Willem F. C. Verschoor

VU University Amsterdam, Faculty of Economics and Business Administration

Professor of Finance

De Boelelaan 1105

Amsterdam, 1081 HV

Netherlands

SCHOLARLY PAPERS

30

DOWNLOADS
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Top 9,738

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3,722

CITATIONS
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SSRN RANKINGS

Top 5,499

in Total Papers Citations

93

Scholarly Papers (30)

1.

The Impact of Corporate Derivative Usage on Foreign Exchange Risk Eposure

Number of pages: 36 Posted: 28 Feb 2005
Aline Muller and Willem F. C. Verschoor
HEC Management School University of Liège and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 646 (27,076)
Citation 4

Abstract:

Risk management, foreign exchange risk, foreign currency derivative use, European multinational firms, optimal hedging theories

2.

Asian Foreign Exchange Risk Exposure

EFMA 2004 Basel Meetings Paper
Number of pages: 33 Posted: 18 May 2004
Aline Muller and Willem F. C. Verschoor
HEC Management School University of Liège and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 449 (46,864)
Citation 20

Abstract:

exchange risk, Asian multinational firms, hedging policies, intervaling, longterm exposure

3.

Extreme US Stock Market Fluctuations in the Wake of 9/11

AFA 2004 San Diego Meetings
Number of pages: 27 Posted: 08 Dec 2003
Stefan Straetmans, Willem F. C. Verschoor and Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE), VU University Amsterdam, Faculty of Economics and Business Administration and University of Luxembourg - Luxembourg School of Finance
Downloads 395 (55,719)
Citation 18

Abstract:

Market Crashes, Bivariate Extreme Value Analysis, Extreme Co-movements, heavy tails, Value-at-Risk, tail beta, extreme dependence

4.

Contagion versus Interdependence: A Re-Examination of Asian-Crisis Stock Market Comovements

EFA 2003 Annual Conference Paper No. 249
Number of pages: 27 Posted: 21 Jul 2003
Stefanie Kleimeier, Thorsten Lehnert and Willem F. C. Verschoor
Maastricht University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 368 (60,277)
Citation 1

Abstract:

5.

The Value-Relevance of Foreign Currency Derivatives Disclosures

Number of pages: 46 Posted: 11 Feb 2008
Aline Muller and Willem F. C. Verschoor
HEC Management School University of Liège and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 221 (104,549)

Abstract:

European non-financial firms, risk management, foreign currency derivatives, exchange risk exposure, optimal hedging theories

6.

Using Survey Data to Resolve the Exchange Risk Exposure Puzzle: Evidence from U.S. Multinational Firms

EFA 2007 Ljubljana Meetings Paper
Number of pages: 32 Posted: 05 Mar 2007 Last Revised: 26 Aug 2009
Willem F. C. Verschoor, Aline Muller and Ron Jongen
VU University Amsterdam, Faculty of Economics and Business Administration, HEC Management School University of Liège and Dutch Central Bank (DNB)
Downloads 181 (125,757)

Abstract:

foreign exchange risk, survey-based exchange rate expectations, heterogeneity, U.S. multinational firms

7.

Excess Stock Return Comovements and the Role of Investor Sentiment

Number of pages: 25 Posted: 08 Jul 2011 Last Revised: 19 Aug 2012
Bart Frijns, Willem F. C. Verschoor and Remco C. J. Zwinkels
Auckland University of Technology - Faculty of Business & Law, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 169 (128,942)

Abstract:

Behavioral Finance, Excess Comovement; Investor Sentiment; International Equity Markets

8.

Metal Investments: Distrust Killer or Inflation Hedging?

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 29 Posted: 25 Aug 2011 Last Revised: 19 Aug 2012
Ghulame Rubbaniy, Ken Ting Lee and Willem F. C. Verschoor
University of Central Punjab - UCP Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 149 (156,206)

Abstract:

Asset Pricing, Financial crises, Econometric models, Behavioral finance

9.

Heterogeneity of Agents and Exchange Rate Dynamics: Evidence from the EMS

Journal of International Money and Finance, Vol. 29, No. 8, 2010
Number of pages: 41 Posted: 22 Mar 2006 Last Revised: 06 May 2016
Eelke de Jong, Willem F. C. Verschoor and Remco C. J. Zwinkels
Radboud University Nijmegen - Department of Economics, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 139 (159,821)
Citation 7

Abstract:

: Heterogeneous expectations; The European Monetary System; Non-linear modelling; Agent-based finance

10.

Dispersion of Beliefs and Market Volatility in the Foreign Exchange Market

EFA 2006 Zurich Meetings
Number of pages: 33 Posted: 08 Mar 2006
Vrije Universiteit Amsterdam, Dutch Central Bank (DNB), University of Luxembourg - Luxembourg School of Finance and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 133 (168,308)

Abstract:

Exchange rate expectations, heterogeneity, dispersion of beliefs, bounded rationality, tail behaviour, survey data

11.

Chartists, Fundamentalists, and Dispersion in the Foreign Exchange Market

Number of pages: 34 Posted: 16 Mar 2009
Dutch Central Bank (DNB), University of Luxembourg - Luxembourg School of Finance, Vrije Universiteit Amsterdam and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 126 (174,372)

Abstract:

Chartists, exchange rate expectations, fundamentalists, heterogeneity, dispersion of beliefs, bounded rationality, survey data

12.

Behavioural Heterogeneity and Shift-Contagion: Evidence from the Asian Crisis

Journal of Economic Dynamics and Control, Vol. 33, No. 11, 2009
Number of pages: 33 Posted: 15 Feb 2008 Last Revised: 06 May 2016
Eelke de Jong, Willem F. C. Verschoor and Remco C. J. Zwinkels
Radboud University Nijmegen - Department of Economics, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 86 (233,597)
Citation 4

Abstract:

heterogeneous expectations, contagion, Asian crisis, dynamic models

13.

Home Bias and Dutch Pension Funds’ Investment Behaviour

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 27 Posted: 22 Aug 2010 Last Revised: 06 Oct 2011
Iman van Lelyveld, Willem F. C. Verschoor and Ghulame Rubbaniy
De Nederlandsche Bank, VU University Amsterdam, Faculty of Economics and Business Administration and University of Central Punjab - UCP Business School
Downloads 83 (213,126)
Citation 1

Abstract:

Pension funds, Portfolio choice, Home bias

14.

Do Foreign Exchange Fund Managers Behave Like Positive Feedback Traders?

Quantitative Finance 13: 1125-1134, 2013
Number of pages: 27 Posted: 23 Nov 2011 Last Revised: 01 Feb 2016
Remco C. J. Zwinkels and Willem F. C. Verschoor
Vrije Universiteit Amsterdam and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 79 (240,596)

Abstract:

heterogeneous agents, currency trading, style investing

15.

Dynamic Expectation Formation in the Foreign Exchange Market

Journal of International Money and Finance, Vol. 37, 2013
Number of pages: 41 Posted: 12 May 2011 Last Revised: 01 Feb 2016
Saskia ter Ellen, Willem F. C. Verschoor and Remco C. J. Zwinkels
Norges Bank Research, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 65 (257,781)

Abstract:

foreign exchange expectations, investor sentiment, market anomalies, survey data

16.

Time-Varying Importance of Country and Industry Factors in European Corporate Bonds

Journal of Empirical Finance, Forthcoming
Number of pages: 53 Posted: 21 Feb 2014 Last Revised: 01 Feb 2016
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Department of Business Economics, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 62 (184,275)

Abstract:

market integration, corporate bond markets, factor decomposition, Sovereign debt crisis

17.

European Foreign Exchange Risk Exposure

European Financial Management, Vol. 12, No. 2, pp. 195-220, March 2006
Number of pages: 26 Posted: 08 May 2006
Aline Muller and Willem F. C. Verschoor
HEC Management School University of Liège and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 30 (377,880)
Citation 20

Abstract:

18.

Foreign Exchange Rate Expectations: Survey and Synthesis

Journal of Economic Surveys, Vol. 22, No. 1, pp. 140-165, February 2008
Number of pages: 26 Posted: 31 Jan 2008
Ron Jongen, Willem F. C. Verschoor and Christian C. P. Wolff
Dutch Central Bank (DNB), VU University Amsterdam, Faculty of Economics and Business Administration and University of Luxembourg - Luxembourg School of Finance
Downloads 25 (400,078)
Citation 6

Abstract:

19.

Time Variation in Term Premia: International Evidence

CEPR Discussion Paper No. 4959
Number of pages: 34 Posted: 27 Jul 2005
Ron Jongen, Willem F. C. Verschoor and Christian C. P. Wolff
Dutch Central Bank (DNB), VU University Amsterdam, Faculty of Economics and Business Administration and University of Luxembourg - Luxembourg School of Finance
Downloads 16 (445,222)
Citation 4

Abstract:

Interest rate expectations, EMS, expectations hypothesis, rationality, survey data, term structure, time-varying term premia

20.

Cracks in the Crystal Ball: What Happens to Firms’ Foreign Exchange Rate Exposure When Forecasters Don't Agree About the Future

Number of pages: 16 Posted: 17 Mar 2014
Aline Muller, Julien Poncelet, Willem F. C. Verschoor and Remco C. J. Zwinkels
HEC Management School University of Liège, University of Liege - HEC Management School, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 14 (430,072)

Abstract:

21.

Dispersion of Beliefs in the Foreign Exchange Market

CEPR Discussion Paper No. DP6738
Number of pages: 46 Posted: 11 Jun 2008
Dutch Central Bank (DNB), VU University Amsterdam, Faculty of Economics and Business Administration, University of Luxembourg - Luxembourg School of Finance and Vrije Universiteit Amsterdam
Downloads 3 (508,265)
Citation 4

Abstract:

exchange rates, expectations, heterogeneity, survey data

22.

Measuring Financial Contagion Using Time-Aligned Data: The Importance of the Speed of Transmission of Shocks

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue 4, pp. 493-508, August 2008
Number of pages: 16 Posted: 22 Jul 2008
Stefanie Kleimeier, Thorsten Lehnert and Willem F. C. Verschoor
Maastricht University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and VU University Amsterdam, Faculty of Economics and Business Administration
Downloads 1 (521,842)
Citation 4

Abstract:

23.

Agreeing on Disagreement: Heterogeneity or Uncertainty?

Norges Bank Working Paper 4/2016
Number of pages: 24 Posted: 26 Aug 2016
Saskia ter Ellen, Willem F. C. Verschoor and Remco C. J. Zwinkels
Norges Bank, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 0 (414,750)

Abstract:

foreign exchange markets, disagreement, heterogeneous expectations, uncertainty

24.

Agreeing on Disagreement: Heterogeneity or Uncertainty?

Norges Bank Working Paper 04/2016
Number of pages: 25 Posted: 24 Feb 2016
Saskia ter Ellen, Willem F. C. Verschoor and Remco C. J. Zwinkels
Norges Bank Research, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 0 (382,007)

Abstract:

foreign exchange markets, disagreement, heterogeneous expectations, uncertainty

25.

Heterogeneity of Agents and Exchange Rate Dynamics

Posted: 07 Mar 2008
Remco C. J. Zwinkels, Eelke de Jong and Willem F. C. Verschoor
Vrije Universiteit Amsterdam, Radboud University Nijmegen - Department of Economics and VU University Amsterdam, Faculty of Economics and Business Administration

Abstract:

Heterogeneous expectations, The European Monetary System, Non-linear modelling, Agent-based finance

26.

Time-Varion in Term Premia

Posted: 07 Mar 2008
Willem F. C. Verschoor, Ron Jongen and Christian C. P. Wolff
VU University Amsterdam, Faculty of Economics and Business Administration, Dutch Central Bank (DNB) and University of Luxembourg - Luxembourg School of Finance

Abstract:

Interest rate expectations, expectations hypothesis, rationality, survey data, term structure, time-varying term premia

27.

Stochastic Trends and Jumps In EMS Exchange Rates

Posted: 14 Sep 1999
Fred Nieuwland, Willem F. C. Verschoor and Christian C. P. Wolff
Maastricht University - Department of Economics, VU University Amsterdam, Faculty of Economics and Business Administration and University of Luxembourg - Luxembourg School of Finance

Abstract:

28.

Interest Expectations and Exchange Rates News

Empirical Economics, Vol. 23, Issue 4, 1998
Posted: 18 May 1999
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:

29.

On the Biasedness of Forward Foreign Exchange Rates: Irrationality of Risk Premia?

Posted: 11 Jan 1995
Stefano Cavaglia, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, VU University Amsterdam, Faculty of Economics and Business Administration and University of Luxembourg - Luxembourg School of Finance

Abstract:

30.

On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?

Journal of Business, Vol 67, No 3, July 1994
Posted: 29 Jun 1994
Stefano Cavaglia, Willem F. C. Verschoor and Christian C. P. Wolff
Brinson Partners, VU University Amsterdam, Faculty of Economics and Business Administration and University of Luxembourg - Luxembourg School of Finance

Abstract:

Other Papers (1)

Total Downloads: 41    Citations: 1
1.

Herd Behaviour and Trading Among Dutch Pension Funds

Number of pages: 36 Posted: 24 Aug 2010 Last Revised: 20 Aug 2012
Iman van Lelyveld, Willem F. C. Verschoor and Ghulame Rubbaniy
De Nederlandsche Bank, VU University Amsterdam, Faculty of Economics and Business Administration and University of Central Punjab - UCP Business School
Downloads 27 (286,169)
Citation 1

Abstract:

Feedback strategies, herding, institutional investors.