Mathijs Cosemans

Erasmus University - Rotterdam School of Management

Associate Professor of Finance

Burgemeester Oudlaan 50

Rotterdam

Netherlands

http://www.mathijscosemans.com

SCHOLARLY PAPERS

8

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6,168

SSRN CITATIONS
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Top 13,815

in Total Papers Citations

46

CROSSREF CITATIONS

38

Scholarly Papers (8)

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 2,359 (9,048)
Citation 22

Abstract:

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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 1,459 (19,392)
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 1,244 (24,564)
Citation 13

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salience theory, probability weighting, asset pricing, return predictability

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 465 (90,598)
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 4 (933,865)
Citation 1

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5.

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

Number of pages: 65 Posted: 13 Sep 2021 Last Revised: 11 Aug 2022
Mathijs Cosemans, Xander Hut and Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 269 (166,495)

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climate change, long-run risks, prior beliefs, optimal portfolio choice, uncertainty

6.

Carbon Bias in Index Investing

Number of pages: 23 Posted: 28 Jan 2022
Mathijs Cosemans and Dirk Schoenmaker
Erasmus University - Rotterdam School of Management and Rotterdam School of Management, Erasmus University
Downloads 254 (176,259)

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carbon emissions, climate change, climate finance, institutional investors, index investing

7.

How Harmful Is Insider Trading for Outsiders? Evidence from the Eighteenth Century

AFA 2022 Meetings Paper, EFA 2022 Meetings Paper
Number of pages: 51 Posted: 06 Jan 2022 Last Revised: 05 May 2022
Mathijs Cosemans and Rik Frehen
Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance
Downloads 114 (346,463)

Abstract:

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insider trading, asymmetric information, financial history

8.

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