Marno Verbeek

Erasmus University - Rotterdam School of Management

Professor of Finance

P.O. Box 1738

Room T09-53

3000 DR Rotterdam

Netherlands

http://www.rsm.nl/mverbeek

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

Netspar

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

49

DOWNLOADS
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22,334

CITATIONS
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Top 1,911

in Total Papers Citations

294

Scholarly Papers (49)

1.
Downloads 2,124 ( 5,093)
Citation 1

Short-Term Residual Reversal

Number of pages: 50 Posted: 18 Aug 2011 Last Revised: 01 Nov 2012
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 2,124 (4,988)
Citation 1

Abstract:

short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

Short-Term Residual Reversal

Journal of Financial Markets, Forthcoming
Posted: 26 Oct 2012
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management

Abstract:

short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

2.

Pseudo Panels and Repeated Cross-Sections

Number of pages: 19 Posted: 14 Dec 2005 Last Revised: 12 Nov 2007
Marno Verbeek
Erasmus University - Rotterdam School of Management
Downloads 1,221 (11,115)
Citation 10

Abstract:

repeated cross-sections, pseudo panel data, cohort data

3.

A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money

EFA 2006 Zurich Meetings
Number of pages: 65 Posted: 24 Mar 2008
Guillermo Baquero and Marno Verbeek
ESMT European School of Management and Technology and Erasmus University - Rotterdam School of Management
Downloads 1,182 (13,442)
Citation 18

Abstract:

hedge funds, flow-performance relation, performance persistence, liquidity restrictions, fund monitoring, searching costs, smart money

On the Use of Multifactor Models to Evaluate Mutual Fund Performance

EFA 2006 Meetings Paper, ERIM Research Paper Series
Number of pages: 47 Posted: 06 Jun 2006 Last Revised: 04 Feb 2008
Marno Verbeek and Joop Huij
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management
Downloads 1,130 (14,112)
Citation 7

Abstract:

mutual fund performance, model misspecification, value premium, momentum premium

On the Use of Multifactor Models to Evaluate Mutual Fund Performance

Financial Management, Spring 2009
Posted: 23 Nov 2007 Last Revised: 06 May 2009
Joop Huij and Marno Verbeek
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management

Abstract:

mutual fund performance, model misspecification, value premium, momentum premium

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 1,020 (16,506)
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

6.

Better than the Original? The Relative Success of Copycat Funds

Number of pages: 49 Posted: 10 Mar 2010 Last Revised: 03 Nov 2010
Marno Verbeek and Yu Wang
Erasmus University - Rotterdam School of Management and IMC Financial Markets & Asset Management
Downloads 1,017 (14,612)
Citation 6

Abstract:

Mutual Funds, Portfolio Disclosure, Copycat Funds, Relative Performance, SEC

7.

Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance

ERIM Report Series Reference No. ERS-2002-104-F&A, EFA 2003 Annual Conference Paper No. 567
Number of pages: 51 Posted: 18 Jan 2003
Guillermo Baquero, Jenke ter Horst and Marno Verbeek
ESMT European School of Management and Technology, TIAS School for Business and Society and Erasmus University - Rotterdam School of Management
Downloads 969 (18,228)
Citation 56

Abstract:

hedge funds, survival, look-ahead bias, performance persistence

8.

Market Timing: A Decomposition of Mutual Fund Returns

ERIM Report Series Reference No. ERS-2003-074-F&A
Number of pages: 43 Posted: 06 Nov 2003
Erasmus University Rotterdam (EUR), Erasmus University - Rotterdam School of Management and APG Asset Management, GTAA Fund
Downloads 943 (18,332)
Citation 1

Abstract:

market timing, mutual funds, performance evaluation, pensioenfondsen

9.
Downloads 842 ( 22,413)
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
Theo Nijman, Marno Verbeek and Laurens Swinkels
Tilburg University - Center and Faculty of Economics and Business Administration, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 842 (22,044)
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
Theo Nijman, Marno Verbeek and Laurens Swinkels
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

10.
Downloads 830 ( 22,922)
Citation 15

Selecting Copulas for Risk Management

Number of pages: 28 Posted: 07 Mar 2005
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 801 (23,755)
Citation 15

Abstract:

Financial dependence, copulas, distributional tests, tail dependence

Selecting Copulas for Risk Management

CEPR Discussion Paper No. 5652
Number of pages: 24 Posted: 27 Jul 2006
Kees C. G. Koedijk, Marno Verbeek and Erik Kole
Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 29 (415,129)
Citation 15
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Abstract:

Financial dependence, risk management, copulas, distributional tests, tail dependence

Selecting Copulas for Risk Management

Journal of Banking and Finance, Forthcoming
Posted: 22 Jun 2007
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance

Abstract:

Financial dependence, Risk management, Copulas, Distributional tests, Tail dependence

11.

Survival, Look-Ahead Bias and the Performance of Hedge Funds

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 27 Posted: 21 Mar 2002
Guillermo Baquero, Jenke ter Horst and Marno Verbeek
ESMT European School of Management and Technology, TIAS School for Business and Society and Erasmus University - Rotterdam School of Management
Downloads 764 (25,202)
Citation 11

Abstract:

hedge funds, survival, look-ahead bias, performance measurement

12.

Do Banks Influence the Capital Structure Choices of Firms?

ERIM Report Series Reference No. ERS-2004-040-F&A
Number of pages: 39 Posted: 28 Mar 2006
Petra Danisevska, Abe de Jong and Marno Verbeek
Erasmus University Rotterdam (EUR) - Department of Financial Management, Rotterdam School of Management, Erasmus University and Erasmus University - Rotterdam School of Management
Downloads 689 (28,759)
Citation 1

Abstract:

capital structure, debt maturity, bank relationships, international economics, financial economics, source of debt

13.

Information Content When Mutual Funds Deviate from Benchmarks

AFA 2012 Chicago Meetings Paper
Number of pages: 33 Posted: 12 Mar 2011 Last Revised: 16 Sep 2013
Hao Jiang, Marno Verbeek and Yu Wang
Michigan State University, Erasmus University - Rotterdam School of Management and IMC Financial Markets & Asset Management
Downloads 673 (27,308)
Citation 4

Abstract:

Mutual Funds, Benchmarks, Private Information, Fund Performance

14.

The Impact of Financing Surpluses and Large Financing Deficits on Tests of the Pecking Order Theory

Financial Management, Forthcoming
Number of pages: 44 Posted: 30 Jan 2007 Last Revised: 11 Aug 2009
Abe de Jong, Marno Verbeek and Patrick Verwijmeren
Rotterdam School of Management, Erasmus University, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 604 (33,165)
Citation 6

Abstract:

Capital structure, pecking order theory, financing deficit

15.

Firms’ Debt-Equity Decisions When the Static Tradeoff Theory and the Pecking Order Theory Disagree

Number of pages: 47 Posted: 07 Aug 2009
Abe de Jong, Marno Verbeek and Patrick Verwijmeren
Rotterdam School of Management, Erasmus University, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 575 (33,467)
Citation 2

Abstract:

Capital structure, pecking order theory, static tradeoff theory, debt capacity

Real Estate in an ALM Framework - The Case of Fair Value Accounting

Real Estate Economics, Vol. 38, No. 6, 2010
Number of pages: 33 Posted: 24 Oct 2007 Last Revised: 19 Aug 2010
Dirk Brounen, Melissa Porras Prado and Marno Verbeek
Erasmus University Rotterdam (EUR) - Department of Financial Management, Nova School of Business and Economics and Erasmus University - Rotterdam School of Management
Downloads 566 (38,276)

Abstract:

Real Estate, Asset Liability Management, Liability Hedge Credit

Real Estate in an Alm Framework: The Case of Fair Value Accounting

Real Estate Economics, Vol. 38, No. 4, pp. 775-804, 2010
Number of pages: 30 Posted: 03 Jan 2011
Dirk Brounen, Melissa Porras Prado and Marno Verbeek
Erasmus University Rotterdam (EUR) - Department of Financial Management, Nova School of Business and Economics and Erasmus University - Rotterdam School of Management
Downloads 1 (579,109)
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Abstract:

17.

Spillover Effects of Marketing in Mutual Fund Families

ERIM Report Series, EFA 2007 Ljubljana Meetings Paper
Number of pages: 44 Posted: 25 Jan 2007 Last Revised: 08 Jun 2010
Marno Verbeek and Joop Huij
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management
Downloads 564 (36,771)
Citation 3

Abstract:

Mutual fund flows, marketing, cross-subsidization, favoritism

18.

Do Sophisticated Investors Believe in the Law of Small Numbers?

AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 40 Posted: 05 Mar 2008
Guillermo Baquero and Marno Verbeek
ESMT European School of Management and Technology and Erasmus University - Rotterdam School of Management
Downloads 549 (40,407)
Citation 3

Abstract:

Law of small numbers, performance persistence, overreaction, hedge fund investors, hot-hand bias

19.

Evaluating Portfolio Value-at-Risk Using Semi-Parametric GARCH Models

ERIM Report Series Reference No. ERS-2004-107-F&A
Number of pages: 32 Posted: 20 Jan 2005
J. V. K. Rombouts and Marno Verbeek
HEC Montreal and Erasmus University - Rotterdam School of Management
Downloads 523 (41,691)
Citation 2

Abstract:

multivariate GARCH, semi-parametric estimation, value-at-risk, asset allocation

Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance

ERIM Research Paper Series
Number of pages: 40 Posted: 23 Jul 2004
Marno Verbeek and Joop Huij
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management
Downloads 450 (51,362)
Citation 19

Abstract:

Mutual funds, performance persistence, Bayesian analysis

Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance

Journal of Banking and Finance, Vol. 31, pp. 973-997, 2007
Posted: 19 Dec 2006
Marno Verbeek and Joop Huij
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management

Abstract:

Mutual funds, Performance persistence, Bayesian analysis

21.

A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money

ERIM Report Series Reference No. ERS-2005-068-F&A
Number of pages: 53 Posted: 21 Dec 2005
Guillermo Baquero and Marno Verbeek
ESMT European School of Management and Technology and Erasmus University - Rotterdam School of Management
Downloads 388 (53,373)
Citation 19

Abstract:

Flow-Performance Relation, Fund Monitoring, Hedge Funds, Liquidity Restrictions, Performance Persistence, Searching Costs, Smart Money

22.

Stress Testing with Student's T Dependence

ERIM Report Series Reference No. ERS-2003-056-F&A
Number of pages: 39 Posted: 26 Aug 2006
Erik Kole, Kees C. G. Koedijk and Marno Verbeek
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 387 (61,111)

Abstract:

stress testing, dependence, extreme values, copulas, tail dependence

23.
Downloads 302 ( 82,947)
Citation 6

Portfolio Implications of Systemic Crises

EFA 2005 Moscow Meetings Paper
Number of pages: 40 Posted: 07 Aug 2005
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 302 (82,449)
Citation 6

Abstract:

Asset allocation, systemic risk, international finance, emerging markets, regime switching

Portfolio Implications of Systemic Crises

Journal of Banking and Finance, Vol. 30, No. 8, pp. 2347-2369, August 2006
Posted: 31 Mar 2006
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance

Abstract:

Asset allocation, Systemic risk, International finance, Regime switching models

24.

Crowded Chickens Farm Fewer Eggs: Capacity Constraints in the Hedge Fund Industry Revisited

Number of pages: 38 Posted: 16 Feb 2009
Oliver Weidenmueller and Marno Verbeek
RSM Erasmus University and Erasmus University - Rotterdam School of Management
Downloads 300 (79,113)
Citation 1

Abstract:

Hedge funds, performance, alpha, flows, capacity constraints

25.

Do Sophisticated Investors Believe in the Law of Small Numbers?

ERIM Report Series Reference No. ERS-2006-033-F&A
Number of pages: 43 Posted: 23 Dec 2006
Guillermo Baquero and Marno Verbeek
ESMT European School of Management and Technology and Erasmus University - Rotterdam School of Management
Downloads 294 (85,541)
Citation 2

Abstract:

Performance Persistence, Overreaction, Hedge Fund Investors, Hot-Hand Bias, Law of Small Numbers

26.

Predictive Gains from Forecast Combinations Using Time Varying Model Weights

Number of pages: 41 Posted: 11 Sep 2007
Francesco Ravazzolo, Marno Verbeek and H. K. van Dijk
Free University of Bolzano, Erasmus University - Rotterdam School of Management and Tinbergen Institute
Downloads 258 (94,010)
Citation 4

Abstract:

Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging

27.

Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry

ERIM Report Series Reference No. ERS-2004-104-F&A
Number of pages: 32 Posted: 01 Dec 2004
Jenke ter Horst and Marno Verbeek
TIAS School for Business and Society and Erasmus University - Rotterdam School of Management
Downloads 255 (95,144)
Citation 2

Abstract:

Hedge funds, survival, self-selection, look-ahead bias, performance persistence

28.

Short-Put Exposures in Hedge Fund Returns: Are They Really There?

Number of pages: 28 Posted: 16 Feb 2009
Andre Lucas, Arjen Siegmann and Marno Verbeek
VU Amsterdam - School of Business and Economics, VU University Amsterdam and Erasmus University - Rotterdam School of Management
Downloads 248 (97,002)

Abstract:

hedge funds, nonlinear systematic risk factors, option factors, stability

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 (128,848)
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

30.

Front-Running of Mutual Fund Fire-Sales

Journal of Banking and Finance, Vol. 37, No. 12, 2013
Number of pages: 36 Posted: 04 Nov 2012 Last Revised: 01 May 2014
Teodor Dyakov and Marno Verbeek
VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University - Rotterdam School of Management
Downloads 176 (118,202)

Abstract:

mutual funds, front-running, fire-sales, disclosure

31.
Downloads 169 (148,534)
Citation 13

Estimating Dynamic Models from Repeated Cross-Sections

Number of pages: 39 Posted: 03 Sep 2004
Marno Verbeek and Francis Vella
Erasmus University - Rotterdam School of Management and Georgetown University
Downloads 169 (148,570)
Citation 13

Abstract:

Repeated cross-sections, pseudo panel, cohorts, IV

Estimating Dynamic Models from Repeated Cross-Sections

Journal of Econometrics, Vol. 127, No. 1, pp. 83-102, July 2005
Posted: 03 Jan 2006
Marno Verbeek and Francis Vella
Erasmus University - Rotterdam School of Management and Georgetown University

Abstract:

repeated cross-sections, pseudo panel data, cohort data, instrumental variables

32.

Going for Gold: An Analysis of Morningstar Analyst Ratings

Management Science, Forthcoming
Number of pages: 40 Posted: 04 Apr 2014 Last Revised: 02 Aug 2017
Will J. Armstrong, Egemen Genc and Marno Verbeek
Texas Tech University - Area of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 157 (73,610)

Abstract:

mutual funds, Morningstar, fund flows, fund performance, event-study

33.

The Dynamics of Average Mutual Fund Alphas

Number of pages: 31 Posted: 16 Dec 2009
Diana Budiono, Martin Martens and Marno Verbeek
Syntrus Achmea Asset Management, Erasmus University Rotterdam (EUR) and Erasmus University - Rotterdam School of Management
Downloads 138 (167,411)

Abstract:

mutual funds, risk-adjusted returns, dynamics of alphas

34.

Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time Varying Weights

Tinbergen Institute Discussion Paper 09-061/4
Number of pages: 28 Posted: 17 Jul 2009
Vrije Universiteit Amsterdam - Dept. of Econometrics, affiliation not provided to SSRN, Free University of Bolzano, Tinbergen Institute and Erasmus University - Rotterdam School of Management
Downloads 131 (179,347)
Citation 7

Abstract:

forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle

35.

Managerial Turnover and the Behavior of Mutual Fund Investors

Number of pages: 34 Posted: 26 Oct 2012
Joop Huij, Simon Lansdorp and Marno Verbeek
Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 109 (200,410)

Abstract:

mutual funds, performance-flow relation, managerial turnover

36.

The Effects of Systemic Crises When Investors Can Be Crisis Ignorant

ERIM Report Series Reference No. ERS-2004-027-F&A
Number of pages: 58 Posted: 26 Aug 2006
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 94 (227,466)

Abstract:

asset allocation, systemic risk, international finance, regime switching

37.

Onweerlegbaar Bewijs? Over het Belang en de Waarde van empirisch Onderzoek voor Financierings - en Beleggingsvraagstukken

ERIM Report Series Reference No. EIA-2002-009-F&A
Number of pages: 32 Posted: 06 Apr 2005
Marno Verbeek
Erasmus University - Rotterdam School of Management
Downloads 89 (227,466)
Citation 2

Abstract:

Data snooping, look-ahead bias, mutual funds, predictability, efficient market hypothesis

38.

The Convexity and Concavity of the Flow-Performance Relationship for Hedge Funds

Number of pages: 47 Posted: 05 Oct 2013
Guillermo Baquero and Marno Verbeek
ESMT European School of Management and Technology and Erasmus University - Rotterdam School of Management
Downloads 79 (175,217)

Abstract:

hedge funds, flow-performance relation, convexity, concavity, liquidity restrictions, managerial incentives

39.

Hedge Fund Flows and Performance Streaks: How Investors Weigh Information

ESMT Working Paper No. 15-01
Number of pages: 90 Posted: 25 Jan 2015 Last Revised: 04 Feb 2015
Guillermo Baquero and Marno Verbeek
ESMT European School of Management and Technology and Erasmus University - Rotterdam School of Management
Downloads 73 (78,306)

Abstract:

Hedge funds, money flows, extrapolative expectations, law of small numbers, performance streaks, relative weights, smart money

40.

Losing Money Through Trading

Number of pages: 56 Posted: 08 Nov 2015 Last Revised: 05 Mar 2017
Teodor Dyakov, Hao Jiang and Marno Verbeek
VU University Amsterdam - Faculty of Economics and Business Administration, Michigan State University and Erasmus University - Rotterdam School of Management
Downloads 0 (191,834)

Abstract:

mutual funds, trading performance, herding

41.

Fund Liquidation, Self-Selection, and Look-Ahead Bias in the Hedge Fund Industry

Review of Finance, Vol. 11, Issue 4, pp. 605-632, 2007
Posted: 14 Jul 2008
Jenke ter Horst and Marno Verbeek
affiliation not provided to SSRN and Erasmus University - Rotterdam School of Management

Abstract:

G11, G23, G14

42.

Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry

Review of Finance, Vol. 11, pp. 605-632, May 2007
Posted: 20 Mar 2008
Jenke ter Horst and Marno Verbeek
TIAS School for Business and Society and Erasmus University - Rotterdam School of Management

Abstract:

hedge funds, performance persistence, look-ahead bias, fund survival

43.

Two-step Estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias

Journal of Econometrics, Vol. 90, pp. 239-263, June 1999
Posted: 04 Jan 2006
Francis Vella and Marno Verbeek
Georgetown University and Erasmus University - Rotterdam School of Management

Abstract:

Two-step estimation; panel data, endogenous regressors, sample selection, conditional maximum likelihood

44.

Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance

Journal of Financial and Quantitative Analysis, Vol. 40, pp. 493-518, September 2005
Posted: 04 Jan 2006
Guillermo Baquero, Marno Verbeek and Jenke ter Horst
ESMT European School of Management and Technology, Erasmus University - Rotterdam School of Management and TIAS School for Business and Society

Abstract:

hedge funds, look-ahead bias, performance, persistence

45.

Estimating the Returns to Education for Australian Youth Via Rank-order Instrumental Variables

Labour Economics, Vol. 6, pp. 491-507, 1999
Posted: 04 Jan 2006
Sarah Rummery, Marno Verbeek and Francis Vella
Stephen F. Austin State University - Department of Economics and Finance, Erasmus University - Rotterdam School of Management and Georgetown University

Abstract:

instrumental variables, returns to schooling, education

46.

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

47.

Estimating and Interpreting Models with Endogenous Treatment Effects

Journal of Business and Economic Statistics, Vol. 17, pp. 473-478, 1999
Posted: 04 Jan 2006
Francis Vella and Marno Verbeek
Georgetown University and Erasmus University - Rotterdam School of Management

Abstract:

treatment effects, control function, instrumental variables

48.

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

49.

Estimating Short-run Persistence in Mutual Fund Performance

Review of Economics and Statistics, Vol. 82, pp. 646-655, November 2000
Posted: 04 Jan 2006
Jenke ter Horst and Marno Verbeek
TIAS School for Business and Society and Erasmus University - Rotterdam School of Management

Abstract:

performance persistence, small sample bias