Joren Koëter

Rotterdam School of Management, Erasmus University

RSM Erasmus University

PO Box 1738

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

4

DOWNLOADS

1,310

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

The Size Premium in a Granular Economy

Number of pages: 59 Posted: 08 Nov 2023 Last Revised: 21 Nov 2023
Logan P. Emery and Joren Koëter
Rotterdam School of Management, Erasmus University and Rotterdam School of Management, Erasmus University
Downloads 561 (91,136)

Abstract:

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Granularity, Size Premium, Concentration, Asset Pricing

2.

Horizon Effects in the Pricing Kernel: How Investors Price Short-term versus Long-term Risks

Number of pages: 60 Posted: 17 Oct 2019 Last Revised: 30 Nov 2022
Joost Driessen, Joren Koëter and Ole Wilms
Tilburg University - Tilburg University School of Economics and Management, Rotterdam School of Management, Erasmus University and University of Hamburg
Downloads 388 (141,352)
Citation 1

Abstract:

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asset pricing, pricing kernel, stochastic discount factor, pricing kernel puzzle, options

3.

Variance Discount Rates: What Drives Preferences Regarding Variance Risk?

Number of pages: 80 Posted: 22 Jan 2021 Last Revised: 13 Oct 2023
Joren Koëter
Rotterdam School of Management, Erasmus University
Downloads 188 (293,598)

Abstract:

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Asset pricing, derivatives, variance pricing, variance discount rates

4.

Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets

Number of pages: 81 Posted: 28 Nov 2020 Last Revised: 13 Dec 2022
Joost Driessen, Sebastian Ebert and Joren Koëter
Tilburg University - Tilburg University School of Economics and Management, and Rotterdam School of Management, Erasmus University
Downloads 173 (315,972)

Abstract:

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asset pricing, behavioral finance, probability weighting, option markets