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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

    • Email
    • Tel: +31 13 4663048
    • Fax: +31 13 4662052
SCHOLARLY PAPERS

67

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430

Scholarly Papers (67)

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1.

Corporate Finance in Europe Confronting Theory with Practice

Downloads 3,131 ( 2,590)
Citation 64

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 1,623 (7,919)
Citation 64

Abstract:

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 1,497 (9,016)
Citation 64

Abstract:

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 (516,811)
Citation 64
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2.

International Evidence on Ethical Mutual Fund Performance and Investment Style

Downloads 2,877 ( 3,020)
Citation 84

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 - Department of Finance, Maastricht University and Tilburg University - Department of Finance
Downloads 2,824 (3,055)
Citation 84

Abstract:

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 - Department of Finance
Downloads 53 (327,051)
Citation 84
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Abstract:

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 - Department of Finance

Abstract:

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 2,356 (4,068)
Citation 7

Abstract:

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 1,915 (5,518)
Citation 29

Abstract:

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

5.

Investing in Systematic Factor Premiums

Downloads 1,423 ( 9,992)

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 1,421 (9,813)

Abstract:

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 2 (567,844)
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Abstract:

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 VU University Amsterdam - Faculty of Economics and Business Administration
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Abstract:

portfolio management, factor investing, diversification, optimisation

6.

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

Downloads 1,356 ( 10,787)
Citation 13

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 - Utrecht University School of Economics, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 1,312 (11,150)
Citation 13

Abstract:

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 - Utrecht University School of Economics, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 44 (355,621)
Citation 13
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Abstract:

Cost of capital, ICAPM, pricing error, exchange rate exposure

7.

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 1,150 (14,040)
Citation 33

Abstract:

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

8.

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 1,091 (11,922)
Citation 11

Abstract:

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

9.

The Cost of Capital of Cross-Listed Firms

Downloads 1,083 ( 15,418)
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 758 (25,698)
Citation 3

Abstract:

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 (75,910)
Citation 3
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Abstract:

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

10.

Selecting Copulas for Risk Management

Downloads 830 ( 22,930)
Citation 15

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 801 (23,761)
Citation 15

Abstract:

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 (415,262)
Citation 15
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Abstract:

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

Abstract:

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

11.

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 - Utrecht University School of Economics and University of Maastricht - Department of Economics
Downloads 792 (22,843)
Citation 9

Abstract:

12.

The Eco-Efficiency Premium Puzzle

Downloads 685 ( 30,074)
Citation 57

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 685 (29,602)
Citation 57

Abstract:

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

Abstract:

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

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 660 (26,994)

Abstract:

Investment, Performance, Pension Fund, Governance, Strategic Management

14.

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 648 (26,352)

Abstract:

Portfolio Management, Asset pricing, Consumption and Investment decisions

15.

Purchasing Power Parity and the Euro Area

Downloads 545 ( 40,781)
Citation 9

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 485 (46,724)
Citation 9

Abstract:

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 42 (362,496)
Citation 9

Abstract:

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 (476,124)
Citation 9
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Abstract:

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

16.

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 VU University Amsterdam - Faculty of Economics and Business Administration

Abstract:

Factor Investing, Regulatory Perspectives, Checklist, Case Studies

17.

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

Downloads 451 ( 51,812)

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 451 (51,243)

Abstract:

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

Abstract:

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

18.

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
Government of the United States of America - Office of Financial Research, 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 435 (49,554)
Citation 4

Abstract:

19.

Socially Responsible Fixed-Income Funds

Downloads 402 ( 59,651)
Citation 9

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 399 (59,603)
Citation 9

Abstract:

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 (559,721)
Citation 9
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Abstract:

20.

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 387 (61,132)

Abstract:

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

21.

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 - Utrecht University School of Economics and University of Maastricht - Department of Economics
Downloads 386 (60,363)
Citation 4

Abstract:

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 363 (65,390)

Abstract:

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

23.

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 325 (63,942)
Citation 3

Abstract:

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

24.

Portfolio Implications of Systemic Crises

Downloads 302 ( 82,977)
Citation 6

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 302 (82,478)
Citation 6

Abstract:

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

Abstract:

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

25.

Stock Market Quality in the Presence of a Traded Option

Downloads 258 ( 98,631)
Citation 1

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 228 (111,595)
Citation 1

Abstract:

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 (410,456)
Citation 1
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Abstract:

Market microstructure, experimental economics, information asymmetry, financial derivatives

26.

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
Government of the United States of America - Office of Financial Research, Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 247 (99,863)

Abstract:

financial markets, market microstructure, experimental economics, information asymmetry

27.

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 223 (109,226)

Abstract:

Exceedance correlation, Truncated correlation, Bivariate Student-t correlation

28.

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 215 (107,340)

Abstract:

Investment strategy, Pension funds, Asset managers

29.

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
Government of the United States of America - Office of Financial Research, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance and University of California, Berkeley
Downloads 205 (121,013)
Citation 8

Abstract:

30.

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 C.T. 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 195 (102,431)

Abstract:

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

31.

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

Downloads 174 (144,654)

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 80 (261,360)

Abstract:

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 76 (269,567)

Abstract:

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 (476,124)
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Abstract:

International economics, purchasing power parity, real exchange rates, panel models, unit root tests, heterogeneity

32.

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 166 (134,126)

Abstract:

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

33.

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
Government of the United States of America - Office of Financial Research, 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 132 (176,276)
Citation 2

Abstract:

34.

Irving Fisher, Expectational Errors and the Uip Puzzle

Downloads 125 (190,645)
Citation 2

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, Fordham University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 120 (197,458)
Citation 2

Abstract:

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, Fordham University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 5 (548,868)
Citation 2
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Abstract:

Expectations formation, Irving Fisher, small-sample problems, UIP

35.

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 and Faculty of Economics and Business Administration, Netherlands Interdisciplinary Demographic Institute, Tilburg University - Department of Finance and Tilburg University - TIAS School for Business and Society
Downloads 115 (182,618)
Citation 1

Abstract:

pension funds, finance, governance, behavioral economics

36.

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
Downloads 94 (227,517)

Abstract:

asset allocation, systemic risk, international finance, regime switching

37.

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, Fordham University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 82 (235,596)

Abstract:

UIP, Irving Fisher, Expectations formation, small-sample problems

38.

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, Fordham University and Tilburg University - Center for Economic Research, Econometrics and Finance Group
Downloads 74 (264,960)

Abstract:

Irving Fisher, UIP, PPP, inflation, interest rates, exchange rates

39.

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 (308,501)
Citation 19
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Abstract:

International equity markets, correlation, extreme returns, downside risk

40.

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
Downloads 49 (333,938)
Citation 6
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Abstract:

Portfolio choice, real estate, home ownership

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
Downloads 4 (528,920)
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Abstract:

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

42.

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
Downloads 3 (528,920)
Citation 29
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Abstract:

Corporate social responsibility, eco‐efficiency, shareholder value, firm value, firm operating performance, management policies, capital markets

43.

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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Abstract:

consumption, intertemporal household choice, life cycle models and saving, wealth

44.

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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Abstract:

experiment, reference point

45.

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

Journal of Banking and Finance, Forthcoming
Posted: 12 Aug 2015
Arian C.T. 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

Abstract:

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

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

Abstract:

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 - Limburg Institute of Financial Economics (LIFE) and Erasmus University - Rotterdam School of Management

Abstract:

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, Fordham University and Erasmus University - Rotterdam School of Management

Abstract:

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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
VU University Amsterdam - Faculty of Economics and Business Administration and Tilburg University - Department of Finance

Abstract:

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

Abstract:

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

Abstract:

53.

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

Downloads 0 (565,074)

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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)

Abstract:

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

Abstract:

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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)

Abstract:

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 - Limburg Institute of Financial Economics (LIFE) and University of Luxembourg - Luxembourg School of Finance

Abstract:

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 - Utrecht University School of Economics and Tilburg University - Department of Finance

Abstract:

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

Abstract:

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, VU University Amsterdam, Faculty of Economics and Business Administration and University of Luxembourg - Luxembourg School of Finance

Abstract:

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

Abstract:

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)

Abstract:

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
Government of the United States of America - Office of Financial Research, 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

Abstract:

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

Abstract:

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

Abstract:

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 - Utrecht University School of Economics

Abstract:

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 - Utrecht University School of Economics, MeesPierson Investment Bank and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

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 - Utrecht University School of Economics and MeesPierson Investment Bank

Abstract:

Other Papers (1)

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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
Downloads 172

Abstract:

Philanthropy, Asset allocation, art, wine, luxary goods markets

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