Evert B. Vrugt

VU University Amsterdam, PGO-IM

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

7

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19,285

SSRN CITATIONS
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Top 5,524

in Total Papers Citations

36

CROSSREF CITATIONS

158

Scholarly Papers (7)

1.
Downloads 11,899 ( 323)
Citation 12

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 SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 11,075 (366)
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 SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 672 (38,507)
Citation 9

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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: 07 Sep 2013
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 147 (205,395)

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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 SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
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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, Robeco Asset Management and ABP Investments - Research Department
Downloads 3,018 (3,751)
Citation 22

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Commodity futures, market timing

3.
Downloads 2,727 ( 4,473)
Citation 39

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 2,320 (5,739)
Citation 6

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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 357 (85,090)
Citation 5

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Equity Yields

NBER Working Paper No. w17416
Number of pages: 42 Posted: 21 Sep 2011
University of Pennsylvania - The Wharton School, APG Asset Management, University of Chicago - Booth School of Business and VU University Amsterdam, PGO-IM
Downloads 50 (406,790)
Citation 6

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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 821 (29,692)
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 508 (56,172)
Citation 1

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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
Luxembourg School of Finance, Vrije Universiteit Amsterdam - School of Business and Economics, De Nederlandsche Bank, APG Asset Management, GTAA Fund and VU University Amsterdam, PGO-IM
Downloads 309 (100,753)
Citation 2

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political economy, inefficient markets, market anomalies, calendar effects

7.

Treasury Bond Volatility and Uncertainty About Monetary Policy

Financial Review, Vol. 45, Issue 3, pp. 707-728, August 2010
Number of pages: 22 Posted: 13 Jul 2010
Ivo J.M. Arnold and Evert B. Vrugt
Nyenrode University and VU University Amsterdam, PGO-IM
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