Laura Spierdijk

University of Groningen

Professor

PO Box 800

Groningen, 9700 AV

Netherlands

SCHOLARLY PAPERS

29

DOWNLOADS
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Top 6,094

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6,982

CITATIONS
Rank 6,128

SSRN RANKINGS

Top 6,128

in Total Papers Citations

91

Scholarly Papers (29)

1.

The Implementation Shortfall of Institutional Equity Trades

EFA 2004 Maastricht Meetings Paper No. 1813
Number of pages: 38 Posted: 26 Jul 2004
De Nederlandsche Bank, University of Groningen and APG Asset Management, GTAA Fund
Downloads 934 (23,512)
Citation 1

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implementation shortfall, institutional equity trading,

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
University of Groningen, De Nederlandsche Bank and Towers Watson
Downloads 533 (49,760)
Citation 6

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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
University of Groningen, De Nederlandsche Bank and Towers Watson
Downloads 331 (88,713)
Citation 5

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mean reversion, market efficiency, cointegration

3.
Downloads 652 ( 38,641)
Citation 7

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 Groningen
Downloads 514 (52,106)

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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 Groningen
Downloads 138 (207,041)
Citation 8

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4.

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 Groningen and Zayed University - College of Business
Downloads 639 (39,736)
Citation 2

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

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 Groningen
Downloads 463 (60,126)
Citation 50

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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 and Laura Spierdijk
Tilburg University - Center and Faculty of Economics and Business Administration, Tilburg University and University of Groningen
Downloads 453 (61,769)
Citation 1

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

7.

Price Dynamics and Trading Volume: A Semiparametric Approach

Number of pages: 49 Posted: 04 Mar 2004
Laura Spierdijk, Theo Nijman and Arthur van Soest
University of Groningen, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University
Downloads 341 (86,399)
Citation 2

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

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 and Arthur van Soest
University of Groningen, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University
Downloads 336 (87,825)
Citation 1

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

9.

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 Groningen
Downloads 265 (113,534)

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Panzar-Rosse test, competition, firm size

10.

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 Groningen and De Nederlandsche Bank
Downloads 225 (133,978)
Citation 5

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11.

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 Groningen
Downloads 225 (133,978)
Citation 4

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

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 Groningen
Downloads 143 (201,092)

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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 Groningen and University of Groningen - Department of Finance & Accounting
Downloads 77 (311,123)
Citation 1

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timberland investments, mean-variance spanning, portfolio management

13.

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 Groningen
Downloads 210 (143,116)
Citation 1

Abstract:

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inflation hedging, Fisher hypothesis, asset allocation, parameter uncertainty

14.

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 Groningen and Zayed University - College of Business
Downloads 168 (175,313)

Abstract:

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inflation hedging, stocks, bonds, T-bills

15.

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 Groningen and University of Wyoming
Downloads 160 (182,748)
Citation 2

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banking competition, Panzar-Rosse method, banking oligopoly

16.

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 and Arthur van Soest
University of Groningen, Tilburg University - Center and Faculty of Economics and Business Administration and Tilburg University
Downloads 134 (211,303)
Citation 2

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

17.

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 Groningen and University of Groningen
Downloads 126 (221,720)
Citation 5

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Pension Reform, Pension Funding, Economic Growth

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 Groningen and University of Groningen - Faculty of Economics and Business
Downloads 68 (334,080)
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 Groningen and University of Groningen - Faculty of Economics and Business
Downloads 48 (396,860)
Citation 1

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

19.
Downloads 38 (274,345)

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 Groningen
Downloads 38 (436,027)

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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: 14 May 2015
Pieter IJtsma and Laura Spierdijk
University of Groningen and University of Groningen
Downloads 92 (276,190)
Citation 4

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Financial stability, market structure, systemic risk

21.

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 Groningen and University of Groningen - Department of Economics
Downloads 74 (315,146)

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

22.

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 Groningen
Downloads 58 (357,817)
Citation 1

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

23.

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 Groningen and University of Groningen - Faculty of Economics and Business
Downloads 53 (373,302)
Citation 7

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24.

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 Groningen
Downloads 50 (383,086)

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

25.

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
University of Groningen, University of Groningen and Center Applied Research, Tilburg University
Downloads 35 (438,916)

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

26.

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 Groningen
Downloads 19 (520,425)

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

27.

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 Groningen, University of Wyoming and University of Wyoming
Downloads 18 (526,208)

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Financial Crisis, Substitution Elasticities, US Commercial Banks

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 Groningen, University of Wyoming and University of Wyoming
Downloads 14 (549,531)

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financial crisis, substitution elasticities, US commercial banks

29.

Estimating Outstanding Claim Liabilities: The Role of Unobserved Risk Factors

Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 803-830, 2014
Number of pages: 28 Posted: 25 Nov 2014
Laura Spierdijk and Ruud H. Koning
University of Groningen and University of Groningen - Department of Economics
Downloads 0 (660,893)
Citation 2
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