Olaf Penninga

Robeco Asset Management

Senior Portfolio Manager

Rotterdam, 3011 AG

Netherlands

  • Robeco Asset Management

SCHOLARLY PAPERS

3

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2

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1

Scholarly Papers (3)

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1.

Dts (Duration Times Spread)

Journal of Portfolio Management, Winter 2007
Number of pages: 48 Posted: 14 Jan 2007
Arik Ben Dor, Lev Dynkin, Jay Hyman, Patrick Houweling, Erik van Leeuwen and Olaf Penninga
Lehman Brothers, New York - Fixed Income Research, Lehman Brothers, Lehman Brothers, Robeco Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads 5,768 (2,118)
Citation 1

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credit risk, corporate bonds

2.

Predicting Bond Returns: 70 Years of International Evidence

Financial Analysts Journal, 2021, 77(3): 133-155.
Number of pages: 40 Posted: 24 Jun 2020 Last Revised: 23 Nov 2021
Guido Baltussen, Martin Martens and Olaf Penninga
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 2,790 (7,334)
Citation 2

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return predictability, asset pricing, market efficiency, bond risk premia, momentum, value, carry.

3.

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence

Journal of Portfolio Management, forthcoming
Number of pages: 24 Posted: 25 Jun 2021 Last Revised: 24 Nov 2021
Guido Baltussen, Martin Martens and Olaf Penninga
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 1,164 (28,488)

Abstract:

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factor investing, bond risk premia, asset pricing, market efficiency, momentum, value, carry, low-risk