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

SCHOLARLY PAPERS

20

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CITATIONS
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Top 24,540

in Total Papers Citations

25

Scholarly Papers (20)

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 1,142 (17,604)
Citation 10

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hedge funds, performance measurement, loss aversion, behavioral finance

2.

Hedge Fund Payoffs and Loss Aversion

EFA 2003 Annual Conference Paper No. 116
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 499 (55,134)
Citation 1

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loss aversion, hedge funds, performance measurement, behavioral finance

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 386 (74,694)

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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 80 (306,236)

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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 (646,231)
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agency, broker incentives, Housing, real-estate brokers

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 428 (66,663)
Citation 5

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Financial Stability, Financial Crises, Public Good, International Banking

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 300 (99,596)

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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 (549,814)
Citation 1
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6.

Analytic Decision Rules for Financial Stochastic Programs

EFMA 2001 Lugano Meetings
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 288 (104,726)
Citation 1

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

7.

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 269 (112,569)
Citation 2

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

8.

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 238 (127,670)
Citation 2

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

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 237 (128,196)

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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 220 (137,919)
Citation 7

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Actuarial pension model, Monte Carlo simulation, Historical simulation

11.

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 175 (170,413)

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

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 109 (249,704)

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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 64 (347,782)

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

13.

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 169 (175,707)

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Bitcoin, business model, financial sustainability

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 106 (254,704)

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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 (666,280)
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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 105 (254,982)

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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 57 (363,688)

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

17.

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 52 (379,515)

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

18.

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 44 (407,031)

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

19.

Risk Taking Under Semivariance

Posted: 01 Nov 2009
Arjen Siegmann
VU University Amsterdam

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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

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