Joop Huij

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

P.O. Box 1738

Rotterdam, 3000 DR

Netherlands

Erasmus University - Rotterdam School of Management

P.O. Box 1738

Rotterdam, 3000 DR

Netherlands

http://www.rsm.nl/jhuij

Robeco Quantitative Strategies

Rotterdam, 3011 AG

Netherlands

http://www.robeco.com/quant

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 1,018

SSRN RANKINGS

Top 1,018

in Total Papers Downloads

20,826

CITATIONS
Rank 6,027

SSRN RANKINGS

Top 6,027

in Total Papers Citations

84

Scholarly Papers (25)

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 2,251 (4,441)
Citation 6

Abstract:

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

Abstract:

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

2.
Downloads 2,107 ( 5,099)
Citation 1

Short-Term Residual Reversal

Number of pages: 50 Posted: 18 Aug 2011 Last Revised: 01 Nov 2012
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 2,107 (4,997)
Citation 1

Abstract:

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

Short-Term Residual Reversal

Journal of Financial Markets, Forthcoming
Posted: 26 Oct 2012
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies and Erasmus University - Rotterdam School of Management

Abstract:

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

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 Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 1,798 (6,540)
Citation 2

Abstract:

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 Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and affiliation not provided to SSRN
Downloads 0
Citation 2
  • Add to Cart

Abstract:

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 Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

Abstract:

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

4.
Downloads 1,556 ( 8,542)
Citation 3

Residual Momentum

Number of pages: 60 Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 1,556 (8,383)
Citation 3

Abstract:

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 Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

Abstract:

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

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 1,128 (14,040)
Citation 7

Abstract:

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

Abstract:

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

6.
Downloads 1,039 ( 16,303)
Citation 17

'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 1,039 (16,003)
Citation 17

Abstract:

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

Abstract:

bond mutual funds, performance persistence, active management

7.

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, University of Maryland - Robert H. Smith School of Business and Erasmus University - Rotterdam School of Management
Downloads 907 (17,210)
Citation 12

Abstract:

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

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
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 835 (22,118)
Citation 3

Abstract:

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
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

Abstract:

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

9.

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 Asset Management - Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 808 (20,170)

Abstract:

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

10.

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 781 (18,416)

Abstract:

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

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 Asset Management - Quantitative Strategies and Erasmus University - Rotterdam School of Management
Downloads 726 (27,059)
Citation 1

Abstract:

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 Asset Management - Quantitative Strategies and Erasmus University - Rotterdam School of Management

Abstract:

Exchange-traded funds, Performance evaluation, Tracking error

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 686 (29,280)
Citation 4

Abstract:

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

Abstract:

global fund performance, portfolio concentration, active management

13.

Factor Investing: Long-Only versus Long-Short

Number of pages: 19 Posted: 29 Mar 2014
Erasmus University - Rotterdam School of Management, Robeco Quantitative Strategies, Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 655 (12,761)

Abstract:

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 Koc University - Graduate School of Business
Downloads 565 (38,040)
Citation 2

Abstract:

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 Koc University - Graduate School of Business

Abstract:

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

15.

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 564 (36,446)
Citation 3

Abstract:

Mutual fund flows, marketing, cross-subsidization, favoritism

16.

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 493 (44,059)

Abstract:

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

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 450 (50,940)
Citation 19

Abstract:

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

Abstract:

Mutual funds, Performance persistence, Bayesian analysis

18.

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 443 (42,322)
Citation 1

Abstract:

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

19.

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), Koc University - Graduate School of Business and Erasmus University - Rotterdam School of Management
Downloads 330 (74,589)
Citation 2

Abstract:

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

20.

The Short-Term Corporate Bond Anomaly

Number of pages: 39 Posted: 03 Mar 2008 Last Revised: 16 Aug 2009
Maastricht University - European Centre for Corporate Engagement, Erasmus University - Rotterdam School of Management and APG Asset Management
Downloads 270 (70,123)
Citation 1

Abstract:

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

21.

Is Risk Arbitrage Compensated? Evidence from the European STRIPS Market

Number of pages: 19 Posted: 28 Jun 2010 Last Revised: 02 Jul 2010
Erasmus University - Rotterdam School of Management, University of Florida - Department of Finance, Insurance and Real Estate and Erasmus University Rotterdam (EUR)
Downloads 156 (122,883)

Abstract:

Arbitrage, Bonds, Risk Arbitrage, Strips

22.

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 109 (199,032)

Abstract:

mutual funds, performance-flow relation, managerial turnover

23.

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 0 (68,709)

Abstract:

residual momentum, residual reversal, factor investing

24.

Quality Investing – Industry versus Academic Definitions

Number of pages: 35 Posted: 13 Jun 2016
Erasmus University Rotterdam (EUR), Rotterdam School of Management (RSM), Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Robeco Quantitative Strategies
Downloads 0 (33,044)

Abstract:

quality, factor premiums, return-on-equity, profit margins, leverage, earnings variability, operating accruals, net stock issues, gross profitability

25.

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

Abstract:

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