Lieven Baele

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

19

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12,685

CITATIONS
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236

Scholarly Papers (19)

1.
Downloads 3,271 ( 3,027)
Citation 50

The Determinants of Stock and Bond Return Comovements

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 67 Posted: 05 Oct 2010
Lieven Baele, Geert Bekaert and Koen Inghelbrecht
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
Downloads 3,235 (3,023)
Citation 50

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factor models, stock-bond return correlation, macroeconomic factors, new-Keynesian models, structural VAR, liquidity, flight-to-safety

The Determinants of Stock and Bond Return Comovements

NBER Working Paper No. w15260
Number of pages: 59 Posted: 18 Aug 2009 Last Revised: 13 Sep 2010
Lieven Baele, Geert Bekaert and Koen Inghelbrecht
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics
Downloads 36 (440,449)
Citation 50

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2.
Downloads 1,250 ( 15,018)
Citation 1

Flights to Safety

National Bank of Belgium Working Paper No. 230
Number of pages: 75 Posted: 13 Oct 2012 Last Revised: 16 Jan 2019
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 1,032 (19,688)
Citation 1

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Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

FEDS Working Paper No. 2014-46
Number of pages: 59 Posted: 29 Jun 2014
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 86 (287,981)
Citation 1

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flight-to-safety, flight-to-quality, stock-bond return correlation, liquidity, hedge funds

Flights to Safety

Columbia Business School Research Paper No. 18-58
Number of pages: 75 Posted: 19 Jul 2018 Last Revised: 16 Jan 2019
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 65 (339,090)
Citation 1

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Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

Netspar Discussion Paper No. 05/2013-034
Number of pages: 72 Posted: 19 Oct 2013 Last Revised: 16 Jan 2019
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 59 (356,500)
Citation 1

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Flight-to-Safety, Flight-to-Quality, Stock-Bond Return Correlation, Liquidity, Hedge Funds

Flights to Safety

NBER Working Paper No. w19095
Number of pages: 76 Posted: 31 May 2013
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, Ghent University - Department of Economics and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 8 (604,421)
Citation 1

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Does the Stock Market Value Bank Diversification?

Number of pages: 29 Posted: 22 Feb 2006
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 863 (25,652)
Citation 38

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Second Banking Directive, diversification, bank stock returns, charter value, risk factors

Does the Stock Market Value Bank Diversification?

Journal of Banking & Finance, Vol. 31, No. 7, pp. 1999-2023, July 2007
Posted: 21 Sep 2006 Last Revised: 27 Jan 2008
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Ghent University-Universiteit Gent - Department of Financial Economics

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Second Banking Directive, diversification, bank stock returns, charter value, risk factors

Volatility Spillover Effects in European Equity Markets

Number of pages: 54 Posted: 09 Mar 2002
Lieven Baele
Tilburg University - Department of Finance
Downloads 841 (26,629)
Citation 70

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Volatility Spillovers, Regime Switching, Contagion, EMU, Financial Integration

Volatility Spillover Effects in European Equity Markets

Journal of Financial and Quantitative Analysis, Vol. 40, No. 2, June 2005
Posted: 20 Jun 2006
Lieven Baele
Tilburg University - Department of Finance

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Volatility Spillovers, Regime Switching, Contagion, EMU, Financial Integration

5.

Bank Risks and the Business Cycle

University of Ghent Working Paper No. 04/264
Number of pages: 35 Posted: 09 Nov 2004
Ghent University-Universiteit Gent - Department of Financial Economics, Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 775 (30,286)
Citation 2

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Bank risk, business cycle

6.
Downloads 676 ( 36,483)

Macroeconomic Regimes

Journal of Monetary Economics, Vol. 70, pp. 51-71, 2015
Number of pages: 55 Posted: 26 May 2011 Last Revised: 23 Jun 2015
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 619 (40,450)

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Monetary policy, regime-switching, survey expectations, New-Keynesian models, Great Moderation, macroeconomic volatility, Phillips Curve, Determinacy

Macroeconomic Regimes

Netspar Discussion Paper No. 05/2011-071
Number of pages: 54 Posted: 31 Aug 2011
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 38 (431,849)

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monetary policy, regime-switching, survey expectations, new-keynesian models, great moderation, macroeconomic volatility, Phillips curve

Macroeconomic Regimes

NBER Working Paper No. w17090
Number of pages: 54 Posted: 31 May 2011
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics, School of Economics, Yonsei University, Ghent University - Department of Economics and School of Economics and Business, University of Navarra
Downloads 19 (533,260)

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Cumulative Prospect Theory, Option Returns, and the Variance Premium

Number of pages: 82 Posted: 21 Mar 2014 Last Revised: 17 Jun 2018
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration, Frankfurt School of Finance & Management gemeinnützige GmbH, Federal Reserve Board of Governors and Tilburg University - Department of Finance
Downloads 484 (55,648)

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Cumulative prospect theory, variance risk premium, probability weighting

Cumulative Prospect Theory and the Variance Premium

Netspar Discussion Paper No. 12/2014-067
Number of pages: 45 Posted: 14 Feb 2015
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration, Federal Reserve Board of Governors and Tilburg University - Department of Finance
Downloads 86 (287,981)
Citation 1

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Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium

Cumulative Prospect Theory and the Variance Premium

Number of pages: 45 Posted: 02 Nov 2014 Last Revised: 12 Dec 2014
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration, Federal Reserve Board of Governors and Tilburg University - Department of Finance
Downloads 78 (305,806)
Citation 1

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Cumulative prospect theory, distorted probabilities, loss aversion, variance risk premium.

Of Religion and Redemption: Evidence from Default on Islamic Loans

CentER Discussion Paper Series No. 2012-014, European Banking Center Discussion Paper No. 2012-008
Number of pages: 66 Posted: 17 Jan 2011 Last Revised: 19 Feb 2014
Lieven Baele, Moazzam Farooq and Steven Ongena
Tilburg University - Department of Finance, Central Bank of Oman and University of Zurich - Department of Banking and Finance
Downloads 636 (38,953)
Citation 4

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Loan Default, Islamic Loans, Religion, Duration Analysis

Of Religion and Redemption: Evidence from Default on Islamic Loans

CEPR Discussion Paper No. DP8504
Number of pages: 68 Posted: 12 Aug 2011
Lieven Baele, Moazzam Farooq and Steven Ongena
Tilburg University - Department of Finance, Central Bank of Oman and University of Zurich - Department of Banking and Finance
Downloads 2 (650,813)
Citation 4
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Duration Analysis, Islamic Loans, Loan Default, Religion

9.

Time-Varying Integration and International Diversification Strategies

EFA 2006 Zurich Meetings Paper
Number of pages: 53 Posted: 20 Mar 2008
Lieven Baele and Koen Inghelbrecht
Tilburg University - Department of Finance and Ghent University - Department of Economics
Downloads 630 (40,064)
Citation 11

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International portfolio diversification, Country versus industry effects, Financial integration, Idiosyncratic risk, Time-varying correlations, Regime-switching models.

10.
Downloads 617 ( 41,194)
Citation 24

Measuring European Financial Integration

ECB Occasional Paper No. 14
Number of pages: 98 Posted: 16 Aug 2005
Tilburg University - Department of Finance, European Central Bank (ECB), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and Federal Reserve Bank of Philadelphia
Downloads 617 (40,610)
Citation 24

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Financial integration, EMU, law of one price

Measuring European Financial Integration

Oxford Review of Economic Policy, Vol. 20, No. 4, pp. 509-530, 2004
Posted: 23 Jun 2006
Tilburg University - Department of Finance, European Central Bank (ECB), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and Federal Reserve Bank of Philadelphia

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Financial Integration, Home Bias, Price Differentials

11.

Time-Varying Integration, Interdependence and Contagion

Number of pages: 35 Posted: 27 Sep 2006
Lieven Baele and Koen Inghelbrecht
Tilburg University - Department of Finance and Ghent University - Department of Economics
Downloads 402 (70,584)
Citation 2

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Contagion, Financial integration, Volatility spillover models, Time-varying correlations, Regime-switching models

Model Uncertainty, Financial Market Integration and the Home Bias Puzzle

Number of pages: 39 Posted: 31 Jul 2006 Last Revised: 28 Jan 2008
Lieven Baele, Crina Pungulescu and Jenke ter Horst
Tilburg University - Department of Finance, Toulouse Business School - Barcelona Campus and TIAS School for Business and Society
Downloads 395 (71,419)
Citation 10

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Home Bias, Market Integration, Euro, Model Uncertainty

Model Uncertainty, Financial Market Integration and the Home Bias Puzzle

Journal of International Money and Finance, Vol. 26, No. 4, 2007
Posted: 26 Jun 2007
Lieven Baele, Crina Pungulescu and Jenke ter Horst
Tilburg University - Department of Finance, Toulouse Business School - Barcelona Campus and TIAS School for Business and Society

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Home Bias, Market Integration, Euro, Model Uncertainty

13.

Bank Risk Strategies and Cyclical Variation in Bank Stock Returns

Ghent University Economics & Business Working Paper
Number of pages: 47 Posted: 25 Mar 2004
Tilburg University - Department of Finance, Ghent University-Universiteit Gent - Department of Financial Economics and Single Resolution Board
Downloads 380 (75,370)
Citation 3

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Bank Risk, Financial Conglomerates, Capital Adequacy, Regime-Switching Models, Basel II

14.

Stock-Bond Correlations, Macroeconomic Regimes and Monetary Policy

Number of pages: 78 Posted: 27 Nov 2017
Lieven Baele and Frederiek Van Holle
Tilburg University - Department of Finance and Degroof Petercam Asset Management
Downloads 355 (81,598)

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Stock-Bond Return Correlation, Inflation/Output Regimes, Monetary

15.

Do Stock Markets Discipline US Bank Holding Companies: Just Monitoring, or also Influencing?

Number of pages: 52 Posted: 10 Jul 2010 Last Revised: 13 Sep 2011
Tilburg University - Department of Finance, Ghent University - Department of Financial Economics, Tilburg University - Department of Finance and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 262 (113,723)
Citation 2

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monitoring, influencing, stochastic frontier, multiplicative heteroscedasticity regression, partial adjustment, opaqueness, earnings forecast dispersion, bank risk

16.

An Anatomy of Central and Eastern European Equity Markets

Columbia Business School Research Paper No. 15-71
Number of pages: 81 Posted: 29 Jul 2015
Lieven Baele, Geert Bekaert and Larissa Schäfer
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Frankfurt School of Finance & Management
Downloads 219 (136,152)

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Central and Eastern Europe, Financial Integration, Equity Market Development, International Diversification, Correlation Dynamics, Cross-Sectional Strategies, Parametric Portfolio Choice

17.

Understanding Industry Betas

Number of pages: 45 Posted: 22 Feb 2013
Lieven Baele and Juan M. Londono
Tilburg University - Department of Finance and Federal Reserve Board of Governors
Downloads 181 (162,526)

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industry betas, component models, kernel, DCC-MIDAS, dispersion in betas, stock return predictability, minimum variance strategies

18.

Model Uncertainty and Systematic Risk in US Banking

Number of pages: 51 Posted: 14 Feb 2013
Tilburg University - Department of Finance, Ghent University - Department of Financial Economics, Tilburg University - Department of Finance and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 166 (175,482)

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Bayesian model average, bank risk, systematic risk, bank stock returns, bank supervision, fi…nancial stability

19.

Appendix to Time-Varying Integration and International Diversification Strategies

Number of pages: 22 Posted: 09 Apr 2007
Lieven Baele and Koen Inghelbrecht
Tilburg University - Department of Finance and Ghent University - Department of Economics
Downloads 116 (233,655)
Citation 8

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International portfolio diversification, Country versus Industry Effects, Financial integration, Idiosyncratic risk, Time-Varying Correlations, Regime-switching models