Piet Sercu

FEB at KU Leuven

Professor of International Finance

Naamsestraat 69

Faculty of Economics and Business

Leuven, 3000

Belgium

  • FEB at KU Leuven

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    • Tel: +32 16 32 67 56
    • Fax: +32 16 32 67 32
SCHOLARLY PAPERS

44

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Scholarly Papers (44)

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1.

Home Bias in International Equity Portfolios: A Review

Number of pages: 37 Posted: 30 Oct 2007
Piet Sercu and Rosanne Vanpee
FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Downloads 3,016 (7,408)
Citation 44

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2.

Cross and Delta-Hedges: Regression Versus Price-Based Hedge Ratios

Downloads 507 (97,115)
Citation 1

Cross and Delta-Hedges: Regression Versus Price-Based Hedge Ratios

Number of pages: 24 Posted: 24 May 1999
Piet Sercu and Xueping Wu
FEB at KU Leuven and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 507 (96,079)
Citation 1

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Cross and Delta-Hedges: Regression Versus Price-Based Hedge Ratios

Posted: 10 Nov 2002
Xueping Wu and Piet Sercu
City University of Hong Kong (CityU) - Department of Economics & Finance and FEB at KU Leuven

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futures, heding, cross, delta, exchange rates

3.

Thin-Trading Effects in Beta: Bias v. Estimation Error

Number of pages: 25 Posted: 01 Mar 2007
Piet Sercu, Martina L. Vandebroek and Tom Vinaimont
FEB at KU Leuven, Katholieke Universiteit Leuven - Faculty of Business and Economics and Nazarbayev University - Graduate School of Business
Downloads 480 (103,779)
Citation 2

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Market Model, Thin Trading

4.

Keiretsu Membership, Firm Size, and Corporate Returns on Value and Cost

Number of pages: 40 Posted: 22 Nov 2000
Xueping Wu, Piet Sercu and Charles J.P. Chen
City University of Hong Kong (CityU) - Department of Economics & Finance, FEB at KU Leuven and City University of Hong Kong (CityU) - Department of Accountancy
Downloads 476 (104,817)
Citation 5

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Cost of Capital, Return on Investment, Value Added, Corporate Governance, keiretsu

5.

Tactical Asset Allocation with Commodity Futures: Implications of Business Cycle and Monetary Policy

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 33 Posted: 22 Oct 2010 Last Revised: 26 Jan 2011
Van Thi Tuong Nguyen and Piet Sercu
KU Leuven and FEB at KU Leuven
Downloads 393 (131,045)
Citation 3

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commodity futures, asset allocation, portfolio diversification, business cycle, monetary policy

6.

Can Exchange Rates Forecast Commodity Prices? A Reconsideration

Number of pages: 52 Posted: 30 Jul 2014 Last Revised: 06 Feb 2018
Lasse Bork, Pablo Rovira Kaltwasser, Pablo Rovira Kaltwasser and Piet Sercu
Aalborg University - Department of Business and Management, Catholic University of Leuven (KUL)National Bank of Belgium and FEB at KU Leuven
Downloads 369 (140,582)
Citation 3

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Commodity Prices, Exchange Rates, Granger Causality, Forecast, Forecast Combination

7.

A Measure of Pure Home Bias

Review of Finance, Forthcoming
Number of pages: 55 Posted: 01 Jun 2015 Last Revised: 06 May 2018
Ian A. Cooper, Piet Sercu and Rosanne Vanpee
London Business School, FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Downloads 338 (154,631)
Citation 4

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Home bias, foreign bias, international equity investment

8.

Hedging with Two Futures Contracts: Simplicity Pays

Number of pages: 42 Posted: 15 Apr 2010
Van Thi Tuong Nguyen, Katelijne A. E. Carbonez and Piet Sercu
KU Leuven, KU Leuven - Faculty of Business and Economics (FEB) and FEB at KU Leuven
Downloads 299 (176,076)
Citation 1

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Hedging Strategy, Hedge Ratio, Convenience Yield

9.

Foreign Bias in Equity Portfolios: Informational Advantage or Familiarity Bias?

Downloads 277 (190,533)

Foreign Bias in Equity Portfolios: Informational Advantage or Familiarity Bias?

De Nederlandsche Bank Working Paper No. 742
Number of pages: 45 Posted: 21 Mar 2022 Last Revised: 17 Apr 2023
Martijn Adriaan Boermans, Ian A. Cooper, Piet Sercu and Rosanne Vanpee
De Nederlandsche Bank, London Business School, FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Downloads 143 (348,017)
Citation 2

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International portfolio choice; home bias; foreign bias; informational advantage; familiarity; behavioral economics; active share.

Foreign Bias in Equity Portfolios: Informational Advantage or Familiarity Bias?

Number of pages: 44 Posted: 25 Oct 2021 Last Revised: 21 Nov 2022
Martijn Adriaan Boermans, Ian A. Cooper, Piet Sercu and Rosanne Vanpee
De Nederlandsche Bank, London Business School, FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Downloads 134 (366,350)

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International portfolio choice; home bias; foreign bias; informational advantage; familiarity; behavioral economics; active share

10.

Selecting a Bond-Pricing Model for Trading: Benchmarking, Pooling, and Other Issues

Number of pages: 39 Posted: 22 Jul 2004
Piet Sercu and Tom Vinaimont
FEB at KU Leuven and Nazarbayev University - Graduate School of Business
Downloads 236 (223,358)

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Term Structure of Interest Rates, Bonds

11.

Testing Futures Returns Predictability: Implications for Hedgers

Number of pages: 28 Posted: 09 Nov 2007
Piet Sercu, Geert Dhaene and Cédric de Ville de Goyet
FEB at KU Leuven, KU Leuven - Department of Economics and KU Leuven
Downloads 199 (261,912)

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Average derivative estimates, Futures market, Hedging, Futures, IT, Expected, Forecasting, Variables, Indexes, Estimator, Information, Implications, Risk

12.

The Forex Forward Puzzle: The Career Risk Hypothesis

Downloads 198 (263,050)
Citation 2

The Forex Forward Puzzle: The Career Risk Hypothesis

Number of pages: 38 Posted: 30 Oct 2007
Piet Sercu and Fang Liu
FEB at KU Leuven and KU Leuven
Downloads 198 (262,507)
Citation 2

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Forward puzzle, Peso problem, Risk premium, Tests, Uncovered interest parity

The Forex Forward Puzzle: The Career Risk Hypothesis

The Financial Review, Vol. 44, No. 3, August 2009
Posted: 18 May 2009
Fang Liu and Piet Sercu
KU Leuven and FEB at KU Leuven

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Forward puzzle, uncovered interest parity, risk premium

13.

Reexamining the Relation between Debt Mix and Growth in Japan

Number of pages: 44 Posted: 20 Jan 2002
Xueping Wu, Piet Sercu and Jun Yao
City University of Hong Kong (CityU) - Department of Economics & Finance, FEB at KU Leuven and Deakin University
Downloads 198 (263,050)
Citation 3

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Bank Loan, Monitoring, Outside Debt, Debt Choice, Growth

14.

Do Inventories Really Yield a Convenience? An Empirical Analysis of the Risk-Adjusted Spread

Number of pages: 43 Posted: 18 Feb 2009
Katelijne A. E. Carbonez, Van Thi Tuong Nguyen and Piet Sercu
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven and FEB at KU Leuven
Downloads 158 (320,197)
Citation 4

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backwardation, convenience yield, theory of storage, risk premium, data aggregation, imbedded options

15.

Estimating the Costs of International Equity Investments

Downloads 156 (323,646)
Citation 5

Estimating the Costs of International Equity Investments

Number of pages: 49 Posted: 06 Mar 2008
Piet Sercu and Rosanne Vanpee
FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Downloads 156 (323,854)
Citation 5

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international portfolio diversification, information asymmetries, international CAPM, equity home bias

Estimating the Costs of International Equity Investments

Review of Finance, Vol. 12, No. 4, pp. 587-634, 2008
Posted: 27 Oct 2008
Piet Sercu and Rosanne Vanpee
FEB at KU Leuven and KU Leuven Faculty of Economics and Business

Abstract:

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G11, G15, F36

16.

Exporters' Exposures to Currencies: Beyond the Loglinear Model

Review of Finance, 20, 1631-1657, 2014
Number of pages: 36 Posted: 08 Apr 2012 Last Revised: 21 Nov 2017
Kris Boudt, Fang Liu and Piet Sercu
Ghent University, Central University of Finance and Economics, Beijing and FEB at KU Leuven
Downloads 152 (330,721)
Citation 1

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Forex, exposure, real options, threshold model

17.

Flawless Fundamental Indexing

Number of pages: 8 Posted: 08 Dec 2009
Fang Liu, Piet Sercu and Tom Vinaimont
Central University of Finance and Economics, Beijing, FEB at KU Leuven and Nazarbayev University - Graduate School of Business
Downloads 151 (332,466)

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fundamental indexing, drag, noisy price, flawed, not

18.

Estimating the Intertemporal Substitution Elasticity

Number of pages: 37 Posted: 16 Feb 2009
Fang Liu and Piet Sercu
KU Leuven and FEB at KU Leuven
Downloads 110 (423,098)
Citation 1

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seasonality, inflation rate, instrumental variable, time aggregation, varying relative risk aversion

19.

Orthogonalized Regressors and Spurious Precision

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 11 Posted: 03 Sep 2012 Last Revised: 11 Feb 2013
Piet Sercu and Martina L. Vandebroek
FEB at KU Leuven and Katholieke Universiteit Leuven - Faculty of Business and Economics
Downloads 109 (425,936)
Citation 2

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orthogonalised regressors, market model, currency, exposure

20.

The Safe-Haven Effect in Forward Premia: What Makes a Currency Trustworthy?

25th Australasian Finance and Banking Conference 2012
Number of pages: 29 Posted: 28 Aug 2012
Fang Liu and Piet Sercu
Central University of Finance and Economics, Beijing and FEB at KU Leuven
Downloads 109 (425,936)

Abstract:

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forward puzzle, exchange rate regime, base-currency strength, nonstationarity, safe haven

21.

The Forward Puzzle: the Roles of Exchange-Rate Regime and Base-Currency Strength

Number of pages: 26 Posted: 05 Mar 2008
Piet Sercu and Fang Liu
FEB at KU Leuven and KU Leuven
Downloads 109 (425,936)

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forward puzzle, exchange rate regime, base-currency strength, nonstationarity, career-risk effect

22.

The Asymmetric Effects of Scarcity and Abundance on Storable Commodity Price Dynamics and Hedge Ratios

Number of pages: 53 Posted: 12 Apr 2010
Katelijne A. E. Carbonez, Van Thi Tuong Nguyen and Piet Sercu
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven and FEB at KU Leuven
Downloads 105 (437,497)
Citation 1

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23.

The Value of Clean Hands: Public Policy and International Asset Allocation

EFA 2008 Athens Meetings Paper
Number of pages: 32 Posted: 06 Mar 2008
Piet Sercu and Rosanne Vanpee
FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Downloads 105 (437,497)

Abstract:

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international portfolio diversification, information asymmetries, home bias

24.

The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

FRB St. Louis Working Paper No. 2017-20
Number of pages: 28 Posted: 01 Aug 2017 Last Revised: 13 Mar 2019
Kris Boudt, Christopher J. Neely, Piet Sercu and Marjan Wauters
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 99 (455,682)

Abstract:

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Foreign exchange exposure, High-frequency data, Macro

25.

Why are Some Currencies Viewed as Benchmarks? The Roles of Interest Rates, Economic Size, and Exchange-Rate Regime

EFA 2009 Bergen Meetings Paper
Number of pages: 34 Posted: 16 Feb 2009
Fang Liu and Piet Sercu
KU Leuven and FEB at KU Leuven
Downloads 99 (455,682)

Abstract:

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forward puzzle, exchange rate regime, base-currency strength, nonstationarity, career-risk premium

26.

What Uip Tests on Extreme Samples Reveal About the Missing Variable

Number of pages: 31 Posted: 03 Aug 2003
Piet Sercu and Martina L. Vandebroek
FEB at KU Leuven and Katholieke Universiteit Leuven - Faculty of Business and Economics
Downloads 98 (458,840)
Citation 3

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27.

Do Inventories Really Yield a Convenience? An Empirical Analysis of the Cost-Adjusted Basis

Number of pages: 39 Posted: 15 Apr 2010
Katelijne A. E. Carbonez, Van Thi Tuong Nguyen and Piet Sercu
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven and FEB at KU Leuven
Downloads 83 (509,322)

Abstract:

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Backwardation, Convenience Yield, Theory of Storage, Risk Premium, Data Aggregation, Imbedded Options

28.

Remodeling the Working Curve: The Roles of Scarcity, Time to Maturity and Time to Harvest

Number of pages: 42 Posted: 16 Feb 2009
Katelijne A. E. Carbonez, Van Thi Tuong Nguyen and Piet Sercu
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven and FEB at KU Leuven
Downloads 82 (513,112)
Citation 2

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backwardation, convenience yield, theory of storage, scarcity

29.

More Friction, Less Noise? Relative Efficiency in a Two-Tier Stock Exchange

Number of pages: 44 Posted: 16 Feb 2009
Thi Ngoc Tuan Bui and Piet Sercu
Katholieke Universiteit Leuven and FEB at KU Leuven
Downloads 80 (520,619)

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dual markets, price discovery, market microstructure

30.

The Risk–Return–Sentiment Nexus: Dealing with Low Power and Big Bias

31st Australasian Finance and Banking Conference 2018
Number of pages: 36 Posted: 20 Nov 2018
Minh Phuong Doan and Piet Sercu
Deakin University - School of Accounting, Economics and Finance and FEB at KU Leuven
Downloads 74 (544,628)

Abstract:

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31.

Is the Forward Bias Economically Small? Evidence from European Rates

Journal of International Money and Finance, Vol. 27, pp. 1284–1302, 2008
Number of pages: 19 Posted: 14 Oct 2009
Piet Sercu, Martina L. Vandebroek and Xueping Wu
FEB at KU Leuven, Katholieke Universiteit Leuven - Faculty of Business and Economics and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 61 (602,711)

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Forward bias, Transaction costs, Trading rule, EMS, ERM

32.

The Equilibrium Approach to Exchange Rates: Theory and Tests

NBER Working Paper No. w5748
Number of pages: 44 Posted: 07 Nov 1996 Last Revised: 17 Sep 2022
Prakash Apte, Piet Sercu and Raman Uppal
Indian Institute of Management, Bangalore, FEB at KU Leuven and EDHEC Business School
Downloads 61 (602,711)

Abstract:

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33.

Does Competition from New Equity Mitigate Bank Rent Extraction? Insights from Japanese Data

Journal of Banking and Finance, Forthcoming
Number of pages: 14 Posted: 14 Oct 2009
Xueping Wu, Piet Sercu and Jun Yao
City University of Hong Kong (CityU) - Department of Economics & Finance, FEB at KU Leuven and Hong Kong Polytechnic University
Downloads 59 (612,774)

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debt mix, monitored debt, holdup, asymmetric information, growth, new equity

34.

The Risk-Return Tradeoff in International Stock Markets: One-Step Multivariate GARCH-M Estimation with Many Assets

KU Leuven Department of Economics, Discussion Paper Series DPS16.13
Number of pages: 26 Posted: 23 Jun 2016
Geert Dhaene, Piet Sercu and Wu Jianbin
KU Leuven - Department of Economics, FEB at KU Leuven and KU Leuven - Department of Economics
Downloads 57 (623,089)

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international asset pricing, currency risk, multivariate GARCH-M

35.

Remodeling the Working-Kaldor Curve: The Roles of Scarcity, Time to Maturity and Time to Harvest

Number of pages: 61 Posted: 16 Apr 2010
Van Thi Tuong Nguyen, Katelijne A. E. Carbonez and Piet Sercu
KU Leuven, KU Leuven - Faculty of Business and Economics (FEB) and FEB at KU Leuven
Downloads 53 (644,528)

Abstract:

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backwardation, convenience yield, theory of storage, scarcity

36.

Spot and Forward Prices in the Brussels SE: Time Value v. Convenience Premiums

Number of pages: 34 Posted: 16 Feb 2009
Thi Ngoc Tuan Bui and Piet Sercu
Katholieke Universiteit Leuven and FEB at KU Leuven
Downloads 44 (697,683)

Abstract:

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dual markets, settlement effect, market microstructure

37.

Using a Cost of Capital Where One Really Shouldn't

Number of pages: 20 Posted: 01 Jan 2020
Minh Phuong Doan, Phuong Nguyen Trang Doan and Piet Sercu
Deakin University - School of Accounting, Economics and Finance, affiliation not provided to SSRN and FEB at KU Leuven
Downloads 41 (717,378)

Abstract:

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Capital structure, capital budgeting, NPV, WACC, tax effects

38.

Supplementary Appendix to: The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

Number of pages: 3 Posted: 28 Jul 2017
Kris Boudt, Christopher J. Neely, Piet Sercu and Marjan Wauters
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 27 (822,559)
Citation 3

Abstract:

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foreign exchange exposure, high-frequency data, macroeconomic news

39.

The Risk–Return Nexus: Risk Aversion v Power and Proxy Bias

Number of pages: 37 Posted: 20 Nov 2018
Minh Phuong Doan and Piet Sercu
Deakin University - School of Accounting, Economics and Finance and FEB at KU Leuven
Downloads 22 (866,427)

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Investor Sentiment, midas, Risk aversion estimation, errors in variables, power of CAPM tests

40.

The Equity Home Bias Puzzle: A Survey

Foundations and Trends in Finance, Vol. 7, No. 4, 2013
Number of pages: 143 Posted: 18 Jan 2014
Ian A. Cooper, Piet Sercu and Rosanne Vanpee
London Business School, FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Downloads 22 (866,427)
Citation 23
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Equity, home bias, international portfolio choice

41.

The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests

Number of pages: 25 Posted: 04 Jun 2002
Prakash Apte, Piet Sercu and Raman Uppal
Indian Institute of Management, Bangalore, FEB at KU Leuven and EDHEC Business School
Downloads 21 (875,829)
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General equilibrium, purchasing power parity, regression tests

42.

Measuring Scarcity in Agricultural Markets, 1900-2000: The Shifting Informativeness of Price V Storage Data

Posted: 16 Apr 2010
Katelijne A. E. Carbonez, Van Thi Tuong Nguyen and Piet Sercu
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven and FEB at KU Leuven

Abstract:

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backwardation, convenience yield, theory of storage, scarcity

43.

The Information Content in Bond Model Residuals: An Empirical Study on the Belgian Bond Market

Journal of Banking & Finance, Vol. 21, 1997
Posted: 16 Oct 1998
Piet Sercu and Xueping Wu
FEB at KU Leuven and City University of Hong Kong (CityU) - Department of Economics & Finance

Abstract:

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44.

The Exchange Rate in the Presence of Transactions Costs: Implications for Tests of Purchasing Power Parity

JOURNAL OF FINANCE, Vol 50 No 4, September 1995
Posted: 15 Jul 1998
Piet Sercu, Cynthia Van Hulle and Raman Uppal
FEB at KU Leuven, KU Leuven - Department of Applied Economics and EDHEC Business School

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