Ben Jacobsen

Tilburg University - TIAS School for Business and Society

Professor of Finance

Warandelaan 2

TIAS Building

Tilburg, Noord Brabant 5037 AB

Netherlands

Massey University

Auckland

New Zealand

  • Tilburg University - TIAS School for Business and Society

  • Massey University

SCHOLARLY PAPERS

36

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SSRN CITATIONS
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Top 3,539

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431

CROSSREF CITATIONS

95

Ideas:
“  Forecasting financial markets  ”

  • Tilburg University - TIAS School for Business and Society

  • Massey University

Scholarly Papers (36)

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1.

The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle

Downloads 11,308 ( 889)
Citation 32

The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle

Number of pages: 34 Posted: 15 Apr 1998 Last Revised: 31 Oct 2009
Ben Jacobsen and Sven Bouman
Tilburg University - TIAS School for Business and Society and Saemor Capital
Downloads 11,308 (880)
Citation 32

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Stock returns, Sell in May, Return predictability, Halloween indicator

The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle

American Economic Review, Vol. 92, No. 5, pp. 1618-1635, December 2002
Posted: 28 Mar 2002 Last Revised: 30 Oct 2009
Ben Jacobsen and Sven Bouman
Tilburg University - TIAS School for Business and Society and Saemor Capital

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Stock returns, Sell in May, Return predictability, Halloween indicator

2.

Striking Oil: Another Puzzle?

Downloads 8,439 ( 1,485)
Citation 92

Striking Oil: Another Puzzle?

EFA 2005 Moscow Meetings Paper
Number of pages: 43 Posted: 14 Aug 2005
Gerben Driesprong, Ben Jacobsen and Benjamin Maat
Erasmus University Rotterdam - Rotterdam School of Management, Tilburg University - TIAS School for Business and Society and APG Asset Management
Downloads 7,517 (1,762)
Citation 10

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Return Predictability, Oil Prices, International Stock Markets, Market Efficiency, Stock Returns, Underreaction

Striking Oil: Another Puzzle

ERIM Report Series Reference No. ERS-2003-082-F&A
Number of pages: 37 Posted: 30 Nov 2006
Gerben Driesprong, Ben Jacobsen and Benjamin Maat
Erasmus University Rotterdam - Rotterdam School of Management, Tilburg University - TIAS School for Business and Society and APG Asset Management
Downloads 922 (49,114)
Citation 51

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return predictability, oil prices, international stock markets, market efficiency, stock returns, besliskunde

Striking Oil: Another Puzzle?

Journal of Financial Economics (JFE), Forthcoming
Posted: 20 Sep 2007
Gerben Driesprong, Ben Jacobsen and Benjamin Maat
Erasmus University Rotterdam - Rotterdam School of Management, Tilburg University - TIAS School for Business and Society and APG Asset Management

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Return Predictability, Oil Prices, International Stock Markets, Market Efficiency, Stock Returns, Underreaction

3.

The Halloween Indicator, 'Sell in May and Go Away': Everywhere and All the Time

Number of pages: 78 Posted: 02 Oct 2012 Last Revised: 25 Oct 2018
Ben Jacobsen and Cherry Yi Zhang
Tilburg University - TIAS School for Business and Society and Nottingham University Business School China
Downloads 7,167 (1,930)
Citation 12

Abstract:

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seasonal anomalies, sell in May, Halloween indicator, long time series data

4.

The Halloween Effect in US Sectors

The Financial Review, Forthcoming
Number of pages: 38 Posted: 10 May 2006 Last Revised: 18 May 2009
Ben Jacobsen and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society and Massey University - Department of Economics and Finance
Downloads 3,452 (6,678)
Citation 5

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Sectors, Industries, Stock Markets, Halloween effect, Sell in May, Sector Rotation

5.

Technical Market Indicators: An Overview

Number of pages: 64 Posted: 14 Jun 2014 Last Revised: 23 Oct 2014
Jiali Fang, Yafeng Qin and Ben Jacobsen
Massey University - School of Economics and Finance, Massey University and Tilburg University - TIAS School for Business and Society
Downloads 3,151 (7,711)
Citation 2

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Technical Analysis, Market Indicators, Sentiment Indicators, Asset Pricing

6.

Riding Bubbles

Downloads 2,636 (10,220)
Citation 1

Riding Bubbles

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 80 Posted: 17 Mar 2008 Last Revised: 18 Mar 2010
Nadja Guenster, Erik Kole and Ben Jacobsen
University of Münster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Downloads 2,001 (15,517)

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bubbles, limits to arbitrage, market efficiency, structural breaks

Riding Bubbles

ERIM Report Series Reference No. ERS-2009-058-F&A
Number of pages: 64 Posted: 17 May 2010
Nadja Guenster, Erik Kole and Ben Jacobsen
University of Münster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Downloads 635 (80,470)

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market efficiency, structural breaks, bubbles, asset pricing model, limits to arbitrage

7.

Return Predictability Revisited

EFA 2007 Ljubljana Meetings Paper, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 73 Posted: 25 Feb 2007 Last Revised: 19 Nov 2009
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 2,391 (11,941)
Citation 1

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observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity

8.

Are Monthly Seasonals Real? A Three Century Perspective

The Review of Finance, Forthcoming
Number of pages: 74 Posted: 26 Oct 2010 Last Revised: 06 Sep 2012
Cherry Yi Zhang and Ben Jacobsen
Nottingham University Business School China and Tilburg University - TIAS School for Business and Society
Downloads 2,388 (11,966)
Citation 6

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Historical Data, Stock Return Seasonality, January Effect, Seasonal Anomalies, Sell in May, Halloween Indicator, Tax Loss Selling

9.

Seasonal, Size and Value Anomalies

Number of pages: 38 Posted: 22 Aug 2005
Ben Jacobsen, Abdullah Mamun and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, University of Saskatchewan - Department of Finance and Management Science and Massey University - Department of Economics and Finance
Downloads 2,251 (13,172)
Citation 18

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Halloween Effect, Sell in May, January effect, Book to Market, Value, Growth

10.

Some Research and Writing Tips (PART 1: Research)

Number of pages: 26 Posted: 23 Dec 2014 Last Revised: 06 Mar 2015
Ben Jacobsen
Tilburg University - TIAS School for Business and Society
Downloads 1,951 (16,426)

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Research, Writing, Finance, Economics, Social Sciences

11.

Is it the Weather?

Downloads 1,519 (24,303)
Citation 45

Is it the Weather?

Number of pages: 29 Posted: 30 Sep 2008 Last Revised: 20 Oct 2008
Ben Jacobsen and Wessel Marquering
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 980 (45,097)
Citation 8

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Stock market seasonality, Sell in May, Seasonal Affective Disorder, temperature, spurious correlations

'Is it the Weather?'

ERIM Report Series Reference No. ERS-2004-100-F&A
Number of pages: 32 Posted: 21 Sep 2005 Last Revised: 19 Dec 2009
Ben Jacobsen and Wessel Marquering
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 539 (99,154)
Citation 34

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stock market seasonality, sell in May, seasonal affective disorder, temperature, spurious correlations

Is it the Weather?

Journal of Banking and Finance, Forthcoming
Posted: 25 Sep 2007
Ben Jacobsen and Wessel Marquering
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management

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Stock market seasonality, Sell in May, Seasonal affective disorder, Temperature effect, Spurious correlations

12.

The Economic Significance of Some Simple Models of Time Series Stock Return Predictability

Number of pages: 43 Posted: 01 Apr 1999
Ben Jacobsen
Tilburg University - TIAS School for Business and Society
Downloads 1,425 (26,704)
Citation 3

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13.

War, Peace and Stock Markets

EFA 2006 Zurich Meetings
Number of pages: 35 Posted: 27 Oct 2005
Henk Berkman and Ben Jacobsen
University of Auckland Business School and Tilburg University - TIAS School for Business and Society
Downloads 1,424 (26,731)

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War, Peace, Volatility Puzzle, Stock Returns, International Crises

14.

Predictability of the Simple Technical Trading Rules: An Out-of-Sample Test

Number of pages: 29 Posted: 25 May 2012 Last Revised: 14 Jun 2012
Jiali Fang, Ben Jacobsen and Yafeng Qin
Massey University - School of Economics and Finance, Tilburg University - TIAS School for Business and Society and Massey University
Downloads 1,238 (32,817)
Citation 4

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Technical Analysis, Return Predictability, Out-of-Sample Test

15.

Stock Market Predictability and Industrial Metal Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 19 Aug 2010 Last Revised: 12 Jul 2016
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 1,146 (36,624)
Citation 22

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industrial metals, state-switching, return predictability, gradual information diffusion, business cycle

16.

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Downloads 1,019 (43,392)
Citation 5

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 52 Posted: 22 Feb 2014
Helen Lu and Ben Jacobsen
Vlerick Business School and Tilburg University - TIAS School for Business and Society
Downloads 430 (130,091)

Abstract:

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Carry Trade, Return Predictability, Safe-haven Currencies, Gradual Information Diffusion

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 52 Posted: 20 Feb 2014
Helen Lu and Ben Jacobsen
Vlerick Business School and Tilburg University - TIAS School for Business and Society
Downloads 324 (178,639)

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Carry Trade; Return Predictability; Safe-haven Currencies; Gradual Information Diffusion; Time-varying Risk Premium; Vector Auto Regressions

Cross-Asset Return Predictability: Carry Trades, Stocks and Commodities

Number of pages: 61 Posted: 07 Feb 2015 Last Revised: 18 Sep 2015
Helen Lu and Ben Jacobsen
Vlerick Business School and Tilburg University - TIAS School for Business and Society
Downloads 265 (220,478)
Citation 2

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Carry Trade; Gradual Information Diffusion; Return Predictability, Safe-haven Currencies, Time-varying Risk Premium, Vector Auto Regression

17.

Irrational Trading in a Financial Market

Number of pages: 36 Posted: 09 Mar 1999
Ben Jacobsen
Tilburg University - TIAS School for Business and Society
Downloads 952 (47,713)
Citation 2

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18.

Are Men More Optimistic?

Number of pages: 54 Posted: 16 Nov 2007 Last Revised: 21 Jan 2009
Ben Jacobsen, John B. Lee and Wessel Marquering
Tilburg University - TIAS School for Business and Society, University of Auckland Business School and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 879 (53,228)

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Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion

19.

Equity Premium Prediction with Bagged Machine Learning

AFA 2020, AsianFA 2019, AMES 2019, FMND 2019
Number of pages: 56 Posted: 08 Jan 2019 Last Revised: 05 Dec 2020
Ben Jacobsen, Fuwei Jiang and Hongwei Zhang
Tilburg University - TIAS School for Business and Society, Xiamen University and Tilburg University - TIAS School for Business and Society
Downloads 856 (55,319)
Citation 6

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Equity premium, Out-of-sample prediction, Instability, Machine learning, Weighted bagging

20.

Time-Varying Rare Disaster Risk and Stock Returns

Number of pages: 64 Posted: 18 Mar 2010 Last Revised: 12 Oct 2010
Henk Berkman, Ben Jacobsen and John B. Lee
University of Auckland Business School, Tilburg University - TIAS School for Business and Society and University of Auckland Business School
Downloads 816 (58,930)
Citation 32

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Equity Premium, Volatility, Rare Disasters, International Political Crises, Consumption

21.

Some Research and Writing Tips (PART 2: Writing)

Number of pages: 19 Posted: 21 Jan 2015 Last Revised: 06 Mar 2015
Ben Jacobsen
Tilburg University - TIAS School for Business and Society
Downloads 806 (59,936)

Abstract:

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22.

Popularity versus Profitability: Evidence from Bollinger Bands

Number of pages: 46 Posted: 23 Aug 2014 Last Revised: 06 Jul 2022
Jiali Fang, Ben Jacobsen and Yafeng Qin
Massey University - School of Economics and Finance, Tilburg University - TIAS School for Business and Society and Massey University
Downloads 666 (76,836)
Citation 1

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Bollinger Bands, Technical Analysis, Return Predictability, Publication Impact

23.

Forecasting Stock Returns with Model Uncertainty and Parameter Instability

Journal of Applied Econometrics, Forthcoming
Number of pages: 35 Posted: 21 Sep 2017 Last Revised: 08 Dec 2019
Hongwei Zhang, Qiang He, Ben Jacobsen and Fuwei Jiang
Tilburg University - TIAS School for Business and Society, Central University of Finance and Economics (CUFE), Tilburg University - TIAS School for Business and Society and Xiamen University
Downloads 473 (117,453)
Citation 5

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Market Efficiency, Asset Pricing, Equity Premia Predictability, Forecast Combination, Model Uncertainty, Parameter Instability, WALS

24.

Political Cycles in US Industry Returns

Downloads 463 (120,467)

Political Cycles in US Industry Returns

Number of pages: 37 Posted: 06 Dec 2005
Jeffrey Scott Stangl and Ben Jacobsen
Massey University - School of Economics and Finance and Tilburg University - TIAS School for Business and Society
Downloads 463 (119,115)

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efficient markets, industry returns, political cycles

Political-Cycles in US Industry Returns

Journal of International Finance and Economics, Vol. 5, No. 1
Posted: 14 Mar 2008
Jeffrey Scott Stangl and Ben Jacobsen
Massey University - School of Economics and Finance and Tilburg University - TIAS School for Business and Society

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Market efficiency, Industry returns, Presidential cycle, Political business cycle

25.

On Diversification

Number of pages: 38 Posted: 21 Nov 2012
Ben Jacobsen and Frans de Roon
Tilburg University - TIAS School for Business and Society and Tilburg University - Department of Finance
Downloads 409 (139,234)
Citation 1

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Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability

26.

Boosting Portfolio Choice in the Big Data Era

AFA 2021 Annual Meeting, Forthcoming
Number of pages: 48 Posted: 17 Dec 2019 Last Revised: 04 Sep 2020
Hongwei Zhang, Ben Jacobsen and Fuwei Jiang
Tilburg University - TIAS School for Business and Society, Tilburg University - TIAS School for Business and Society and Xiamen University
Downloads 386 (148,686)
Citation 1

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Portfolio Selection, Machine Learning, Boosting

27.

The Daylight Saving Time Anomaly in Stock Returns: Fact or Fiction?

Number of pages: 32 Posted: 03 Aug 2006 Last Revised: 19 Jan 2009
Russell B. Gregory-Allen, Ben Jacobsen and Wessel Marquering
Massey University - Department of Commerce, Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 355 (163,107)
Citation 2

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Daylight Saving Time, Mood, International Stock Market Returns

28.

Peer Effects, Personal Characteristics and Asset Allocation

Number of pages: 40 Posted: 13 Jun 2014 Last Revised: 21 Jul 2015
Annie Zhang, Ben Jacobsen and Ben R. Marshall
Independent, Tilburg University - TIAS School for Business and Society and Massey University - School of Economics and Finance
Downloads 330 (176,435)
Citation 1

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Asset allocation, behavioral finance, financial advice, household finance, individual investors, mutual funds, personal characteristics, peer effects, social

29.

Is it the Weather? Response

Number of pages: 17 Posted: 27 Jan 2009 Last Revised: 21 Feb 2009
Ben Jacobsen and Wessel Marquering
Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 219 (266,791)

Abstract:

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Stock market seasonality, Sell in May, Seasonal affective disorder

30.

Gender Differences in Optimism and Asset Allocation

Number of pages: 54 Posted: 16 Nov 2007
Ben Jacobsen, John B. Lee, Wessel Marquering and Cherry Yi Zhang
Tilburg University - TIAS School for Business and Society, University of Auckland Business School, Erasmus University Rotterdam (EUR) - Department of Financial Management and Nottingham University Business School China
Downloads 164 (346,119)
Citation 9

Abstract:

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Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion

31.

Macroeconomic and Political Uncertainty and Cross Sectional Return Dispersion Around the World

Number of pages: 92 Posted: 04 Sep 2017
Yuk Ying (Candie) Chang, Ben Jacobsen and Lillian Zhu
Massey University, Tilburg University - TIAS School for Business and Society and University of Edinburgh, Business School, Students
Downloads 163 (347,928)
Citation 2

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Return dispersion, implied volatility, business cycles, political risk, economic policy uncertainty, stock returns.

32.

Long Term Dependence in Stock Returns

Journal of Empirical Finance, Vol. 3, No. 4, 1996
Posted: 25 Sep 2007
Ben Jacobsen
Tilburg University - TIAS School for Business and Society

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Time series, Stock returns, Long term dependence, Rescaled range statistic, R/S analysis, Hurst exponent

33.

Volatility Clustering in Monthly Stock Returns

Journal of Empirical Finance, Vol. 10, No. 4, 2003
Posted: 25 Sep 2007
Ben Jacobsen and Dennis Dannenburg
Tilburg University - TIAS School for Business and Society and affiliation not provided to SSRN

Abstract:

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Stock returns, GARCH, Volatility clustering, Temporal aggregation

34.

(In)Accuracy of a European Political Stock Market: The Influence of Common Value Structures

European Economic Review, Vol. 44, 2000
Posted: 25 Sep 2007
Ben Jacobsen, Johannes (Jan) J. M. Potters, Arthur J. H. C. Schram, F. A. A. M. Van Winden and Jörgen Wit
Tilburg University - TIAS School for Business and Society, Tilburg University - CentER, University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam - Amsterdam School of Economics (ASE) and affiliation not provided to SSRN

Abstract:

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Political stock market, Common value, Proportional representation, Market efficiency

35.

Bubbles and Crashes: Empirical Evidence

Posted: 06 Mar 2006
Erik Kole, Nadja Guenster and Ben Jacobsen
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, University of Münster - Finance Center Muenster and Tilburg University - TIAS School for Business and Society

Abstract:

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bubbles, crashes, skewness

36.

Are Stock Returns Long Term Dependent? Some Empirical Evidence

Journal of International Financial Markets, Institutions and Money, Vol. 5, No. 2/3, 1995
Posted: 28 Jun 1998
Ben Jacobsen
Tilburg University - TIAS School for Business and Society

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