Peter C. Schotman

Maastricht University - Department of Finance

P.O. Box 616

Maastricht, 6200 MD

Netherlands

  • Maastricht University - Department of Finance

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SCHOLARLY PAPERS

37

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Scholarly Papers (37)

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1.

Strategic Asset Allocation With Liabilities: Beyond Stocks and Bonds

Number of pages: 51 Posted: 28 Feb 2005
Roy P. M. M. Hoevenaars, Roderick Molenaar, Peter C. Schotman and Tom Steenkamp
APG Asset Management, Robeco Asset Management, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 1,491 (12,498)
Citation 25

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Strategic asset allocation, asset liability management

2.

The Cost of Capital in International Financial Markets: Local or Global?

Downloads 1,408 ( 13,708)
Citation 17

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
Kees C. G. Koedijk, Clemens J.M. Kool, Mathijs A. Van Dijk and Peter C. Schotman
Tilburg University - Department of Finance, Utrecht University - School of Economics, Erasmus University - Rotterdam School of Management and Maastricht University - Department of Finance
Downloads 1,364 (14,131)
Citation 3

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The Cost of Capital in International Financial Markets: Local or Global

CEPR Discussion Paper No. 3062
Number of pages: 34 Posted: 30 Nov 2001
Kees C. G. Koedijk, Clemens J.M. Kool, Mathijs A. Van Dijk and Peter C. Schotman
Tilburg University - Department of Finance, Utrecht University - School of Economics, Erasmus University - Rotterdam School of Management and Maastricht University - Department of Finance
Downloads 44 (438,212)
Citation 1
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Cost of capital, ICAPM, pricing error, exchange rate exposure

3.

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 - Department of Finance and Maastricht University
Downloads 1,374 (14,259)
Citation 5

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

4.

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

Downloads 983 ( 23,560)
Citation 14

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
Roy P. M. M. Hoevenaars, Roderick Molenaar, Peter C. Schotman and Tom Steenkamp
APG Asset Management, Robeco Asset Management, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 766 (32,990)
Citation 13

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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
Roy P. M. M. Hoevenaars, Roderick Molenaar, Peter C. Schotman and Tom Steenkamp
APG Asset Management, Robeco Asset Management, Maastricht University - Department of Finance and ABP Investments - Research Department
Downloads 217 (147,820)
Citation 4

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

5.

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 - Department of Finance
Downloads 652 (41,693)
Citation 6

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Strategic asset allocation, out-of-sample analysis

6.

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

Downloads 575 ( 49,234)
Citation 4

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 - Department of Finance
Downloads 575 (48,601)
Citation 4

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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 - Department of Finance

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7.

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 - Department of Finance and Maastricht School of Business and Economics
Downloads 548 (52,368)

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Pension Funds, Asset Allocation, Portfolio Choice

8.

Conditional Asset Pricing and Stock Market Anomalies in Europe

Downloads 416 ( 73,497)
Citation 18

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 - Department of Finance
Downloads 415 (73,047)
Citation 1

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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 - Department of Finance
Downloads 1 (716,513)
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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 - Department of Finance
Downloads 375 (82,910)

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

10.

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

Downloads 340 ( 92,770)

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

Number of pages: 36 Posted: 29 Jan 2014 Last Revised: 27 Oct 2019
Anne Balter, Antoon Pelsser and Peter C. Schotman
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 235 (136,772)

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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 Balter, Antoon Pelsser and Peter C. Schotman
Tilburg University, Maastricht University and Maastricht University - Department of Finance
Downloads 105 (271,238)
Citation 1

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term structure models, parameter uncertainty, extrapolation, insurance supervision

11.

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 - Department of Finance and Maastricht School of Business and Economics
Downloads 303 (105,348)
Citation 2

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Institutional Investors, Pension Funds, Asset Allocation, Portfolio Rebalancing

12.

Price Discovery in Tick Time

Downloads 294 (108,837)
Citation 10

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
Open University of the Netherlands and Maastricht University - Department of Finance
Downloads 276 (115,766)
Citation 7

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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
Open University of the Netherlands and Maastricht University - Department of Finance
Downloads 18 (580,587)
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Price discovery, tick time models, NASDAQ, ultra-high frequency data, microstructure

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 - Department of Finance
Downloads 206 (155,629)

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14.

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

Downloads 204 (157,036)
Citation 1

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 - Department of Finance
Downloads 134 (226,151)
Citation 2

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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 - Department of Finance
Downloads 70 (349,947)
Citation 2

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Term structure of interest rates, fractional integration, affine models

15.

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 - Department of Finance
Downloads 203 (157,764)

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mortgage valuation, partial prepayments, binomial trees

16.

Robust Hedging in Incomplete Markets

Downloads 199 (160,763)
Citation 4

Robust Hedging in Incomplete Markets

Journal of Pension Economics and Finance, Forthcoming
Number of pages: 35 Posted: 05 Aug 2014 Last Revised: 27 Feb 2018
Sally Shen, Antoon Pelsser and Peter C. Schotman
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 119 (247,848)
Citation 3

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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: 31 Posted: 10 Feb 2017 Last Revised: 28 Feb 2018
Sally Shen, Antoon Pelsser and Peter C. Schotman
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 80 (323,740)
Citation 2

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

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 - Department of Finance
Downloads 182 (174,392)
Citation 2

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18.

Hedging Long-Term Liabilities

Number of pages: 49 Posted: 27 Feb 2016 Last Revised: 27 Oct 2019
Rogier Quaedvlieg and Peter C. Schotman
Erasmus University Rotterdam (EUR) - Department of Business Economics and Maastricht University - Department of Finance
Downloads 174 (181,420)
Citation 3

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Factor Models, Risk Management, Term Structure

19.

Regret Aversion and Annuity Risk in Defined Contribution Pension Plans

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 34 Posted: 31 Jan 2008
Roy P. M. M. Hoevenaars, Franz C. Palm, Rik Frehen and Peter C. Schotman
APG Asset Management, University of Maastricht - Department of Economics, Tilburg University - Department of Finance and Maastricht University - Department of Finance
Downloads 171 (184,153)

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

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 - Department of Finance
Downloads 169 (186,042)

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21.

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

Downloads 166 (188,900)
Citation 17

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 (Ania) Zalewska and Peter C. Schotman
University of Bath - Centre for Governance, Regulation and Industrial Strategy; School of Management and Maastricht University - Department of Finance
Downloads 152 (203,942)

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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 (Ania) Zalewska and Peter C. Schotman
University of Bath - Centre for Governance, Regulation and Industrial Strategy; School of Management and Maastricht University - Department of Finance
Downloads 14 (608,585)
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Market integration, non-synchronous trading, emerging markets, market efficiency, Kalman filter

22.

Long Memory and the Term Structure of Risk

Downloads 158 (197,075)

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 - Department of Finance
Downloads 158 (197,319)

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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 - Department of Finance, University of Regensburg - Department of Economics and Econometrics and Maastricht University

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

23.

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

Downloads 134 (225,445)

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
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 92 (296,575)

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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
Global Risk Institute, Maastricht University and Maastricht University - Department of Finance
Downloads 42 (446,503)

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

24.

Empirical Asset Pricing With Many Assets and Short Time Series

Number of pages: 34 Posted: 28 Nov 2018
Rasmus Lönn and Peter C. Schotman
Maastricht University - Department of Quantitative Economics and Maastricht University - Department of Finance
Downloads 103 (273,205)
Citation 4

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Boosting, Asset Pricing Tests, Hansen-Jagannathan Distance

25.

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 - Department of Finance and Maastricht School of Business and Economics
Downloads 92 (294,322)

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

26.

Price Discovery in Fragmented Markets

Downloads 25 (517,920)

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 - Department of Finance
Downloads 25 (533,667)
Citation 1
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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 - Department of Finance

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

27.

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 - Department of Finance
Downloads 4 (653,701)
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Mean-variance, model uncertainty, portfolio choice

28.

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 - Department of Finance and Erasmus University - Rotterdam School of Management

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Purchasing power parity, panel test, numeraire, productivity

29.

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 - Department of Finance

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30.

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 - Department of Finance

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31.

The Dynamics of Short-Term Interest Rate Volatility Reconsidered

Posted: 15 Sep 1999
Kees C. G. Koedijk, Francois Nissen, Peter C. Schotman and Christian C. P. Wolff
Tilburg University - Department of Finance, MeesPierson Investment Bank, Maastricht University - Department of Finance and University of Luxembourg - Luxembourg School of Finance

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32.

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 - Department of Finance

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33.

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 - Department of Finance

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34.

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 - Department of Finance

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35.

A Bayesian Approach to the Empirical Valuation of Bond Options

Posted: 23 Dec 1998
Peter C. Schotman
Maastricht University - Department of Finance

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36.

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 - Department of Finance

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37.

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

Posted: 16 Oct 1996
Kees C. G. Koedijk, Clemens J.M. Kool, Francois Nissen and Peter C. Schotman
Tilburg University - Department of Finance, Utrecht University - School of Economics, MeesPierson Investment Bank and Maastricht University - Department of Finance

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