Theo Nijman

Tilburg University - Center and Faculty of Economics and Business Administration

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

26

DOWNLOADS
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12,221

CITATIONS
Rank 4,990

SSRN RANKINGS

Top 4,990

in Total Papers Citations

104

Scholarly Papers (26)

1.

An Anatomy of Commodity Futures Risk Premia

AFA 2010 Atlanta Meetings Paper, Journal of Finance, Vol. 69, No. 1, pp. 453-482, 2014
Number of pages: 73 Posted: 17 Feb 2009 Last Revised: 11 May 2014
Erasmus University Rotterdam (EUR) - Department of Finance, Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and APG Asset Management
Downloads 1,566 (5,725)
Citation 9

Abstract:

Futures contracts, Commodities, Risk premia, Portfolio sorts

2.
Downloads 1,293 ( 11,275)
Citation 3

Evaluating Style Analysis

ERIM Report Series Reference No. ERS-2000-11-F&A; EFMA 2001 Lugano Meetings
Number of pages: 35 Posted: 28 Feb 2001
Frans de Roon, Theo Nijman and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and TIAS School for Business and Society
Downloads 1,261 (11,505)
Citation 3

Abstract:

Style Analysis, Performance Measurment, Mutual Funds, Portfolio Choice

Evaluating Style Analysis

CEPR Discussion Paper No. 3181
Number of pages: 30 Posted: 21 Feb 2002
Frans de Roon, Theo Nijman and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and TIAS School for Business and Society
Downloads 32 (391,253)
Citation 3

Abstract:

Style analysis, performance evaluation, portfolio choice

3.

Optimal Annuity Risk Management

CentER Working Paper Series No. 2006-78, EFA 2007 Ljubljana Meetings Paper
Number of pages: 53 Posted: 01 Mar 2007 Last Revised: 03 Sep 2009
New York University (NYU) - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 1,152 (12,390)
Citation 4

Abstract:

optimal life-cycle portfolio choice, annuity risk

When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?

EFA 2007 Ljubljana Meetings Paper
Number of pages: 49 Posted: 01 Mar 2007 Last Revised: 04 Feb 2009
New York University (NYU) - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 1,052 (15,319)
Citation 27

Abstract:

bond risk premia, life-cycle consumption, portfolio choice

When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?

Review of Financial Studies, Vol. 23, Issue 2, pp. 741-780, 2009
Posted: 01 Feb 2010
New York University (NYU) - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)

Abstract:

G11

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

CentER Discussion Paper No. 2003-20
Number of pages: 37 Posted: 22 Aug 2003
Tilburg University - Center and Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR)
Downloads 990 (16,734)
Citation 8

Abstract:

Asset Liability Management, Commodities, Optimal portfolio choice, Pension funds, Strategic asset allocation, Tactical asset allocation

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

THE HANDBOOK OF COMMODITY INVESTING, Fabozzi, Fuss, Kaiser, eds., pp. 522-546, 2008
Posted: 02 Nov 2008
Tilburg University - Center and Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR)

Abstract:

Asset Liability Management, Commodities, Optimal portfolio choice, Pension funds, Strategic asset allocation, Tactical asset allocation

6.
Downloads 840 ( 21,774)
Citation 11

Do Countries or Industries Explain Momentum in Europe?

ERIM Report Series Reference No. ERS-2002-91-F&A, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 45 Posted: 01 Mar 2002
Tilburg University - Center and Faculty of Economics and Business Administration, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 840 (21,415)
Citation 11

Abstract:

country risk, industry risk, momentum effect, portfolio selection, technology adoption

Do Countries or Industries Explain Momentum in Europe?

Journal of Empirical Finance, Vol. 11, pp. 461-481, 2004
Posted: 19 Dec 2005
Tilburg University - Center and Faculty of Economics and Business Administration, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

Abstract:

country risk, industry risk, momentum effect, portfolio selection

7.

Common Factors in International Bond Returns

Number of pages: 34 Posted: 11 Apr 2000
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 (27,359)
Citation 11

Abstract:

8.

Appendix Describing the Numerical Method Used in 'When Can Life-Cycle Investors Benefit from Time-Varying Bond Risk Premia?'

Number of pages: 14 Posted: 21 Nov 2006
New York University (NYU) - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 629 (32,321)
Citation 2

Abstract:

9.

Currency Hedging for International Stock Portfolios

ERIM Report Series Reference No. ERS-2000-21-F&A
Number of pages: 39 Posted: 20 Jan 2003
Frans de Roon, Theo Nijman and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 578 (35,329)
Citation 4

Abstract:

currency risk, hedging, forwards, international asset pricing, portfolio choice

10.

The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity

Number of pages: 34 Posted: 01 Mar 2002
Tilburg University - Center and Faculty of Economics and Business Administration, Tilburg University and University of Groningen
Downloads 437 (51,001)
Citation 5

Abstract:

Infrequently Traded Stocks, Price Impact, Trading Costs, Trading Intensity, Durations, Market Microstructure, Asymmetric Information, Inventory Effects

11.

Longevity Risk and Capital Markets: The 2008-2009 Update

Number of pages: 7 Posted: 19 Mar 2009
City University London - Cass Business School - The Pensions Institute, Tilburg University - Center for Economic Research (CentER), National Chengchi University and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 432 (49,890)
Citation 1

Abstract:

12.

Price Dynamics and Trading Volume: A Semiparametric Approach

Number of pages: 49 Posted: 04 Mar 2004
University of Groningen, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University
Downloads 327 (72,252)

Abstract:

Semiparametric modeling, price impact of trades, infrequently traded stocks, market microstructure

13.

The Price Impact of Trades in Infrequently Traded Stocks in Periods of High and Low Market Activity

Number of pages: 34 Posted: 02 Mar 2002
University of Groningen, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University
Downloads 327 (72,787)
Citation 4

Abstract:

infrequently traded stocks, price impact, trading costs, trading intensity, durations, market microstructure, asymmetric information, inventory effects

14.
Downloads 270 ( 91,377)
Citation 3

The Annuity Puzzle Remains a Puzzle

Number of pages: 32 Posted: 19 Feb 2009 Last Revised: 09 Mar 2016
Netspar, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 151 (159,639)
Citation 3

Abstract:

Asset allocation, retirement, life-cycle portfolio choice, annuity, savings

The Annuity Puzzle Remains a Puzzle

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 33 Posted: 30 Mar 2010 Last Revised: 27 Jul 2016
Netspar, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 119 (193,542)
Citation 3

Abstract:

Asset allocation, retirement, life-cycle portfolio choice, annuity, savings

15.

Testing Affine Term Structure Models in Case of Transaction Costs

Number of pages: 34 Posted: 31 Jan 2000
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 (116,066)
Citation 2

Abstract:

Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level

Number of pages: 57 Posted: 25 Nov 2014
Tilburg University, University of Amsterdam - Amsterdam School of Economics and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 116 (197,306)

Abstract:

optimal consumption choice, optimal portfolio choice, loss aversion, reference level, habit formation, guarantee, smoothing

Consumption and Portfolio Choice under Loss Aversion and Endogenous Updating of the Reference Level

Netspar Discussion Paper No. 11/2014-048
Number of pages: 50 Posted: 19 Dec 2014
Tilburg University, University of Amsterdam - Amsterdam School of Economics and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 46 (340,023)

Abstract:

Optimal consumption choice, optimal portfolio choice, loss aversion, reference level, habit formation, guarantee, smoothing

17.

Health Cost Risk: A Potential Solution to the Annuity Puzzle

Forthcoming The Economic Journal
Number of pages: 41 Posted: 19 Feb 2010 Last Revised: 01 Oct 2015
Netspar, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 160 (151,605)
Citation 5

Abstract:

Life-cycle portfolio choice, retirement, post-retirement investment

18.

Modeling Co-Movements in Trading Intensities to Distinguish Stock and Sector-Specific News

CentER Discussion Paper No. 2002-69
Number of pages: 33 Posted: 05 Mar 2004
University of Groningen, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University
Downloads 129 (176,795)
Citation 3

Abstract:

multivariate duration models, high-frequency data, ACD models, market microstructure

19.

Opportunities for Improving Pension Wealth Decumulation in the Netherlands

Netspar Discussion Paper No. 01/2011-008
Number of pages: 45 Posted: 09 Mar 2011
Jeffrey R. Brown and Theo Nijman
University of Illinois at Urbana-Champaign - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 79 (226,282)

Abstract:

The Impact of Living and Working Longer on Pension Income in Five European Countries: Estonia, Finland, Hungary, the Netherlands and Poland

Netspar Discussion Paper No. 08/2014-036
Number of pages: 34 Posted: 16 Sep 2014
ETLA, Research Institute of the Finnish Economy, PRAXIS Center for Policy Studies, PRAXIS Center for Policy Studies, Hungarian Central Statistical Office (HCSO) - Hungarian Demographic Research Institute (HDRI), CASE - Center for Social and Economic Research, CASE - Center for Social and Economic Research and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 51 (324,507)

Abstract:

The Impact of Living and Working Longer on Pension Income in Five European Countries: Estonia, Finland, Hungary, the Netherlands and Poland

CASE Research Paper No. 476/2014
Number of pages: 36 Posted: 17 Jul 2015
CASE - Center for Social and Economic Research, CASE - Center for Social and Economic Research, Tilburg University - Center and Faculty of Economics and Business Administration, University of Tartu - Department of Economics, ETLA, Research Institute of the Finnish Economy and Hungarian Central Statistical Office (HCSO) - Hungarian Demographic Research Institute (HDRI)
Downloads 21 (447,454)

Abstract:

pension benefits, life expectancy, retirement age, policy reforms

Personal Pensions with Risk Sharing. Affordable, Adequate and Stable Private Pensions in Europe

Netspar Discussion Paper No. 03/2015-005
Number of pages: 38 Posted: 13 Mar 2015
A. Lans Bovenberg and Theo Nijman
Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 54 (315,696)

Abstract:

Personal Pensions with Risk Sharing: Affordable, Adequate and Stable Private Pensions in Europe

CEPR Discussion Paper No. DP10538
Number of pages: 39 Posted: 13 Apr 2015
A. Lans Bovenberg and Theo Nijman
Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 0

Abstract:

decumulation phase, defined benefit, defined contribution, longevity insurance, private pensions, risk management, risk sharing, variable annuities

22.

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 (232,717)

Abstract:

Liquidity premium, liquidity risk, TIPS, inflation swaps

23.

The Promise of Defined Ambition Plans: Lessons for the United States

Pension Research Council WP 2014-15
Number of pages: 43 Posted: 14 Nov 2014
A. Lans Bovenberg, Roel Mehlkopf and Theo Nijman
Tilburg University - Center for Economic Research (CentER), Tilburg University and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 34 (254,154)

Abstract:

Defined ambition, variable annuity, valuation, risk profile, risk management, liabilities, consumption frame

When can Insurers Offer Products that Dominate Delayed Old-Age Pension Benefit Claiming?

Netspar Discussion Paper No. 04/2010-011
Number of pages: 36 Posted: 16 Jun 2010
Tilburg University - CentER for Economic Research, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 26 (419,765)
Citation 1

Abstract:

Pension Benefit Claiming, Delay Options, Actuarial Nonequivalence, Preference-Free Dominance

When Can Insurers Offer Products that Dominate Delayed Old-Age Pension Benefit Claiming?

Posted: 04 Nov 2009
Tilburg University - CentER for Economic Research, Tilburg University - Center for Economic Research (CentER) and Tilburg University - Center and Faculty of Economics and Business Administration

Abstract:

25.

Analysis of the Standardized Pan European Personal Pension (PEPP) Product and its Impact in Four European Countries: The Netherlands, Estonia, Finland and Hungary

Netspar Discussion Paper No. DP 11/2015-064
Number of pages: 24 Posted: 10 Mar 2016
Tilburg University - Center and Faculty of Economics and Business Administration, ETLA, Research Institute of the Finnish Economy, PRAXIS Center for Policy Studies, PRAXIS Center for Policy Studies and Hungarian Central Statistical Office (HCSO) - Hungarian Demographic Research Institute (HDRI)
Downloads 0 (374,320)

Abstract:

26.

Eliminating Look-ahead Bias in Evaluating Persistence in Mutual Fund Performance

Journal of Empirical Finance, Vol. 8, pp. 345-373, September 2001
Posted: 04 Jan 2006
Jenke ter Horst, Marno Verbeek and Theo Nijman
TIAS School for Business and Society, Erasmus University - Rotterdam School of Management and Tilburg University - Center and Faculty of Economics and Business Administration

Abstract:

mutual funds, performance evaluation, look-ahead bias