Dion Bongaerts

Erasmus University Rotterdam (EUR) - Finance

SCHOLARLY PAPERS

10

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CITATIONS
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88

Scholarly Papers (10)

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Number of pages: 65 Posted: 23 Apr 2011 Last Revised: 14 Mar 2012
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 866 (24,072)
Citation 2

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Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle

An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets

Netspar Discussion Paper No. 03/2012-017
Number of pages: 66 Posted: 25 May 2012
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 249 (113,379)
Citation 2

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Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle

2.
Downloads 1,104 ( 17,082)
Citation 39

Tiebreaker: Certification and Multiple Credit Ratings

Yale ICF Working Paper No. 08-27, AFA 2011 Denver Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 65 Posted: 29 Nov 2008 Last Revised: 10 Sep 2011
Erasmus University Rotterdam (EUR) - Finance, University of Notre Dame and Yale School of Management - International Center for Finance
Downloads 1,053 (17,983)
Citation 39

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Ratings, Credit Spreads

Tiebreaker: Certification and Multiple Credit Ratings

NBER Working Paper No. w15331
Number of pages: 66 Posted: 15 Sep 2009 Last Revised: 12 Oct 2009
Erasmus University Rotterdam (EUR) - Finance, University of Notre Dame and Yale School of Management - International Center for Finance
Downloads 51 (365,568)
Citation 39

Abstract:

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Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

Journal of Finance, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 66 Posted: 01 Mar 2007 Last Revised: 24 Jan 2010
Dion Bongaerts, Frank De Jong and Joost Driessen
Erasmus University Rotterdam (EUR) - Finance, Tilburg University - Department of Finance and Tilburg University - Center and Faculty of Economics and Business Administration
Downloads 1,054 (18,296)
Citation 38

Abstract:

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CDS, Liquidity, Liquidity Risk

4.

High-Frequency Trading and Market Stability

Number of pages: 53 Posted: 04 Dec 2015 Last Revised: 07 Apr 2016
Dion Bongaerts and Mark Van Achter
Erasmus University Rotterdam (EUR) - Finance and Erasmus University Rotterdam (EUR) - Finance
Downloads 333 (83,224)

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Market Freeze, Liquidity Dry-Up, Systemic Risk, Latency, Informed Trading, Allocative Efficiency

A Portfolio Optimization Approach to Identifying Private Information

Number of pages: 46 Posted: 01 Dec 2014 Last Revised: 08 Oct 2018
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 272 (103,281)

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XPIN, informed trading, private information, portfolio optimization model

Cross-Sectional Identification of Informed Trading

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 44 Posted: 01 Feb 2016
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 60 (337,619)

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XPIN, informed trading, private information, portfolio optimization model

6.

On the Origination and Propagation of Shocks Across International Equity Markets: A Microstructure Perspective

7th Miami Behavioral Finance Conference 2016
Number of pages: 134 Posted: 04 Aug 2014 Last Revised: 31 May 2017
Erasmus University Rotterdam (EUR) - Finance, California Institute of Technology, State University of New York at Buffalo - School of Management, Erasmus University - Rotterdam School of Management and Norwegian School of Economics (NHH) - Department of Finance
Downloads 298 (94,127)

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Equity markets, jumps, financial crises, contagion, liquidity, trading activity

7.
Downloads 287 ( 98,073)
Citation 1

Alternatives for Issuer-Paid Credit Rating Agencies

Number of pages: 45 Posted: 07 Aug 2013 Last Revised: 08 May 2014
Dion Bongaerts
Erasmus University Rotterdam (EUR) - Finance
Downloads 174 (160,268)
Citation 1

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Credit Rating Agencies, Competition, Reputation, Regulation

Alternatives for Issuer-Paid Credit Rating Agencies

ECB Working Paper No. 1703
Number of pages: 50 Posted: 02 Aug 2014
Dion Bongaerts
Erasmus University Rotterdam (EUR) - Finance
Downloads 113 (228,112)

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credit rating agencies, competition, reputation, regulation

8.

Private Equity and Regulatory Capital

Journal of Banking and Finance, Vol. 33, No. 7, pp. 1211-1220, 2009
Number of pages: 35 Posted: 04 Jun 2008 Last Revised: 09 Mar 2012
Dion Bongaerts and Erwin Charlier
Erasmus University Rotterdam (EUR) - Finance and Tilburg University - Department of Econometrics & Operations Research
Downloads 223 (127,226)
Citation 6

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Private Equity, Regulatory Capital, Risk Management

9.

The Real Effects of Credit Ratings: Evidence from Corporate Asset Sales

Number of pages: 78 Posted: 10 Nov 2016 Last Revised: 23 Jun 2017
Dion Bongaerts and Frederik P. Schlingemann
Erasmus University Rotterdam (EUR) - Finance and University of Pittsburgh - Finance Group
Downloads 130 (204,205)

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Credit Ratings, Asset Sales, Financial Distress, Governance

10.

Trading Speed Competition: Can the Arms Race Go Too Far?

Number of pages: 39 Posted: 16 May 2016
Dion Bongaerts, Lingtian Kong and Mark Van Achter
Erasmus University Rotterdam (EUR) - Finance, Erasmus University Rotterdam (EUR) - Finance and Erasmus University Rotterdam (EUR) - Finance
Downloads 117 (221,233)

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High-Frequency Trading, Welfare, Liquidity