Roy Kouwenberg

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

Mahidol University - College of Management

69 Vipawadee Rangsit Road

Bangkok , 10400

Thailand

http://https://www.cm.mahidol.ac.th/web/index.php/18-faculty/148-roy-kouwenberg-ph-d-cfa

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

  • Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

  • Mahidol University - College of Management

  • Erasmus University Rotterdam (EUR)

SCHOLARLY PAPERS

33

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14,997

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Top 2,635

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380

Scholarly Papers (33)

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1.

Optimal Portfolio Choice Under Loss Aversion

Downloads 1,991 (16,879)
Citation 60

Optimal Portfolio Choice Under Loss Aversion

Review of Economics and Statistics, Vol. 86, No. 4, 2004
Number of pages: 31 Posted: 29 Mar 2000 Last Revised: 15 May 2018
Arjan B. Berkelaar, Roy Kouwenberg, Roy Kouwenberg and Thierry Post
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Graduate School of Business of Nazarbayev University
Downloads 1,991 (16,562)
Citation 60

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Optimal Portfolio Choice Under Loss Aversion

Review of Economics and Statistics, Vol. 86, No. 4, pp. 973-987, November 2004
Posted: 21 Nov 2006
Arjan B. Berkelaar, Roy Kouwenberg, Roy Kouwenberg and Thierry Post
World Bank - Quantitative Strategies, Risk & Analytics Department, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Graduate School of Business of Nazarbayev University

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Optimal portfolio choice, Behavioral finance, Loss aversion

2.

Strategic Asset Allocation and Risk Budgeting for Insurers Under Solvency II

Number of pages: 46 Posted: 11 Jan 2017 Last Revised: 17 Jan 2017
Roy Kouwenberg and Roy Kouwenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 1,536 (25,248)
Citation 7

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asset allocation, life insurance, solvency ii, marginal risk, asset liability management

3.

The Effect of VAR Based Risk Management on Asset Prices and the Volatility Smile

Number of pages: 27 Posted: 15 Apr 2001
Arjan B. Berkelaar, Phomchanok Cumperayot, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department, Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 1,261 (33,751)

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asset pricing, general equilibrium, value-at-risk, risk management

4.

Dynamic Asset Allocation and Downside-Risk Aversion

Econometric Institute Report No. EI 2000-12/A
Number of pages: 29 Posted: 25 May 2000
Arjan B. Berkelaar, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 1,235 (34,781)
Citation 5

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5.

Chasing Trends in the U.S. Housing Market

Number of pages: 46 Posted: 20 Jan 2010 Last Revised: 02 Mar 2011
Roy Kouwenberg, Roy Kouwenberg and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1,034 (44,953)
Citation 9

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Housing market, behavioral finance, heterogeneous agents, bubbles

6.

Loss-Aversion and Household Portfolio Choice

Downloads 949 (50,685)
Citation 16

Loss-Aversion and Household Portfolio Choice

Number of pages: 53 Posted: 19 Mar 2008 Last Revised: 25 Nov 2009
Stephen G. Dimmock, Roy Kouwenberg and Roy Kouwenberg
National University of Singapore and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 949 (49,872)
Citation 16

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portfolio choice, loss-aversion, reference points, stock market participation, limited participation, prospect theory

Loss-Aversion and Household Portfolio Choice

Journal of Empirical Finance, Vol. 17, No. 3, pp. 441-459, 2010
Posted: 15 Apr 2011
Stephen G. Dimmock, Roy Kouwenberg and Roy Kouwenberg
National University of Singapore and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management

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Portfolio choice, Loss-aversion, Stock market participation, Limited participation, Prospect theory

7.

Incentives and Risk Taking in Hedge Funds

Downloads 913 (53,441)
Citation 24

Incentives and Risk Taking in Hedge Funds

Sauder School of Business Working Paper
Number of pages: 39 Posted: 10 Aug 2004
Roy Kouwenberg, Roy Kouwenberg and William T. Ziemba
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and University of British Columbia (UBC) - Sauder School of Business
Downloads 913 (52,629)
Citation 24

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Hedge funds, incentive fees, optimal portfolio choice

Incentives and Risk Taking in Hedge Funds

Journal of Banking and Finance, Vol. 31, No. 11, 2007
Posted: 16 Nov 2007
Roy Kouwenberg, Roy Kouwenberg and William T. Ziemba
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and University of British Columbia (UBC) - Sauder School of Business

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Hedge funds, Incentive fees, Optimal portfolio choice

8.

Does Voluntary Corporate Governance Code Adoption Increase Firm Value in Emerging Markets? Evidence from Thailand

Number of pages: 34 Posted: 22 Jan 2007
Roy Kouwenberg and Roy Kouwenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 588 (95,100)
Citation 12

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Corporate Governance, International Finance, Emerging Markets

9.

From Boom 'til Bust: How Loss Aversion Affects Asset Prices

Journal of Banking and Finance, Vol. 33, pp. 1005-1013, 2009
Number of pages: 32 Posted: 30 Jun 2000 Last Revised: 01 Apr 2009
Arjan B. Berkelaar, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 555 (102,289)
Citation 4

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Asset pricing, Equilibrium, Behavioral finance, Loss aversion

10.

Ambiguity Attitudes in a Large Representative Sample

Netspar Discussion Paper No. 06/2011-054
Number of pages: 67 Posted: 01 Jul 2011 Last Revised: 04 Feb 2015
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg and Peter P. Wakker
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 485 (120,548)
Citation 47

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Ambiguity aversion, Uncertainty, Portfolio choice, Knightian uncertainty, Non-Expected utility, Reference dependence, Stock market participation, Limited participation

11.

Childhood Roots of Financial Literacy

DIW Berlin Discussion Paper No. 1504
Number of pages: 44 Posted: 24 Sep 2015
Antonia Grohmann, Roy Kouwenberg, Roy Kouwenberg and Lukas Menkhoff
Aarhus University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Humboldt-Universität zu Berlin
Downloads 472 (124,560)
Citation 4

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Financial literacy, financial behavior, family background, education, numeracy

12.

Corporate Governance and Stock Returns in Asia

Number of pages: 36 Posted: 18 Apr 2012 Last Revised: 15 Nov 2012
Roy Kouwenberg, Roy Kouwenberg, Roelof Salomons and Pipat Thontirawong
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Groningen and Mahidol University - College of Management
Downloads 468 (125,808)
Citation 3

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corporate governance, stock market efficiency, emerging markets

13.

Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence

Downloads 461 (128,129)
Citation 123

Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence

Netspar Discussion Paper No. 09/2012-035 - revised version May 2015
Number of pages: 66 Posted: 16 Oct 2012 Last Revised: 05 Jan 2016
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 236 (262,298)
Citation 17

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ambiguity aversion, stock market participation, household portfolio puzzles, homebias, own-company stock puzzle, portfolio under-diversification, household finance

Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence

Pension Research Council WP 2012-20
Number of pages: 65 Posted: 11 Oct 2012 Last Revised: 18 Feb 2020
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 129 (449,058)
Citation 104

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ambiguity aversion, stock market participation, household portfolio puzzles, homebias, own-company stock puzzle, portfolio under-diversification, household finance

Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence

NBER Working Paper No. w18743
Number of pages: 59 Posted: 26 Jan 2013 Last Revised: 20 Mar 2022
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 96 (560,844)
Citation 2

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14.

Compulsive Gambling in the Financial Markets: Evidence from Two Investor Surveys

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 16 Aug 2017 Last Revised: 07 Dec 2019
Ruben Cox, Atcha Kamolsareeratana, Roy Kouwenberg and Roy Kouwenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Mahidol University, College of Management, Students and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 367 (166,592)

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Individual Investors, Trading Behavior, Gambling

15.

Model Uncertainty and Exchange Rate Forecasting

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 52 Posted: 09 Jul 2013 Last Revised: 01 Feb 2016
Roy Kouwenberg, Roy Kouwenberg, Agnieszka Markiewicz, Ralph Verhoeks and Remco C. J. Zwinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 366 (167,060)
Citation 2

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exchange rate forecasting, model uncertainty, model averaging

16.

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Downloads 350 (175,412)
Citation 12

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

Wharton Pension Research Council Working Paper No. 2018-09
Number of pages: 60 Posted: 20 Aug 2018 Last Revised: 02 Sep 2020
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 291 (212,081)
Citation 1

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household finance, behavioral economics, probability weighting, rank dependent utility, cumulative prospect theory, salience theory, portfolio underdiversification, household portfolio puzzles

Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

NBER Working Paper No. w24928
Number of pages: 53 Posted: 22 Aug 2018 Last Revised: 11 Feb 2023
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 56 (758,218)
Citation 10

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Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field

CEPR Discussion Paper No. DP13109
Number of pages: 55 Posted: 21 Aug 2018
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 3 (1,300,164)
Citation 1
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cumulative prospect theory, household finance, household portfolio puzzles, portfolio underdiversification, probability weighting, rank dependent utility, Stock Market Participation

17.

Do Firms Decouple Corporate Governance Policy and Practice?

Number of pages: 40 Posted: 16 Jan 2008 Last Revised: 27 Jun 2010
Nasha Ananchotikul, Roy Kouwenberg, Roy Kouwenberg, Visit Phunnarungsi and Visit Phunnarungsi
University of California, Berkeley, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Mahidol University - College of ManagementMahidol University - College of Management
Downloads 249 (250,335)
Citation 1

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Corporate governance, violations, fraud, cheap talk, Thailand

18.

Investing in a Real World with Mean-Reverting Inflation

Econometric Institute Report No. EI-9960/A
Number of pages: 33 Posted: 26 Apr 2000
Arjan B. Berkelaar, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 214 (289,649)
Citation 1

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19.

Financial Literacy: Thai Middle Class Women Do Not Lag Behind

DIW Berlin Discussion Paper No. 1615
Number of pages: 53 Posted: 11 Nov 2016
Antonia Grohmann, Olaf Hübler, Roy Kouwenberg, Roy Kouwenberg and Lukas Menkhoff
Aarhus University, University of Hannover, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Humboldt-Universität zu Berlin
Downloads 207 (298,809)
Citation 8

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financial literacy, financial behavior, gender gap, individual characteristics, societal norms, Thailand

20.

Early Warning Systems for Currency Crises: A Multivariate Extreme Value Approach

Number of pages: 56 Posted: 14 Feb 2011 Last Revised: 17 Aug 2012
Phomchanok Cumperayot, Roy Kouwenberg and Roy Kouwenberg
Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 197 (312,822)
Citation 4

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Currency crises, Crisis prediction, Extreme value theory, Emerging markets

21.

Inverse S-Shaped Probability Weighting and Its Impact on Investment

Number of pages: 43 Posted: 10 Nov 2017
Xue Dong He, Roy Kouwenberg, Roy Kouwenberg and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 196 (314,312)
Citation 2

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Rank-Dependent Utility; Portfolio Selection; Probability Weighting; Inverse S-shaped Weighting Function; Optimal Stock Holding

22.

Currency Wars: Who Gains from the Battle?

Number of pages: 44 Posted: 12 Jan 2016
Phomchanok Cumperayot, Roy Kouwenberg and Roy Kouwenberg
Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management
Downloads 191 (321,808)

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Real exchange rate misalignment, Growth, Undervaluation

23.

Online Appendix for 'Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence'

Journal of Financial Economics, 2016, 119(3), 559-577
Number of pages: 13 Posted: 25 May 2017 Last Revised: 12 Oct 2017
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 172 (353,556)
Citation 1

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24.

Rank-Dependent Utility and Risk Taking in Complete Markets

Number of pages: 40 Posted: 27 Jan 2015 Last Revised: 25 Jun 2016
Xue Dong He, Roy Kouwenberg, Roy Kouwenberg and Xun Yu Zhou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 169 (358,993)
Citation 7

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rank-dependent utility; portfolio selection; risk aversion; complete markets; less risky terminal wealth; optimal stock holding

25.

Ambiguity Attitudes for Real-World Sources: Field Evidence from a Large Sample of Investors

Downloads 140 (419,532)

Ambiguity Attitudes for Real-World Sources: Field Evidence from a Large Sample of Investors

Wharton Pension Research Council Working Paper No. 2019-02
Number of pages: 40 Posted: 06 Mar 2019 Last Revised: 08 Feb 2024
Kanin Anantanasuwong, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
Mahidol University, College of Management, Students, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 95 (564,748)

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ambiguity, decision-making under uncertainty, investment, preferences, financial literacy

Ambiguity Attitudes About Investments: Evidence from the Field

NBER Working Paper No. w25561
Number of pages: 64 Posted: 19 Feb 2019 Last Revised: 06 May 2023
Kanin Anantanasuwong, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
Mahidol University, College of Management, Students, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 43 (852,192)

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Ambiguity Attitudes About Investments: Evidence from the Field

CEPR Discussion Paper No. DP13518
Number of pages: 47 Posted: 19 Feb 2019 Last Revised: 06 Mar 2019
Kanin Anantanasuwong, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
Mahidol University, College of Management, Students, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 2 (1,309,816)
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Ambiguity, decision-making under uncertainty, financial literacy, investment, preferences

26.

Estimating Ambiguity Preferences and Perceptions in Multiple Prior Models: Evidence from the Field

Journal of Risk and Uncertainty, vol. 51(3), December 2015
Number of pages: 43 Posted: 05 Jun 2015 Last Revised: 04 Jan 2016
Stephen G. Dimmock, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
National University of Singapore, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 136 (429,205)
Citation 28

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ambiguity, decision-making under uncertainty, multiple prior models, alpha-maxmin model

27.

Online Appendix for Ambiguity Attitudes for Real-World Sources: Field Evidence from a Large Sample of Investors

Number of pages: 46 Posted: 06 Mar 2019 Last Revised: 09 Feb 2024
Kanin Anantanasuwong, Roy Kouwenberg, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg
Mahidol University, College of Management, Students, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, and Tilburg University
Downloads 95 (559,005)

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Ambiguity, decision-making under uncertainty, investments, preferences, financial literacy

28.

A Liability-Relative Drawdown Approach to Pension Asset Liability Management

Journal of Asset Management, Vol. 11, pp. 194-217, 2010
Posted: 13 Apr 2011
Arjan B. Berkelaar, Roy Kouwenberg and Roy Kouwenberg
World Bank - Quantitative Strategies, Risk & Analytics Department and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management

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Asset liability management, Optimal portfolio choice, Downside risk

29.

Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds

Journal of Asset Management, Vol. 3, No. 4, pp. 361-382, March 2003
Posted: 21 Nov 2006
Roy Kouwenberg and Roy Kouwenberg
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management

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Hedge funds, Survival, Performance persistence, Alpha

30.

Linkages between Extreme Stock Market and Currency Returns

Journal of International Money and Finance, Vol. 25, pp. 528-550, 2006
Posted: 21 Nov 2006
Phornchanok Cumperayot, Tjeert Keijzer, Tjeert Keijzer, Roy Kouwenberg and Roy Kouwenberg
Chulalongkorn University, Faculty of Economics, IndependentLazard Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management

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Currency market, Stock market, Extreme events, Spillover

31.

Hedging Options Under Transaction Costs and Stochastic Volatility

Posted: 23 May 2003
Roy Kouwenberg, Roy Kouwenberg, Jacek Gondzio and Ton Vorst
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management, University of Edinburgh - School of Mathematics and VU University Amsterdam - Department of Finance and Financial Sector Management

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Option hedging, Stochastic Volatility, Stochastic Programming, Computational Finance

32.

Retirement Saving with Contribution Payments and Labor Income as a Benchmark for Investments

Posted: 05 May 2003
Roy Kouwenberg, Roy Kouwenberg and Arjan B. Berkelaar
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and World Bank - Quantitative Strategies, Risk & Analytics Department

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Retirement Saving, Optimal Asset Allocation, Discrete-Time Finance, Dynamic Programming

33.

Options and Earnings Announcements: An Empirical Study of Volatility, Trading Volume, Open Interest and Liquidity

Posted: 17 Jun 2000
Monique W.M. Donders, Roy Kouwenberg, Roy Kouwenberg and Ton Vorst
MeesPierson Investment Bank, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Mahidol University - College of Management and VU University Amsterdam - Department of Finance and Financial Sector Management

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Earnings Announcements, Volatility, Volume, Spreads, Open Interest