Author Page for Joost Driessen

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

Downloads 3,678 ( 2,245)

Citation 20

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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 - Center and Faculty of Economics and Business Administration, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School

Downloads 3,421 (2,501)

Citation 20

Abstract:

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 - Center and Faculty of Economics and Business Administration, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School

Downloads 191 (144,948)

Citation 20

Abstract:

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: 29 Oct 2014

Joost Driessen, Tse-Chun Lin and Ludovic Phalippou

Tilburg University - Center and Faculty of Economics and Business Administration, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School

Downloads 66 (319,327)

Citation 20

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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 - Center and Faculty of Economics and Business Administration

Downloads 2,803 (3,619)

Citation 54

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3.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings

Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 14 Jul 2008

Joost Driessen, Pascal J. Maenhout and Grigory Vilkov

Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management

Downloads 2,729 (3,792)

Citation 39

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4.

Option-Implied Correlations and the Price of Correlation Risk

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Citation 28

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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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management

Downloads 1,556 (9,565)

Citation 28

Abstract:

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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management

Downloads 771 (28,051)

Citation 28

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5.

Individual Stock-Option Prices and Credit Spreads

Yale ICF Working Paper No. 04-14; EFA 2004 Maastricht Meetings Paper No. 5147

Number of pages: 56 Posted: 30 Jun 2004

Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum

University of Notre Dame, Tilburg University - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University

Downloads 2,181 (5,504)

Citation 69

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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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University

Downloads 1,541 (9,893)

Citation 23

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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 - Center and Faculty of Economics and Business Administration and Man AHL

Downloads 1,486 (10,504)

Citation 1

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8.

Is Default Event Risk Priced in Corporate Bonds?

Downloads 1,380 ( 11,857)

Citation 115

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Is Default Event Risk Priced in Corporate Bonds?

EFA 2002 Berlin Meetings Presented Paper; University of Amsterdam Working Paper

Number of pages: 40 Posted: 20 Mar 2002

Joost Driessen

Tilburg University - Center and Faculty of Economics and Business Administration

Downloads 1,380 (11,619)

Citation 115

Abstract:

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 - Center and Faculty of Economics and Business Administration

Abstract:

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 - Center and Faculty of Economics and Business Administration and Maastricht University

Downloads 1,352 (12,292)

Citation 8

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10.

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 - Center and Faculty of Economics and Business Administration, UBS AG and Tilburg University - Center for Economic Research (CentER)

Downloads 1,225 (14,285)

Citation 24

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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 - Center and Faculty of Economics and Business Administration

Downloads 1,172 (15,347)

Citation 8

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12.

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Downloads 1,106 ( 16,727)

Citation 2

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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 - Center and Faculty of Economics and Business Administration

Downloads 860 (23,881)

Citation 2

Abstract:

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 - Center and Faculty of Economics and Business Administration

Downloads 246 (112,970)

Citation 2

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13.

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 - Center and Faculty of Economics and Business Administration, The University of Hong Kong - Faculty of Business and Economics and Man AHL

Downloads 1,075 (17,468)

Citation 1

Abstract:

14.

A Portfolio Perspective on Option Pricing Anomalies

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 916

Number of pages: 52 Posted: 23 Jul 2003

Joost Driessen and Pascal J. Maenhout

Tilburg University - Center and Faculty of Economics and Business Administration and INSEAD - Finance

Downloads 1,071 (17,579)

Citation 38

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15.

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 - Center and Faculty of Economics and Business Administration

Downloads 1,052 (18,042)

Citation 38

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16.

Does Interest Rate Exposure Explain the Low-Volatility Anomaly?

Number of pages: 43 Posted: 30 Aug 2016 Last Revised: 20 Oct 2017

Joost Driessen, Ivo Kuiper and Robbert Beilo

Tilburg University - Center and Faculty of Economics and Business Administration, Tilburg University and Independent

Downloads 1,011 (19,181)

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17.

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 - Center and Faculty of Economics and Business Administration

Downloads 938 (21,449)

Citation 1

Abstract:

18.

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

Downloads 901 ( 22,697)

Citation 52

3

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 - Center and Faculty of Economics and Business Administration and INSEAD - Finance

Downloads 656 (34,844)

Citation 52

Abstract:

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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Syracuse University

Downloads 245 (113,440)

Citation 52

Abstract:

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 - Center and Faculty of Economics and Business Administration and INSEAD - Finance

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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 - Center and Faculty of Economics and Business Administration and Man AHL

Downloads 753 (29,304)

Citation 9

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20.

Common Factors in International Bond Returns

Number of pages: 34 Posted: 11 Apr 2000

Joost Driessen, Theo Nijman and Bertrand Melenberg

Tilburg University - Center and Faculty of Economics and Business Administration, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)

Downloads 730 (30,577)

Citation 11

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21.

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Downloads 548 ( 44,725)

Citation 5

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Pricing Liquidity Risk with Heterogeneous Investment Horizons

Number of pages: 99 Posted: 25 Nov 2011 Last Revised: 22 Jan 2018

Alessandro Beber, Joost Driessen, Anthony Neuberger and Patrick Tuijp

Cass Business School, Tilburg University - Center and Faculty of Economics and Business Administration, Cass Business School, City, University of London and University of Amsterdam - Finance Group

Downloads 460 (55,198)

Citation 5

Abstract:

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Netspar Discussion Paper No. 11/2011-120

Number of pages: 69 Posted: 25 May 2012 Last Revised: 07 Nov 2012

Alessandro Beber, Joost Driessen and Patrick Tuijp

Cass Business School, Tilburg University - Center and Faculty of Economics and Business Administration and University of Amsterdam - Finance Group

Downloads 79 (285,599)

Citation 5

Abstract:

Pricing Liquidity Risk with Heterogeneous Investment Horizons

CEPR Discussion Paper No. DP8710

Number of pages: 49 Posted: 22 Dec 2011

Alessandro Beber, Joost Driessen and Patrick Tuijp

Cass Business School, Tilburg University - Center and Faculty of Economics and Business Administration and University of Amsterdam - Finance Group

Downloads 9 (564,998)

Citation 5

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Abstract:

22.

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 - Center and Faculty of Economics and Business Administration and Maastricht University

Downloads 522 (47,560)

Citation 10

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23.

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Downloads 515 ( 48,702)

Citation 1

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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, Juan M. Londono and Oliver G. Spalt

Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration, Frankfurt School of Finance & Management gemeinnützige GmbH, Federal Reserve Board of Governors and Tilburg University - Department of Finance

Downloads 371 (72,273)

Abstract:

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 - Center and Faculty of Economics and Business Administration, Federal Reserve Board of Governors and Tilburg University - Department of Finance

Downloads 74 (296,959)

Citation 1

Abstract:

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 - Center and Faculty of Economics and Business Administration, Federal Reserve Board of Governors and Tilburg University - Department of Finance

Downloads 70 (306,552)

Citation 1

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24.

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 - Center and Faculty of Economics and Business Administration and INSEAD - Finance

Downloads 359 (75,073)

Citation 12

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25.

Rebalancing for Long Term Investors

Number of pages: 41 Posted: 01 Jun 2017 Last Revised: 24 Oct 2017

Joost Driessen and Ivo Kuiper

Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University

Downloads 336 (81,315)

Abstract:

26.

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 - Center and Faculty of Economics and Business Administration, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)

Downloads 219 (127,544)

Citation 2

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27.

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 - Center and Faculty of Economics and Business Administration

Downloads 215 (129,816)

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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 - Center and Faculty of Economics and Business Administration and European Central Bank (ECB)

Downloads 195 (142,227)

Citation 17

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29.

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

Downloads 183 (150,858)

Citation 2

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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 - Center and Faculty of Economics and Business Administration

Downloads 166 (164,574)

Citation 2

Abstract:

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

CEPR Discussion Paper No. 4180

Number of pages: 45 Posted: 21 Jan 2004

Joost Driessen and Enrico C. Perotti

Tilburg University - Center and Faculty of Economics and Business Administration and University of Amsterdam - Finance Group

Downloads 17 (516,576)

Citation 2

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Abstract:

30.

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

Downloads 142 (187,565)

2

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 - Center and Faculty of Economics and Business Administration, Tilburg University - Center and Faculty of Economics and Business Administration and Goethe University Frankfurt - Research Center SAFE

Downloads 105 (237,043)

Abstract:

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 - Center and Faculty of Economics and Business Administration, Tilburg University - Center and Faculty of Economics and Business Administration and Goethe University Frankfurt - Research Center SAFE

Downloads 37 (411,401)

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31.

Are Stock and Corporate Bond Markets Integrated? Evidence from Expected Returns

Number of pages: 60 Posted: 29 Aug 2015 Last Revised: 10 Nov 2017

Jeroen van Zundert and Joost Driessen

Robeco Asset Management and Tilburg University - Center and Faculty of Economics and Business Administration

Downloads 138 (191,923)

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32.

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 - Center and Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR)

Downloads 130 (203,784)

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33.

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 - Center and Faculty of Economics and Business Administration and Robeco Asset Management

Downloads 101 (243,875)

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34.

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

Number of pages: 25 Posted: 19 Apr 2016 Last Revised: 17 Oct 2016

Joost Driessen and Ivo Kuiper

Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University

Downloads 78 (285,039)

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35.

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 - Center and Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR)

Downloads 47 (367,413)

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36.

Can Unpredictable Risk Exposure Be Priced?

Number of pages: 70 Posted: 14 Feb 2018 Last Revised: 23 Jun 2018

Ricardo Barahona, Joost Driessen and Rik Frehen

Tilburg University, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Department of Finance

Downloads 44 (384,332)

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37.

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 - Center and Faculty of Economics and Business Administration and INSEAD - Finance

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38.

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

European Finance Review, Vol. 5, No. 3

Posted: 17 May 2001

Antoon Pelsser, Frank De Jong and Joost Driessen

Maastricht University, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration

Joost Driessen

Tilburg University - Center and Faculty of Economics and Business Administration

Professor of Financial Derivatives

Tilburg University - Center for Economic Research (CentER)

Professor of Financial Derivatives

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Pricing Liquidity Risk with Heterogeneous Investment Horizons

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

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