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Joost Driessen

Tilburg University - Department of Finance

Professor of Financial Derivatives

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

CentER Tilburg University

Professor of Financial Derivatives

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

  • Tilburg University - Department of Finance

  • CentER Tilburg University

SCHOLARLY PAPERS

36

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Rank 514

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Top 514

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31,528

CITATIONS
Rank 906

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Top 906

in Total Papers Citations

588

Scholarly Papers (36)

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1.

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

Downloads 3,522 ( 2,027)
Citation 20

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 - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 3,287 (2,235)
Citation 20

Abstract:

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 - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 179 (138,164)
Citation 20

Abstract:

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
Joost Driessen, Tse-Chun Lin and Ludovic Phalippou
Tilburg University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Downloads 56 (312,165)
Citation 20

Abstract:

2.

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 - Department of Finance, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 2,298 (3,825)
Citation 38

Abstract:

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

3.

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 - Department of Finance
Downloads 2,161 (3,582)
Citation 54

Abstract:

Credit spread, liquidity premium

4.

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 - Department of Finance, INSEAD - Finance and Syracuse University
Downloads 2,119 (4,833)
Citation 69

Abstract:

5.

Option-Implied Correlations and the Price of Correlation Risk

Downloads 1,914 ( 5,881)
Citation 28

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 - Department of Finance, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 1,403 (9,775)
Citation 28

Abstract:

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 - Department of Finance, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 511 (42,906)
Citation 28

Abstract:

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 - Department of Finance, INSEAD - Finance and Syracuse University
Downloads 1,464 (8,784)
Citation 22

Abstract:

7.

Is Default Event Risk Priced in Corporate Bonds?

Downloads 1,334 ( 10,810)
Citation 114

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 - Department of Finance
Downloads 1,334 (10,591)
Citation 114

Abstract:

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 - Department of Finance

Abstract:

8.

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 - Department of Finance and Man AHL
Downloads 1,331 (9,519)

Abstract:

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

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 - Department of Finance and Maastricht University
Downloads 1,314 (10,754)
Citation 8

Abstract:

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 - Department of Finance, UBS AG and Tilburg University - Center for Economic Research (CentER)
Downloads 1,193 (12,666)
Citation 24

Abstract:

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

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 - Department of Finance
Downloads 1,118 (13,794)
Citation 8

Abstract:

12.

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 - Department of Finance
Downloads 1,028 (16,250)
Citation 38

Abstract:

CDS, Liquidity, Liquidity Risk

13.

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Downloads 987 ( 17,281)
Citation 2

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 - Department of Finance
Downloads 757 (25,153)
Citation 2

Abstract:

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 - Department of Finance
Downloads 230 (108,369)
Citation 2

Abstract:

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

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 - Department of Finance and INSEAD - Finance
Downloads 954 (16,250)
Citation 38

Abstract:

15.

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 - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and Man AHL
Downloads 904 (16,908)
Citation 1

Abstract:

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

16.

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

Downloads 874 ( 20,756)
Citation 51

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 - Department of Finance and INSEAD - Finance
Downloads 641 (31,672)
Citation 51

Abstract:

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 - Department of Finance, INSEAD - Finance and Syracuse University
Downloads 233 (106,938)
Citation 51

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 - Department of Finance and INSEAD - Finance

Abstract:

G12, G13

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 - Department of Finance
Downloads 708 (22,000)
Citation 1

Abstract:

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

18.

Common Factors in International Bond Returns

Number of pages: 34 Posted: 11 Apr 2000
Joost Driessen, Theo Nijman and Bertrand Melenberg
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 698 (27,556)
Citation 11

Abstract:

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 - Department of Finance and Man AHL
Downloads 674 (27,085)
Citation 9

Abstract:

Housing futures, portfolio choice, mortgage

20.

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 - Department of Finance and Maastricht University
Downloads 499 (42,559)
Citation 10

Abstract:

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

21.

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Downloads 466 ( 48,665)
Citation 5

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Number of pages: 69 Posted: 25 Nov 2011 Last Revised: 15 Oct 2012
Alessandro Beber, Joost Driessen and Patrick Tuijp
Cass Business School, Tilburg University - Department of Finance and University of Amsterdam - Finance Group
Downloads 396 (58,835)
Citation 5

Abstract:

liquidity premium, liquidity risk, investment horizon, holding period

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 - Department of Finance and University of Amsterdam - Finance Group
Downloads 61 (298,934)
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 - Department of Finance and University of Amsterdam - Finance Group
Downloads 9 (519,077)
Citation 5

Abstract:

investment horizon, liquidity risk

22.

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Downloads 407 ( 57,455)
Citation 1

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Number of pages: 73 Posted: 21 Mar 2014 Last Revised: 11 Mar 2017
Lieven Baele, Joost Driessen, Sebastian Ebert, Juan M. Londono and Oliver G. Spalt
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Tilburg University, Federal Reserve Board of Governors and Tilburg University - Department of Finance
Downloads 281 (87,573)

Abstract:

Cumulative prospect theory, variance risk premium, probability weighting

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 - Department of Finance, Federal Reserve Board of Governors and Tilburg University - Department of Finance
Downloads 69 (279,689)
Citation 1

Abstract:

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

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 - Department of Finance, Federal Reserve Board of Governors and Tilburg University - Department of Finance
Downloads 57 (309,444)
Citation 1

Abstract:

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

23.

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 - Department of Finance and INSEAD - Finance
Downloads 308 (69,889)
Citation 12

Abstract:

24.

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 - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 211 (116,889)
Citation 2

Abstract:

25.

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

Downloads 182 (136,218)
Citation 2

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 - Department of Finance
Downloads 165 (148,690)
Citation 2

Abstract:

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

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 - Department of Finance and University of Amsterdam - Finance Group
Downloads 17 (473,575)
Citation 2

Abstract:

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

26.

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 - Department of Finance
Downloads 136 (127,661)

Abstract:

Investments, illiquid assets

27.

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 - Department of Finance and European Central Bank (ECB)
Downloads 122 (145,543)
Citation 17

Abstract:

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

28.

The Dividend Term Structure

Netspar Discussion Paper No. 11/2014-055
Number of pages: 54 Posted: 26 Dec 2014 Last Revised: 15 Apr 2015
Jac Kragt, Frank De Jong and Joost Driessen
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 72 (270,151)

Abstract:

29.

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 - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and University of Mannheim - Finance Area
Downloads 36 (232,629)

Abstract:

Liquidity premium, liquidity risk, TIPS, inflation swaps

30.

A New Distress Risk Puzzle

Number of pages: 54 Posted: 29 Aug 2015 Last Revised: 20 Jan 2017
Jeroen van Zundert and Joost Driessen
Robeco Asset Management and Tilburg University - Department of Finance
Downloads 29 (227,779)

Abstract:

distress risk, distress risk puzzle, corporate bond, expected stock return

31.

Rebalancing for Long Term Investors

Number of pages: 30 Posted: 01 Jun 2017
Joost Driessen and Ivo Kuiper
Tilburg University - Department of Finance and CentER Tilburg University
Downloads 0 (242,859)

Abstract:

Rebalancing, Multi-Asset, Long Term, Passive

32.

Does Interest Rate Exposure Explain the Low-Volatility Anomaly?

Number of pages: 34 Posted: 30 Aug 2016 Last Revised: 21 Jan 2017
Joost Driessen, Ivo Kuiper and Robbert Beilo
Tilburg University - Department of Finance, CentER Tilburg University and Independent
Downloads 0 (26,094)

Abstract:

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

33.

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 - Department of Finance and CentER Tilburg University
Downloads 0 (287,974)

Abstract:

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

34.

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 - Department of Finance and Erasmus University Rotterdam (EUR)
Downloads 0 (239,405)

Abstract:

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

35.

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 - Department of Finance and INSEAD - Finance

Abstract:

G11, G12

36.

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 - Department of Finance

Abstract:

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

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