Kees C. G. Koedijk

Tilburg University - Department of Finance

Dean Faculty of Economics and Business Administation

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

  • Tilburg University - Department of Finance

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SCHOLARLY PAPERS

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Scholarly Papers (67)

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1.

Corporate Finance in Europe Confronting Theory with Practice

Downloads 3,692 ( 2,821)
Citation 74

Corporate Finance in Europe Confronting Theory with Practice

EFA 2004 Maastricht Meetings Paper No. 2769
Number of pages: 44 Posted: 30 Jun 2004
Dirk Brounen, Abe de Jong and Kees C. G. Koedijk
Erasmus University Rotterdam (EUR) - Department of Financial Management, Rotterdam School of Management, Erasmus University and Tilburg University - Department of Finance
Downloads 2,012 (7,705)
Citation 97

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Corporate Finance in Europe Confronting Theory with Practice

ERIM Report Series Reference No. ERS-2004-002-F&A
Number of pages: 44 Posted: 11 Jan 2004
Abe de Jong, Dirk Brounen and Kees C. G. Koedijk
Rotterdam School of Management, Erasmus University, Erasmus University Rotterdam (EUR) - Department of Financial Management and Tilburg University - Department of Finance
Downloads 1,669 (10,522)

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international economics, financial economics, law and economics, corporate governance, cost of capital, capital structure

Corporate Finance in Europe: Confronting Theory with Practice

Financial Management, Vol. 33, No. 4, Winter 2004
Number of pages: 32 Posted: 25 Dec 2004
Dirk Brounen, Abe de Jong and Kees C. G. Koedijk
Erasmus University Rotterdam (EUR) - Department of Financial Management, Rotterdam School of Management, Erasmus University and Tilburg University - Department of Finance
Downloads 11 (639,851)
Citation 1
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2.

International Evidence on Ethical Mutual Fund Performance and Investment Style

Downloads 3,024 ( 3,971)
Citation 177

International Evidence on Ethical Mutual Fund Performance and Investment Style

LIFE Working Paper No. 02.59
Number of pages: 28 Posted: 22 Jan 2002
Rogér Otten, Rob Bauer and Kees C. G. Koedijk
Maastricht University - Limburg Institute of Financial Economics (LIFE), Maastricht University and Tilburg University - Department of Finance
Downloads 2,971 (4,007)
Citation 4

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Mutual Funds, Performance evaluation, Style Analysis, Ethical Investments,

International Evidence on Ethical Mutual Fund Performance and Investment Style

CEPR Discussion Paper No. 3452
Number of pages: 30 Posted: 11 Nov 2002
Rob Bauer, Kees C. G. Koedijk and Rogér Otten
Maastricht University, Tilburg University - Department of Finance and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 53 (410,023)
Citation 33
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Ethical mutual funds, investment style

International Evidence on Ethical Mutual Fund Performance and Investment Style

Journal of Banking and Finance, Forthcoming
Posted: 10 Jan 2006
Rob Bauer, Kees C. G. Koedijk and Rogér Otten
Maastricht University, Tilburg University - Department of Finance and Maastricht University - Limburg Institute of Financial Economics (LIFE)

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Mutual Funds, Performance evaluation, Style Analysis, Ethical Investments

3.

Asset Allocation in a Value-at-Risk Framework

Number of pages: 26 Posted: 03 Aug 1999
Ronald Huisman, Kees C. G. Koedijk and Rachel A.J. Pownall
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 2,485 (5,495)
Citation 8

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4.

The Economic Value of Corporate Eco-Efficiency

Number of pages: 34 Posted: 28 Feb 2005
Rob Bauer, Nadja Guenster, Jeroen Derwall and Kees C. G. Koedijk
Maastricht University, University of Muenster - Finance Center Muenster, Maastricht University - European Centre for Corporate Engagement and Tilburg University - Department of Finance
Downloads 2,143 (7,042)
Citation 3

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Corporate Social Responsibility, Eco-Efficiency, Shareholder value, Firm Value, Firm Operating Performance, Management Policies, Capital Markets

5.

Investing in Systematic Factor Premiums

Downloads 1,670 ( 10,710)
Citation 1

Investing in Systematic Factor Premiums

Revised version: European Financial Management Forthcoming
Number of pages: 66 Posted: 30 Oct 2013 Last Revised: 01 Sep 2015
Kees C. G. Koedijk, Alfred Slager and Philip A. Stork
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1,668 (10,544)

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Factor Investing, European Data, Optimization, Timing

Investing in Systematic Factor Premiums

CEPR Discussion Paper No. DP10824
Number of pages: 54 Posted: 16 Sep 2015
Kees C. G. Koedijk, Alfred Slager and Philip A. Stork
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics
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European data, factor investing, optimization, timing

Investing in Systematic Factor Premiums

European Financial Management, Vol. 22, Issue 2, pp. 193-234, 2016
Number of pages: 42 Posted: 02 Mar 2016
Kees C. G. Koedijk, Alfred Slager and Philip A. Stork
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics
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Citation 1
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portfolio management, factor investing, diversification, optimisation

6.

Socially Responsible Investing: The Eco-Efficiency Premium Puzzle

EFMA 2004 Basel Meetings Paper; Erasmus University Working Paper
Number of pages: 33 Posted: 13 Feb 2004
Jeroen Derwall, Rob Bauer, Nadja Guenster and Kees C. G. Koedijk
Maastricht University - European Centre for Corporate Engagement, Maastricht University, University of Muenster - Finance Center Muenster and Tilburg University - Department of Finance
Downloads 1,450 (13,359)
Citation 5

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Socially Responsible Investing, SRI, Corporate Environmental Performance, Eco-Efficiency, Performance Measurement, Style Analysis

7.

The Cost of Capital in International Financial Markets: Local or Global?

Downloads 1,411 ( 13,965)
Citation 17

The Cost of Capital in International Financial Markets: Local or Global?

Journal of International Money and Finance, Vol. 21, pp. 905–929, 2002
Number of pages: 37 Posted: 20 Jul 1999 Last Revised: 12 May 2010
Kees C. G. Koedijk, Clemens J.M. Kool, Mathijs A. Van Dijk and Peter C. Schotman
Tilburg University - Department of Finance, Utrecht University - School of Economics, Erasmus University - Rotterdam School of Management and Maastricht University - Department of Finance
Downloads 1,367 (14,363)
Citation 3

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The Cost of Capital in International Financial Markets: Local or Global

CEPR Discussion Paper No. 3062
Number of pages: 34 Posted: 30 Nov 2001
Kees C. G. Koedijk, Clemens J.M. Kool, Mathijs A. Van Dijk and Peter C. Schotman
Tilburg University - Department of Finance, Utrecht University - School of Economics, Erasmus University - Rotterdam School of Management and Maastricht University - Department of Finance
Downloads 44 (444,785)
Citation 1
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Cost of capital, ICAPM, pricing error, exchange rate exposure

8.

Capital Structure Policies in Europe: Survey Evidence

ERIM Report Series Reference No. ERS-2005-005-F&A
Number of pages: 38 Posted: 09 Sep 2005
Dirk Brounen, Abe de Jong and Kees C. G. Koedijk
Erasmus University Rotterdam (EUR) - Department of Financial Management, Rotterdam School of Management, Erasmus University and Tilburg University - Department of Finance
Downloads 1,209 (17,668)
Citation 3

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international economics, financial economics, capital structure, debt maturity, equity issues

9.

The Cost of Capital of Cross-Listed Firms

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Citation 3

The Cost of Capital of Cross-Listed Firms

EFMA 2001 Lugano Meetings; and ERIM Report Series Reference No. ERS-2002-99-F&A
Number of pages: 37 Posted: 15 Jun 2001
Kees C. G. Koedijk and Mathijs A. Van Dijk
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 770 (33,396)

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Cross-listings, cost of equity capital, foreign exchange exposure

The Cost of Capital of Cross-Listed Firms

European Financial Management, Vol. 10, No. 3, pp. 465-486, September 2004
Number of pages: 22 Posted: 06 Sep 2004
Kees C. G. Koedijk and Mathijs A. Van Dijk
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 325 (98,646)
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Cross-listings, cost of equity capital, foreign exchange exposure

10.

Selecting Copulas for Risk Management

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Citation 38

Selecting Copulas for Risk Management

Number of pages: 28 Posted: 07 Mar 2005
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 859 (28,716)
Citation 8

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Financial dependence, copulas, distributional tests, tail dependence

Selecting Copulas for Risk Management

CEPR Discussion Paper No. 5652
Number of pages: 24 Posted: 27 Jul 2006
Kees C. G. Koedijk, Marno Verbeek and Erik Kole
Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 29 (517,122)
Citation 3
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Financial dependence, risk management, copulas, distributional tests, tail dependence

Selecting Copulas for Risk Management

Journal of Banking and Finance, Forthcoming
Posted: 22 Jun 2007
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance

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Financial dependence, Risk management, Copulas, Distributional tests, Tail dependence

11.

Emotional Assets and Investment Behavior

Number of pages: 27 Posted: 19 Feb 2009
Rachel A.J. Pownall, Kees C. G. Koedijk and Frans de Roon
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 877 (28,321)
Citation 1

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Portfolio Management, Asset pricing, Consumption and Investment decisions

12.

Fat Tails in Small Sample

Number of pages: 38 Posted: 06 Jan 1998
Ronald Huisman, Kees C. G. Koedijk, Clemens J.M. Kool and Franz C. Palm
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Utrecht University - School of Economics and University of Maastricht - Department of Economics
Downloads 863 (28,966)
Citation 7

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13.

Investment Beliefs that Matter: New Insights into the Value Drivers of Pension Funds

Number of pages: 34 Posted: 08 May 2010
Kees C. G. Koedijk, Alfred Slager and Rob Bauer
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Maastricht University
Downloads 802 (32,111)
Citation 2

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Investment, Performance, Pension Fund, Governance, Strategic Management

14.

The Eco-Efficiency Premium Puzzle

Downloads 771 ( 33,862)

The Eco-Efficiency Premium Puzzle

ERIM Report Series Reference No. ERS-2004-043-F&A
Number of pages: 36 Posted: 26 Aug 2006
Jeroen Derwall, Rob Bauer, Nadja Guenster and Kees C. G. Koedijk
Maastricht University - European Centre for Corporate Engagement, Maastricht University, University of Muenster - Finance Center Muenster and Tilburg University - Department of Finance
Downloads 771 (33,345)
Citation 34

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corporate environmental performance, eco-efficiency, performance measurement, socially responsible investing (SRI), style analysis

The Eco-Efficiency Premium Puzzle

Financial Analysts Journal, Vol. 61, No. 2, pp. 51-63, March/April 2005
Posted: 05 May 2005
Jeroen Derwall, Rob Bauer, Nadja Guenster and Kees C. G. Koedijk
Maastricht University - European Centre for Corporate Engagement, Maastricht University, University of Muenster - Finance Center Muenster and Tilburg University - Department of Finance

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Portfolio Management, Equity Strategies, Performance Measurement and Evaluation, Performance Measurement, Corporate Governance

15.

Purchasing Power Parity and the Euro Area

Downloads 590 ( 48,482)
Citation 10

Purchasing Power Parity and the Euro Area

ERIM Report Series Reference No. ERS-2004-025-F&A
Number of pages: 41 Posted: 29 Mar 2004
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 523 (55,839)

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european integration, real exchange rates, purchasing power parity, heterogeneous SUR

Purchasing Power Parity and the Euro Area

Journal of International Money and Finance, Vol. 23, pp. 1081-1107, 2004
Number of pages: 37 Posted: 15 May 2011
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 49 (424,877)

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European integration, real exchange rates, purchasing power parity, heterogeneous SUR

Purchasing Power Parity and the Euro Area

CEPR Discussion Paper No. 4510
Number of pages: 39 Posted: 13 Sep 2004
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 18 (589,164)
Citation 1
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European integration, real exchange rates, purchasing power parity, heterogenous SUR

16.

Post-Trade Transparency in Multiple Dealer Financial Markets

Number of pages: 31 Posted: 25 Jun 1997
Mark D. Flood, Ronald Huisman, Kees C. G. Koedijk, Ronald Mahieu and Ailsa Röell
R. H. Smith School of Business, U. of Maryland, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Columbia University, School of International and Public Affairs
Downloads 492 (60,991)
Citation 7

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17.

Do Global Risk Factors Matter for International Cost of Capital Computations?

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Do Global Risk Factors Matter for International Cost of Capital Computations?

ERIM Report Series Reference No. ERS-2002-100-F&A
Number of pages: 19 Posted: 18 Jan 2003
Kees C. G. Koedijk and Mathijs A. Van Dijk
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 466 (64,579)

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cost of equity capital, exchange rate risk, capital budgeting, valuation

Perspectives: Global Risk Factors and the Cost of Capital

Financial Analysts Journal, Vol. 60, No. 2, pp. 32-38, March/April 2004
Posted: 05 May 2004
Kees C. G. Koedijk and Mathijs A. Van Dijk
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management

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Equity Investments, fundamental analysis and valuation models, Corporate Finance, capital investment decisions

18.

Socially Responsible Fixed-Income Funds

Downloads 461 ( 66,082)
Citation 17

Socially Responsible Fixed-Income Funds

Journal of Business Finance and Accounting, Vol. 36, pp. 210-229, 2009
Number of pages: 36 Posted: 26 Jan 2005 Last Revised: 16 Aug 2009
Jeroen Derwall and Kees C. G. Koedijk
Maastricht University - European Centre for Corporate Engagement and Tilburg University - Department of Finance
Downloads 458 (65,968)
Citation 3

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Socially Responsible Investing, bonds, mutual funds, performance, SRI, ethical investing, sustainable investing

Socially Responsible Fixed-Income Funds

Journal of Business Finance & Accounting, Vol. 36, Issue 1-2, pp. 210-229, January/March 2009
Number of pages: 20 Posted: 27 Apr 2009
Jeroen Derwall and Kees C. G. Koedijk
Maastricht University - European Centre for Corporate Engagement and Tilburg University - Department of Finance
Downloads 3 (701,376)
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19.

Do Institutional Investors Have Sensible Investment Beliefs?

Rotman International Journal of Pension Management, Vol. 2, No. 1, 2009
Number of pages: 10 Posted: 23 May 2009
Kees C. G. Koedijk and Alfred Slager
Tilburg University - Department of Finance and Tilburg University - TIAS School for Business and Society
Downloads 430 (71,940)

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Investment Beliefs, Investment Strategy, Pension Fund, Pension Fund Governance, Performance, Rotman

20.

The Fat-Tailedness of FX Returns

Number of pages: 31 Posted: 22 Mar 1998
Ronald Huisman, Kees C. G. Koedijk, Clemens J.M. Kool and Franz C. Palm
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Utrecht University - School of Economics and University of Maastricht - Department of Economics
Downloads 426 (72,725)
Citation 3

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21.

Stress Testing with Student's T Dependence

ERIM Report Series Reference No. ERS-2003-056-F&A
Number of pages: 39 Posted: 26 Aug 2006
Erik Kole, Kees C. G. Koedijk and Marno Verbeek
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 399 (78,586)

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stress testing, dependence, extreme values, copulas, tail dependence

22.

Financial Integration Through Benchmarks: The European Banking Sector

ERIM Report Series Reference No. ERS-2004-110-F&A
Number of pages: 33 Posted: 20 Nov 2006
G. A. Moerman, Ronald Mahieu and Kees C. G. Koedijk
AEGON Asset Management, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University - Department of Finance
Downloads 379 (83,387)

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bank integration, equity market integration, bank risk, European banks, regime-switching

23.

Stakeholder Relations and Stock Returns: On Errors in Expectations and Learning

UCD & CalPERS Sustainability & Finance Symposium 2013
Number of pages: 49 Posted: 23 Feb 2013 Last Revised: 19 Oct 2014
Arian Borgers, Jeroen Derwall, Kees C. G. Koedijk and Jenke ter Horst
Maastricht University, Maastricht University - European Centre for Corporate Engagement, Tilburg University - Department of Finance and TIAS School for Business and Society
Downloads 311 (104,226)
Citation 3

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Socially Responsible Investing, ESG, Stakeholders, Stock Return, Errors in Expectations, Learning

24.

Portfolio Implications of Systemic Crises

Downloads 310 (104,576)
Citation 1

Portfolio Implications of Systemic Crises

EFA 2005 Moscow Meetings Paper
Number of pages: 40 Posted: 07 Aug 2005
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 310 (103,978)
Citation 1

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Asset allocation, systemic risk, international finance, emerging markets, regime switching

Portfolio Implications of Systemic Crises

Journal of Banking and Finance, Vol. 30, No. 8, pp. 2347-2369, August 2006
Posted: 31 Mar 2006
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance

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Asset allocation, Systemic risk, International finance, Regime switching models

25.

Investment Beliefs: The Importance of Focus for an Institutional Investor

Working paper prepared for the ICPM / Netspar / Maastricht University Joint Discussion Forum, October 29-31, 2007
Number of pages: 30 Posted: 13 Dec 2008
Kees C. G. Koedijk and Alfred Slager
Tilburg University - Department of Finance and Tilburg University - TIAS School for Business and Society
Downloads 307 (105,751)

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Investment strategy, Pension funds, Asset managers

26.

Stock Market Quality in the Presence of a Traded Option

Downloads 268 (122,174)
Citation 11

Stock Market Quality in the Presence of a Traded Option

Number of pages: 38 Posted: 17 Dec 2001
Cyriel de Jong, Kees C. G. Koedijk and Charles R. Schnitzlein
Erasmus University Rotterdam (EUR) - Department of Financial Management, Tilburg University - Department of Finance and School of Business, University of Vermont
Downloads 238 (137,369)
Citation 3

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information aggregation, experiments, options, price discovery, asymmetric information model

Stock Market Quality in the Presence of a Traded Option

CEPR Discussion Paper No. 3173
Number of pages: 41 Posted: 19 Feb 2002
Cyriel de Jong, Kees C. G. Koedijk and Charles R. Schnitzlein
Erasmus University Rotterdam (EUR) - Department of Financial Management, Tilburg University - Department of Finance and School of Business, University of Vermont
Downloads 30 (511,323)
Citation 2
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Market microstructure, experimental economics, information asymmetry, financial derivatives

27.

Dividing the Pie

ERIM Report Series Reference No. ERS-2002-101-F&A
Number of pages: 48 Posted: 18 Jan 2003
Mark D. Flood, Kees C. G. Koedijk, Mathijs A. Van Dijk and Irma W. van Leeuwen
R. H. Smith School of Business, U. of Maryland, Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 261 (125,636)

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financial markets, market microstructure, experimental economics, information asymmetry

28.

Diversification Meltdown or Just Fat Tails?

EFA 2006 Zurich Meetings
Number of pages: 38 Posted: 14 Jun 2006
Rachel A.J. Pownall, Catherine S. Forbes, Kees C. G. Koedijk and Paul Kofman
Tilburg University - Department of Finance, Monash University - Department of Econometrics & Business Statistics, Tilburg University - Department of Finance and The University of Melbourne
Downloads 243 (135,091)

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Exceedance correlation, Truncated correlation, Bivariate Student-t correlation

29.

Aspirations, Well-Being, Risk-Aversion and Loss-Aversion

Number of pages: 30 Posted: 14 Mar 2012
Rachel A.J. Pownall, Kees C. G. Koedijk and Meir Statman
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Santa Clara University - Department of Finance
Downloads 224 (146,275)
Citation 1

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subjective well-being, risk taking, loss-aversion, prospect theory, behavioral portfolio theory

30.

Search Costs: The Neglected Spread Component

Number of pages: 22 Posted: 11 Feb 1998
Mark D. Flood, Ronald Huisman, Kees C. G. Koedijk and Richard K. Lyons
R. H. Smith School of Business, U. of Maryland, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and University of California, Berkeley
Downloads 222 (147,538)
Citation 3

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31.

Why Panel Tests of Purchasing Power Parity Should Allow for Heterogeneous Mean Reversion

Downloads 182 (177,244)

Why Panel Tests of Purchasing Power Parity Should Allow for Heterogeneous Mean Reversion

Journal of International Money and Finance, Vol. 30, pp. 246-267, 2010
Number of pages: 43 Posted: 12 Dec 2005 Last Revised: 16 May 2011
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 85 (316,736)

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PPP, real exchange rates, panel models, unit root tests, heterogeneity, panel tests

Purchasing Power Parity and Heterogeneous Mean Reversion

ERIM Report Series Reference No. ERS-2005-085-F&A
Number of pages: 44 Posted: 21 Dec 2005
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 79 (331,284)

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Panel Models, Heterogeneity, Purchasing Power Parity, Real Exchange Rates, Unit Root Tests

Purchasing Power Parity and Heterogenous Mean Reversion

CEPR Discussion Paper No. 5473
Number of pages: 42 Posted: 08 May 2006
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 18 (589,164)
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International economics, purchasing power parity, real exchange rates, panel models, unit root tests, heterogeneity

32.

The More You See, the Less You Get: Price-Competing Insiders Under Different Trading Mechanisms

Number of pages: 32 Posted: 10 Aug 1998
Mark D. Flood, Ronald Huisman, Kees C. G. Koedijk, Mathijs A. Van Dijk and Irma W. van Leeuwen
R. H. Smith School of Business, U. of Maryland, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 148 (211,552)
Citation 3

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33.

Decision Making in the Pension Fund Board Room: An Experiment with Dutch Pension Fund Trustees

CentER Discussion Paper Series No. 2010-18
Number of pages: 39 Posted: 04 Mar 2010
Hendrik P. van Dalen, Kene Henkens, Kees C. G. Koedijk and Alfred Slager
Tilburg University, CentER, Netherlands Interdisciplinary Demographic Institute, Tilburg University - Department of Finance and Tilburg University - TIAS School for Business and Society
Downloads 140 (221,306)
Citation 1

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pension funds, finance, governance, behavioral economics

34.

Irving Fisher, Expectational Errors and the Uip Puzzle

Downloads 131 (233,190)

Irving Fisher, Expectational Errors and the Uip Puzzle

Number of pages: 33 Posted: 17 Mar 2007
Rachel A.J. Pownall, Kees C. G. Koedijk, James R. Lothian and Ronald Mahieu
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Gabelli School of Business, Fordahm University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 126 (241,085)

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UIP, Irving Fisher, Expectations formation, Dynamic Latent Factor Model, Small-sample problems

Irving Fisher, Expectational Errors, and the UIP Puzzle

CEPR Discussion Paper No. DP6294
Number of pages: 46 Posted: 22 May 2008
Rachel A.J. Pownall, Kees C. G. Koedijk, James R. Lothian and Ronald Mahieu
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Gabelli School of Business, Fordahm University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
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Expectations formation, Irving Fisher, small-sample problems, UIP

35.

The Effects of Systemic Crises When Investors Can Be Crisis Ignorant

ERIM Report Series Reference No. ERS-2004-027-F&A
Number of pages: 58 Posted: 26 Aug 2006
Erik Kole, Marno Verbeek and Kees C. G. Koedijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
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asset allocation, systemic risk, international finance, regime switching

36.

Irving Fisher, the UIP Puzzle and the 'Peso Problem'

Number of pages: 34 Posted: 05 Mar 2007
Rachel A.J. Pownall, Kees C. G. Koedijk, James R. Lothian and Ronald Mahieu
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Gabelli School of Business, Fordahm University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
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UIP, Irving Fisher, Expectations formation, small-sample problems

37.

Irving Fisher and the Uip Puzzle: Meeting the Expectations a Century Later

ERIM Report Series Reference No. ERS-2007-088-F&A
Number of pages: 48 Posted: 29 Jan 2008
Rachel A.J. Pownall, Kees C. G. Koedijk, James R. Lothian and Ronald Mahieu
Tilburg University - Department of Finance, Tilburg University - Department of Finance, Gabelli School of Business, Fordahm University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
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Irving Fisher, UIP, PPP, inflation, interest rates, exchange rates

38.

Increased Correlation in Bear Markets: A Downside Risk Perspective

CEPR Discussion Paper No. 3172
Number of pages: 26 Posted: 14 Feb 2002
Rachel A.J. Pownall, Kees C. G. Koedijk and Paul Kofman
Tilburg University - Department of Finance, Tilburg University - Department of Finance and The University of Melbourne
Downloads 58 (386,824)
Citation 1
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International equity markets, correlation, extreme returns, downside risk

39.

The Portfolio Implications of Home Ownership

CEPR Discussion Paper No. 3501
Number of pages: 26 Posted: 25 Sep 2002
Frans de Roon, Piet M. A. Eichholtz and Kees C. G. Koedijk
Tilburg University - Department of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Tilburg University - Department of Finance
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Portfolio choice, real estate, home ownership

40.

The Economic Value of Corporate Eco‐Efficiency

European Financial Management, Vol. 17, Issue 4, pp. 679-704, 2011
Number of pages: 26 Posted: 17 Aug 2011
Nadja Guenster, Rob Bauer, Jeroen Derwall and Kees C. G. Koedijk
University of Muenster - Finance Center Muenster, Maastricht University, Maastricht University - European Centre for Corporate Engagement and Tilburg University - Department of Finance
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Corporate social responsibility, eco‐efficiency, shareholder value, firm value, firm operating performance, management policies, capital markets

41.

Aspirations, Well-Being, Risk-Aversion and Loss-Aversion

CEPR Discussion Paper No. DP8904
Number of pages: 33 Posted: 04 Apr 2012
Kees C. G. Koedijk, Rachel A.J. Pownall and Meir Statman
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Santa Clara University - Department of Finance
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behavioural portfolio theory, loss-aversion, prospect theory, risk-taking, subjective well-being

42.

Household Financial Planning and Savings Behavior

CEPR Discussion Paper No. DP11033
Number of pages: 25 Posted: 12 Jan 2016
Dirk Brounen, Kees C. G. Koedijk and Rachel A.J. Pownall
Erasmus University Rotterdam (EUR) - Department of Financial Management, Tilburg University - Department of Finance and Tilburg University - Department of Finance
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consumption, intertemporal household choice, life cycle models and saving, wealth

43.

Reference Point Formation

CEPR Discussion Paper No. DP10823
Number of pages: 28 Posted: 16 Sep 2015
Kees C. G. Koedijk, Charles N. Noussair, Rachel A.J. Pownall and Ayse Terzi
Tilburg University - Department of Finance, Tilburg University, Tilburg University - Department of Finance and Tilburg University
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experiment, reference point

44.

Do Social Factors Influence Investment Behavior and Performance? Evidence from Mutual Fund Holdings

Journal of Banking and Finance, Forthcoming
Posted: 12 Aug 2015
Arian Borgers, Jeroen Derwall, Kees C. G. Koedijk and Jenke ter Horst
Maastricht University, Maastricht University - European Centre for Corporate Engagement, Tilburg University - Department of Finance and TIAS School for Business and Society

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Mutual funds, Social Norms, Sin Stocks, Socially Responsible Investing, SRI, Ethical Investing, Sustainable Investing, Controversial Stocks, ESG

45.

Factor Investing in Practice: A Trustees' Guide to Implementation

Forthcoming in Journal of Portfolio Management
Posted: 07 Feb 2014 Last Revised: 02 Feb 2016
Kees C. G. Koedijk, Alfred Slager and Philip A. Stork
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics

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Factor Investing, Regulatory Perspectives, Checklist, Case Studies

46.

A Tale of Values-Driven and Profit-Seeking Social Investors

Posted: 18 Jul 2010 Last Revised: 23 Jan 2015
Jeroen Derwall, Kees C. G. Koedijk and Jenke ter Horst
Maastricht University - European Centre for Corporate Engagement, Tilburg University - Department of Finance and TIAS School for Business and Society

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Investor Behavior, Values, Socially Responsible Investing (SRI), Risk, Return

47.

The Re-Emergence of PPP in the 1990s

Journal of International Money and Finance, Vol. 17, pp. 51-61, 1998
Posted: 02 May 2010
Kees C. G. Koedijk, Peter C. Schotman and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Maastricht University - Department of Finance and Erasmus University - Rotterdam School of Management

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Purchasing power parity, panel test, numeraire, productivity

48.

Foreign Exchange Markets: Overview of the Special Issue

Journal of International Money and Finance, Vol. 25, pp. 1-6, 2006
Posted: 01 May 2010
Kees C. G. Koedijk, James R. Lothian and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Gabelli School of Business, Fordahm University and Erasmus University - Rotterdam School of Management

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Foreign Exchange Markets, Exchange Rates, Purchasing Power Parity, Uncovered Interest Parity, Monetary Policy

49.

Differences between Foreign Exchange Rate Regimes: The View from the Tails

Journal of International Money and Finance, Vol. 11, No. 5, 1992
Posted: 26 Feb 2008
Kees C. G. Koedijk, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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exchnage rate regime, tails, distribution

50.

Should We Care? Psychological Barriers in Stock Markets

Economics Letters, Vol. 44, No. 4, 1994
Posted: 22 Feb 2008
Philip A. Stork and Kees C. G. Koedijk
Vrije Universiteit Amsterdam, School of Business and Economics and Tilburg University - Department of Finance

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psychological barriers, stock markets

51.

Increased Correlation in Bear Markets

Financial Analysts Journal, Vol. 58, No. 1
Posted: 22 Mar 2002
Kees C. G. Koedijk, Rachel A.J. Pownall and Paul Kofman
Tilburg University - Department of Finance, Tilburg University - Department of Finance and The University of Melbourne

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52.

Covariance and Correlation in International Equity Returns: A Value-at-Risk Approach

Erasmus University Rotterdam Working Paper No. 004
Posted: 16 Nov 2000
Rachel A.J. Pownall, Kees C. G. Koedijk and Paul Kofman
Tilburg University - Department of Finance, Tilburg University - Department of Finance and The University of Melbourne

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53.

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

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New Evidence on the Effectiveness of Foreign Exchange Market Intervention

European Economic Review, Vol. 39, No. 3-4, 1995
Posted: 26 Feb 2008
Kees C. G. Koedijk, Bruce Mizrach, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Rutgers University, Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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official intervention, target zones

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

LIFE Working Paper No. 94-20
Posted: 29 Oct 2000
Kees C. G. Koedijk, Bruce Mizrach, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Rutgers University, Department of Economics, MeesPierson Investment Bank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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54.

Capturing Downside Risk in Financial Markets: The Case of the Asian Crisis

Working Paper No. 2
Posted: 04 Jan 2000
Rachel A.J. Pownall and Kees C. G. Koedijk
Tilburg University - Department of Finance and Tilburg University - Department of Finance

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55.

An EMS Target Zone Model in Discrete Time

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An EMS Target Zone Model in Discrete Time

Journal of Applied Econometrics, Vol. 13, pp. 31.48, 1998
Posted: 28 Feb 2008
Kees C. G. Koedijk, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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EMS currencies, fat tails, realignment probability

An EMS Target Zone Model in Discrete Time

Posted: 20 Dec 1999
Kees C. G. Koedijk, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, MeesPierson Investment Bank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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56.

The Dynamics of Short-Term Interest Rate Volatility Reconsidered

Posted: 15 Sep 1999
Kees C. G. Koedijk, Francois Nissen, Peter C. Schotman and Christian C. P. Wolff
Tilburg University - Department of Finance, MeesPierson Investment Bank, Maastricht University - Department of Finance and University of Luxembourg - Luxembourg School of Finance

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57.

Real Exchange Rates between the Wars

LIFE Working Paper No. 94-23
Posted: 13 Sep 1999
Clemens J.M. Kool and Kees C. G. Koedijk
Utrecht University - School of Economics and Tilburg University - Department of Finance

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58.

Complementary Portfolios: The Pension Funds of the Future

LIFE Working Paper No. 94-25
Posted: 04 Aug 1999
Piet M. A. Eichholtz and Kees C. G. Koedijk
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Tilburg University - Department of Finance

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59.

Interest Expectations and Exchange Rates News

Empirical Economics, Vol. 23, Issue 4, 1998
Posted: 18 May 1999
Stefano Cavaglia, Kees C. G. Koedijk, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and University of Luxembourg - Luxembourg School of Finance

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60.

Hedging Foreign Currency Exposure: Do Fat Tails Matter?

Posted: 20 Dec 1998
Ronald Mahieu and Kees C. G. Koedijk
Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University - Department of Finance

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61.

VAR Plus: Fat Tails in Financial Risk Management

Working Paper No. 98/51
Posted: 06 Oct 1998
Rachel A.J. Pownall, Kees C. G. Koedijk and Ronald Huisman
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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62.

Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets

Review of Financial Studies, Vol. 12, No. 1
Posted: 08 Sep 1998
Mark D. Flood, Ronald Huisman, Kees C. G. Koedijk and Ronald Mahieu
R. H. Smith School of Business, U. of Maryland, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research, Econometrics and Finance Group

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63.

Continental Factors in International Real Estate Returns

Posted: 08 Jul 1998
Piet M. A. Eichholtz, Ronald Huisman, Kees C. G. Koedijk and Lisa Schuin
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and Maastricht University

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64.

Safety First Diversification and Currency Hedging in International Portfolios

WP 95-32
Posted: 01 Jul 1998
Dennis W. Jansen and Kees C. G. Koedijk
Texas A&M University - Department of Economics and Tilburg University - Department of Finance

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65.

Money, Prices and the Transition Emu

LIFE Working Paper 95-28
Posted: 03 May 1998
Hans M. Groeneveld, Kees C. G. Koedijk and Clemens J.M. Kool
Tias School for Business and Society, Tilburg University - Department of Finance and Utrecht University - School of Economics

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66.

An Empirical Investigation of the Domestic Pricing Error in an Integrated World

Posted: 16 Oct 1996
Kees C. G. Koedijk, Clemens J.M. Kool, Francois Nissen and Peter C. Schotman
Tilburg University - Department of Finance, Utrecht University - School of Economics, MeesPierson Investment Bank and Maastricht University - Department of Finance

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67.

The Unbiasedness Hypothesis from a Panel Perspective

Posted: 02 Oct 1996
Ronald Huisman, Kees C. G. Koedijk, Clemens J.M. Kool and Francois Nissen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Utrecht University - School of Economics and MeesPierson Investment Bank

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1.

Emotional Assets

Number of pages: 35 Posted: 05 Mar 2008 Last Revised: 27 Oct 2012
Frans de Roon, Kees C. G. Koedijk and Rachel A.J. Pownall
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Department of Finance
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Philanthropy, Asset allocation, art, wine, luxary goods markets