Peter C. Schotman

Maastricht University - Limburg Institute of Financial Economics (LIFE)

P.O. Box 616

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

36

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CITATIONS
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103

Scholarly Papers (36)

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
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 1,304 (10,892)
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
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 (346,434)
Citation 13

Abstract:

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

2.

Strategic Asset Allocation With Liabilities: Beyond Stocks and Bonds

Number of pages: 51 Posted: 28 Feb 2005
APG Asset Management, Robeco Asset Management, Maastricht University - Limburg Institute of Financial Economics (LIFE) and ABP Investments - Research Department
Downloads 1,346 (9,758)
Citation 34

Abstract:

Strategic asset allocation, asset liability management

Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information

Number of pages: 36 Posted: 01 Jun 2006 Last Revised: 09 Mar 2013
APG Asset Management, Robeco Asset Management, Maastricht University - Limburg Institute of Financial Economics (LIFE) and ABP Investments - Research Department
Downloads 737 (25,853)
Citation 6

Abstract:

strategic asset allocation, bayesian vector autoregression, parameter uncertainty

Strategic Asset Allocation for Long-Term Investors: Parameter Uncertainty and Prior Information

Netspar Discussion Paper No. 04/2011-038
Number of pages: 51 Posted: 22 Apr 2011
APG Asset Management, Robeco Asset Management, Maastricht University - Limburg Institute of Financial Economics (LIFE) and ABP Investments - Research Department
Downloads 206 (120,089)
Citation 6

Abstract:

strategic asset allocation, Bayesian vector autoregression, parameter uncertainty, robust portfolio choice

4.

Estimating Security Betas Using Prior Information Based on Firm Fundamentals

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper, WFA 2009 San Diego Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 60 Posted: 13 Feb 2009 Last Revised: 25 Feb 2017
Mathijs Cosemans, Rik Frehen, Peter C. Schotman and Rob Bauer
Erasmus University - Rotterdam School of Management, Tilburg University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht University
Downloads 912 (12,088)
Citation 3

Abstract:

asset pricing, portfolio construction, time-varying betas, shrinkage, panel data

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

Number of pages: 38 Posted: 07 Nov 1998
Dennis Bams and Peter C. Schotman
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 565 (37,239)
Citation 3

Abstract:

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

CEPR Discussion Paper Series No. 2034
Posted: 22 Jan 1999
Dennis Bams and Peter C. Schotman
University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

6.

Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation

Number of pages: 41 Posted: 14 Jul 2009 Last Revised: 06 Feb 2014
Bart F. Diris, Franz C. Palm and Peter C. Schotman
Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Maastricht - Department of Economics and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 462 (36,658)
Citation 2

Abstract:

Strategic asset allocation, out-of-sample analysis

Conditional Asset Pricing and Stock Market Anomalies in Europe

European Financial Management Journal, Forthcoming
Number of pages: 41 Posted: 08 Mar 2007 Last Revised: 09 Jul 2008
Rob Bauer, Mathijs Cosemans and Peter C. Schotman
Maastricht University, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 378 (61,743)
Citation 8

Abstract:

conditional asset pricing, time-varying risk, stock market anomalies

Conditional Asset Pricing and Stock Market Anomalies in Europe

European Financial Management, Vol. 16, Issue 2, pp. 165-190, March 2010
Number of pages: 26 Posted: 01 Mar 2010
Rob Bauer, Mathijs Cosemans and Peter C. Schotman
Maastricht University, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 1 (564,137)
Citation 8

Abstract:

8.
Downloads 281 ( 87,396)
Citation 9

Price Discovery in Tick Time

AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 2252
Number of pages: 35 Posted: 22 Jul 2004
Bart Frijns and Peter C. Schotman
Auckland University of Technology - Faculty of Business & Law and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 263 (93,480)
Citation 9

Abstract:

Price Discovery, Tick Time models, Nasdaq, Ultra-high frequency data, Microstructure

Price Discovery in Tick Time

CEPR Discussion Paper No. 4456
Number of pages: 36 Posted: 30 Jul 2004
Bart Frijns and Peter C. Schotman
Auckland University of Technology - Faculty of Business & Law and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 18 (464,614)
Citation 9

Abstract:

Price discovery, tick time models, NASDAQ, ultra-high frequency data, microstructure

9.

Firm Characteristics, Industry, Horizon and Time Effects, in the Cross-Section of Expected Stock Returns

University of Maastricht, Limburg Institute of Financial Economics Working Paper No. 03-008
Number of pages: 33 Posted: 06 Mar 2005 Last Revised: 04 Aug 2009
Rob Bauer, Bart F. Diris, Borislav Pavlov and Peter C. Schotman
Maastricht University, Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Maastricht, Limburg Institute of Financial Economics (LIFE) and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 261 (87,396)

Abstract:

Stock returns, Forecasting, Panel data, Industry effects, Individual effects, Time effects

What Does a Term Structure Model Imply About Very Long-Term Interest Rates?

Number of pages: 30 Posted: 29 Jan 2014 Last Revised: 25 Sep 2016
Anne G. Balter, Antoon Pelsser and Peter C. Schotman
Tilburg University, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 176 (139,364)

Abstract:

term structure models, parameter uncertainty, extrapolation, insurance supervision

What Does a Term Structure Model Imply about Very Long-Term Interest Rates?

Netspar Discussion Paper No. 02/2014-065
Number of pages: 30 Posted: 14 Feb 2015 Last Revised: 25 Sep 2016
Anne G. Balter, Antoon Pelsser and Peter C. Schotman
Tilburg University, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 67 (282,361)

Abstract:

term structure models, parameter uncertainty, extrapolation, insurance supervision

11.

Valuation and Optimal Exercise of Dutch Mortgage Loans with Prepayment Restrictions

Number of pages: 15 Posted: 26 Mar 2006
Bart Kuijpers and Peter C. Schotman
APG Asset Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 187 (127,424)
Citation 1

Abstract:

mortgage valuation, partial prepayments, binomial trees

The Volatility of Long-Term Bond Returns: Persistent Interest Shocks and Time-Varying Risk Premiums

Number of pages: 51 Posted: 03 Aug 2012
Daniela Osterrieder and Peter C. Schotman
Rutgers Business School and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 116 (197,262)
Citation 1

Abstract:

term structure of interest rates, fractional integration, affine models

The Volatility of Long-Term Bond Returns: Persistent Interest Shocks and Time-Varying Risk Premiums

Netspar Discussion Paper No. 08/2012-060
Number of pages: 52 Posted: 13 Feb 2013
Daniela Osterrieder and Peter C. Schotman
Rutgers Business School and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 64 (289,496)
Citation 1

Abstract:

Term structure of interest rates, fractional integration, affine models

13.

Robust Portfolio Optimization with Multiple Experts

Number of pages: 55 Posted: 12 Jul 2008 Last Revised: 06 Nov 2008
Frank Lutgens and Peter C. Schotman
Maastricht School of Business and Economics and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 180 (129,877)
Citation 2

Abstract:

14.

Regret Aversion and Annuity Risk in Defined Contribution Pension Plans

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 34 Posted: 31 Jan 2008
APG Asset Management, University of Maastricht - Department of Economics, Tilburg University - Department of Finance and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 165 (147,569)

Abstract:

Lookback Option, Life Annuity, Annuity Risk, Defined Contribution, Stochastic Discount Factor

15.
Downloads 155 (155,723)
Citation 4

Long Memory and the Term Structure of Risk

Number of pages: 44 Posted: 21 Feb 2008
Rolf Tschernig, Jan Budek and Peter C. Schotman
University of Regensburg - Department of Economics and Econometrics, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 155 (155,915)
Citation 4

Abstract:

Long-term portfolio choice, Term structure of risk, Fractional integration, Long Memory

Long Memory and the Term Structure of Risk

Journal of Financial Econometrics, Vol. 6, Issue 4, pp. 459-495, 2008
Posted: 16 Oct 2008
Peter C. Schotman, Rolf Tschernig and Jan Budek
Maastricht University - Limburg Institute of Financial Economics (LIFE), University of Regensburg - Department of Economics and Econometrics and Maastricht University

Abstract:

G11, C32, long-term portfolio choice, linear processes with fractional integration, term structure of risk

Non-Synchronous Trading and Testing for Market Integration in Central European Emerging Markets

LIFE Working Paper No. 04-017
Number of pages: 48 Posted: 20 Oct 2005
Anna Zalewska and Peter C. Schotman
University of Bath - Centre for Governance and Regulation; School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 128 (182,847)
Citation 12

Abstract:

market integration, market efficiency, non-synchronous trading, emerging markets, Kalman filter

Non-Synchronous Trading and Testing for Market Integration in Central European Emerging Markets

CEPR Discussion Paper No. 5352
Number of pages: 47 Posted: 06 Jan 2006
Anna Zalewska and Peter C. Schotman
University of Bath - Centre for Governance and Regulation; School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 14 (487,749)
Citation 12

Abstract:

Market integration, non-synchronous trading, emerging markets, market efficiency, Kalman filter

17.

Predicting Returns with a Co-Fractional VAR Model

Number of pages: 49 Posted: 22 Jan 2011
Daniela Osterrieder and Peter C. Schotman
Rutgers Business School and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 128 (155,723)

Abstract:

18.
Downloads 104 (212,625)

Robust Hedging in Incomplete Markets

Number of pages: 35 Posted: 05 Aug 2014 Last Revised: 29 Jan 2017
Sally Shen, Antoon Pelsser and Peter C. Schotman
Capital University of Economics and Business, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 77 (260,370)

Abstract:

model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall

Robust Hedging in Incomplete Markets

Netspar Discussion Paper No. 08/2014-064
Number of pages: 39 Posted: 10 Feb 2017
Sally Shen, Antoon Pelsser and Peter C. Schotman
Capital University of Economics and Business, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 27 (414,419)

Abstract:

Model misspecification, robust optimization, uncertainty set, incomplete market, dynamic hedging, explicit finite difference, expected shortfall

Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets

Number of pages: 28 Posted: 05 Aug 2014
Sally Shen, Antoon Pelsser and Peter C. Schotman
Capital University of Economics and Business, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 66 (284,682)

Abstract:

model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model

Robust Long-Term Interest Rate Risk Hedging in Incomplete Bond Markets

Netspar Discussion Paper No. 08/2014-063
Number of pages: 29 Posted: 14 Feb 2015
Sally Shen, Antoon Pelsser and Peter C. Schotman
Capital University of Economics and Business, Maastricht University and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 28 (409,549)

Abstract:

Model misspecification, robust optimization, least squares Monte Carlo, uncertainty set, incomplete market, term structure model

20.

Online Appendix for 'Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation'

Number of pages: 32 Posted: 17 Dec 2011 Last Revised: 06 Feb 2014
Bart F. Diris, Franz C. Palm and Peter C. Schotman
Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Maastricht - Department of Economics and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 78 (185,597)

Abstract:

21.
Downloads 25 (412,704)
Citation 5

Price Discovery in Fragmented Markets

CEPR Discussion Paper No. 3987
Number of pages: 28 Posted: 10 Sep 2003
Frank De Jong and Peter C. Schotman
Tilburg University - Department of Finance and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 25 (424,911)
Citation 5

Abstract:

High-frequency data, microstructure, structural time series models

Price Discovery in Fragmented Markets

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 1-28, 2010
Posted: 28 Dec 2009
Frank De Jong and Peter C. Schotman
Tilburg University - Department of Finance and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

C32, F31, High-frequency data, microstructure, structural time-series models

22.

Robust Portfolio Optimisation with Multiple Experts

CEPR Discussion Paper No. DP6161
Number of pages: 51 Posted: 19 May 2008
Frank Lutgens and Peter C. Schotman
Maastricht School of Business and Economics and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 4 (516,655)
Citation 2

Abstract:

Mean-variance, model uncertainty, portfolio choice

23.

Asset Allocation Dynamics of Pension Funds

Netspar Discussion Paper No. 03/2016-016
Number of pages: 35 Posted: 20 Apr 2016
Dennis Bams, Peter C. Schotman and Mukul Tyagi
Maastricht University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht School of Business and Economics
Downloads 0 (131,783)

Abstract:

Institutional Investors, Pension Funds, Asset Allocation, Portfolio Rebalancing

24.

Optimal Risk Sharing in a Collective Defined Contribution Pension System

Netspar Discussion Paper No. 03/2016-015
Number of pages: 32 Posted: 20 Apr 2016
Dennis Bams, Peter C. Schotman and Mukul Tyagi
Maastricht University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht School of Business and Economics
Downloads 0 (325,120)

Abstract:

Collective Defined Contribution, Funded Pension System, Overlapping Generations, Intergenerational Risk Sharing

25.

Pension Fund Asset Allocation in Low Interest Rate Environment

Netspar Discussion Paper No. 03/2016-017
Number of pages: 40 Posted: 20 Apr 2016
Dennis Bams, Peter C. Schotman and Mukul Tyagi
Maastricht University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht School of Business and Economics
Downloads 0 (76,401)

Abstract:

Pension Funds, Asset Allocation, Portfolio Choice

26.

Score-Driven Nelson Siegel: Hedging Long-Term Liabilities.

Number of pages: 27 Posted: 27 Feb 2016 Last Revised: 16 Dec 2016
Rogier Quaedvlieg and Peter C. Schotman
Erasmus University Rotterdam (EUR) - Department of Business Economics and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 0 (279,101)

Abstract:

Dynamic Conditional Score, Risk Management, Term Structure

27.

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

28.

Cross Sectional versus Time Series Estimation of Term Structure Models: Empirical Results for the Dutch Bond Market

Posted: 16 Oct 2000
Jeroen F.J. de Munnik and Peter C. Schotman
De Nederlandsche Bank and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

29.

Price Discovery on Foreign Exchange Markets

CEPR Discussion Paper No. 2296
Posted: 18 May 2000
Frank De Jong, Irma W. van Leeuwen and Peter C. Schotman
Tilburg University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

30.

The Dynamics of Short-term Interest Rate Volatility Reconsidered

Posted: 15 Sep 1999
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:

31.

Stochastic Volatility and the Distribution of Exchange Rate News

Posted: 14 Sep 1999
Ronald Mahieu and Peter C. Schotman
Tilburg University - Center for Economic Research, Econometrics and Finance Group and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

32.

Real Estate Diversification: By Country or by Continent?

Posted: 13 Sep 1999
Piet M. A. Eichholtz, Ronald Mahieu and Peter C. Schotman
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Tilburg University - Center for Economic Research, Econometrics and Finance Group and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

33.

Nonlinear Interest Rate Dynamics and Implications for the Term Structure

Posted: 07 Sep 1999
Gerard A. Pfann, Rolf Tschernig and Peter C. Schotman
Maastricht University, University of Regensburg - Department of Economics and Econometrics and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

34.

A Bayesian Approach to the Empirical Valuation of Bond Options

Posted: 23 Dec 1998
Peter C. Schotman
Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

35.

Measuring Risk Attitudes in a Natural Experiment: Data from the Television Game Show LINGO

CEPR Discussion Paper Series Number 1893
Posted: 08 Oct 1998
Roel M. W. J. Beetsma and Peter C. Schotman
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM) and Maastricht University - Limburg Institute of Financial Economics (LIFE)

Abstract:

36.

An Empirical Investigation of the Domestic Pricing Error in an Integrated World

Posted: 16 Oct 1996
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: