Theo Nijman

Tilburg University - Tilburg University School of Economics and Management

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

  • Tilburg University - Tilburg University School of Economics and Management

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SCHOLARLY PAPERS

31

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Scholarly Papers (31)

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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
Marta Szymanowska, Frans de Roon, Theo Nijman and Rob van den Goorbergh
Erasmus University Rotterdam (EUR) - Department of Finance, Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and APG Asset Management
Downloads 3,051 (7,219)
Citation 54

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Futures contracts, Commodities, Risk premia, Portfolio sorts

2.

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
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 1,449 (23,134)
Citation 11

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optimal life-cycle portfolio choice, annuity risk

3.

Evaluating Style Analysis

Downloads 1,416 (23,942)
Citation 17

Evaluating Style Analysis

Number of pages: 35 Posted: 28 Feb 2001
Frans de Roon, Theo Nijman and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and TIAS School for Business and Society
Downloads 1,383 (24,378)

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Style Analysis, Performance Measurment, Mutual Funds, Portfolio Choice

Evaluating Style Analysis

Number of pages: 30 Posted: 21 Feb 2002
Frans de Roon, Theo Nijman and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and TIAS School for Business and Society
Downloads 33 (789,695)
Citation 1
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Style analysis, performance evaluation, portfolio choice

4.

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

Downloads 1,117 (33,817)

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

CentER Discussion Paper No. 2003-20
Number of pages: 37 Posted: 22 Aug 2003
Theo Nijman and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management and Erasmus University Rotterdam (EUR)
Downloads 1,117 (33,331)
Citation 18

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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
Theo Nijman and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management and Erasmus University Rotterdam (EUR)

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

5.

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

Downloads 1,088 (35,108)
Citation 19

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
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 1,088 (34,605)
Citation 19

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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
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)

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G11

6.

Do Countries or Industries Explain Momentum in Europe?

Downloads 999 (39,669)
Citation 8

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
Theo Nijman, Marno Verbeek and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 999 (39,086)
Citation 8

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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
Theo Nijman, Marno Verbeek and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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country risk, industry risk, momentum effect, portfolio selection

7.

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 790 (54,794)
Citation 6

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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
Ralph S. J. Koijen, Theo Nijman and Bas J. M. Werker
University of Chicago - Booth School of Business, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 676 (67,314)
Citation 10

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9.

Currency Hedging for International Stock Portfolios

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 - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 646 (71,349)

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

10.

Longevity Risk and Capital Markets: The 2008-2009 Update

Number of pages: 7 Posted: 19 Mar 2009
David P. Blake, Anja De Waegenaere, Richard D. MacMinn and Theo Nijman
City, University of London, Tilburg University - Department of Econometrics & OR, Netspar, and CentER, National Chengchi University and Tilburg University - Tilburg University School of Economics and Management
Downloads 517 (94,146)
Citation 7

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11.

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

Number of pages: 34 Posted: 01 Mar 2002
Theo Nijman, Arthur van Soest, Arthur van Soest and Laura Spierdijk
Tilburg University - Tilburg University School of Economics and Management, Tilburg UniversityNetspar and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 483 (102,239)
Citation 2

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

12.

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

Downloads 452 (110,583)
Citation 7

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

Number of pages: 47 Posted: 25 Nov 2014 Last Revised: 01 Dec 2017
Servaas van Bilsen, Roger J. A. Laeven and Theo Nijman
University of Amsterdam - Department of Quantitative Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Tilburg University School of Economics and Management
Downloads 246 (212,077)
Citation 2

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Loss Aversion, Endogenous Reference Level, Prospect Theory, Optimal Consumption Choice, Optimal Portfolio Choice

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

Netspar Discussion Paper No. 11/2014-048
Number of pages: 47 Posted: 19 Dec 2014 Last Revised: 01 Dec 2017
Servaas van Bilsen, Roger J. A. Laeven and Theo Nijman
University of Amsterdam - Department of Quantitative Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Tilburg University School of Economics and Management
Downloads 206 (251,214)
Citation 4

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Loss Aversion; Endogenous Reference Level; Prospect Theory; Optimal Consumption Choice; Optimal Portfolio Choice

13.

The Annuity Puzzle Remains a Puzzle

Downloads 383 (133,959)
Citation 21

The Annuity Puzzle Remains a Puzzle

Number of pages: 32 Posted: 19 Feb 2009 Last Revised: 09 Mar 2016
Kim Peijnenburg, Theo Nijman and Bas J. M. Werker
Netspar, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 221 (235,301)
Citation 2

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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
Kim Peijnenburg, Theo Nijman and Bas J. M. Werker
Netspar, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 162 (311,118)
Citation 22

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

14.

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
Laura Spierdijk, Theo Nijman, Arthur van Soest and Arthur van Soest
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, Tilburg University - Tilburg University School of Economics and Management and Tilburg UniversityNetspar
Downloads 367 (140,413)
Citation 1

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

15.

Price Dynamics and Trading Volume: A Semiparametric Approach

Number of pages: 49 Posted: 04 Mar 2004
Laura Spierdijk, Theo Nijman, Arthur van Soest and Arthur van Soest
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, Tilburg University - Tilburg University School of Economics and Management and Tilburg UniversityNetspar
Downloads 361 (142,997)
Citation 2

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

16.

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

Downloads 328 (158,556)
Citation 6

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 188 (273,187)
Citation 7

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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 140 (351,259)

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Liquidity premium, liquidity risk, TIPS, inflation swaps

17.

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 244 (214,576)
Citation 1

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18.

Health Cost Risk: A Potential Solution to the Annuity Puzzle

Forthcoming The Economic Journal
Number of pages: 41 Posted: 19 Feb 2010 Last Revised: 21 Feb 2019
Kim Peijnenburg, Theo Nijman and Bas J. M. Werker
Netspar, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 207 (250,737)
Citation 7

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

19.

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

Downloads 156 (321,080)

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
Niku Määttänen, Andres Vork, Magnus Piirits, Robert I. Gal, Elena Jarocinska, Anna Ruzik and Theo Nijman
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), EBS Universität für Wirtschaft und Recht, CASE - Center for Social and Economic Research and Tilburg University - Tilburg University School of Economics and Management
Downloads 95 (468,046)

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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
Elena Jarocinska, Anna Ruzik, Theo Nijman, Andres Võrk, Niku Määttänen and Robert Gál
EBS Universität für Wirtschaft und Recht, CASE - Center for Social and Economic Research, Tilburg University - Tilburg University School of Economics and Management, 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 61 (607,514)

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pension benefits, life expectancy, retirement age, policy reforms

20.

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
Laura Spierdijk, Theo Nijman, Arthur van Soest and Arthur van Soest
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, Tilburg University - Tilburg University School of Economics and Management and Tilburg UniversityNetspar
Downloads 150 (331,655)
Citation 2

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

21.

A Simple Approach to Estimate Long-Term Interest Rates

SAFE Working Paper No. 238, Journal of Pension Economics and Finance (JPEF), forthcoming
Number of pages: 45 Posted: 11 Dec 2018 Last Revised: 08 Nov 2022
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 146 (339,020)
Citation 3

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

22.

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
Theo Nijman, Niku Määttänen, Andres Vork, Magnus Piirits and Robert I. Gal
Tilburg University - Tilburg University School of Economics and Management, 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 133 (364,579)
Citation 1

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23.

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 - Tilburg University School of Economics and Management
Downloads 114 (408,865)
Citation 1

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24.

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

Downloads 106 (430,880)
Citation 4

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 - Tilburg University School of Economics and Management
Downloads 106 (433,479)
Citation 6

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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 - Tilburg University School of Economics and Management
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decumulation phase, defined benefit, defined contribution, longevity insurance, private pensions, risk management, risk sharing, variable annuities

25.

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

Downloads 50 (655,680)
Citation 4

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
Lisanne Sanders, Lisanne Sanders, Anja De Waegenaere and Theo Nijman
Tilburg University - CentER for Economic ResearchNetspar, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Tilburg University School of Economics and Management
Downloads 50 (669,384)
Citation 4

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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
Lisanne Sanders, Lisanne Sanders, Anja De Waegenaere and Theo Nijman
Tilburg University - CentER for Economic ResearchNetspar, Tilburg University - Department of Econometrics & OR, Netspar, and CentER and Tilburg University - Tilburg University School of Economics and Management

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26.

Optimal Savings and Portfolio Choice with Risky Labor Income and Reference-Dependent Preferences 

Number of pages: 59 Posted: 24 Oct 2022 Last Revised: 11 Nov 2022
Servaas van Bilsen, Roger J. A. Laeven and Theo Nijman
University of Amsterdam - Department of Quantitative Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Tilburg University School of Economics and Management
Downloads 45 (685,404)

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Risk, Investment, Portfolio

27.

Welfare Analysis of Housing in the Presence of Interest Rate Risk

Number of pages: 37 Posted: 14 Sep 2023
Servaas van Bilsen, Theo Nijman and Emily van Erk
University of Amsterdam - Department of Quantitative Economics, Tilburg University - Tilburg University School of Economics and Management and affiliation not provided to SSRN
Downloads 26 (824,564)

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Life-cycle investment, Mortgages, Interest rate risk management

28.

The Money's Worth Ratio Evaluation of Variable Annuities with Guaranteed Minimum Accumulation Benefits

Number of pages: 43 Posted: 28 Nov 2023
Jun-Hee An, Theo Nijman and Anja De Waegenaere
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Department of Econometrics & OR, Netspar, and CentER
Downloads 6

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Variable Annuity, GMAB Option, Money's Worth Ratio

29.

The Effect of Pension Tax Treatment on Optimal Consumption and Investment Decisions Over the Life-cycle

Number of pages: 56
Jun-Hee An, Theo Nijman and Anja De Waegenaere
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Department of Econometrics & OR, Netspar, and CentER
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Pension tax treatments, Annuitization, Life-cycle decisions

30.

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

Published in Mitchell, O. and R. Shea (Eds.) (2016). Reimagining Pensions: The Next 40 Years. Oxford, UK: Oxford University Press. , Pension Research Council WP 2014-15
Posted: 14 Nov 2014 Last Revised: 03 Apr 2020
A. Lans Bovenberg, Roel Mehlkopf and Theo Nijman
Tilburg University - Center for Economic Research (CentER), Tilburg University and Tilburg University - Tilburg University School of Economics and Management

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

31.

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 - Tilburg University School of Economics and Management

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mutual funds, performance evaluation, look-ahead bias