Dion Bongaerts

Erasmus University Rotterdam (EUR) - Finance

SCHOLARLY PAPERS

16

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116

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304

Scholarly Papers (16)

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 - Tilburg University School of Economics and Management
Downloads 937 (30,650)
Citation 6

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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 - Tilburg University School of Economics and Management
Downloads 287 (133,308)
Citation 24

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

2.
Downloads 1,143 ( 23,367)
Citation 96

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 1,084 (24,873)
Citation 21

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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 59 (450,244)

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3.

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 - Tilburg University School of Economics and Management
Downloads 1,129 (23,803)
Citation 26

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CDS, Liquidity, Liquidity Risk

4.

Competition among Liquidity Providers with Access to High-Frequency Trading Technology

Number of pages: 89 Posted: 04 Dec 2015 Last Revised: 04 Feb 2020
Dion Bongaerts and Mark Van Achter
Erasmus University Rotterdam (EUR) - Finance and Erasmus University Rotterdam (EUR) - Finance
Downloads 481 (74,797)
Citation 23

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Adverse Selection, Liquidity, Latency, Informed Trading, Trading Technology

5.

How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective

forthcoming in Management Science
Number of pages: 66 Posted: 04 Aug 2014 Last Revised: 01 Mar 2021
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 423 (87,114)
Citation 4

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

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 325 (116,671)
Citation 1

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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 83 (372,611)

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XPIN, informed trading, private information, portfolio optimization model

7.
Downloads 362 (104,175)
Citation 14

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 210 (181,882)
Citation 19

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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 152 (242,067)
Citation 1

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credit rating agencies, competition, reputation, regulation

8.

The Next Step in Green Bond Financing

Number of pages: 37 Posted: 05 Jun 2019 Last Revised: 20 Mar 2020
Dion Bongaerts and Dirk Schoenmaker
Erasmus University Rotterdam (EUR) - Finance and Rotterdam School of Management, Erasmus University
Downloads 342 (110,977)
Citation 1

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security design, liquidity

9.

Conditional Volatility Targeting

Financial Analysts Journal, 2020, 76(4): 54–71
Number of pages: 32 Posted: 20 Jul 2020 Last Revised: 09 Nov 2020
Dion Bongaerts, Xiaowei Kang and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 274 (141,033)

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10.

Intangible assets and the cross-section of stock returns

Number of pages: 41 Posted: 24 Sep 2021
Dion Bongaerts, Xiaowei Kang and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 255 (151,039)

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Intangible Assets, Knowledge Capital, Organization Capital, Asset Pricing, Factor Models, Information Complexity, Mispricing

11.

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 243 (158,459)
Citation 2

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Private Equity, Regulatory Capital, Risk Management

12.

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

European Corporate Governance Institute – Finance Working Paper No. 666/2020
Number of pages: 70 Posted: 10 Nov 2016 Last Revised: 02 Apr 2020
Dion Bongaerts and Frederik P. Schlingemann
Erasmus University Rotterdam (EUR) - Finance and University of Pittsburgh - Finance Group
Downloads 226 (169,910)
Citation 1

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Credit ratings, asset sales, financial constraints, asset allocation, managerial discipline

13.

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 152 (241,498)
Citation 1

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High-Frequency Trading, Welfare, Liquidity

14.

The Economics of Investor-Paid Credit Rating Agencies

Number of pages: 48 Posted: 27 Jun 2019
Dion Bongaerts
Erasmus University Rotterdam (EUR) - Finance
Downloads 67 (416,204)
Citation 1

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Credit Rating Agencies, Competition, Regulation, Investor-Paid

15.
Downloads 50 (478,175)
Citation 1

Fire Sale Risk and Credit

Number of pages: 46 Posted: 26 Feb 2021 Last Revised: 23 Aug 2021
Dion Bongaerts, Francesco Mazzola and Wolf Wagner
Erasmus University Rotterdam (EUR) - Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR)
Downloads 50 (486,453)
Citation 1

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fire sales, credit supply, foreclosure laws, creditor concentration, joint liquidation risk, collateral

Fire Sale Risk and Credit

CEPR Discussion Paper No. DP15798
Number of pages: 40 Posted: 11 Feb 2021 Last Revised: 01 Mar 2021
Dion Bongaerts, Francesco Mazzola and Wolf Wagner
Erasmus University Rotterdam (EUR) - Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR)
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16.

Closed for Business

CEPR Discussion Paper No. DP14814
Number of pages: 32 Posted: 28 May 2020
Dion Bongaerts, Francesco Mazzola and Wolf Wagner
Erasmus University Rotterdam (EUR) - Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR)
Downloads 1 (791,863)
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business shutdown, coordination, COVID-19, Pandemic