Evert B. Vrugt

VU University Amsterdam, PGO-IM

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 1,951

SSRN RANKINGS

Top 1,951

in Total Papers Downloads

13,190

CITATIONS
Rank 25,441

SSRN RANKINGS

Top 25,441

in Total Papers Citations

10

Scholarly Papers (7)

1.
Downloads 6,569 ( 644)
Citation 4

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
New York University (NYU) - Department of Finance, AQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 6,185 (703)
Citation 4

Abstract:

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
New York University (NYU) - Department of Finance, AQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 319 (72,950)
Citation 4

Abstract:

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
New York University (NYU) - Department of Finance, AQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 61 (287,818)
Citation 4

Abstract:

Carry

CEPR Discussion Paper No. DP9771
Number of pages: 66 Posted: 02 Dec 2013
New York University (NYU) - Department of Finance, AQR Capital, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM
Downloads 4 (528,076)
Citation 4

Abstract:

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 2,512 (3,071)
Citation 4

Abstract:

Commodity futures, market timing

3.
Downloads 2,400 ( 3,787)

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, New York University (NYU) - Department of Finance and VU University Amsterdam, PGO-IM
Downloads 2,026 (4,980)

Abstract:

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, New York University (NYU) - Department of Finance and VU University Amsterdam, PGO-IM
Downloads 334 (69,178)

Abstract:

Equity Yields

NBER Working Paper No. w17416
Number of pages: 42 Posted: 21 Sep 2011
University of Pennsylvania - The Wharton School, APG Asset Management, New York University (NYU) - Department of Finance and VU University Amsterdam, PGO-IM
Downloads 40 (349,031)

Abstract:

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 732 (23,599)

Abstract:

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 367 (49,510)

Abstract:

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, VU University Amsterdam - Faculty of Economics and Business, De Nederlandsche Bank, APG Asset Management, GTAA Fund and VU University Amsterdam, PGO-IM
Downloads 266 (82,301)

Abstract:

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
Downloads 2 (513,855)
Citation 2

Abstract: