Joop Huij

Erasmus University - Rotterdam School of Management

P.O. Box 1738

Rotterdam, 3000 DR

Netherlands

http://www.rsm.nl/jhuij

Robeco

Rotterdam, 3014DA

Netherlands

http://www.robeco.com/

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738

Rotterdam, 3000 DR

Netherlands

  • Erasmus University - Rotterdam School of Management

SCHOLARLY PAPERS

27

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28,157

SSRN CITATIONS
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Top 8,484

in Total Papers Citations

74

CROSSREF CITATIONS

56

Scholarly Papers (27)

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1.

Another Look at Trading Costs and Short-Term Reversal Profits

Downloads 3,226 ( 3,544)
Citation 10

Another Look at Trading Costs and Short-Term Reversal Profits

Number of pages: 44 Posted: 15 May 2010 Last Revised: 26 Jul 2011
Wilma de Groot, Joop Huij and Weili Zhou
Robeco Asset Management, Erasmus University - Rotterdam School of Management and Robeco Asset Management
Downloads 3,226 (3,475)
Citation 10

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market efficieny, anomalies, short-term reversal, portfolio construction, market impact, transaction costs, liquidity

Another Look at Trading Costs and Short-Term Reversal Profits

Journal of Banking and Finance, Vol. 36, No. 2, 2012
Posted: 22 Nov 2011
Wilma de Groot, Joop Huij and Weili Zhou
Robeco Asset Management, Erasmus University - Rotterdam School of Management and Robeco Asset Management

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market efficieny, anomalies, short-term reversal, portfolio construction, market impact, transaction costs, liquidity

2.

Residual Momentum

Downloads 2,704 ( 4,785)

Residual Momentum

Number of pages: 60 Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 2,704 (4,690)
Citation 5

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momentum, time-varying risk, stock-specific returns, residual returns

Residual Momentum

Journal of Empirical Finance, Vol. 18, 2011
Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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momentum, time-varying risk, stock-specific returns, residual returns

3.

Short-Term Residual Reversal

Downloads 2,530 ( 5,351)

Short-Term Residual Reversal

Number of pages: 50 Posted: 18 Aug 2011 Last Revised: 01 Nov 2012
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 2,530 (5,253)
Citation 1

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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

Short-Term Residual Reversal

Journal of Financial Markets, Forthcoming
Posted: 26 Oct 2012
David Blitz, Joop Huij, Simon Lansdorp and Marno Verbeek
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management

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short-term reversal, dynamic risks, residual returns, trading costs, market efficiency

4.

The Performance of European Index Funds and Exchange-Traded Funds

Downloads 1,975 ( 8,126)
Citation 9

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 1,975 (7,960)
Citation 1

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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, Vol. 18, Issue 4, pp. 649-662, 2012
Number of pages: 14 Posted: 23 Aug 2012
David Blitz, Joop Huij and Laurens Swinkels
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and affiliation not provided to SSRN
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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

5.

Factor Investing: Long-Only versus Long-Short

Number of pages: 19 Posted: 29 Mar 2014
Joop Huij, Simon Lansdorp, David Blitz and Pim van Vliet
Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies, Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,952 (8,290)
Citation 11

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6.

On the Use of Multifactor Models to Evaluate Mutual Fund Performance

Downloads 1,172 ( 18,536)
Citation 4

On the Use of Multifactor Models to Evaluate Mutual Fund Performance

EFA 2006 Meetings Paper, ERIM Research Paper Series
Number of pages: 47 Posted: 06 Jun 2006 Last Revised: 04 Feb 2008
Marno Verbeek and Joop Huij
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management
Downloads 1,172 (18,197)
Citation 4

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mutual fund performance, model misspecification, value premium, momentum premium

On the Use of Multifactor Models to Evaluate Mutual Fund Performance

Financial Management, Spring 2009
Posted: 23 Nov 2007 Last Revised: 06 May 2009
Joop Huij and Marno Verbeek
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management

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mutual fund performance, model misspecification, value premium, momentum premium

7.

Does Earnings Growth Drive the Quality Premium?

Number of pages: 47 Posted: 13 Jun 2016 Last Revised: 16 Jan 2020
Georgi Kyosev, Matthias X. Hanauer, Joop Huij and Simon Lansdorp
Erasmus University Rotterdam (EUR), Rotterdam School of Management (RSM), Technische Universität München (TUM), Erasmus University - Rotterdam School of Management and Robeco Quantitative Strategies
Downloads 1,157 (18,902)

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quality, factor premiums, earnings growth, return-on-equity, profit margins, leverage, earnings variability, operating accruals, investments, gross profitability

8.

Are the Fama-French Factors Really Compensations for Distress Risk?

Number of pages: 77 Posted: 14 May 2011 Last Revised: 02 Jun 2015
Wilma de Groot and Joop Huij
Robeco Asset Management and Erasmus University - Rotterdam School of Management
Downloads 1,118 (19,866)
Citation 5

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book-to-market effect, value anomaly, market efficiency, default risk, bankruptcy, credit spread, bond spread, distress risk, credit rating, size effect

9.

Do Higher-Moment Equity Risks Explain Hedge Fund Returns?

Robert H. Smith School Research Paper No. RHS 06-153
Number of pages: 54 Posted: 21 Mar 2008 Last Revised: 30 Jan 2011
Vikas Agarwal, Gurdip Bakshi and Joop Huij
Georgia State University, Fox School of Business and Erasmus University - Rotterdam School of Management
Downloads 1,108 (20,156)
Citation 27

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volatility risk, skewness risk, kurtosis risk, higher moments, exposures, hedge funds, alphas

10.

'Hot Hands' in Bond Funds

Downloads 1,105 ( 20,230)
Citation 14

'Hot Hands' in Bond Funds

ERIM Research Paper Series
Number of pages: 34 Posted: 26 Aug 2005
Jeroen Derwall and Joop Huij
Maastricht University - European Centre for Corporate Engagement and Erasmus University - Rotterdam School of Management
Downloads 1,105 (19,876)
Citation 14

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bond mutual funds, performance persistence, active management

'Hot Hands' in Bond Funds

Journal of Banking and Finance, Vol. 32, pp. 559-572, 2008
Posted: 19 Apr 2007 Last Revised: 24 Apr 2008
Jeroen Derwall and Joop Huij
Maastricht University - European Centre for Corporate Engagement and Erasmus University - Rotterdam School of Management

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bond mutual funds, performance persistence, active management

11.

Factor Investing from Concept to Implementation

The Journal of Portfolio Management, Quantitative Special Issue 2019
Number of pages: 18 Posted: 11 Jan 2019 Last Revised: 10 Oct 2019
Eduard Van Gelderen, Joop Huij and Georgi Kyosev
Erasmus University Rotterdam (EUR) - Department of Financial Management, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR), Rotterdam School of Management (RSM)
Downloads 1,042 (22,060)

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factor investing, small cap, value, momentum, low-risk, profitability, investments, fund flows

12.

Residual Momentum and Reversal Strategies Revisited

Number of pages: 16 Posted: 09 Mar 2017
Joop Huij and Simon Lansdorp
Erasmus University - Rotterdam School of Management and Robeco Quantitative Strategies
Downloads 989 (23,851)
Citation 1

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residual momentum, residual reversal, factor investing

13.

Another Look at the Performance of Actively Managed Equity Mutual Funds

Number of pages: 43 Posted: 14 Feb 2012 Last Revised: 05 Feb 2013
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management
Downloads 970 (24,548)

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mutual fund performance, active versus passive, persistence, index funds, momentum

14.

REIT Momentum and the Performance of Real Estate Mutual Funds

Downloads 901 ( 27,271)

REIT Momentum and the Performance of Real Estate Mutual Funds

ERIM Report Series Reference
Number of pages: 34 Posted: 17 Jul 2008 Last Revised: 10 Jun 2009
Jeroen Derwall, Joop Huij, Dirk Brounen and Wessel Marquering
Maastricht University - European Centre for Corporate Engagement, Erasmus University - Rotterdam School of Management, Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 901 (26,837)
Citation 5

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momentum, performance, mutual funds, REITs

REIT Momentum and the Performance of Real Estate Mutual Funds

Financial Analysts Journal, Vol. 65, No. 5, 2009
Posted: 08 Oct 2009
Jeroen Derwall, Joop Huij, Dirk Brounen and Wessel Marquering
Maastricht University - European Centre for Corporate Engagement, Erasmus University - Rotterdam School of Management, Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University Rotterdam (EUR) - Department of Financial Management

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Alternative Investments, Real Estate, Equity Investments, Fundamental Analysis and Valuation Models, Performance Measurement and Evaluation, Performance Attribution, Portfolio Management, Equity Strategies

15.

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Downloads 798 ( 32,397)
Citation 5

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Number of pages: 29 Posted: 10 Feb 2011 Last Revised: 13 Jan 2012
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management
Downloads 798 (31,901)
Citation 5

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passive investing, index fund, ETF, emerging markets, performance evaluation, dividend taxes, tracking error

Evaluating the Performance of Global Emerging Markets Equity Exchange-Traded Funds

Emerging Markets Review, Vol. 13, pp. 149-158, 2012
Posted: 06 Mar 2012
David Blitz and Joop Huij
Robeco Quantitative Investments and Erasmus University - Rotterdam School of Management

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Exchange-traded funds, Performance evaluation, Tracking error

16.

Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management

Downloads 749 ( 35,331)
Citation 3

Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management

ERIM Report Series Reference
Number of pages: 42 Posted: 18 Aug 2009 Last Revised: 25 May 2010
Joop Huij and Jeroen Derwall
Erasmus University - Rotterdam School of Management and Maastricht University - European Centre for Corporate Engagement
Downloads 749 (34,791)
Citation 3

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global fund performance, portfolio concentration, active management

Global Equity Fund Performance, Portfolio Concentration, and the Fundamental Law of Active Management

Journal of Banking and Finance, Vol. 35, 2011
Posted: 13 Feb 2011
Joop Huij and Jeroen Derwall
Erasmus University - Rotterdam School of Management and Maastricht University - European Centre for Corporate Engagement

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global fund performance, portfolio concentration, active management

17.

Mutual Fund Performance Persistence, Market Efficiency, and Breadth

Number of pages: 38 Posted: 26 Oct 2012
Joop Huij and Simon Lansdorp
Erasmus University - Rotterdam School of Management and Robeco Quantitative Strategies
Downloads 642 (43,486)
Citation 4

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mutual funds, performance persistence, breadth, market efficiency, return dispersion, active management

18.

Spillover Effects of Marketing in Mutual Fund Families

ERIM Report Series, EFA 2007 Ljubljana Meetings Paper
Number of pages: 44 Posted: 25 Jan 2007 Last Revised: 08 Jun 2010
Marno Verbeek and Joop Huij
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management
Downloads 610 (46,495)
Citation 2

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Mutual fund flows, marketing, cross-subsidization, favoritism

19.

On the Performance of Emerging Market Equity Mutual Funds

Downloads 603 ( 47,199)
Citation 6

On the Performance of Emerging Market Equity Mutual Funds

Number of pages: 35 Posted: 17 Aug 2008 Last Revised: 29 Mar 2011
Joop Huij and Thierry Post
Erasmus University - Rotterdam School of Management and Graduate School of Business of Nazarbayev University
Downloads 603 (46,545)
Citation 6

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mutual funds, emerging markets, performance persistence, momentum

On the Performance of Emerging Market Equity Mutual Funds

Emerging Markets Review, Vol. 12, 2011
Posted: 01 May 2011
Joop Huij and Thierry Post
Erasmus University - Rotterdam School of Management and Graduate School of Business of Nazarbayev University

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emerging markets, equity mutual funds, performance persistence, size effect, value effect, momentum

20.

Price Response to Factor Index Additions and Deletions

Number of pages: 31 Posted: 03 Oct 2016 Last Revised: 11 Jan 2018
Joop Huij and Georgi Kyosev
Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR), Rotterdam School of Management (RSM)
Downloads 601 (47,427)

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demand curves, factor premiums, low volatility, MSCI Minimum Volatility index, abnormal returns, abnormal volume, earnings change

21.

New Insights Into Mutual Funds: Performance and Family Strategies

ERIM Series Research in Management No. 99
Number of pages: 199 Posted: 07 Feb 2007
Joop Huij
Erasmus University - Rotterdam School of Management
Downloads 525 (56,280)

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mutual funds, bond funds, performance evaluation, performance persistence, benchmark misspecification, marketing, cross-subsidization, favoritism

22.

Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance

Downloads 478 ( 63,268)
Citation 22

Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance

ERIM Research Paper Series
Number of pages: 40 Posted: 23 Jul 2004
Marno Verbeek and Joop Huij
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management
Downloads 478 (62,611)
Citation 22

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Mutual funds, performance persistence, Bayesian analysis

Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance

Journal of Banking and Finance, Vol. 31, pp. 973-997, 2007
Posted: 19 Dec 2006
Marno Verbeek and Joop Huij
Erasmus University - Rotterdam School of Management and Erasmus University - Rotterdam School of Management

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Mutual funds, Performance persistence, Bayesian analysis

23.

The Short-Term Corporate Bond Anomaly

Number of pages: 39 Posted: 03 Mar 2008 Last Revised: 16 Aug 2009
Jeroen Derwall, Joop Huij and Gerben J. de Zwart
Maastricht University - European Centre for Corporate Engagement, Erasmus University - Rotterdam School of Management and APG Asset Management
Downloads 455 (67,236)
Citation 8

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asset pricing, corporate bond returns, factor models, mutual funds

24.

Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds

ERIM Report Series
Number of pages: 38 Posted: 06 Mar 2007 Last Revised: 29 Apr 2008
Martin Martens, Thierry Post and Joop Huij
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Erasmus University - Rotterdam School of Management
Downloads 357 (89,436)

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mutual funds, performance persistence, momentum, time-varying risk exposures

25.

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 255 (128,852)

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Arbitrage, Bonds, Risk Arbitrage, Strips

26.

Managerial Turnover and the Behavior of Mutual Fund Investors

Number of pages: 34 Posted: 26 Oct 2012
Joop Huij, Simon Lansdorp and Marno Verbeek
Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 135 (227,958)
Citation 1

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mutual funds, performance-flow relation, managerial turnover

27.

Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies?

Posted: 19 Jul 2013 Last Revised: 14 Jul 2014
Eduard Van Gelderen and Joop Huij
Erasmus University Rotterdam (EUR) - Department of Financial Management and Erasmus University - Rotterdam School of Management

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intellectual capital, mutual fund performance, asset pricing anomalies, out-of-sample testing, factor investing, low-risk, small cap, value, momentum, short-term reversal, long-term reversal