Wessel Marquering

Erasmus University Rotterdam (EUR) - Department of Financial Management

P.O. Box 1738

F4-26

Rotterdam 3000 DR

Netherlands

SCHOLARLY PAPERS

14

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CITATIONS
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119

Scholarly Papers (14)

1.
Downloads 1,292 ( 11,503)
Citation 23

Is it the Weather?

Number of pages: 29 Posted: 30 Sep 2008 Last Revised: 20 Oct 2008
Ben Jacobsen and Wessel Marquering
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 823 (22,474)
Citation 23

Abstract:

Stock market seasonality, Sell in May, Seasonal Affective Disorder, temperature, spurious correlations

'Is it the Weather?'

ERIM Report Series Reference No. ERS-2004-100-F&A
Number of pages: 32 Posted: 21 Sep 2005 Last Revised: 19 Dec 2009
Ben Jacobsen and Wessel Marquering
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 469 (48,062)
Citation 23

Abstract:

stock market seasonality, sell in May, seasonal affective disorder, temperature, spurious correlations

Is it the Weather?

Journal of Banking and Finance, Forthcoming
Posted: 25 Sep 2007
Ben Jacobsen and Wessel Marquering
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management

Abstract:

Stock market seasonality, Sell in May, Seasonal affective disorder, Temperature effect, Spurious correlations

The Economic Value of Predicting Stock Index Returns and Volatility

ERIM Report Series Reference No. ERS-2001-75-F&A
Number of pages: 50 Posted: 27 Oct 2000
Wessel Marquering and Marno Verbeek
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University - Rotterdam School of Management
Downloads 1,017 (16,318)
Citation 48

Abstract:

Predictability of stock returns and volatility, market timing, performance evaluation

The Economic Value of Predicting Stock Index Returns and Volatility

Journal of Financial and Quantitative Analysis, Vol. 39, pp. 407-429, June 2004
Posted: 04 Jan 2006
Wessel Marquering and Marno Verbeek
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University - Rotterdam School of Management

Abstract:

return forecasting, volatility, investing, asset allocation

Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate Garch Approach

ERIM Report Series No. ERS-2002-11-F&A, EFA 2002 Berlin Meetings Discussion Paper, EFMA 2002 London Meetings
Number of pages: 45 Posted: 16 Mar 2002
Wessel Marquering and Peter de Goeij
Erasmus University Rotterdam (EUR) - Department of Financial Management and CentER, Tilburg Law and Economics Center (TILEC), Tilburg University
Downloads 970 (17,573)
Citation 7

Abstract:

Multivariate GARCH, stock and bond market interaction, time-varying volatility, asymmetric effects, impact of news

Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach

Journal of Financial Econometrics, Vol. 2, No. 4, pp. 531-564, 2004
Posted: 29 Feb 2008
Wessel Marquering and Peter De Goeu
Erasmus University Rotterdam (EUR) - Department of Financial Management and Tilburg University

Abstract:

asymmetric effects, multivariate GARCH, volatility transmission

REIT Momentum and the Performance of Real Estate Mutual Funds

ERIM Report Series Reference
Number of pages: 34 Posted: 17 Jul 2008 Last Revised: 10 Jun 2009
Jeroen Derwall, Joop Huij, Dirk Brounen and Wessel Marquering
Maastricht University - European Centre for Corporate Engagement, Erasmus University - Rotterdam School of Management, Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 832 (22,097)
Citation 3

Abstract:

momentum, performance, mutual funds, REITs

REIT Momentum and the Performance of Real Estate Mutual Funds

Financial Analysts Journal, Vol. 65, No. 5, 2009
Posted: 08 Oct 2009
Jeroen Derwall, Joop Huij, Dirk Brounen and Wessel Marquering
Maastricht University - European Centre for Corporate Engagement, Erasmus University - Rotterdam School of Management, Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Department of Financial Management

Abstract:

Alternative Investments, Real Estate, Equity Investments, Fundamental Analysis and Valuation Models, Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Equity Strategies

Do Macroeconomic Announcements Cause Asymmetric Volatility?

EFMA 2004 Basel Meetings Paper
Number of pages: 40 Posted: 30 Apr 2004
Peter de Goeij and Wessel Marquering
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 634 (32,390)
Citation 1

Abstract:

Multivariate GARCH, Stock and Bond Market, Time-Varying Volatility, Asymmetry, Macroeconomic Announcements

Do Macroeconomic Announcements Cause Asymmetric Volatility?

CentER Discussion Paper No. 2003-131
Number of pages: 41 Posted: 21 Jun 2004
Peter de Goeij and Wessel Marquering
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 115 (201,262)
Citation 1

Abstract:

Multivariate GARCH, stock and bond market, time-varying volatility, asymmetric, macroeconomic announcements

6.

Are Men More Optimistic?

Number of pages: 54 Posted: 16 Nov 2007 Last Revised: 21 Jan 2009
Ben Jacobsen, John B. Lee and Wessel Marquering
Tilburg University - TIAS School for Business and Society, University of Auckland and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 456 (41,567)
Citation 2

Abstract:

Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion

7.

Do Macroeconomic Announcements Cause Asymetric Volatility?

ERIM Report Series Reference No. ERS-2002-103-F&A
Number of pages: 46 Posted: 18 Jan 2003
Peter de Goeij and Wessel Marquering
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 280 (86,982)
Citation 1

Abstract:

Multivariate GARCH, Stock and Bond Market, Time-Varying Covariances, Asymmetry, Announcement Effects

8.

The Daylight Saving Time Anomaly in Stock Returns: Fact or Fiction?

Number of pages: 32 Posted: 03 Aug 2006 Last Revised: 19 Jan 2009
Russell B. Gregory-Allen, Ben Jacobsen and Wessel Marquering
Massey University - Department of Commerce, Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 263 (92,710)
Citation 1

Abstract:

Daylight Saving Time, Mood, International Stock Market Returns

A Multivariate Nonparametric Test for Return and Volatility Timing

Number of pages: 14 Posted: 04 Oct 2004
Wessel Marquering and Marno Verbeek
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University - Rotterdam School of Management
Downloads 197 (127,089)
Citation 2

Abstract:

Nonparametric, Market Timing, Predictability of Stock Returns and Volatility, Realized Volatility

A Multivariate Nonparametric Test for Return and Volatility Timing

Finance Research Letters, Vol. 1, pp. 250-260, December 2004
Posted: 04 Jan 2006
Wessel Marquering and Marno Verbeek
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University - Rotterdam School of Management

Abstract:

market timing, predictability of stock returns and volatility, nonparametric test

10.

Modeling the Conditional Covariance between Stock and Bond Returns

ERIM Report Series Reference No. ERS-2002-11-F&A
Number of pages: 45 Posted: 26 Feb 2008
Peter de Goeij and Wessel Marquering
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 152 (157,011)
Citation 6

Abstract:

multivariate GARCH, stock and bond market interaction, time-varying volatility, asymmetric effects, impact of news

11.

Is it the Weather? Response

Number of pages: 17 Posted: 27 Jan 2009 Last Revised: 21 Feb 2009
Ben Jacobsen and Wessel Marquering
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 142 (158,787)
Citation 21

Abstract:

Stock market seasonality, Sell in May, Seasonal affective disorder

12.

Gender Differences in Optimism and Asset Allocation

Number of pages: 54 Posted: 16 Nov 2007
Ben Jacobsen, John B. Lee, Wessel Marquering and Cherry Yi Zhang
Tilburg University - TIAS School for Business and Society, University of Auckland, Erasmus University Rotterdam (EUR) - Department of Financial Management and Nottingham University Business School China
Downloads 5 (354,501)

Abstract:

Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion

13.

An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence

Journal of Empirical Finance, Vol. 6, pp. 243-265, September 1999
Posted: 04 Jan 2006
Wessel Marquering and Marno Verbeek
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University - Rotterdam School of Management

Abstract:

Intertemporal asset pricing, transaction costs, habit persistence, pricing errors

14.

The Friday Effect in European Securitized Real Estate Index Returns

Journal of Real Estate Finance and Economics, Vol. 33, No. 1, 2006
Posted: 14 Nov 2005
Wessel Marquering
Erasmus University Rotterdam (EUR) - Department of Financial Management

Abstract: