Arjen Siegmann

VU University Amsterdam

Associate Professor of Finance

De Boelelaan 1105

Dept. of Finance

Amsterdam, NOT IN US OR CANADA 1081 HV

Netherlands

http://personal.vu.nl/a.h.siegmann

  • VU University Amsterdam

    • Email
    • Tel: +31205986581
SCHOLARLY PAPERS

20

DOWNLOADS
Rank 10,004

SSRN RANKINGS

Top 10,004

in Total Papers Downloads

5,501

SSRN CITATIONS
Rank 25,270

SSRN RANKINGS

Top 25,270

in Total Papers Citations

7

CROSSREF CITATIONS

29

Scholarly Papers (20)

Actions:
Email selected abstracts
1.

Explaining Hedge Fund Investment Styles by Loss Aversion: A Rational Alternative

Number of pages: 25 Posted: 11 Mar 2002
Arjen Siegmann and Andre Lucas
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 1,158 (20,880)
Citation 13

Abstract:

Loading...

hedge funds, performance measurement, loss aversion, behavioral finance

2.

Real-Estate Agent Commission Structure and Sales Performance

Downloads 789 ( 36,149)

Real-Estate Agent Commission Structure and Sales Performance

TI 2017-049/VI, Tinbergen Institute Discussion Paper
Number of pages: 39 Posted: 01 Jun 2017
Pieter A. Gautier, Arjen Siegmann and Aico van Vuuren
Free University of Amsterdam, VU University Amsterdam and Department of Economics, Gothenburg University
Downloads 640 (47,351)

Abstract:

Loading...

real-estate brokers, broker incentives, housing, agency

Real-Estate Agent Commission Structure and Sales Performance

Number of pages: 37 Posted: 28 May 2017
Pieter A. Gautier, Arjen Siegmann and Aico van Vuuren
Free University of Amsterdam, VU University Amsterdam and Department of Economics, Gothenburg University
Downloads 145 (234,187)

Abstract:

Loading...

real-estate brokers, broker incentives, housing, agency

Real-Estate Agent Commission Structure and Sales Performance

CEPR Discussion Paper No. DP12587
Number of pages: 46 Posted: 16 Jan 2018
Pieter A. Gautier, Arjen Siegmann and Aico van Vuuren
Free University of Amsterdam, VU University Amsterdam and Department of Economics, Gothenburg University
Downloads 4 (746,558)
  • Add to Cart

Abstract:

Loading...

agency, broker incentives, Housing, real-estate brokers

3.

Hedge Fund Payoffs and Loss Aversion

Number of pages: 22 Posted: 03 Aug 2003
Arjen Siegmann and Andre Lucas
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 513 (63,537)
Citation 1

Abstract:

Loading...

loss aversion, hedge funds, performance measurement, behavioral finance

4.

Efficiency Gains of a European Banking Union

Duisenberg school of finance - Tinbergen Institute Discussion Paper TI 13-26/IV/DSF 51
Number of pages: 25 Posted: 13 Feb 2013
Dirk Schoenmaker and Arjen Siegmann
Rotterdam School of Management, Erasmus University and VU University Amsterdam
Downloads 457 (73,333)
Citation 8

Abstract:

Loading...

Financial Stability, Financial Crises, Public Good, International Banking

5.

The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds

Downloads 321 (110,164)
Citation 4

The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 33 Posted: 24 May 2007
Andre Lucas and Arjen Siegmann
Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 303 (116,586)

Abstract:

Loading...

hedge funds, portfolio optimization, downside risk, expected shortfall

The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds

Journal of Business Finance & Accounting, Vol. 35, Issue 1-2, pp. 200-226, January/March 2008
Number of pages: 27 Posted: 15 Feb 2008
Andre Lucas and Arjen Siegmann
Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 18 (636,111)
Citation 1
  • Add to Cart

Abstract:

Loading...

6.

Analytic Decision Rules for Financial Stochastic Programs

Number of pages: 25 Posted: 13 May 2001
Arjen Siegmann and Andre Lucas
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 292 (121,927)
Citation 1

Abstract:

Loading...

downside-risk, stochastic programming, asset allocation, value-at-risk, time diversification, asset/liability management.

7.

Hedge Fund Innovation

Number of pages: 65 Posted: 03 Nov 2012 Last Revised: 21 Dec 2018
Arjen Siegmann, Denitsa Stefanova and Marcin Zamojski
VU University Amsterdam, Luxembourg School of Finance and
Downloads 274 (130,395)
Citation 2

Abstract:

Loading...

hedge funds, innovation, followers, excess returns, institutional design, first-mover advantage

8.

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
Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam and Erasmus University - Rotterdam School of Management
Downloads 274 (130,395)
Citation 2

Abstract:

Loading...

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

9.

Limits to Arbitrage: Time-Varying Market Neutrality of Hedge Funds

Number of pages: 21 Posted: 11 Sep 2009
Arjen Siegmann and Denitsa Stefanova
VU University Amsterdam and Luxembourg School of Finance
Downloads 240 (148,966)

Abstract:

Loading...

hedge funds, market neutrality, liquidity

10.

Palmnet: A Pension Asset and Liability Model for the Netherlands

DNB Research Memorandum No. 760
Number of pages: 57 Posted: 24 Feb 2005
Maarten van Rooij, Arjen Siegmann and Peter J.G. Vlaar
De Nederlandsche Bank, VU University Amsterdam and De Nederlandsche Bank - Econometrics
Downloads 230 (155,143)
Citation 7

Abstract:

Loading...

Actuarial pension model, Monte Carlo simulation, Historical simulation

11.

From Chaining Blocks to Breaking Even: A Study on the Profitability of Bitcoin Mining from 2012 to 2016

Number of pages: 39 Posted: 28 Sep 2016 Last Revised: 10 May 2018
Jona Derks, Jaap Gordijn and Arjen Siegmann
VU University Amsterdam, VU University Amsterdam and VU University Amsterdam
Downloads 185 (189,947)
Citation 1

Abstract:

Loading...

Bitcoin, business model, financial sustainability

12.

Can European Bank Bailouts Work?

Journal of Banking & Finance, Volume 48 (2014), 334–349., 25th Australasian Finance and Banking Conference 2012
Number of pages: 41 Posted: 22 Aug 2012 Last Revised: 16 Jan 2016
Dirk Schoenmaker and Arjen Siegmann
Rotterdam School of Management, Erasmus University and VU University Amsterdam
Downloads 184 (190,880)
Citation 1

Abstract:

Loading...

Financial Stability, Public Good, International Monetary Arrangements, International banking

13.

The Evolving Beta-Liquidity Relationship of Hedge Funds

Downloads 182 (192,718)

The Evolving Beta-Liquidity Relationship of Hedge Funds

Number of pages: 39 Posted: 19 Mar 2012 Last Revised: 10 Apr 2017
Arjen Siegmann and Denitsa Stefanova
VU University Amsterdam and Luxembourg School of Finance
Downloads 113 (283,752)

Abstract:

Loading...

hedge funds, market timing, liquidity timing, changepoint regression, dynamic strategies

Market Liquidity and Exposure of Hedge Funds

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 33 Posted: 14 Oct 2011
Arjen Siegmann and Denitsa Stefanova
VU University Amsterdam and Luxembourg School of Finance
Downloads 69 (387,938)

Abstract:

Loading...

hedge funds, market liquidity, limits to arbitrage, liquidity timing, pairs trading

14.

The Effect of the Theo Van Gogh Murder on House Prices in Amsterdam

Downloads 114 (280,467)
Citation 1

The Effect of the Theo Van Gogh Murder on House Prices in Amsterdam

Tinbergen Institute Discussion Paper No. 07-013/3, IZA Discussion Paper No. 2579
Number of pages: 50 Posted: 02 Feb 2007
Pieter A. Gautier, Arjen Siegmann and Aico van Vuuren
Free University of Amsterdam, VU University Amsterdam and VU University Amsterdam - Department of Economics
Downloads 112 (285,601)

Abstract:

Loading...

Differences-in-differences, Terror, housing market

The Effect of the Theo Van Gogh Murder on House Prices in Amsterdam

CEPR Discussion Paper No.DP6175
Number of pages: 45 Posted: 20 May 2008
Pieter A. Gautier, Arjen Siegmann and Aico van Vuuren
Free University of Amsterdam, VU University Amsterdam and Erasmus University Rotterdam (EUR) - Department of Economics
Downloads 2 (766,563)
  • Add to Cart

Abstract:

Loading...

Hedonic market method, differences in differences, economics of terror, housing market

15.

Risk Aversion Under Preference Uncertainty

Finance Research Letters, Vol. 9, No. 1, 2012
Number of pages: 13 Posted: 14 Apr 2011 Last Revised: 20 Mar 2012
Roman Kräussl, Andre Lucas and Arjen Siegmann
Luxembourg School of Finance, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 108 (291,319)
Citation 1

Abstract:

Loading...

risk aversion, preference uncertainty, risk-taking, optimal asset allocation

16.

Intergenerational Risk Sharing under Loss Averse Preferences

Journal of Banking and Finance, Forthcoming
Number of pages: 31 Posted: 23 Mar 2014 Last Revised: 26 Sep 2016
Mark-Jan Boes and Arjen Siegmann
VU University Amsterdam and VU University Amsterdam
Downloads 64 (398,728)
Citation 1

Abstract:

Loading...

retirement saving, loss aversion, risk sharing, insurance, collective defined-contribution (CDC)

17.

House List Prices and Durations in Boom and Bust

Number of pages: 23 Posted: 07 Sep 2013
Marco Hoeberichts, Maarten van Rooij and Arjen Siegmann
De Nederlandsche Bank - Research Department, De Nederlandsche Bank and VU University Amsterdam
Downloads 59 (415,271)
Citation 1

Abstract:

Loading...

housing market, boom and bust periods, reference point, list prices

18.

Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads

Tinbergen Institute Discussion Paper 16-064/IV
Number of pages: 23 Posted: 29 Aug 2016
Rutger‐Jan Lange, Andre Lucas and Arjen Siegmann
Erasmus University Rotterdam (EUR), Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 57 (422,184)
Citation 2

Abstract:

Loading...

systemic risk, conditional default, credit default swaps, bond yields

19.

Risk Taking Under Semivariance

Posted: 01 Nov 2009
Arjen Siegmann
VU University Amsterdam

Abstract:

Loading...

semivariance, lower partial moment, downside deviation, decision making under risk, investment

20.

Market Valuation, Pension Fund Policy and Contribution Volatility

De Economist, Forthcoming
Posted: 11 Feb 2008
Maarten van Rooij, Arjen Siegmann and Peter J.G. Vlaar
De Nederlandsche Bank, VU University Amsterdam and De Nederlandsche Bank - Econometrics

Abstract:

Loading...

asset and liability management, fair value versus actuarial discounting, defined benefit pension funds, Monte Carlo simulation, pension liabilities, conidtional indexation