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

19

DOWNLOADS
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CITATIONS
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Top 16,311

in Total Papers Citations

21

Scholarly Papers (19)

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 VU University Amsterdam - Faculty of Economics and Business
Downloads 1,096 (13,757)
Citation 7

Abstract:

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 VU University Amsterdam - Faculty of Economics and Business
Downloads 475 (44,720)
Citation 2

Abstract:

loss aversion, hedge funds, performance measurement, behavioral finance

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
VU University Amsterdam - Faculty of Economics and Business and VU University Amsterdam
Downloads 293 (80,363)
Citation 2

Abstract:

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
VU University Amsterdam - Faculty of Economics and Business and VU University Amsterdam
Downloads 18 (451,544)
Citation 2

Abstract:

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 292 (62,522)

Abstract:

Financial Stability, Financial Crises, Public Good, International Banking

5.

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 VU University Amsterdam - Faculty of Economics and Business
Downloads 284 (82,755)
Citation 1

Abstract:

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

6.

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 University Amsterdam - Faculty of Economics and Business, VU University Amsterdam and Erasmus University - Rotterdam School of Management
Downloads 248 (92,156)

Abstract:

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

7.

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 221 (106,626)

Abstract:

hedge funds, market neutrality, liquidity

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, VU University Amsterdam and De Nederlandsche Bank - Econometrics
Downloads 200 (115,778)
Citation 3

Abstract:

Actuarial pension model, Monte Carlo simulation, Historical simulation

9.

Hedge Fund Innovation

Number of pages: 37 Posted: 03 Nov 2012 Last Revised: 26 Sep 2016
Arjen Siegmann, Denitsa Stefanova and Marcin Zamojski
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 170 (124,158)

Abstract:

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

The Evolving Beta-Liquidity Relationship of Hedge Funds

Number of pages: 40 Posted: 19 Mar 2012 Last Revised: 26 Sep 2016
Arjen Siegmann and Denitsa Stefanova
VU University Amsterdam and Luxembourg School of Finance
Downloads 96 (219,488)

Abstract:

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 60 (290,635)

Abstract:

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

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 146 (145,587)
Citation 1

Abstract:

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

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 95 (221,023)
Citation 5

Abstract:

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 (540,319)
Citation 5

Abstract:

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

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
Luxembourg School of Finance, VU University Amsterdam - Faculty of Economics and Business and VU University Amsterdam
Downloads 94 (213,512)

Abstract:

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

14.

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 22 (367,025)

Abstract:

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

15.

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 19 (391,416)

Abstract:

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

16.

From Chaining Blocks to Breaking Even

Number of pages: 25 Posted: 28 Sep 2016
Jona Derks, Jaap Gordijn and Arjen Siegmann
VU University Amsterdam, VU University Amsterdam and VU University Amsterdam
Downloads 0 (386,975)

Abstract:

Bitcoin, business model, financial sustainability

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), VU University Amsterdam - Faculty of Economics and Business and VU University Amsterdam
Downloads 0 (400,730)

Abstract:

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

18.

Risk Taking Under Semivariance

Posted: 01 Nov 2009
Arjen Siegmann
VU University Amsterdam

Abstract:

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

19.

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:

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