Guido Baltussen

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

Northern Trust Corporation - Northern Trust Asset Management

50 South LaSalle Street

Chicago, IL 60603

United States

  • Erasmus University Rotterdam (EUR)

  • Northern Trust Corporation - Northern Trust Asset Management

SCHOLARLY PAPERS

24

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88,821

SSRN CITATIONS
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SSRN RANKINGS

Top 5,475

in Total Papers Citations

207

CROSSREF CITATIONS

99

Ideas:
“  Behavioral Finance, Asset pricing, Factor Premiums, Quantitative Investing  ”

  • Erasmus University Rotterdam (EUR)

  • Northern Trust Corporation - Northern Trust Asset Management

Scholarly Papers (24)

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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
Thierry Post, Martijn J. van den Assem, Guido Baltussen and Richard H. Thaler
Graduate School of Business of Nazarbayev University, Vrije Universiteit Amsterdam, Erasmus University Rotterdam (EUR) and University of Chicago - Booth School of Business
Downloads 20,676 (252)
Citation 10

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Decision making under risk, Expected utility theory, Prospect theory

2.

Global Factor Premiums

Journal of Financial Economics (JFE), Volume 142, Issue 3, December 2021, Pages 1128-1154
Number of pages: 69 Posted: 06 Feb 2019 Last Revised: 24 Nov 2021
Guido Baltussen, Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 14,741 (485)
Citation 28

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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

3.

Behavioral Finance: An Introduction

Number of pages: 43 Posted: 18 Oct 2009 Last Revised: 16 Dec 2011
Guido Baltussen
Erasmus University Rotterdam (EUR)
Downloads 10,761 (859)
Citation 7

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

4.

Hedging Demand and Market Intraday Momentum

Journal of Financial Economics (JFE), Volume 142, Issue 1, October 2021, Pages 377-403
Number of pages: 60 Posted: 26 Jan 2021 Last Revised: 24 Nov 2021
Guido Baltussen, Zhi Da, Sten Lammers and Martin Martens
Erasmus University Rotterdam (EUR), University of Notre Dame - Mendoza College of Business, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam
Downloads 8,334 (1,328)

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Return momentum, Futures trading, Hedging demand, Return Predictability, Indexing

5.

Investing in Deflation, Inflation, and Stagflation Regimes

Financial Analysts Journal, 2023, Vol. 79. No.3., p.5-32.
Number of pages: 45 Posted: 07 Jul 2022 Last Revised: 09 Sep 2023
Guido Baltussen, Laurens Swinkels, Bart van Vliet and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 4,906 (3,283)
Citation 4

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inflation, deflation, stagflation, equity returns, bond returns, factor premiums

6.

When Equity Factors Drop Their Shorts

Financial Analysts Journal, 2020, 76(4): 73–99.
Number of pages: 42 Posted: 26 Nov 2019 Last Revised: 23 Nov 2021
David Blitz, Guido Baltussen and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 4,159 (4,344)
Citation 10

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asset pricing, factor premiums, factor investing, short selling, limits to arbitrage, low volatility, size, value, momentum, profitability, investment, quality

7.

The Volatility Effect Revisited

The Journal of Portfolio Management, 46(2).
Number of pages: 27 Posted: 26 Aug 2019 Last Revised: 13 Sep 2023
David Blitz, Pim van Vliet and Guido Baltussen
Robeco Quantitative Investments, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 3,543 (5,697)
Citation 34

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low risk, low volatility, low beta, minimum variance, anomaly, factor investing, smart beta, low-volatility investing

8.

The Cross-Section of Stock Returns before CRSP

Number of pages: 94 Posted: 24 Nov 2021 Last Revised: 08 Feb 2023
Guido Baltussen, Bart van Vliet and Pim van Vliet
Erasmus University Rotterdam (EUR), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 3,242 (6,593)
Citation 2

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empirical asset pricing, return anomalies, machine learning, factor premiums, p-hacking, momentum, value, beta, low volatility, size

9.

Predicting Bond Returns: 70 Years of International Evidence

Financial Analysts Journal, 2021, 77(3): 133-155.
Number of pages: 40 Posted: 24 Jun 2020 Last Revised: 23 Nov 2021
Guido Baltussen, Martin Martens and Olaf Penninga
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 3,217 (6,677)
Citation 3

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return predictability, asset pricing, market efficiency, bond risk premia, momentum, value, carry.

10.

Unknown Unknowns: Uncertainty About Risk and Stock Returns

Journal of Financial and Quantitative Analysis, 53(4), p.1615-1651, 2018. , Journal of Financial and Quantitative Analysis, 53(4), p.1615-1651, 2018.
Number of pages: 76 Posted: 20 Mar 2012 Last Revised: 29 Nov 2021
Guido Baltussen, Sjoerd van Bekkum and Bart van der Grient
Erasmus University Rotterdam (EUR), Erasmus University and Robeco Quantitative Investments
Downloads 2,890 (7,885)
Citation 24

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asset pricing, stock returns, uncertainty

11.

Equity Styles and the Spanish Flu

Number of pages: 6 Posted: 27 Apr 2020 Last Revised: 20 Oct 2022
Guido Baltussen, Pim van Vliet and Bart van Vliet
Erasmus University Rotterdam (EUR), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 2,399 (10,555)

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equity styles, equity factors, low volatility, value, size, momentum, crises, pandemics

12.

Exploiting Option Information in the Equity Market

Financial Analyst Journal 68(4), p. 56–72, 2012.
Number of pages: 39 Posted: 08 Feb 2012 Last Revised: 29 Nov 2021
Guido Baltussen, Bart van der Grient, Wilma de Groot, Weili Zhou and Erik Hennink
Erasmus University Rotterdam (EUR), Robeco Quantitative Investments, Robeco Asset Management, Robeco Asset Management and Rabobank International, Netherlands
Downloads 2,138 (12,717)

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

13.

The Equity Derivative Payoff Bias

Number of pages: 49 Posted: 20 Sep 2023 Last Revised: 28 Sep 2023
Guido Baltussen, Julian Terstegge and Paul Whelan
Erasmus University Rotterdam (EUR), Copenhagen Business School and The Chinese University of Hong Kong
Downloads 1,679 (18,596)

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Stocks, Derivatives, Futures, Market Microstructure, Market Design

14.

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence

Journal of Portfolio Management, 48(2), 209-225.
Number of pages: 24 Posted: 25 Jun 2021 Last Revised: 13 Sep 2023
Guido Baltussen, Martin Martens and Olaf Penninga
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 1,385 (24,890)
Citation 1

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factor investing, bond risk premia, asset pricing, market efficiency, momentum, value, carry, low-risk

15.

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 Vrije Universiteit Amsterdam
Downloads 961 (42,130)
Citation 8

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

16.

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 Quantitative Investments
Downloads 630 (74,005)
Citation 1

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

17.

Indexing and Stock Market Serial Dependence Around the World

Journal of Financial Economics (JFE), 132(1), p. 26-48, 2019.
Number of pages: 49 Posted: 30 May 2016 Last Revised: 29 Nov 2021
Guido Baltussen, Sjoerd van Bekkum and Zhi Da
Erasmus University Rotterdam (EUR), Erasmus University and University of Notre Dame - Mendoza College of Business
Downloads 555 (86,637)
Citation 12

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Return autocorrelation, Stock market indexing, Arbitrage

18.

Caught by Surprise: How Markets Respond to Macroeconomic News

Number of pages: 70 Posted: 06 Apr 2022 Last Revised: 21 Mar 2023
Guido Baltussen and Amar Soebhag
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 488 (101,536)

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Macroeconomic news, Surprises, Return Predictability, Momentum

19.

Irrational Diversification; An Examination of Individual Portfolio Choice

Journal of Financial and Quantitative Analysis 46(5), p. 1463-1491, 2011.
Number of pages: 49 Posted: 22 Apr 2008 Last Revised: 29 Nov 2021
Guido Baltussen and Thierry Post
Erasmus University Rotterdam (EUR) and Graduate School of Business of Nazarbayev University
Downloads 437 (115,674)
Citation 11

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

20.

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 369 (140,355)
Citation 3

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

21.

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
Guido Baltussen, Thierry Post, Martijn J. van den Assem and Peter P. Wakker
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University, Vrije Universiteit Amsterdam and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 365 (142,048)
Citation 3

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

22.

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
Guido Baltussen, Martijn J. van den Assem and Dennie van Dolder
Erasmus University Rotterdam (EUR), Vrije Universiteit Amsterdam and University of Essex - Department of Economics
Downloads 320 (163,713)
Citation 2

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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

23.

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
Kaisa Hytönen, Guido Baltussen, Martijn J. van den Assem, Vasily Klucharev, Alan G. Sanfey and A. Smidts
Laurea University of Applied Sciences, Erasmus University Rotterdam (EUR), Vrije Universiteit Amsterdam, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), University of Arizona and Erasmus Research Institute of Management (ERIM)
Downloads 313 (167,598)
Citation 2

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

24.

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 Quantitative Investments
Downloads 313 (167,598)

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