Evert B. Vrugt

VU University Amsterdam, PGO-IM

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

6

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Top 2,149

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27,317

SSRN CITATIONS
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Top 5,365

in Total Papers Citations

179

CROSSREF CITATIONS

157

Scholarly Papers (6)

1.
Downloads 18,414 ( 352)
Citation 16

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 16,719 (424)
Citation 4

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Carry Trade, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Global Recessions

Carry

Chicago Booth Research Paper No. 15-20
Number of pages: 67 Posted: 19 Jul 2015 Last Revised: 01 Nov 2016
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 1,242 (31,066)
Citation 11

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Carry Trade, Predictability, Stocks, Bonds, Currencies, Commodities, Corporate Bonds, Options, Global Recessions, Liquidity Risk, Volatility Risk

Carry

NBER Working Paper No. w19325
Number of pages: 65 Posted: 17 Aug 2013 Last Revised: 22 Apr 2023
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 445 (120,903)

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Carry

CEPR Discussion Paper No. DP9771
Number of pages: 66 Posted: 02 Dec 2013
University of Chicago - Booth School of Business, Yale University, Yale SOMAQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 8 (1,113,030)
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bonds, carry trade, commodities, corporate bonds, currencies, global recessions, liquidity risk, options, predictability stocks, volatility risk

2.

Dynamic Commodity Timing Strategies

Number of pages: 28 Posted: 25 Aug 2004 Last Revised: 27 Nov 2009
VU University Amsterdam, PGO-IM, Maastricht University, affiliation not provided to SSRN and ABP Investments - Research Department
Downloads 3,390 (6,634)
Citation 23

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Commodity futures, market timing

3.
Downloads 3,319 ( 6,878)
Citation 84

Equity Yields

Becker Friedman Institute for Research in Economics Working Paper No. 2012-007
Number of pages: 52 Posted: 27 Jan 2011 Last Revised: 15 Sep 2013
University of Pennsylvania - The Wharton School, APG Asset Management, University of Chicago - Booth School of Business and VU University Amsterdam, PGO-IM
Downloads 2,723 (9,180)
Citation 8

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Growth expectations, Equity risk premium, Term structure of equity

Equity Yields

Chicago Booth Research Paper No. 11-33, Fama-Miller Working Paper
Number of pages: 51 Posted: 08 Sep 2011 Last Revised: 15 Sep 2013
University of Pennsylvania - The Wharton School, APG Asset Management, University of Chicago - Booth School of Business and VU University Amsterdam, PGO-IM
Downloads 466 (114,430)
Citation 5

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Equity Yields

NBER Working Paper No. w17416
Number of pages: 42 Posted: 21 Sep 2011 Last Revised: 05 Feb 2023
University of Pennsylvania - The Wharton School, APG Asset Management, University of Chicago - Booth School of Business and VU University Amsterdam, PGO-IM
Downloads 130 (404,684)
Citation 22

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4.

Estimating Implied Default Probabilities and Recovery Values: The Case of Greece During the 2010 European Debt Crisis

Number of pages: 18 Posted: 26 Jun 2010
Evert B. Vrugt
VU University Amsterdam, PGO-IM
Downloads 1,196 (33,372)
Citation 1

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5.

Stock Market Volatility and Macroeconomic Uncertainty: Evidence from Survey Data

NRG Working Paper No. 06-08
Number of pages: 35 Posted: 21 Apr 2006
Ivo J.M. Arnold and Evert B. Vrugt
Nyenrode University and VU University Amsterdam, PGO-IM
Downloads 622 (81,013)
Citation 2

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Stock market volatility, macro-economic factors, survey data

6.

Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Journal of International Money and Finance, Vol. 43, 2014
Number of pages: 31 Posted: 27 Oct 2008 Last Revised: 14 Apr 2014
Bayes Business School (formerly Cass), Vrije Universiteit Amsterdam, De Nederlandsche Bank, affiliation not provided to SSRN and VU University Amsterdam, PGO-IM
Downloads 376 (148,178)
Citation 3

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political economy, inefficient markets, market anomalies, calendar effects