Laurens Swinkels

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

Robeco Asset Management

Quantitative Researcher

Rotterdam, 3000

Netherlands

  • Erasmus University Rotterdam (EUR)

  • Robeco Asset Management

    • Email
    • Tel: +31 10 224 2470
    • Fax: +31 10 224 2110
SCHOLARLY PAPERS

69

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91,771

SSRN CITATIONS
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Top 7,240

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176

CROSSREF CITATIONS

74

Scholarly Papers (69)

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1.

Global Factor Premiums

Journal of Financial Economics (JFE), Volume 142, Issue 3, December 2021, Pages 1128-1154
Number of pages: 69 Posted: 06 Feb 2019 Last Revised: 24 Nov 2021
Guido Baltussen, Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 15,772 (497)
Citation 35

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Factor premium, Multiple hypothesis testing, P-hacking, Return anomalies, Predictability, Stocks, Bonds, Currencies, Commodities, Value, Momentum, Trend, Carry, Betting-against-beta, Seasonality

2.

The Global Multi-Asset Market Portfolio 1959-2012

Financial Analysts Journal, Forthcoming
Number of pages: 32 Posted: 12 Nov 2013 Last Revised: 03 Dec 2014
Ronald Q. Doeswijk, Trevin Lam and Laurens Swinkels
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 8,558 (1,444)

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strategic asset allocation, optimal portfolio, global multi-asset market portfolio

3.

Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011

Number of pages: 22 Posted: 03 Nov 2012
Ronald Q. Doeswijk, Trevin Lam and Laurens Swinkels
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 7,361 (1,837)
Citation 3

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strategic asset allocation, optimal portfolio, global multi-asset market portfolio

4.

Historical Returns of the Market Portfolio

Review of Asset Pricing Studies, Forthcoming
Number of pages: 75 Posted: 02 Jun 2017 Last Revised: 23 Oct 2019
Ronald Q. Doeswijk, Trevin Lam and Laurens Swinkels
Independent, Rabobank and Erasmus University Rotterdam (EUR)
Downloads 7,224 (1,899)
Citation 10

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Strategic Asset Allocation, Market Portfolio, Historical Returns, Investment Risk,

5.

Investing in Deflation, Inflation, and Stagflation Regimes

Financial Analysts Journal, 2023, Vol. 79. No.3., p.5-32.
Number of pages: 45 Posted: 07 Jul 2022 Last Revised: 09 Sep 2023
Guido Baltussen, Laurens Swinkels, Bart van Vliet and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 5,265 (3,270)
Citation 8

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inflation, deflation, stagflation, equity returns, bond returns, factor premiums

6.

An Anatomy of Calendar Effects

Journal of Asset Management 13(4), 2012, pp. 271-286
Number of pages: 24 Posted: 24 Apr 2010 Last Revised: 07 Oct 2012
Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 4,044 (5,117)
Citation 1

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Calendar effects, Halloween indicator, Holiday effect, January effect, Seasonal patterns, Turn-of-the-month effect, Weekend effect

7.

Empirical evidence on the stock-bond correlation

Number of pages: 52 Posted: 26 Jul 2023 Last Revised: 09 Feb 2024
Roderick Molenaar, Edouard Senechal, Laurens Swinkels and Zhenping Wang
affiliation not provided to SSRN, State of Wisconsin Investment Board, Erasmus University Rotterdam (EUR) and State of Wisconsin Investment Board
Downloads 4,042 (5,126)
Citation 1

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Bonds, Correlation, Inflation, Interest rates, Stocks

8.

The Buffett Indicator: International Evidence

Number of pages: 41 Posted: 01 May 2022
Laurens Swinkels and Thomas S. Umlauft
Erasmus University Rotterdam (EUR) and University of Vienna
Downloads 2,569 (10,656)
Citation 1

Abstract:

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Equity market, investing, market timing, valuation

9.

The Performance of European Index Funds and Exchange-Traded Funds

Downloads 2,199 (13,630)

The Performance of European Index Funds and Exchange-Traded Funds

ERIM Report Series Reference
Number of pages: 31 Posted: 26 Jul 2009 Last Revised: 18 May 2010
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 2,199 (13,381)
Citation 2

Abstract:

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passive investing, index fund, ETF, dividend taxes, performance evaluation

The Performance of European Index Funds and Exchange-Traded Funds

European Financial Management, Forthcoming
Posted: 14 Feb 2011
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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passive investing, index fund, ETF, dividend taxes, performance evaluation

10.

Return-Based Style Analysis with Time-Varying Exposures

Downloads 1,761 (19,317)
Citation 11

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and affiliation not provided to SSRN
Downloads 1,761 (18,975)
Citation 11

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Dynamic models, Kalman filter, Mutual funds, Style analysis

Return-Based Style Analysis with Time-Varying Exposures

European Journal of Finance, Vol. 12, Issues 6-7, pp. 529-552, 2006
Posted: 02 Nov 2008
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and affiliation not provided to SSRN

Abstract:

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Dynamic models, Kalman filter, Mutual funds, Style analysis

11.

A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles

Number of pages: 33 Posted: 13 Feb 2024
Alexander Swade, Harald Lohre, Sandra Nolte (Lechner), Mark B. Shackleton and Laurens Swinkels
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Downloads 1,747 (19,563)
Citation 1

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Macroeconomic factors, diversification, business cycles, Black-Litterman

12.

Fundamental Indexation: An Active Value Strategy in Disguise

Downloads 1,562 (23,247)

Fundamental Indexation: An Active Value Strategy in Disguise

Number of pages: 7 Posted: 29 Jul 2008 Last Revised: 15 Dec 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,562 (22,847)
Citation 5

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

Fundamental Indexation: An Active Value Strategy in Disguise

Journal of Asset Management, Vol. 9, No. 4, pp. 264-269, November 2007
Posted: 02 Nov 2008
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)

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Indexation, Fundamental Indexing, Alternative Beta, Value Premium, Capitalization Weighting, Non-Cap Based Indexing, Portfolio Construction

13.

The Cross-Section of Stock Returns in Frontier Emerging Markets

Journal of Empirical Finance, Vol. 19, Issue 5, pp. 796-818.
Number of pages: 56 Posted: 13 May 2010 Last Revised: 07 Oct 2012
Wilma de Groot, Juan Pang and Laurens Swinkels
Robeco Asset Management, APG asset Management and Erasmus University Rotterdam (EUR)
Downloads 1,518 (24,285)
Citation 18

Abstract:

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Alpha, Behavioral finance, Emerging markets, Frontier Markets, Momentum effect, Size effect, Value effect

14.

Is Exclusion Effective?

Forthcoming, Journal of Portfolio Management
Number of pages: 10 Posted: 10 Feb 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 1,234 (32,934)
Citation 25

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Divestment; Exclusion; Responsible Investing; Sin Stocks; Sustainability

15.

Have Pension Plans Changed after the Introduction of IFRS?

Downloads 1,234 (32,934)

Have Pension Plans Changed after the Introduction of IFRS?

Number of pages: 14 Posted: 20 Jul 2006
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 1,234 (32,402)
Citation 4

Abstract:

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Defined benefit, Defined contribution, IFRS, Pension funds

Have Pension Plans Changed after the Introduction of IFRS?

Pensions, Vol. 16, No. 4, pp. 244-255
Posted: 06 Dec 2011
Laurens Swinkels
Erasmus University Rotterdam (EUR)

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defined benefit, defined contribution, IFRS, pension funds

16.

Shrinking Beta

Number of pages: 24 Posted: 23 Feb 2022
David Blitz, Laurens Swinkels, Kristina Ūsaitė and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR), Robeco Asset Management and Robeco Quantitative Investments
Downloads 1,184 (34,888)

Abstract:

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Beta, Correlation, Investing, Low-risk, Shrinkage, Volatility

17.

Can Exchange Traded Funds be Used to Exploit Country and Industry Momentum?

Financial Markets and Portfolio Management, Forthcoming
Number of pages: 33 Posted: 24 Jun 2008 Last Revised: 07 Oct 2012
Laura Andreu, Laurens Swinkels and Liam Tjong-A-Tjoe
University of Zaragoza - Faculty of Business and Economics, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 1,171 (35,531)
Citation 1

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Alpha, Country momentum strategies, Exchange traded funds, Industry momentum strategies, Transactions costs

18.

The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

ERIM Report Series Reference No. ERS-2007-096-F&A, EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 29 Jan 2008 Last Revised: 19 Oct 2010
Thijs D. Markwat, Dick J. C. van Dijk, Laurens Swinkels and Gerben J. de Zwart
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam (EUR) and APG Asset Management
Downloads 1,160 (35,985)
Citation 2

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emerging markets, foreign exchange rates, structural exchange rate models, technical trading, heterogeneous agents

19.

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

Downloads 1,137 (36,979)

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

CentER Discussion Paper No. 2003-20
Number of pages: 37 Posted: 22 Aug 2003
Theo Nijman and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management and Erasmus University Rotterdam (EUR)
Downloads 1,137 (36,421)
Citation 18

Abstract:

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Asset Liability Management, Commodities, Optimal portfolio choice, Pension funds, Strategic asset allocation, Tactical asset allocation

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

THE HANDBOOK OF COMMODITY INVESTING, Fabozzi, Fuss, Kaiser, eds., pp. 522-546, 2008
Posted: 02 Nov 2008
Theo Nijman and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management and Erasmus University Rotterdam (EUR)

Abstract:

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Asset Liability Management, Commodities, Optimal portfolio choice, Pension funds, Strategic asset allocation, Tactical asset allocation

20.

Market Timing: A Decomposition of Mutual Fund Returns

Number of pages: 43 Posted: 06 Nov 2003
Laurens Swinkels, Marno Verbeek and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR), Erasmus University - Rotterdam School of Management and affiliation not provided to SSRN
Downloads 1,077 (40,030)

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market timing, mutual funds, performance evaluation, pensioenfondsen

21.

Do Countries or Industries Explain Momentum in Europe?

Downloads 1,026 (42,892)
Citation 8

Do Countries or Industries Explain Momentum in Europe?

ERIM Report Series Reference No. ERS-2002-91-F&A, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 45 Posted: 01 Mar 2002
Theo Nijman, Marno Verbeek and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 1,026 (42,253)
Citation 8

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country risk, industry risk, momentum effect, portfolio selection, technology adoption

Do Countries or Industries Explain Momentum in Europe?

Journal of Empirical Finance, Vol. 11, pp. 461-481, 2004
Posted: 19 Dec 2005
Theo Nijman, Marno Verbeek and Laurens Swinkels
Tilburg University - Tilburg University School of Economics and Management, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

Abstract:

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country risk, industry risk, momentum effect, portfolio selection

22.

Investing in Carbon Credits

Number of pages: 43 Posted: 29 Sep 2022 Last Revised: 21 Aug 2023
Laurens Swinkels and Jieun Yang
Erasmus University Rotterdam (EUR) and Robeco Institutional Asset Management
Downloads 940 (48,542)

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Carbon allowances, Carbon credits, Carbon emissions, Carbon markets, Climate change, Emission Trading Systems, Greenhouse gases

23.

Emerging Markets Inflation-Linked Bonds

Financial Analysts Journal, Vol 68, Issue 5, pp. 38-56.
Number of pages: 31 Posted: 28 Jun 2011 Last Revised: 18 Jul 2016
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 910 (50,713)
Citation 1

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allocation, bonds, emerging debt, emerging markets, fixed income, inflation, inflation-linked bonds

24.

Factor models for Chinese A-shares

Number of pages: 58 Posted: 10 Sep 2021 Last Revised: 18 Oct 2023
Matthias X. Hanauer, Maarten Jansen, Laurens Swinkels and Weili Zhou
Technische Universität München (TUM), Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 888 (52,406)
Citation 1

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Anomalies, Asset pricing, China, Equity markets, Emerging markets, Factor models, Investing

25.

Does Excluding Sin Stocks Cost Performance?

Number of pages: 26 Posted: 05 May 2021 Last Revised: 28 Jun 2021
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 886 (52,560)
Citation 5

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Sin Stocks, Exclusion, Divestment, Environmental Social and Governance (ESG), Socially Responsible Investing (SRI), Sustainable Development Goals (SDGs), Carbon Intensity, Paris-Aligned Investing, Climate Risk, Sustainable investing, Asset Pricing, Factor Investing

26.

Anomalies in the China A-share Market

Number of pages: 51 Posted: 23 Mar 2021 Last Revised: 28 Jun 2021
Maarten Jansen, Laurens Swinkels and Weili Zhou
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 774 (63,190)
Citation 16

Abstract:

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Alpha, Anomalies, Asset management, China, Investing, Stock market

27.

Media Attention and the Volatility Effect

Number of pages: 15 Posted: 21 Jun 2019 Last Revised: 16 Oct 2019
David Blitz, Rob Huisman, Laurens Swinkels and Pim van Vliet
Robeco Quantitative Investments, Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 753 (65,527)
Citation 1

Abstract:

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Alpha, Attention, Big Data, Investing, Media, News, Volatility

28.

The Risk and Reward of Investing

Number of pages: 44 Posted: 28 Aug 2024
Ronald Q. Doeswijk and Laurens Swinkels
Independent and Erasmus University Rotterdam (EUR)
Downloads 748 (68,922)

Abstract:

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Strategic Asset Allocation, Market Portfolio, Historical Returns, Investment Risk

29.

Allocating to Green Bonds

Number of pages: 34 Posted: 29 Mar 2021 Last Revised: 02 Jun 2023
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 698 (72,306)

Abstract:

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Asset allocation, Bonds, Climate change, Environmental Social and Governance (ESG), Fixed income, Green bonds, Portfolio management, Socially Responsible Investing (SRI), Sustainable investing

30.

Trading Carbon Credit Tokens on the Blockchain

Number of pages: 25 Posted: 09 Mar 2023 Last Revised: 27 Nov 2023
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 689 (73,494)

Abstract:

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Blockchain, Carbon credits, Climate change, Cryptocurrency, Finance, Investing

31.

Who owns tobacco stocks?

Number of pages: 42 Posted: 10 May 2021
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 688 (73,629)
Citation 6

Abstract:

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Divestment, Environmental Social and Governance (ESG), Exclusion, Socially Responsible Investing (SRI), Sustainable Development Goals (SDGs), Sustainable investing, Tobacco

32.

Empirical Evidence on the Currency Carry Trade, 1900-2012

Journal of International Money and Finance 51, pp. 370-389, 2015
Number of pages: 38 Posted: 15 Dec 2014 Last Revised: 19 Jul 2016
Nikolay Doskov and Laurens Swinkels
Norges Bank Investment Management (NBIM) and Erasmus University Rotterdam (EUR)
Downloads 652 (78,784)
Citation 7

Abstract:

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Currency carry trade, Currency crisis, Foreign exchange, Forward discount

33.

Social, Sustainability, and Sustainability-Linked Bonds

Number of pages: 34 Posted: 24 Apr 2023 Last Revised: 20 Sep 2023
Gino Beteta Vejarano and Laurens Swinkels
Robeco Asset Management and Erasmus University Rotterdam (EUR)
Downloads 619 (84,058)

Abstract:

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34.

Performance Evaluation of Polish Mutual Fund Managers

Downloads 600 (87,441)
Citation 6

Performance Evaluation of Polish Mutual Fund Managers

Number of pages: 23 Posted: 23 Apr 2008 Last Revised: 24 Jun 2008
Pawel Rzezniczak and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)
Downloads 600 (86,372)
Citation 6

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Emerging Markets, Mutual funds, Performance Evaluation, Poland

Performance Evaluation of Polish Mutual Fund Managers

International Journal of Emerging Markets, Vol. 4, No. 1, pp. 26-42
Posted: 26 Jan 2009
Pawel Rzezniczak and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)

Abstract:

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Emerging Markets, Mutual funds, Performance Evaluation, Poland

35.

Empirical Evidence on the Ownership and Liquidity of Real Estate Tokens

Number of pages: 33 Posted: 23 Nov 2021 Last Revised: 21 Nov 2022
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 592 (88,942)
Citation 5

Abstract:

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Blockchain, Cryptocurrency, Real estate, Tokenization

36.

Corporate Carbon Emissions Data for Equity and Bond Portfolios

Number of pages: 38 Posted: 02 Feb 2023
Thijs D. Markwat and Laurens Swinkels
Robeco Asset Management and Erasmus University Rotterdam (EUR)
Downloads 576 (92,074)

Abstract:

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Carbon data, Carbon emissions, Climate, Finance, Investing, Portfolio management

37.

Can Mutual Funds Time Investment Styles?

Downloads 562 (95,042)
Citation 1

Can Mutual Funds Time Investment Styles?

Number of pages: 13 Posted: 26 Jul 2007
Laurens Swinkels and Liam Tjong-A-Tjoe
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 562 (93,942)
Citation 1

Abstract:

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Mutual funds, performance evaluation, style timing

Can Mutual Funds Time Investment Styles?

Journal of Asset Management, Vol. 8, No. 2, pp. 123-132, 2007
Posted: 02 Nov 2008
Laurens Swinkels and Liam Tjong-A-Tjoe
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)

Abstract:

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Mutual funds, performance evaluation, style timing

38.

Does Sustainable Investing Deprive Unsustainable Firms from Fresh Capital?

Number of pages: 23 Posted: 23 Dec 2020
David Blitz, Laurens Swinkels and Jan Anton van Zanten
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Downloads 558 (96,063)

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Sustainable investing, Socially Responsible Investing (SRI), Environmental Social and Governance (ESG), Sustainable Development Goals (SDGs), Exclusion, Divestment; Issuance; Capital flows

39.

Equity Solvency Capital Requirements: What Institutional Regulation Can Learn from Private Investor Regulation

Geneva Papers on Risk and Insurance - Issues and Practice, Forthcoming
Number of pages: 20 Posted: 29 Aug 2017 Last Revised: 16 Apr 2018
David Blitz, Winfried G. Hallerbach, Laurens Swinkels and Pim van Vliet
Robeco Quantitative Investments, Fintelligence CCT, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 514 (106,127)
Citation 1

Abstract:

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Capital requirements, Equities, Insurance, Pensions, Regulation, Solvency II

40.

Integrating the Sustainable Development Goals in Government Bond Investment Strategies

Number of pages: 35 Posted: 25 Feb 2023
Jan Anton van Zanten, Laurens Swinkels, Rikkert Scholten and Max Schieler
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), Erasmus University Rotterdam (EUR), Robeco Asset Management and Robeco Switzerland Ltd
Downloads 505 (108,458)

Abstract:

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Sustainable investing, Sovereign debt, Bonds, Sustainable Development Goals (SDGs), ESG

41.

Incorporating Uncertainty About Alternative Assets in Strategic Pension Fund Asset Allocation

Downloads 495 (111,129)
Citation 1

Incorporating Uncertainty About Alternative Assets in Strategic Pension Fund Asset Allocation

Number of pages: 10 Posted: 16 Jun 2008
Wilma de Groot and Laurens Swinkels
Robeco Asset Management and Erasmus University Rotterdam (EUR)
Downloads 495 (109,877)
Citation 1

Abstract:

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Alternative investments, Asset allocation, Liability driven investing; Robust optimization; Uncertainty

Incorporating Uncertainty about Alternative Assets in Strategic Pension Fund Asset Allocation

Pensions, Vol. 13, Issues 1-2, pp. 71-77, 2008
Posted: 02 Nov 2008
Wilma de Groot and Laurens Swinkels
Robeco Asset Management and Erasmus University Rotterdam (EUR)

Abstract:

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Alternative investments, Asset allocation, Liability driven investing, Robust optimization, Uncertainty

42.

Simulating Historical Inflation-Linked Bond Returns

Number of pages: 34 Posted: 09 Jan 2017 Last Revised: 16 Apr 2018
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 415 (136,662)
Citation 2

Abstract:

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Asset allocation, Bonds, Fixed income, Inflation-linked bonds, Inflation, Investing, Simulation

43.

Create Better Diversified High-Conviction Equity Portfolios Using the Portfolio Diversification Index

Number of pages: 21 Posted: 30 Mar 2010
Dominiek P. Crezée and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Department of Business Economics and Erasmus University Rotterdam (EUR)
Downloads 386 (148,446)

Abstract:

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Diversification, Portfolio construction, Risk reduction

44.

China A-Shares: Strategic Allocation to Market and Factor Premiums

Forthcoming, Journal of Portfolio Management
Number of pages: 38 Posted: 22 Oct 2020
Wilma de Groot, Laurens Swinkels and Weili Zhou
Robeco Asset Management, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 364 (158,500)

Abstract:

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Alpha, China, A-shares, Factor investing, Investing, Momentum, Value

45.

Detecting Management Behaviour by Analyzing Mutual Fund Returns: A Case Study

Number of pages: 5 Posted: 27 Jun 2006
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 364 (158,500)

Abstract:

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Mutual funds, Risk factors, Style analysis

46.

Do Tobacco Share Owners Finance the Tobacco Business?

Number of pages: 24 Posted: 28 May 2020 Last Revised: 07 Aug 2020
David Blitz and Laurens Swinkels
Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 344 (168,487)
Citation 1

Abstract:

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Cost-of-capital, ESG investing, Portfolio management, Sin stocks, Sustainability, Tobacco

47.

The Zodiac Calendar and Equity Factor Returns

China Accounting and Finance Review, Forthcoming
Number of pages: 21 Posted: 15 Jan 2016 Last Revised: 18 Jul 2016
Janice Phoeng and Laurens Swinkels
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 308 (189,483)
Citation 1

Abstract:

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Calendar Effects, Factor investing, Stock market returns, Zodiac calendar

48.

Is Risk Arbitrage Compensated? Evidence from the European STRIPS Market

Number of pages: 19 Posted: 28 Jun 2010 Last Revised: 02 Jul 2010
Joop Huij, Miles Livingston and Laurens Swinkels
Erasmus University - Rotterdam School of Management, University of Florida - Department of Finance, Insurance and Real Estate and Erasmus University Rotterdam (EUR)
Downloads 308 (189,483)

Abstract:

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Arbitrage, Bonds, Risk Arbitrage, Strips

49.

Frontier and Emerging Government Bond Markets

Emerging Markets Review, Forthcoming
Number of pages: 50 Posted: 10 Oct 2015
Vanja Piljak and Laurens Swinkels
University of Vaasa - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Downloads 284 (206,357)

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Bonds, Emerging markets, Frontier markets, Diversification

50.

More Powerful Tests for Anomalies in the China A-Share Market

Number of pages: 24 Posted: 30 Dec 2022
Maarten Jansen, Laurens Swinkels and Weili Zhou
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 266 (220,507)

Abstract:

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Alpha, Anomalies, Asset Management, China, Investing, Portfolio Choice, Stock Market

51.

The Case for Local Fair Value Discount Rates Under IFRS

Downloads 253 (231,782)

The Case for Local Fair Value Discount Rates Under IFRS

Number of pages: 14 Posted: 15 Feb 2011
Laurens Swinkels
Erasmus University Rotterdam (EUR)
Downloads 253 (230,646)
Citation 1

Abstract:

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Accounting, Discount Rate, Fair Value, IFRS, Pension Accounting, Pension Fund

The Case for Local Fair Value Discount Rates Under IFRS

Pensions, Vol. 16, No. 2, pp. 107-114, 2011
Posted: 28 Jun 2011
Laurens Swinkels
Erasmus University Rotterdam (EUR)

Abstract:

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accounting, discount Rate, fair value, IFRS, pension accounting, pension fund

52.

Why Don't Latvian Pension Funds Diversify More Internationally?

ERIM Report Series Reference No. ERS-2005-078-F&A
Number of pages: 20 Posted: 02 Nov 2005
Laurens Swinkels, Diana Vejina and Rainers Vilans
Erasmus University Rotterdam (EUR), Stockholm School of Economics in Riga and Stockholm School of Economics in Riga
Downloads 193 (299,210)

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Home Bias, Emerging Markets, International Investing, Pension Funds

53.

Diversity of Dutch Pension Fund Boards

Pensions: An International Journal 17(3), pp. 137-143
Number of pages: 13 Posted: 22 Apr 2012 Last Revised: 18 Jul 2016
Laurens Swinkels and Vinzenz Ziesemer
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 191 (302,027)
Citation 1

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Diversity, Governance, Pension Funds

54.

Accounting for Market Risk in Microfinance Investments

International Journal of Sustainable Economy 7(4), pp. 262-279, 2015
Number of pages: 29 Posted: 27 May 2015 Last Revised: 18 Jul 2016
Lieveke Helwig and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)
Downloads 179 (320,026)

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Accounting-beta, Market-beta, Microfinance, Responsible investing

55.

Board Diversity and Self-Regulation in Dutch Pension Funds

Equality, Diversity, and Inclusion: An International Journal (Forthcoming)
Number of pages: 27 Posted: 31 Dec 2016
Lin Shi, Laurens Swinkels and Fieke van der Lecq
HEC-ULg University of Liège, Erasmus University Rotterdam (EUR) and Vrije Universiteit Amsterdam
Downloads 178 (321,646)

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56.

The Composition of the Global Real Economy and Public Equity Markets

Number of pages: 16 Posted: 18 Apr 2015
Laurens Swinkels and Yan Xu
Erasmus University Rotterdam (EUR) and University of Groningen - Faculty of Economics and Business
Downloads 178 (321,646)

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Economic growth, Equity market, GDP, Investments

57.

Fundamental Indexation for Developed, Emerging, and Frontier Government Bond Markets

Journal of Asset Management, Forthcoming
Number of pages: 28 Posted: 14 Mar 2017
Vanja Piljak and Laurens Swinkels
University of Vaasa - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Downloads 171 (333,337)

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Bond Markets, Currencies, Emerging Markets, Fixed Income, Investing

58.

The Capital-Protection Capacity of Emerging-Markets Inflation-Linked Bonds

Forthcoming in the Journal of Portfolio Management
Number of pages: 20 Posted: 14 Jun 2022
Marielle de Jong and Laurens Swinkels
Grenoble Ecole de Management and Erasmus University Rotterdam (EUR)
Downloads 161 (351,058)

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Emerging markets, Government bonds, Inflation, Inflation-linked bonds

59.

Performance Evaluation of Balanced Pension Plans

Downloads 157 (358,526)

Performance Evaluation of Balanced Pension Plans

Number of pages: 32 Posted: 05 Mar 2010
Laura Andreu and Laurens Swinkels
University of Zaragoza - Faculty of Business and Economics and Erasmus University Rotterdam (EUR)
Downloads 157 (358,709)

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Balanced Pension Plans, Market Timing, Performance Evaluation, Stockpicking

Performance Evaluation of Balanced Pension Plans

Quantitative Finance, Vol. 12, Issue 5, pp. 819-830
Posted: 10 Feb 2011 Last Revised: 07 Oct 2012
Laura Andreu and Laurens Swinkels
University of Zaragoza - Faculty of Business and Economics and Erasmus University Rotterdam (EUR)

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60.

Individual Pension Risk Preference Elicitation and Collective Asset Allocation With Heterogeneity

Number of pages: 46 Posted: 10 Mar 2019
Gosse Alserda, Benedict G. C. Dellaert, Laurens Swinkels and Fieke van der Lecq
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) and Vrije Universiteit Amsterdam
Downloads 141 (391,035)
Citation 4

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Risk Preference Elicitation, Composite Score, Pension Fund, Asset Allocation

61.

Is Firm-level Political Risk Priced in the Corporate Bond Market?

Number of pages: 55 Posted: 06 Feb 2024
Luis Ceballos, Vanja Piljak and Laurens Swinkels
University of San Diego, University of Vaasa - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Downloads 140 (393,254)

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Bonds, Corporate bonds, Fixed income, Political risk

62.

The Structure and Degree of Dependence in Government Bond Markets

Journal of International Financial Markets, Institutions and Money , https://doi.org/10.1016/j.intfin.2021.101385
Number of pages: 69 Posted: 16 Jul 2021 Last Revised: 20 Jun 2022
Nebojsa Dimic, Vanja Piljak, Laurens Swinkels and Milos Vulanovic
University of Vaasa, University of Vaasa - Department of Accounting and Finance, Erasmus University Rotterdam (EUR) and EDHEC Business School
Downloads 100 (505,619)
Citation 2

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Dependence structure, Emerging and frontier markets, Quantile regression, Sovereign bonds, Financial crisis

63.

Corporate Sustainability and Scandals

Number of pages: 52 Posted: 22 Aug 2024
Anna Vasileva, Jan Anton van Zanten and Laurens Swinkels
University of Zurich - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR)
Downloads 70 (630,759)

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sustainable finance, corporate scandals, corporate legitimacy, SDG, Sustainable Development Goals

64.

Harnessing the Web and Knowledge Graphs for Automated Impact Investing Scoring

Number of pages: 7 Posted: 28 Aug 2023
Qingzhi Hu, Daniel Daza, Laurens Swinkels, Kristina Ūsaitė, Robbert-Jan 't Hoen and Paul Groth
Aegon Asset Management, Elsevier Discovery Lab - Vrije Universiteit Amsterdam, Amsterdam, The Netherlands, Erasmus University Rotterdam (EUR), Robeco Asset Management, Robeco Asset Management and University of Amsterdam
Downloads 64 (655,812)

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AI for sustainability, sustainable development goals, impact investing, web data mining, knowledge graph, graph neural networks, explainability

65.

The Effects of COVID-19 Policies on Consumer Spending in Norway

Number of pages: 38 Posted: 06 Jul 2023 Last Revised: 17 Oct 2023
Fenella Carpena, Laurens Swinkels and Dan Zhang
Oslo Business School, Erasmus University Rotterdam (EUR) and Oslo Business School
Downloads 64 (655,812)

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Expenditure, Consumption, COVID-19, pandemic

66.

Can Implied Volatility Predict Returns on the Currency Carry Trade?

Journal of Banking and Finance, Vol. 59, pp. 14-26, October 2015
Posted: 13 Apr 2015 Last Revised: 19 Jul 2016
Tom Egbers and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)
Downloads 0 (1,196,556)

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Currency carry trade, Exchange rates, Implied Volatility, Market timing, VIX, VXY

67.

High-Conviction Equity Portfolio Optimization

The Journal of Risk, Vol. 13, No. 2, pp. 57-70, 2010
Posted: 08 Feb 2011
Dominiek P. Crezée and Laurens Swinkels
Erasmus University Rotterdam (EUR) - Department of Business Economics and Erasmus University Rotterdam (EUR)

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68.

Momentum Investing: A Survey

Journal of Asset Management, Vol. 5, Issue 2, pp. 120-143, 2004
Posted: 02 Nov 2008
Laurens Swinkels
Erasmus University Rotterdam (EUR)

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Alpha, Equity Investing, Momentum, Return Continuation, Transactions Costs

69.

International Industry Momentum

Journal of Asset Management, Vol. 3, No. 2, pp. 124-141
Posted: 21 Oct 2002
Laurens Swinkels
Erasmus University Rotterdam (EUR)

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industry effects, international investing, momentum strategies, portfolio management