Laura Spierdijk

University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section

Professor of Financial Engineering

Hallenweg 17

Enschede, 7522NH

Netherlands

  • University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section

SCHOLARLY PAPERS

31

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104

CROSSREF CITATIONS

26

Scholarly Papers (31)

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1.

Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century

Downloads 1,055 (36,998)
Citation 12

Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century

De Nederlandsche Bank Working Paper No. 247
Number of pages: 37 Posted: 22 Oct 2011
Laura Spierdijk, Jacob Antoon Bikker and Pieter van den Hoek
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, De Nederlandsche Bank and Towers Watson
Downloads 664 (68,400)
Citation 10

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mean reversion, market efficiency

Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century

Netspar Discussion Paper No. 03/2010-009
Number of pages: 35 Posted: 18 Jun 2010 Last Revised: 17 Jan 2012
Laura Spierdijk, Jacob Antoon Bikker and Pieter van den Hoek
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, De Nederlandsche Bank and Towers Watson
Downloads 391 (130,682)
Citation 3

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mean reversion, market efficiency, cointegration

2.

Are Commodity Futures a Good Hedge Against Inflation?

Netspar Discussion Paper No. 11/2010-078
Number of pages: 38 Posted: 24 Dec 2010 Last Revised: 04 May 2013
Laura Spierdijk and Zaghum Umar
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and Zayed University - College of Business
Downloads 1,049 (37,353)
Citation 8

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Inflation hedging, costs of hedging, commodity futures, investment horizon

3.

The Implementation Shortfall of Institutional Equity Trades

Number of pages: 38 Posted: 26 Jul 2004
Jacob Antoon Bikker, Laura Spierdijk and Pieter Jelle van der Sluis
De Nederlandsche Bank, University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and affiliation not provided to SSRN
Downloads 1,046 (37,443)
Citation 2

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implementation shortfall, institutional equity trading,

4.

International Diversification and Microfinance

Downloads 716 (62,975)
Citation 4

International Diversification and Microfinance

Number of pages: 20 Posted: 20 Oct 2008
Rients Galema, Robert Lensink and Laura Spierdijk
Utrecht University - School of Economics, University of Groningen - Department of Economics, Econometrics and Finance and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 547 (87,340)

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Microfinance, Spanning, International Diversification

International Diversification and Microfinance

Netspar Discussion Paper No. 05/2009-023
Number of pages: 22 Posted: 21 Nov 2009
Rients Galema, Robert Lensink and Laura Spierdijk
Utrecht University - School of Economics, University of Groningen - Department of Economics, Econometrics and Finance and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 169 (302,301)
Citation 4

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5.

Enjoying the Quiet Life Under Deregulation? Evidence from Adjusted Lerner Indices for U.S. Banks

Mays Business School Research Paper No. 2012-26
Number of pages: 51 Posted: 02 Feb 2012 Last Revised: 29 Apr 2013
Michael Koetter, James W. Kolari and Laura Spierdijk
Halle Institute for Economic Research, Texas A&M University - Department of Finance and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 605 (77,905)
Citation 31

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6.

The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity

Number of pages: 34 Posted: 01 Mar 2002
Theo Nijman, Arthur van Soest, Arthur van Soest and Laura Spierdijk
Tilburg University - Tilburg University School of Economics and Management, Tilburg UniversityNetspar and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 484 (102,738)
Citation 2

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Infrequently Traded Stocks, Price Impact, Trading Costs, Trading Intensity, Durations, Market Microstructure, Asymmetric Information, Inventory Effects

7.

Mean Reversion in Stock Prices: Implications for Long-Term Investors

De Nederlandsche Bank Working Paper No. 343
Number of pages: 38 Posted: 28 Apr 2012
Laura Spierdijk and Jacob Antoon Bikker
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and De Nederlandsche Bank
Downloads 399 (128,814)
Citation 11

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8.

The Price Impact of Trades in Infrequently Traded Stocks in Periods of High and Low Market Activity

Number of pages: 34 Posted: 02 Mar 2002
Laura Spierdijk, Theo Nijman, Arthur van Soest and Arthur van Soest
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, Tilburg University - Tilburg University School of Economics and Management and Tilburg UniversityNetspar
Downloads 368 (141,011)
Citation 1

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infrequently traded stocks, price impact, trading costs, trading intensity, durations, market microstructure, asymmetric information, inventory effects

9.

Price Dynamics and Trading Volume: A Semiparametric Approach

Number of pages: 49 Posted: 04 Mar 2004
Laura Spierdijk, Theo Nijman, Arthur van Soest and Arthur van Soest
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, Tilburg University - Tilburg University School of Economics and Management and Tilburg UniversityNetspar
Downloads 363 (143,182)
Citation 2

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Semiparametric modeling, price impact of trades, infrequently traded stocks, market microstructure

10.

The Panzar-Rosse Revenue Test: To Scale or Not to Scale

22nd Australasian Finance and Banking Conference 2009
Number of pages: 34 Posted: 24 Aug 2009 Last Revised: 10 Mar 2015
Jacob Antoon Bikker, Sherrill Shaffer and Laura Spierdijk
De Nederlandsche Bank, University of Wyoming and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 316 (166,189)

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Panzar-Rosse test, competition, firm size

11.

Does Money Grow on Trees? The Diversification Properties of US Timberland Investments

Downloads 279 (189,129)

Does Money Grow on Trees? The Diversification Properties of US Timberland Investments

Number of pages: 32 Posted: 22 Aug 2009
Bert Scholtens and Laura Spierdijk
University of Groningen - Department of Finance & Accounting and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 176 (291,828)

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timberland investments, mean-variance spanning, portfolio management

Does Money Grow on Trees? The Diversification Properties of US Timberland Investments

Netspar Discussion Paper No. 03/2009-017
Number of pages: 33 Posted: 21 Nov 2009
Laura Spierdijk and Bert Scholtens
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and University of Groningen - Department of Finance & Accounting
Downloads 103 (446,325)
Citation 1

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timberland investments, mean-variance spanning, portfolio management

12.

The Panzar-Rosse Revenue Test and Market Power in Banking

Number of pages: 39 Posted: 06 Nov 2014 Last Revised: 10 Mar 2015
Laura Spierdijk and Sherrill Shaffer
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and University of Wyoming
Downloads 264 (200,021)
Citation 5

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banking competition, Panzar-Rosse method, banking oligopoly

13.

Liquidity Constraints and the Demand for Assets: An Application to the Festivity Effect

Number of pages: 35 Posted: 02 Nov 2005
Karim M. Abadir and Laura Spierdijk
Imperial College Business School and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 264 (200,021)
Citation 3

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Liquidity constraints, autocorrelation of returns and volumes,festivity effect, January effect, anomalies

14.

Stock Returns and Inflation Risk: Implications for Portfolio Selection

Netspar Discussion Paper No. 11/2010-051
Number of pages: 43 Posted: 12 Nov 2010 Last Revised: 26 Dec 2010
Tomek Katzur and Laura Spierdijk
University of Groningen - Faculty of Economics and Business and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 260 (203,026)
Citation 4

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inflation hedging, Fisher hypothesis, asset allocation, parameter uncertainty

15.

Stocks, Bonds, T-Bills and Inflation Hedging

Netspar Discussion Paper No. 11/2011-089
Number of pages: 44 Posted: 25 Nov 2011 Last Revised: 04 May 2013
Laura Spierdijk and Zaghum Umar
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and Zayed University - College of Business
Downloads 237 (222,408)
Citation 4

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inflation hedging, stocks, bonds, T-bills

16.

Funding of Pensions and Economic Growth: Are They Really Related?

Netspar Discussion Paper No. 12/2010-082
Number of pages: 43 Posted: 04 Feb 2011
Laura Spierdijk and Eelco Zandberg
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and University of Groningen
Downloads 193 (269,183)
Citation 2

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Pension Reform, Pension Funding, Economic Growth

17.

Consistent Estimation of Linear Panel Data Models with Measurement Error

Downloads 167 (305,464)
Citation 10

Consistent Estimation of Linear Panel Data Models with Measurement Error

CESifo Working Paper Series No. 5164
Number of pages: 53 Posted: 27 Jan 2015
Erik Meijer, Laura Spierdijk and Tom Wansbeek
University of Southern California, University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and University of Groningen - Faculty of Economics and Business
Downloads 93 (478,627)
Citation 10

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measurement error, panel data, third moments, heteroskedasticity, GMM

Consistent Estimation of Linear Panel Data Models with Measurement Error

CESR-Schaeffer Working Paper No. 2014-008
Number of pages: 53 Posted: 09 Dec 2014 Last Revised: 10 Dec 2014
Erik Meijer, Laura Spierdijk and Tom Wansbeek
University of Southern California, University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and University of Groningen - Faculty of Economics and Business
Downloads 74 (551,491)
Citation 1

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measurement error; panel data; third moments; heteroskedasticity; GMM

18.

Modeling Co-Movements in Trading Intensities to Distinguish Stock and Sector-Specific News

CentER Discussion Paper No. 2002-69
Number of pages: 33 Posted: 05 Mar 2004
Laura Spierdijk, Theo Nijman, Arthur van Soest and Arthur van Soest
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, Tilburg University - Tilburg University School of Economics and Management and Tilburg UniversityNetspar
Downloads 151 (332,466)
Citation 2

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multivariate duration models, high-frequency data, ACD models, market microstructure

19.

The Demand for Emerging Market Bonds

Downloads 55 (355,217)

The Demand for Emerging Market Bonds

Netspar Discussion Paper No. 04/2013-011
Number of pages: 27 Posted: 02 Jun 2013
Zaghum Umar and Laura Spierdijk
Zayed University - College of Business and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 55 (645,702)

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emerging-market bonds, predictability, myopic demand, intertemporal hedging demand

20.

Clarifying the Concentration-Stability Controversy in Banking: Evidence from the EU-25.

Number of pages: 26 Posted: 27 Jan 2015 Last Revised: 26 Nov 2019
Pieter IJtsma and Laura Spierdijk
University of Groningen and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 118 (401,970)
Citation 10

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Financial stability, market structure, systemic risk

21.

Confidence Intervals for ARMA-GARCH Value-at-Risk: The Case of Heavy Tails and Skewness

Number of pages: 30 Posted: 03 Jun 2013 Last Revised: 13 Dec 2013
Laura Spierdijk
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 117 (404,510)
Citation 2

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quasi-maximum likelihood, heavy tails, fourth moments, subsample bootstrap

22.

Calculating Loss Reserves in a Multistate Model for Income Insurance

Number of pages: 47 Posted: 24 Jun 2011
Laura Spierdijk and Ruud H. Koning
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and University of Groningen - Department of Economics
Downloads 115 (409,668)
Citation 1

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multistate model, income insurance, loss reserves, disability duration, parameter and process uncertainty, proportional hazards model

23.

Stocks for the Long Run? Evidence from Emerging Markets

Netspar Discussion Paper No. 04/2013-010
Number of pages: 60 Posted: 04 May 2013
Zaghum Umar and Laura Spierdijk
Zayed University - College of Business and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 81 (516,811)
Citation 2

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Emerging market stocks, predictability, myopic demand, intertemporal hedging demand

24.

Measuring Multi-Product Banks' Market Power Using the Lerner Index

CAMA Working Paper No. 17/2019
Number of pages: 40 Posted: 13 Feb 2019
Sherrill Shaffer and Laura Spierdijk
University of Wyoming and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 80 (520,619)

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multi-product banks, market power, Lerner index, consistent aggregation

25.

Point and Set Identification in Linear Panel Data Models with Measurement Error

RAND Working Paper Series WR- 941
Number of pages: 13 Posted: 26 May 2012
Erik Meijer, Laura Spierdijk and Tom Wansbeek
University of Southern California, University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and University of Groningen - Faculty of Economics and Business
Downloads 75 (540,482)
Citation 3

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26.

Moment Conditions for the Quadratic Regression Model With Measurement Error

Number of pages: 38 Posted: 13 Dec 2019
Laura Spierdijk, Erik Meijer and Tom J. Wansbeek
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, University of Southern California and affiliation not provided to SSRN
Downloads 70 (561,465)

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measurement error, quadratic regression, method of moments

27.

Health, Lifestyle and Disability Transitions of Self-Employed Workers: Evidence from Dutch Insurance Data

Number of pages: 30 Posted: 10 Dec 2014 Last Revised: 03 Jul 2015
Laura Spierdijk, Raun van Ooijen and A. Gijsbert C. van Lomwel
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, University of Groningen and Center Applied Research, Tilburg University
Downloads 58 (617,955)

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self-employed, income insurance, disability transitions, health, lifestyle

28.

Adapting to Changing Input Prices in Response to the Crisis: The Case of U.S. Commercial Banks

CAMA Working Paper No. 15/2016
Number of pages: 47 Posted: 10 Apr 2016
Laura Spierdijk, Sherrill Shaffer and Tim James Considine
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, University of Wyoming and University of Wyoming
Downloads 34 (767,049)

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financial crisis, substitution elasticities, US commercial banks

29.

Adapting to Changing Prices before and after the Crisis: The Case of US Commercial Banks

CAMA Working Paper No. 64/2016
Number of pages: 37 Posted: 27 Oct 2016
Laura Spierdijk, Sherrill Shaffer and Tim James Considine
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, University of Wyoming and University of Wyoming
Downloads 33 (774,615)

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Financial Crisis, Substitution Elasticities, US Commercial Banks

30.

US Banking Deregulation and Local Economic Growth: Direct Effects and Externalities

CAMA Working Paper No. 80/2019
Number of pages: 57 Posted: 01 Nov 2019
Pieter IJtsma, Sherrill Shaffer and Laura Spierdijk
University of Groningen, University of Wyoming and University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section
Downloads 29 (806,124)

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U.S. banking deregulation, economic growth, externalities

31.

US banking deregulation and local economic growth: A spatial analysis

CAMA Working Paper No. 33/2021
Number of pages: 40 Posted: 26 Mar 2021
Laura Spierdijk, Pieter IJtsma and Sherrill Shaffer
University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section, University of Groningen and University of Wyoming
Downloads 25 (839,618)

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U.S. banking deregulation, common factors, spatial autocorrelation, spatial spillovers, local economic growth