Guido Baltussen

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

Robeco Asset Management - Quantitative Investing

Rotterdam, 3011 AG

Netherlands

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 465

SSRN RANKINGS

Top 465

in Total Papers Downloads

38,600

CITATIONS
Rank 8,524

SSRN RANKINGS

Top 8,524

in Total Papers Citations

53

Scholarly Papers (14)

1.

Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show

American Economic Review, Vol. 98, No. 1, pp. 38-71, March 2008
Number of pages: 50 Posted: 16 Dec 2004 Last Revised: 21 Feb 2012
Graduate School of Business of Nazarbayev University, VU Amsterdam - School of Business and Economics, Erasmus University Rotterdam (EUR) and University of Chicago - Booth School of Business
Downloads 19,168 (117)
Citation 41

Abstract:

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Decision making under risk, Expected utility theory, Prospect theory

2.

Behavioral Finance: An Introduction

Number of pages: 43 Posted: 18 Oct 2009 Last Revised: 16 Dec 2011
Guido Baltussen
Erasmus University Rotterdam (EUR)
Downloads 8,496 (550)
Citation 2

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behavioral finance, investor psychology, investor behavior, financial markets, market efficiency, individual decision making

3.

Global Factor Premiums

Number of pages: 63 Posted: 06 Feb 2019
Guido Baltussen, Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Asset Management - Quantitative Investing
Downloads 3,184 (3,170)

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Factor premium, Multiple hypothesis testing, P-hacking, Return anomalies, Predictability, Stocks, Bonds, Currencies, Commodities, Value, Momentum, Trend, Carry, Betting-against-beta, Seasonality

4.

Unknown Unknowns: Uncertainty About Risk and Stock Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 76 Posted: 20 Mar 2012 Last Revised: 24 Oct 2014
Guido Baltussen, Sjoerd van Bekkum and Bart van der Grient
Erasmus University Rotterdam (EUR), Erasmus University and Robeco Asset Management - Quantitative Strategies
Downloads 2,488 (4,705)

Abstract:

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asset pricing, stock returns, uncertainty

5.

Exploiting Option Information in the Equity Market

Financial Analysts Journal, Forthcoming
Number of pages: 39 Posted: 08 Feb 2012
Erasmus University Rotterdam (EUR), Robeco Asset Management - Quantitative Strategies, Robeco Asset Management, Robeco Asset Management and Rabobank International, Netherlands
Downloads 1,834 (7,911)

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stock selection, behavioral finance, alpha strategies, equity returns, option markets, stock markets, information spillover, asset pricing

6.

Risky Choice and the Relative Size of Stakes

Number of pages: 31 Posted: 29 May 2007 Last Revised: 06 May 2008
Guido Baltussen, Thierry Post and Martijn J. van den Assem
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and VU Amsterdam - School of Business and Economics
Downloads 870 (25,185)
Citation 5

Abstract:

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Decision making under risk, Framing, Expected utility theory, Prospect theory

7.

Downside Risk Aversion, Fixed Income Exposure, and the Value Premium Puzzle

Journal of Banking and Finance, Vol. 36, No. 12, 2012
Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 22 Jun 2013
Guido Baltussen, Thierry Post and Pim van Vliet
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Robeco Asset Management - Quantitative Investing
Downloads 529 (49,177)
Citation 1

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downside risk, semi-variance, interest rates, fixed income, value premium, asset pricing, behavioral finance, bond returns

8.

Irrational Diversification; An Examination of Individual Portfolio Choice

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 22 Apr 2008 Last Revised: 16 Dec 2011
Guido Baltussen and Thierry Post
Erasmus University Rotterdam (EUR) and Graduate School of Business of Nazarbayev University
Downloads 367 (76,798)
Citation 2

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Diversification, behavioral finance, bounded rationality, diversification, framing, portfolio choice, heuristics

9.

Indexing and Stock Market Serial Dependence Around the World

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 30 May 2016 Last Revised: 05 Oct 2017
Guido Baltussen, Sjoerd van Bekkum and Zhi Da
Erasmus University Rotterdam (EUR), Erasmus University and University of Notre Dame - Mendoza College of Business
Downloads 337 (85,080)

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Return autocorrelation, Stock market indexing, Arbitrage

10.

Random Incentive Systems in a Dynamic Choice Experiment

Experimental Economics, Vol. 15, No. 3, pp. 418-443, September 2012
Number of pages: 32 Posted: 09 Apr 2008 Last Revised: 27 Jul 2012
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University, VU Amsterdam - School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 313 (92,108)
Citation 2

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random incentive system, incentives, experimental measurement, risky choice, risk aversion, dynamic choice, tremble, within-subjects design, between-subjects design

11.

Irrational Diversification: An Examination of the Portfolio Construction Decision

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 5, 2011
Number of pages: 49 Posted: 14 Feb 2009 Last Revised: 16 Dec 2011
Guido Baltussen and Thierry Post
Erasmus University Rotterdam (EUR) and Graduate School of Business of Nazarbayev University
Downloads 290 (100,064)

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diversification, framing, financial economics, naive diversification, 1/n heuristic, behavioral finance, bounded rationality

12.

Path Dependence in Risky Choice: Affective and Deliberative Processes in Brain and Behavior

Journal of Economic Behavior and Organization, Vol. 107 (Part B), pp. 566-581, November 2014
Number of pages: 40 Posted: 28 Jan 2014 Last Revised: 06 Dec 2014
Laurea University of Applied Sciences, Erasmus University Rotterdam (EUR), VU Amsterdam - School of Business and Economics, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), University of Arizona and Erasmus Research Institute of Management (ERIM)
Downloads 268 (108,826)

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house money effect, break even effect, neuroeconomics, functional magnetic resonance imaging (fMRI), brain imaging, risky choice

13.

Violations of Cpt in Mixed Gambles

Management Science, Vol. 52, No. 8, pp. 1288-1290
Number of pages: 17 Posted: 27 Feb 2004
Guido Baltussen, Thierry Post and Pim van Vliet
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Robeco Asset Management - Quantitative Investing
Downloads 253 (115,600)

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Cumulative prospect theory, expected utility, mixed gambles, probability weighting, stochastic dominance

14.

Risky Choice in the Limelight

Review of Economics and Statistics, Vol. 98, No. 2, pp. 318-332, May 2016
Number of pages: 33 Posted: 14 May 2012 Last Revised: 01 May 2016
Erasmus University Rotterdam (EUR), VU Amsterdam - School of Business and Economics and VU Amsterdam - School of Business and Economics
Downloads 203 (143,425)

Abstract:

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decision making under risk, risky choice, risk preferences, risk aversion, ambiguity aversion, limelight, accountability, public scrutiny, experience, game show, natural experiment, laboratory experiment, expected utility theory, prospect theory