default swaps, credit derivatives, credit risk, default risk, risk-neutral valuation, default-free interest rates

4.

The Joint Estimation of Term Structures and Credit Spreads

Journal of Empirical Finance, Vol. 8, No. 3, pp. 297-323, 2001
Number of pages: 25 Posted: 27 Apr 1999
Patrick Houweling, Frank R. Kleibergen and Jaap Hoek
Robeco Asset Management, University of Amsterdam - Department of Quantitative Economics (KE) and Robeco Asset Management
Downloads 2,166 (13,786)
Citation 1

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5.

Comparing Possible Proxies of Corporate Bond Liquidity

Journal of Banking and Finance, Vol. 29, No. 6, pp. 1331-1358, 2005, EFA 2003 Annual Conference Paper No. 298
Number of pages: 39 Posted: 01 Aug 2003
Patrick Houweling, Albert Mentink and Ton Vorst
Robeco Asset Management, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 1,980 (15,810)
Citation 58

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liquidity, premiums, spreads, credit, corporate bonds, yields, fama-french model

6.

Momentum Spillover from Stocks to Corporate Bonds

Journal of Banking and Finance, 2017, Vol. 79
Number of pages: 47 Posted: 22 Aug 2012 Last Revised: 20 Jul 2017
Daniel Haesen, Patrick Houweling and Jeroen van Zundert
Robeco Investment Research, Robeco Asset Management and Cubist Systematic Strategies
Downloads 1,291 (30,497)
Citation 10

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corporate bond, momentum, time-varying risk, residual return

7.

True Value Investing in Credits through Machine Learning

Number of pages: 29 Posted: 14 Feb 2024
Patrick Houweling, Philip Messow and Robbert-Jan 't Hoen
Robeco Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads 1,176 (34,801)

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Corporate bonds, machine learning, mispricing, value investing

8.

Factor Investing in Emerging Market Credits

The Journal of Index Investing, Forthcoming
Number of pages: 25 Posted: 01 Oct 2019 Last Revised: 06 Jul 2021
Lennart Dekker, Patrick Houweling and Frederik Muskens
De Nederlandsche Bank, Robeco Asset Management and Robeco Asset Management
Downloads 800 (59,685)

Abstract:

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factor investing, corporate bonds, emerging markets

9.

On the Nature and Predictability of Corporate Bond Returns

Number of pages: 47 Posted: 23 Aug 2011 Last Revised: 15 Nov 2013
Daniel Haesen and Patrick Houweling
Robeco Investment Research and Robeco Asset Management
Downloads 776 (62,198)
Citation 2

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corporate bonds, credit spreads, excess returns, predictability, market timing

10.

On the Performance of Fixed Income Exchange Traded Funds

The Journal of Index Investing, Summer 2012, Vol. 3, No. 1: pp. 39-44
Number of pages: 13 Posted: 14 May 2011 Last Revised: 30 May 2012
Patrick Houweling
Robeco Asset Management
Downloads 699 (71,264)
Citation 1

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ETFs, passive investing, index tracking, fixed income, Treasury bonds, corporate bonds, performance evaluation

11.

An Empirical Comparison of Default Swap Pricing Models

ERIM Report Series Reference No. ERS-2002-23-F&A
Number of pages: 55 Posted: 03 Nov 2009
Patrick Houweling and Ton Vorst
Robeco Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 386 (146,645)

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credit default swaps, credit risk, default risk, market prices, credit derivatives, default-free interest rates, empirical models

12.

Valuing Euro Rating-Triggered Step-Up Telecom Bonds

Journal of Derivatives, Spring, pp. 63-80, 2004
Number of pages: 46 Posted: 11 Mar 2003
Patrick Houweling, Albert Mentink and Ton Vorst
Robeco Asset Management, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 290 (199,502)
Citation 6

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step-up bonds, rating-triggered, credit risk, reduced form models, Jarrow Lando Turnbull

13.

The Past, Present, and Future of Low-Risk Corporate Bonds

Number of pages: 59 Posted: 18 Sep 2023
Patrick Houweling and Frederik Muskens
Robeco Asset Management and Robeco Asset Management
Downloads 275 (210,677)

Abstract:

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low-risk effect, systematic risk, corporate bonds, market efficiency, asset pricing

14.

Ibbotson’s Default Premium: Risky Data

The Journal of Investing, Summer, Vol. 22 No. 2, pp. 95-105
Posted: 29 Jul 2011 Last Revised: 23 Aug 2014
Winfried G. Hallerbach and Patrick Houweling
Fintelligence CCT and Robeco Asset Management

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Ibbotson, default premium, corporate bonds, long-term data series