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

SCHOLARLY PAPERS

37

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Top 328

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48,231

CITATIONS
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Top 5,321

in Total Papers Citations

153

Ideas:
“  Forecasting financial markets  ”

Scholarly Papers (37)

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 10,029 (427)
Citation 5

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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.
Downloads 7,864 ( 676)
Citation 54

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 7,033 (807)
Citation 9

Abstract:

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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 831 (27,624)
Citation 34

Abstract:

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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 5,013 (1,467)
Citation 8

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 3,006 (3,595)
Citation 1

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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 2,270 (5,769)

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Technical Analysis, Market Indicators, Sentiment Indicators, Asset Pricing

6.

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
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 2,246 (5,876)

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

7.
Downloads 2,217 ( 5,995)

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 Muenster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Downloads 1,656 (9,597)

Abstract:

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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 Muenster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Downloads 561 (47,017)

Abstract:

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

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 1,962 (7,398)
Citation 3

Abstract:

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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
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 1,864 (8,068)
Citation 14

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

10.

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 1,352 (13,596)
Citation 3

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11.
Downloads 1,346 ( 13,696)
Citation 25

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 869 (25,898)
Citation 4

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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 477 (57,817)
Citation 17

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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.

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 1,085 (19,047)

Abstract:

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Research, Writing, Finance, Economics, Social Sciences

13.

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 1,052 (19,911)

Abstract:

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

14.

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 861 (26,671)
Citation 2

Abstract:

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15.

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 838 (27,750)

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

16.

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
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 780 (30,608)
Citation 2

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

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

Number of pages: 52 Posted: 22 Feb 2014
Helen Lu and Ben Jacobsen
University of Auckland - Department of Accounting and Finance and Tilburg University - TIAS School for Business and Society
Downloads 316 (94,113)

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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
University of Auckland - Department of Accounting and Finance and Tilburg University - TIAS School for Business and Society
Downloads 245 (123,551)

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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
University of Auckland - Department of Accounting and Finance and Tilburg University - TIAS School for Business and Society
Downloads 193 (155,994)

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

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 and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 601 (43,539)

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

19.

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
Downloads 558 (47,964)
Citation 1

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

20.

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 429 (66,519)

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21.

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 330 (90,319)
Citation 1

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Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability

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 314 (94,812)

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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

23.

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

Number of pages: 32 Posted: 03 Aug 2006 Last Revised: 19 Jan 2009
Massey University - Department of Commerce, Tilburg University - TIAS School for Business and Society and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 275 (110,093)

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Daylight Saving Time, Mood, International Stock Market Returns

24.

Cross Country Differences in the Profitability from Technical Analysis Strategies

Number of pages: 90 Posted: 03 Nov 2014 Last Revised: 25 May 2019
Jiali Fang and Ben Jacobsen
Massey University - School of Economics and Finance and Tilburg University - TIAS School for Business and Society
Downloads 265 (114,416)
Citation 2

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technical analysis; market efficiency; return predictability; behavior bias

25.

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
The University of Auckland, Tilburg University - TIAS School for Business and Society and Massey University - School of Economics and Finance
Downloads 230 (132,110)
Citation 1

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

26.

Ensemble Machine Learning and Stock Return Predictability

Asian Finance Association (AsianFA) 2019 Conference, The 4th International Workshop on Financial Markets and Nonlinear Dynamics; 2019 Asian Meeting of the Econometric Society
Number of pages: 50 Posted: 08 Jan 2019 Last Revised: 20 Jun 2019
Ben Jacobsen, Fuwei Jiang and Hongwei Zhang
Tilburg University - TIAS School for Business and Society, Central University of Finance and Economics (CUFE) and Tilburg University - TIAS School for Business and Society
Downloads 227 (133,870)

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Equity Premium Prediction, Machine Learning, Forecast Combination, Parameter Uncertainty, Diversification

27.

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 167 (177,600)

Abstract:

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Stock market seasonality, Sell in May, Seasonal affective disorder

28.

Forecasting Stock Returns with Model Uncertainty and Parameter Instability

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 45 Posted: 21 Sep 2017 Last Revised: 11 Apr 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 Central University of Finance and Economics (CUFE)
Downloads 135 (211,828)
Citation 1

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Market Efficiency, Asset Pricing, Equity premia predictability, Forecast Combination, Model uncertainty, Parameter instability, WALS

29.

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

Number of pages: 92 Posted: 04 Sep 2017
Massey University, Tilburg University - TIAS School for Business and Society and University of Edinburgh, Business School, Students
Downloads 78 (308,117)

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

30.

Gender Differences in Optimism and Asset Allocation

Number of pages: 54 Posted: 16 Nov 2007
Tilburg University - TIAS School for Business and Society, University of Auckland, Erasmus University Rotterdam (EUR) - Department of Financial Management and Nottingham University Business School China
Downloads 78 (308,117)
Citation 2

Abstract:

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

31.

The Halloween Effect in U.S. Sectors

Financial Review, Vol. 44, No. 3, pp. 437-459, August 2009
Number of pages: 23 Posted: 09 Jul 2009
Ben Jacobsen and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society and Massey University - Department of Economics and Finance
Downloads 4 (618,492)
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32.

Rare Disaster Risk and the Expected Equity Risk Premium

Accounting & Finance, Vol. 57, Issue 2, pp. 351-372, 2017
Number of pages: 22 Posted: 03 Jun 2017
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
Downloads 1 (649,034)
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Consumption risk, Equity premium, International political crises, Market risk premium, Rare disasters

33.

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

34.

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

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Stock returns, GARCH, Volatility clustering, Temporal aggregation

35.

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

European Economic Review, Vol. 44, 2000
Posted: 25 Sep 2007
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

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

36.

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 Muenster - Finance Center Muenster and Tilburg University - TIAS School for Business and Society

Abstract:

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bubbles, crashes, skewness

37.

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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