Joost Driessen

Tilburg University - Tilburg University School of Economics and Management

Professor of Financial Derivatives

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

Tilburg University - Center for Economic Research (CentER)

Professor of Financial Derivatives

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

  • Tilburg University - Tilburg University School of Economics and Management

  • Tilburg University - Center for Economic Research (CentER)

SCHOLARLY PAPERS

43

DOWNLOADS
Rank 832

SSRN RANKINGS

Top 832

in Total Papers Downloads

41,380

SSRN CITATIONS
Rank 1,399

SSRN RANKINGS

Top 1,399

in Total Papers Citations

380

CROSSREF CITATIONS

494

Scholarly Papers (43)

Actions:
Email selected abstracts
1.

A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds

Downloads 4,191 ( 3,298)
Citation 41

A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market
Number of pages: 50 Posted: 27 Feb 2007 Last Revised: 13 Jan 2015
Joost Driessen, Tse-Chun Lin and Ludovic Phalippou
Tilburg University - Tilburg University School of Economics and Management, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 3,807 (3,795)
Citation 2

Abstract:

Loading...

Risk exposure, Abnormal return, Private equity

A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds

Netspar Discussion Paper No. 02/2011-121
Number of pages: 51 Posted: 25 May 2012
Joost Driessen, Tse-Chun Lin and Ludovic Phalippou
Tilburg University - Tilburg University School of Economics and Management, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 271 (156,099)
Citation 39

Abstract:

Loading...

Risk exposure, abnormal return, private equity

A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds

NBER Working Paper No. w14144
Number of pages: 53 Posted: 30 Jun 2008 Last Revised: 24 Feb 2022
Joost Driessen, Tse-Chun Lin and Ludovic Phalippou
Tilburg University - Tilburg University School of Economics and Management, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 113 (332,813)
Citation 6

Abstract:

Loading...

2.

Liquidity Risk Premia in Corporate Bond Markets

Number of pages: 47 Posted: 08 Apr 2005 Last Revised: 07 May 2009
Frank De Jong and Joost Driessen
Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 3,421 (4,654)
Citation 44

Abstract:

Loading...

Credit spread, liquidity premium

3.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings, Journal of Finance, Vol. 64, No. 3, 2009
Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 29 Jun 2022
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 3,076 (5,578)
Citation 37

Abstract:

Loading...

Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns

4.

Option-Implied Correlations and the Price of Correlation Risk

Downloads 3,025 ( 5,746)
Citation 44

Option-Implied Correlations and the Price of Correlation Risk

Advanced Risk & Portfolio Management Paper
Number of pages: 47 Posted: 26 Oct 2012 Last Revised: 19 Apr 2016
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 1,838 (12,557)
Citation 22

Abstract:

Loading...

implied correlation, return predictability, index variance, variance risk premium, individual options

Option-Implied Correlations and the Price of Correlation Risk

Netspar Discussion Paper No. 07/2013-061
Number of pages: 48 Posted: 26 Nov 2013
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 1,187 (24,514)
Citation 31

Abstract:

Loading...

5.

Individual Stock-Option Prices and Credit Spreads

Number of pages: 56 Posted: 30 Jun 2004
Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Syracuse University
Downloads 2,282 (8,960)
Citation 10

Abstract:

Loading...

6.

Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry

Yale ICF Working Paper No. 06-34
Number of pages: 41 Posted: 20 Mar 2005
Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Syracuse University
Downloads 1,622 (15,577)
Citation 3

Abstract:

Loading...

7.

Pricing of Commercial Real Estate Securities during the 2007-2009 Financial Crisis

Number of pages: 77 Posted: 08 Sep 2009 Last Revised: 29 Jul 2011
Joost Driessen and Otto Van Hemert
Tilburg University - Tilburg University School of Economics and Management and Man AHL
Downloads 1,619 (15,619)
Citation 2

Abstract:

Loading...

Mortgage, CMBS, CMBX, REIT, Market Efficiency, Financial Crisis, Commercial Real Estate

8.

Is Default Event Risk Priced in Corporate Bonds?

Downloads 1,590 ( 16,072)

Is Default Event Risk Priced in Corporate Bonds?

Number of pages: 40 Posted: 20 Mar 2002
Joost Driessen
Tilburg University - Tilburg University School of Economics and Management
Downloads 1,590 (15,789)
Citation 60

Abstract:

Loading...

Credit Spread, Default Event, Corporate Bond, Credit Derivative, Intensity Models

Is Default Event Risk Priced in Corporate Bonds?

The Review of Financial Studies, Vol. 18, Issue 1, pp. 165-195, 2005
Posted: 29 Feb 2008
Joost Driessen
Tilburg University - Tilburg University School of Economics and Management

Abstract:

Loading...

9.

Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

Number of pages: 45 Posted: 11 Mar 2000
Frank De Jong, Joost Driessen and Antoon Pelsser
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and Maastricht University
Downloads 1,395 (19,570)
Citation 3

Abstract:

Loading...

10.

How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments

Review of Finance, Forthcoming
Number of pages: 47 Posted: 22 Mar 2010 Last Revised: 09 Jul 2011
Joost Driessen, Tse-Chun Lin and Otto Van Hemert
Tilburg University - Tilburg University School of Economics and Management, The University of Hong Kong - Faculty of Business and Economics and Man AHL
Downloads 1,267 (22,580)
Citation 3

Abstract:

Loading...

52-week high, 52-week low, implied volatility, beta, volatility, anchoring, prospect theory, investor attention, barrier, support level, resistance level

11.

Libor Market Models Versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

Number of pages: 45 Posted: 17 May 2001
Antoon Pelsser, Frank De Jong and Joost Driessen
Maastricht University, Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 1,251 (23,012)
Citation 1

Abstract:

Loading...

12.

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Number of pages: 52 Posted: 06 Nov 2000
Joost Driessen, Pieter Klaassen and Bertrand Melenberg
Tilburg University - Tilburg University School of Economics and Management, UBS AG and Tilburg University - Center for Economic Research (CentER)
Downloads 1,248 (23,091)
Citation 15

Abstract:

Loading...

Term Structure Models; Interest Rate Derivatives; Option Pricing; Hedging

13.

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Downloads 1,245 ( 23,158)
Citation 28

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Number of pages: 65 Posted: 23 Apr 2011 Last Revised: 14 Mar 2012
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 955 (33,484)
Citation 6

Abstract:

Loading...

Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Netspar Discussion Paper No. 03/2012-017
Number of pages: 66 Posted: 25 May 2012
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 290 (145,604)
Citation 24

Abstract:

Loading...

Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle

14.

Why Do Options Prices Predict Stock Returns?

Netspar Discussion Paper No. 07/2013-079
Number of pages: 49 Posted: 25 Feb 2014
Tse-Chun Lin, Xiaolong Lu and Joost Driessen
The University of Hong Kong - Faculty of Business and Economics, The University of Hong Kong - Faculty of Business and Economics and Tilburg University - Tilburg University School of Economics and Management
Downloads 1,216 (24,005)
Citation 2

Abstract:

Loading...

Informed traders, corporate events, implied volatility spread, implied volatility skew, short-sale constraint

15.

A Portfolio Perspective on Option Pricing Anomalies

Number of pages: 52 Posted: 23 Jul 2003
Joost Driessen and Pascal J. Maenhout
Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance
Downloads 1,167 (25,500)
Citation 27

Abstract:

Loading...

16.

Does Interest Rate Exposure Explain the Low-Volatility Anomaly?

Journal of Banking and Finance, Vol. 103, 2019
Posted: 30 Aug 2016 Last Revised: 01 Sep 2019
Joost Driessen, Ivo Kuiper, Korhan Nazliben and Robbert Beilo
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Center and Faculty of Economics and Business Administration, affiliation not provided to SSRN and Tilburg University - Tilburg University School of Economics and Management
Downloads 1,142 (26,294)

Abstract:

Loading...

Cross-section of stock returns; Low-volatility anomaly; Interest rates; Factor model

17.

Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

Journal of Finance, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 66 Posted: 01 Mar 2007 Last Revised: 24 Jan 2010
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 1,142 (26,294)
Citation 26

Abstract:

Loading...

CDS, Liquidity, Liquidity Risk

18.

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

Downloads 1,013 ( 31,288)
Citation 30

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

BIS Working Paper No. 191, EFA 2006 Zurich Meetings
Number of pages: 50 Posted: 04 Mar 2005
Martijn Cremers, Joost Driessen and Pascal J. Maenhout
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance
Downloads 725 (48,835)
Citation 6

Abstract:

Loading...

Credit spreads, jump risk premium, firm value model

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

BIS Working Paper No. 191
Number of pages: 51 Posted: 20 Sep 2007
Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Syracuse University
Downloads 288 (146,715)
Citation 26

Abstract:

Loading...

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2209-2242, 2008
Posted: 19 Sep 2008
Martijn Cremers, Joost Driessen and Pascal J. Maenhout
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance

Abstract:

Loading...

G12, G13

19.

Hedging House Price Risk: Portfolio Choice With Housing Futures

Number of pages: 49 Posted: 13 Jun 2005 Last Revised: 17 May 2015
Frank De Jong, Joost Driessen and Otto Van Hemert
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and Man AHL
Downloads 922 (35,690)
Citation 18

Abstract:

Loading...

Housing futures, portfolio choice, mortgage

20.

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Downloads 918 ( 35,923)
Citation 17

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Number of pages: 82 Posted: 21 Mar 2014 Last Revised: 17 Jun 2018
Lieven Baele, Joost Driessen, Sebastian Ebert, Sebastian Ebert, Juan M. Londono and Oliver G. Spalt
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management, Frankfurt School of Finance & ManagementFrankfurt School of Finance & Management, Board of Governors of the Federal Reserve System and University of Mannheim - Business School
Downloads 698 (51,399)
Citation 14

Abstract:

Loading...

Cumulative prospect theory, variance risk premium, probability weighting

Cumulative Prospect Theory and the Variance Premium

Netspar Discussion Paper No. 12/2014-067
Number of pages: 45 Posted: 14 Feb 2015
Lieven Baele, Joost Driessen, Juan M. Londono and Oliver G. Spalt
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management, Board of Governors of the Federal Reserve System and University of Mannheim - Business School
Downloads 130 (300,415)
Citation 4

Abstract:

Loading...

Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium

Cumulative Prospect Theory and the Variance Premium

Number of pages: 45 Posted: 02 Nov 2014 Last Revised: 12 Dec 2014
Lieven Baele, Joost Driessen, Juan M. Londono and Oliver G. Spalt
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management, Board of Governors of the Federal Reserve System and University of Mannheim - Business School
Downloads 90 (387,270)
Citation 4

Abstract:

Loading...

Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium.

21.

Common Factors in International Bond Returns

Number of pages: 34 Posted: 11 Apr 2000
Joost Driessen, Theo Nijman and Bertrand Melenberg
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 757 (46,732)
Citation 5

Abstract:

Loading...

22.

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Downloads 752 ( 47,166)
Citation 18

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 101 Posted: 25 Nov 2011 Last Revised: 31 Mar 2020
Alessandro Beber, Joost Driessen, Anthony Neuberger, Patrick Tuijp and Patrick Tuijp
Cass Business School, Tilburg University - Tilburg University School of Economics and Management, City University London - Faculty of Finance and University of Amsterdam - Finance GroupOrtec Finance
Downloads 583 (64,794)
Citation 13

Abstract:

Loading...

liquidity premium, liquidity risk, investment horizon, holding period

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Journal of Financial and Quantitative Analysis (JFQA), Volume 56, Issue 2, Netspar Discussion Paper No. 11/2011-120
Number of pages: 101 Posted: 25 May 2012 Last Revised: 05 Mar 2021
Alessandro Beber, Joost Driessen, Anthony Neuberger, Patrick Tuijp and Patrick Tuijp
Cass Business School, Tilburg University - Tilburg University School of Economics and Management, City University London - Faculty of Finance and University of Amsterdam - Finance GroupOrtec Finance
Downloads 160 (254,560)
Citation 17

Abstract:

Loading...

liquidity premium, liquidity risk, investment horizon, holding period

Pricing Liquidity Risk with Heterogeneous Investment Horizons

CEPR Discussion Paper No. DP8710
Number of pages: 49 Posted: 22 Dec 2011
Alessandro Beber, Joost Driessen, Patrick Tuijp and Patrick Tuijp
Cass Business School, Tilburg University - Tilburg University School of Economics and Management and University of Amsterdam - Finance GroupOrtec Finance
Downloads 9 (820,073)
  • Add to Cart

Abstract:

Loading...

investment horizon, liquidity risk

23.

Rebalancing for Long Term Investors: Why It Pays to Do Less

Bankers, Markets & Investors, forthcoming
Number of pages: 40 Posted: 01 Jun 2017 Last Revised: 06 Sep 2019
Joost Driessen and Ivo Kuiper
Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 612 (61,674)
Citation 1

Abstract:

Loading...

Rebalancing, Multi-Asset, Long Term, Passive

24.

On the Information in the Interest Rate Term Structure and Option Prices

Review of Derivatives Research, Vol. 7, No. 2, 2004
Number of pages: 40 Posted: 28 Feb 2002 Last Revised: 08 May 2011
Frank De Jong, Joost Driessen and Antoon Pelsser
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and Maastricht University
Downloads 537 (72,720)
Citation 7

Abstract:

Loading...

Term Structure Models, Interest Rate Derivatives, Volatility Hump, Caps and Swaptions

25.

The Dividend Term Structure

Number of pages: 58 Posted: 19 Nov 2014 Last Revised: 12 Dec 2018
Jac Kragt, Frank De Jong and Joost Driessen
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 484 (82,543)
Citation 4

Abstract:

Loading...

Dividend futures, dividend swaps, dividend derivatives, term structure, state space model

26.

The World Price of Jump and Volatility Risk

AFA 2005 Philadelphia Meetings, Forthcoming
Number of pages: 53 Posted: 02 Jan 2005
Joost Driessen and Pascal J. Maenhout
Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance
Downloads 394 (104,975)
Citation 9

Abstract:

Loading...

27.

Stocks versus corporate bonds: A cross-sectional puzzle

Journal of Banking and Finance, Forthcoming
Number of pages: 54 Posted: 29 Aug 2015 Last Revised: 07 Mar 2022
Jeroen van Zundert and Joost Driessen
Cubist Systematic Strategies and Tilburg University - Tilburg University School of Economics and Management
Downloads 351 (119,559)

Abstract:

Loading...

capital market integration, corporate bond, stock, distress risk, expected stock return

28.

International Portfolio Diversification Benefits: Cross-Country Evidence from a Local Perspective

Number of pages: 39 Posted: 23 Jun 2011
Joost Driessen and Luc Laeven
Tilburg University - Tilburg University School of Economics and Management and European Central Bank (ECB)
Downloads 293 (144,812)
Citation 17

Abstract:

Loading...

portfolio investment, diversification benefits, emerging markets, home bias, investment restrictions

29.

The Norwegian Government Pension Fund's Potential for Capturing Illiquidity Premiums

Number of pages: 69 Posted: 10 Oct 2013
Frank De Jong and Joost Driessen
Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 288 (147,431)
Citation 3

Abstract:

Loading...

Investments, illiquid assets

30.

Can Unpredictable Risk Exposure Be Priced?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 14 Feb 2018 Last Revised: 20 Dec 2019
Ricardo Barahona, Joost Driessen and Rik Frehen
Banco de España, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Department of Finance
Downloads 273 (155,573)
Citation 4

Abstract:

Loading...

Risk Factors, Beta, Ambiguity Aversion, Risk Hedging

31.

The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets

Downloads 250 (169,861)
Citation 5

The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets

SAFE Working Paper No. 183
Number of pages: 52 Posted: 26 Sep 2017
Joost Driessen, Theo Nijman and Zorka Simon
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Leibniz Institute for Financial Research SAFE
Downloads 130 (300,415)
Citation 7

Abstract:

Loading...

Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle

The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets

Netspar Discussion Paper No. 02/2014-066
Number of pages: 38 Posted: 14 Feb 2015
Joost Driessen, Theo Nijman and Zorka Simon
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Leibniz Institute for Financial Research SAFE
Downloads 120 (318,967)

Abstract:

Loading...

Liquidity premium, liquidity risk, TIPS, inflation swaps

32.

Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets

Number of pages: 69 Posted: 28 Nov 2020 Last Revised: 06 Dec 2021
Joost Driessen, Sebastian Ebert, Sebastian Ebert and Joren Koëter
Tilburg University - Tilburg University School of Economics and Management, Frankfurt School of Finance & ManagementFrankfurt School of Finance & Management and Rotterdam School of Management, Erasmus University
Downloads 245 (173,173)

Abstract:

Loading...

asset pricing, behavioral finance, probability weighting, option markets

33.

Testing Affine Term Structure Models in Case of Transaction Costs

Number of pages: 34 Posted: 31 Jan 2000
Joost Driessen, Theo Nijman and Bertrand Melenberg
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 227 (186,201)
Citation 1

Abstract:

Loading...

34.

Horizon effects in the pricing kernel: How investors price short-term versus long-term risks

Number of pages: 51 Posted: 17 Oct 2019 Last Revised: 16 Feb 2022
Joost Driessen, Joren Koëter and Ole Wilms
Tilburg University - Tilburg University School of Economics and Management, Rotterdam School of Management, Erasmus University and University of Hamburg
Downloads 210 (200,425)
Citation 1

Abstract:

Loading...

asset pricing, pricing kernel, stochastic discount factor, pricing kernel puzzle, options

35.

Confidence Building on Euro Convergence: Theory and Evidence from Currency Options

Downloads 195 (214,414)

Confidence Building on Euro Convergence: Theory and Evidence from Currency Options

Number of pages: 43 Posted: 19 Nov 2003
Enrico C. Perotti and Joost Driessen
University of Amsterdam - Finance Group and Tilburg University - Tilburg University School of Economics and Management
Downloads 177 (233,412)

Abstract:

Loading...

Euro, exchange rate, credibility, option pricing, regime switching, implied volatility, convergence

Confidence Building on Euro Convergence: Theory and Evidence from Currency Options

Number of pages: 45 Posted: 21 Jan 2004
Joost Driessen and Enrico C. Perotti
Tilburg University - Tilburg University School of Economics and Management and University of Amsterdam - Finance Group
Downloads 18 (734,413)
  • Add to Cart

Abstract:

Loading...

Convergence risk, confidence building, currency options, regime-switching models

36.

Who Is Afraid of Liquidity Risk? Dynamic Portfolio Choice with Stochastic Illiquidity

Netspar Discussion Paper No. 12/2015-049
Number of pages: 53 Posted: 06 Jan 2016 Last Revised: 20 Dec 2016
Joost Driessen and Ran Xing
Tilburg University - Tilburg University School of Economics and Management and Stockholm University - Stockholm Business School
Downloads 191 (218,386)

Abstract:

Loading...

Liquidity premium; Liquidity risk; Dynamic portfolio choice; Trading Costs; Price impact

37.

Beta: The Good, the Bad and the Ugly

Number of pages: 64 Posted: 04 Aug 2017 Last Revised: 11 Nov 2017
Joost Driessen and Jeroen van Zundert
Tilburg University - Tilburg University School of Economics and Management and Cubist Systematic Strategies
Downloads 157 (258,083)

Abstract:

Loading...

beta, interest rates, stocks, VAR model

38.

The Implied Equity Term Structure

Number of pages: 44 Posted: 04 Mar 2021
Tomas Jankauskas, Lieven Baele and Joost Driessen
Tilburg University, Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management
Downloads 126 (306,244)

Abstract:

Loading...

Equity term structure, cross-section, implied returns

39.

Explaining the Stock Market's Reaction to Unemployment News Over the Business Cycle

Number of pages: 25 Posted: 19 Apr 2016 Last Revised: 19 Mar 2019
Joost Driessen and Ivo Kuiper
Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 123 (311,681)

Abstract:

Loading...

unemployment news, asset pricing, business cycle, stock market, economic activity, decomposition, announcement returns

40.

Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds

SAFE Working Paper No. 238
Number of pages: 63 Posted: 11 Dec 2018 Last Revised: 16 Apr 2019
Joost Driessen, Theo Nijman and Zorka Simon
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Leibniz Institute for Financial Research SAFE
Downloads 93 (376,248)
Citation 3

Abstract:

Loading...

Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy

41.

Myopic or Dynamic Liquidity Management? A Study of Hedge Funds around the 2008 Financial Crisis

Number of pages: 39 Posted: 11 Nov 2015 Last Revised: 17 Sep 2017
Joost Driessen and Ran Xing
Tilburg University - Tilburg University School of Economics and Management and Stockholm University - Stockholm Business School
Downloads 70 (443,359)
Citation 1

Abstract:

Loading...

Liquidity Management, Hedge funds, Flight to liquidity, Price impact

42.

An Empirical Portfolio Perspective on Option Pricing Anomalies

Review of Finance, Vol. 11, Issue 4, pp. 561-603, 2007
Posted: 14 Jul 2008
Joost Driessen and Pascal J. Maenhout
Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance

Abstract:

Loading...

G11, G12

43.

Libor Market Models Versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis

Posted: 17 May 2001
Antoon Pelsser, Frank De Jong and Joost Driessen
Maastricht University, Tilburg University - Department of Finance and Tilburg University - Tilburg University School of Economics and Management

Abstract:

Loading...

Term structure models, interest rate derivatives, lognormal pricing models, Black formula