Arjen Siegmann

Vrije Universiteit Amsterdam, School of Business and Economics

Professor

De Boelelaan 1105

Amsterdam, NOT IN US OR CANADA 1081 HV

Netherlands

http://https://research.vu.nl/en/persons/arjen-siegmann

SCHOLARLY PAPERS

20

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6,210

SSRN CITATIONS
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SSRN RANKINGS

Top 31,087

in Total Papers Citations

11

CROSSREF CITATIONS

23

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
Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 1,216 (32,003)
Citation 14

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hedge funds, performance measurement, loss aversion, 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, Vrije Universiteit Amsterdam, School of Business and Economics and Department of Economics, Gothenburg University
Downloads 759 (60,883)

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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, Vrije Universiteit Amsterdam, School of Business and Economics and Department of Economics, Gothenburg University
Downloads 205 (269,632)

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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, Vrije Universiteit Amsterdam, School of Business and Economics and Department of Economics, Gothenburg University
Downloads 5 (1,123,025)
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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
Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 561 (90,738)
Citation 1

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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 Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 515 (100,967)
Citation 9

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Financial Stability, Financial Crises, Public Good, International Banking

5.

Hedge Fund Innovation

Number of pages: 48 Posted: 03 Nov 2012 Last Revised: 01 Aug 2022
Arjen Siegmann, Denitsa Stefanova and Marcin Zamojski
Vrije Universiteit Amsterdam, School of Business and Economics, Universite du Luxembourg and University of Gothenburg, Centre for Finance
Downloads 379 (144,544)
Citation 2

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hedge funds, first-mover advantage, innovation, clustering

6.

Analytic Decision Rules for Financial Stochastic Programs

Number of pages: 25 Posted: 13 May 2001
Arjen Siegmann and Andre Lucas
Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 329 (168,828)
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, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University - Rotterdam School of Management
Downloads 314 (177,310)
Citation 2

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

8.

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, Vrije Universiteit Amsterdam, School of Business and Economics and De Nederlandsche Bank - Econometrics
Downloads 275 (203,612)
Citation 7

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Actuarial pension model, Monte Carlo simulation, Historical simulation

9.

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

Number of pages: 21 Posted: 11 Sep 2009
Arjen Siegmann and Denitsa Stefanova
Vrije Universiteit Amsterdam, School of Business and Economics and Universite du Luxembourg
Downloads 264 (212,159)

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hedge funds, market neutrality, liquidity

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
Vrije Universiteit Amsterdam, School of Business and Economics and Universite du Luxembourg
Downloads 143 (369,526)

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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
Vrije Universiteit Amsterdam, School of Business and Economics and Universite du Luxembourg
Downloads 101 (482,317)

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

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 Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 236 (236,888)
Citation 3

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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 Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 217 (256,547)
Citation 2

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

13.

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
Bayes Business School (formerly Cass), Vrije Universiteit Amsterdam and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 152 (351,409)
Citation 2

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

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, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Economics
Downloads 141 (373,692)

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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, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Department of Economics
Downloads 3 (1,139,354)
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Hedonic market method, differences in differences, economics of terror, housing market

15.

Potential for Fiscal Policy Reforms in Post-War Ukraine

Number of pages: 47 Posted: 05 Apr 2023
Arjen Siegmann and Oksana Volkova
Vrije Universiteit Amsterdam, School of Business and Economics and Odessa National Economic University
Downloads 114 (438,785)

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fiscal policy, Ukraine, post-war reconstruction, taxation

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 Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 98 (488,735)
Citation 3

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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 and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 93 (505,598)
Citation 2

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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 Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 90 (516,166)
Citation 1

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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
Vrije Universiteit Amsterdam, School of Business and Economics

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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, Vrije Universiteit Amsterdam, School of Business and Economics 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