Mathijs Cosemans

Erasmus University - Rotterdam School of Management

Associate Professor of Finance

Burgemeester Oudlaan 50

Rotterdam

Netherlands

http://www.mathijscosemans.com

  • Erasmus University - Rotterdam School of Management

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    • Tel: +31104082371
    • Fax: +31104089017
SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 14,080

in Total Papers Citations

47

CROSSREF CITATIONS

37

Scholarly Papers (6)

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1.

Option Trading and Individual Investor Performance

EFA 2007 Ljubljana Meetings Paper, Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 01 Mar 2007 Last Revised: 29 Dec 2015
Rob Bauer, Mathijs Cosemans and Piet M. A. Eichholtz
Maastricht University, Erasmus University - Rotterdam School of Management and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 2,203 (8,382)
Citation 22

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option trading, individual investor performance, investor sentiment, performance persistence, Internet brokerage

2.

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 1,405 (17,194)
Citation 7

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

3.

Salience Theory and Stock Prices: Empirical Evidence

Journal of Financial Economics, Forthcoming, 2017 SFS Cavalcade Paper
Number of pages: 70 Posted: 21 Dec 2016 Last Revised: 20 Apr 2020
Mathijs Cosemans and Rik Frehen
Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 1,035 (27,018)
Citation 13

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salience theory, probability weighting, asset pricing, return predictability

4.

Conditional Asset Pricing and Stock Market Anomalies in Europe

Downloads 432 ( 85,032)
Citation 21

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 431 (84,495)
Citation 3

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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 (828,222)
Citation 1
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5.

Climate Change and Long-Horizon Portfolio Choice: Combining Theory and Empirics

Number of pages: 66 Posted: 13 Sep 2021
Mathijs Cosemans, Xander Hut and Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management, Erasmus University Rotterdam (EUR) and Erasmus University - Rotterdam School of Management
Downloads 55 (458,599)

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climate change, long-run risk, prior beliefs, portfolio choice, uncertainty

6.

The Pricing of Long and Short Run Variance and Correlation Risk in Stock Returns

Posted: 04 May 2011 Last Revised: 26 Feb 2017
Mathijs Cosemans
Erasmus University - Rotterdam School of Management

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variance risk, correlation risk, idiosyncratic risk, return predictability