Otto Van Hemert

Man AHL

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 193

SSRN RANKINGS

Top 193

in Total Papers Downloads

52,537

CITATIONS
Rank 2,451

SSRN RANKINGS

Top 2,451

in Total Papers Citations

228

Scholarly Papers (10)

1.

Understanding the Subprime Mortgage Crisis

Number of pages: 40 Posted: 10 Oct 2007 Last Revised: 20 Jun 2009
Yuliya S. Demyanyk and Otto Van Hemert
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Man AHL
Downloads 41,942 (19)
Citation 188

Abstract:

mortgage, subprime, delinquency, foreclosure

2.
Downloads 1,415 ( 8,510)
Citation 18

Mortgage Timing

Number of pages: 67 Posted: 23 Dec 2008 Last Revised: 02 Oct 2015
New York University (NYU) - Department of Finance, Man AHL and New York University Stern School of Business, Department of Finance
Downloads 1,381 (10,274)
Citation 18

Abstract:

Mortgage Timing

NBER Working Paper No. w13361
Number of pages: 53 Posted: 10 Sep 2007 Last Revised: 06 Jul 2010
New York University (NYU) - Department of Finance, Man AHL and New York University Stern School of Business, Department of Finance
Downloads 34 (393,211)
Citation 18

Abstract:

3.

Pricing of Commercial Real Estate Securities during the 2007-2009 Financial Crisis

Number of pages: 77 Posted: 08 Sep 2009 Last Revised: 29 Jul 2011
Joost Driessen and Otto Van Hemert
Tilburg University - Department of Finance and Man AHL
Downloads 1,331 (9,628)

Abstract:

Mortgage, CMBS, CMBX, REIT, Market Efficiency, Financial Crisis, Commercial Real Estate

4.

How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments

Review of Finance, Forthcoming
Number of pages: 47 Posted: 22 Mar 2010 Last Revised: 09 Jul 2011
Joost Driessen, Tse-Chun Lin and Otto Van Hemert
Tilburg University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and Man AHL
Downloads 904 (16,868)
Citation 1

Abstract:

52-week high, 52-week low, implied volatility, beta, volatility, anchoring, prospect theory, investor attention, barrier, support level, resistance level

5.

Hedging House Price Risk: Portfolio Choice With Housing Futures

Number of pages: 49 Posted: 13 Jun 2005 Last Revised: 17 May 2015
Frank De Jong, Joost Driessen and Otto Van Hemert
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Man AHL
Downloads 674 (27,489)
Citation 9

Abstract:

Housing futures, portfolio choice, mortgage

6.
Downloads 653 ( 32,092)
Citation 12

Household Interest Rate Risk Management

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 55 Posted: 15 Mar 2006 Last Revised: 23 Feb 2009
Otto Van Hemert
Man AHL
Downloads 652 (31,682)
Citation 12

Abstract:

portfolio choice, mortgage, housing, term structure of interest rates

Household Interest Rate Risk Management

Real Estate Economics, Vol. 38, No. 3, pp. 467-505, Fall 2010
Number of pages: 39 Posted: 18 Aug 2010
Otto Van Hemert
Man AHL
Downloads 1 (579,542)
Citation 12
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Abstract:

7.

The MOM-TOM Effect: Detecting the Market Impact of CTA Trading

Number of pages: 12 Posted: 30 Oct 2014
Otto Van Hemert
Man AHL
Downloads 606 (17,219)

Abstract:

momentum, trend following, CTA, managed futures, market impact, calendar effect, crowded trade, market efficiency, trading strategy, hedge fund

8.

The Best Strategies for the Worst Crises

Number of pages: 23 Posted: 16 Jun 2017
Man AHL, Man AHL, Man AHL, Numeric Investors and Man AHL
Downloads 0 (25,217)

Abstract:

trend following, quality, momentum, crisis hedge, crisis alpha, futures, equities

9.

Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance

Duke I&E Research Paper No. 2017-01
Number of pages: 20 Posted: 07 Dec 2016 Last Revised: 19 May 2017
Duke University - Fuqua School of Business, Man AHL, Man AHL and Man AHL
Downloads 0 (11,719)

Abstract:

Hedge Funds, Systematic Trading, Discretionary Trading, Alpha, Market Efficiency, Risk Factors, Asset Allocation, Algorithm Aversion

10.

Trend Following: Equity and Bond Crisis Alpha

Number of pages: 19 Posted: 30 Aug 2016
Carl Hamill, Sandy Rattray and Otto Van Hemert
Man AHL, Man AHL and Man AHL
Downloads 0 (11,989)

Abstract:

trend following, momentum, crisis alpha, skewness