Dennis Bams

Maastricht University - Department of Finance

Maastricht, 6200 MD

Netherlands

DLL

Eindhoven

Netherlands

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 30,840

SSRN RANKINGS

Top 30,840

in Total Papers Downloads

1,448

CITATIONS

5

Scholarly Papers (10)

1.

Pension Fund Asset Allocation in Low Interest Rate Environment

Netspar Discussion Paper No. 03/2016-017
Number of pages: 40 Posted: 20 Apr 2016
Dennis Bams, Peter C. Schotman and Mukul Tyagi
Maastricht University - Department of Finance, Maastricht University - Department of Finance and Maastricht School of Business and Economics
Downloads 494 (55,436)
Citation 1

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Pension Funds, Asset Allocation, Portfolio Choice

2.

Asset Allocation Dynamics of Pension Funds

Netspar Discussion Paper No. 03/2016-016
Number of pages: 35 Posted: 20 Apr 2016
Dennis Bams, Peter C. Schotman and Mukul Tyagi
Maastricht University - Department of Finance, Maastricht University - Department of Finance and Maastricht School of Business and Economics
Downloads 277 (108,332)
Citation 2

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Institutional Investors, Pension Funds, Asset Allocation, Portfolio Rebalancing

3.

Why Is the VIX Index Related to Liquidity Providers' Return and Sharpe Ratio?

Number of pages: 49 Posted: 24 Dec 2015 Last Revised: 02 Feb 2018
Dennis Bams and Iman Honarvar
Maastricht University - Department of Finance and Robeco Asset Management
Downloads 266 (113,030)

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Short-term Reversal, VIX, Liquidity Spillover, Market Maker

4.

Investment Style Misclassification and Mutual Fund Performance

28th Australasian Finance and Banking Conference
Number of pages: 42 Posted: 20 Aug 2015 Last Revised: 22 Mar 2017
Dennis Bams, Rogér Otten and Ehsan Ramezanifar
Maastricht University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Department of Finance
Downloads 197 (151,889)

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Mutual Funds, Style Analysis, Fund performance

5.

Optimal Risk Sharing in a Collective Defined Contribution Pension System

Netspar Discussion Paper No. 03/2016-015
Number of pages: 32 Posted: 20 Apr 2016
Dennis Bams, Peter C. Schotman and Mukul Tyagi
Maastricht University - Department of Finance, Maastricht University - Department of Finance and Maastricht School of Business and Economics
Downloads 77 (310,256)

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Collective Defined Contribution, Funded Pension System, Overlapping Generations, Intergenerational Risk Sharing

6.

Investor Clientele and Style Changing Behavior in Mutual Funds

Number of pages: 27 Posted: 30 Jan 2018
Dennis Bams, Rogér Otten and Ehsan Ramezanifar
Maastricht University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Department of Finance
Downloads 70 (324,883)

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7.

From Time Varying Risk-Aversion to Anomalies in Market Moments’ Risk Premia

Number of pages: 42 Posted: 24 Nov 2015
Dennis Bams, Iman Honarvar and Thorsten Lehnert
Maastricht University - Department of Finance, Robeco Asset Management and University of Luxembourg
Downloads 67 (332,649)
Citation 2

Abstract:

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Time-varying Risk-aversion, Market Moments’ Risk Premia, Investor Sentiment Index, Intertemporal Capital Asset Pricing Model, Volatility Risk, Skewness Risk, Kurtosis Risk, Cross-Section of Expected Returns

8.

Does Oil and Gold Price Uncertainty Matter for the Stock Market?

Journal of Empirical Finance, Forthcoming
Posted: 24 Nov 2015 Last Revised: 03 Oct 2018
Maastricht University - Department of Finance, Maastricht University, Robeco Asset Management and University of Luxembourg

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Uncertainty, Volatility Risk Premium, Stock Market, Oil, Gold, Oil-relevant Industry, Market Segmentation

9.

Credit Risk Characteristics of US Small Business Portfolios

CEPR Discussion Paper No. DP10889
Number of pages: 39 Posted: 20 Oct 2015
Maastricht University - Department of Finance, WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
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capital requirements

10.

Ripple Effects from Industry Defaults

CEPR Discussion Paper No. DP10891
Number of pages: 43 Posted: 20 Oct 2015
Maastricht University - Department of Finance, WHU - Otto Beisheim School of Management and University of Luxembourg - Luxembourg School of Finance
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default clustering, default risk transmission, market structure, supply chain