Philip A. Stork

Vrije Universiteit Amsterdam, School of Business and Economics

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

Tinbergen Institute

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

38

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Top 17,107

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20

CROSSREF CITATIONS

43

Scholarly Papers (38)

1.
Downloads 1,782 ( 14,293)
Citation 1

Investing in Systematic Factor Premiums

Revised version: European Financial Management Forthcoming
Number of pages: 66 Posted: 30 Oct 2013 Last Revised: 01 Sep 2015
Kees C. G. Koedijk, Alfred Slager and Philip A. Stork
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1,776 (14,120)

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Factor Investing, European Data, Optimization, Timing

Investing in Systematic Factor Premiums

European Financial Management, Vol. 22, Issue 2, pp. 193-234, 2016
Number of pages: 42 Posted: 02 Mar 2016
Kees C. G. Koedijk, Alfred Slager and Philip A. Stork
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 4 (933,865)
Citation 1

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portfolio management, factor investing, diversification, optimisation

Investing in Systematic Factor Premiums

CEPR Discussion Paper No. DP10824
Number of pages: 54 Posted: 16 Sep 2015
Kees C. G. Koedijk, Alfred Slager and Philip A. Stork
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 2 (963,520)
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European data, factor investing, optimization, timing

2.

Carbon Beta: A Market-Based Measure of Climate Risk

Number of pages: 59 Posted: 18 Nov 2021 Last Revised: 07 Sep 2022
Erasmus University - Rotterdam School of Management, Vrije Universiteit Amsterdam, Department of Finance, School of Business and Economics, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 1,757 (14,645)

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Climate change, carbon risk, climate finance, asset pricing

3.

The Value of Celebrity Endorsements: A stock Market Perspective

Forthcoming in Marketing Letters
Number of pages: 23 Posted: 20 Jan 2009 Last Revised: 31 May 2010
Alexander Molchanov, Haina Ding and Philip A. Stork
Massey University, IAE (instituts d'administration des entreprises) and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 1,154 (27,415)
Citation 3

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4.

Hedge Funds and Financial Stability

European Parliament - Policy Department Economic and Scientific Policy, 2007
Number of pages: 91 Posted: 16 Apr 2008 Last Revised: 14 Aug 2009
Philip A. Stork and Casper G. de Vries
Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 724 (52,429)

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Hedge Funds, Financial Stability

5.

Towards Better Risk Management for Dutch Banks (Naar Beter Risicomanagement bij Nederlandse Banken)

Banking Code Monitoring Committee White Paper, 2011
Number of pages: 15 Posted: 14 Jul 2011 Last Revised: 20 Feb 2012
Philip A. Stork
Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 519 (79,993)

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Banken, Risicomanagement, Behavioural Finance

6.

The 2008 Beijing Olympic Sponsorships: Value for Money?

Number of pages: 16 Posted: 27 Jul 2010 Last Revised: 08 Oct 2010
Alexander Molchanov, Philip A. Stork and Victor Zeng
Massey University, Vrije Universiteit Amsterdam, School of Business and Economics and affiliation not provided to SSRN
Downloads 427 (100,939)
Citation 1

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Corporate Sponsorship, Beijing Olympics, Event Study

7.

An Empirical Note on US Stock Split Announcements, 2000-2009

International Journal of Economic Perspectives, 2013.
Number of pages: 15 Posted: 11 Apr 2011 Last Revised: 10 Nov 2014
Xiaoqi Li, Philip A. Stork and Liping Zou
Massey University - Massey Business School, Vrije Universiteit Amsterdam, School of Business and Economics and School of Economics and Finance, Massey Univeristy, Albany
Downloads 394 (110,794)
Citation 1

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Stock Splits, Event Study

8.

Implied Volatility Sentiment: A Tale of Two Tails

Revised version: Forthcoming, Quantitative Finance. This version: Tinbergen Institute Discussion Paper 17-002/IV
Number of pages: 54 Posted: 17 Jan 2017 Last Revised: 03 Dec 2019
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 385 (113,734)

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Sentiment, implied volatility skew, equity-risk premium, reversals, predictability, momentum crashes

9.
Downloads 375 (117,103)
Citation 12

Risk Measures for Autocorrelated Hedge Fund Returns

Bank of Italy Temi di Discussione (Working Paper) No. 831., Revised version: Journal of Financial Econometrics Forthcoming
Number of pages: 53 Posted: 14 Feb 2012 Last Revised: 20 Aug 2014
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 224 (198,463)
Citation 9

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hedge funds, serial correlation, systemic risk, VaR, Pareto distribution

Risk Measures for Autocorrelated Hedge Fund Returns

Number of pages: 44 Posted: 02 May 2011
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 151 (281,057)
Citation 12

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Hedge funds, Serial correlation,Systemic risk, VaR, Pareto distribution

10.

Bank Size and Systemic Risk

Forthcoming in European Financial Management.
Number of pages: 35 Posted: 01 Jun 2010 Last Revised: 11 Feb 2011
Amelia Pais and Philip A. Stork
Massey University - Department of Commerce and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 354 (124,846)

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systemic risk, banks, Extreme Value Theory, too big to fail

11.

Trading Volume and Momentum Returns in Europe's Largest Shares

Number of pages: 6 Posted: 31 Mar 2008
Philip A. Stork
Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 299 (149,430)

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Momentum, trading volume, European shares

12.

Momentum Effects in the Largest Australian and New Zealand Shares

INFINZ Journal, pp. 30-33, September 2008
Number of pages: 9 Posted: 21 Feb 2008 Last Revised: 21 Jul 2009
Philip A. Stork
Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 286 (156,322)

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Momentum, shares, Australia, New Zealand, investment strategy

13.

The 2011 European Short Sale Ban: A Cure or a Curse?

Journal of Financial Stability, Vol. 25, 2016
Number of pages: 43 Posted: 09 Feb 2013 Last Revised: 12 Jan 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 253 (176,946)
Citation 5

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Short sale ban; jump risk; risk-neutral density; implied volatility skew; contagion risk

14.

Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment

Forthcoming in Journal of Behavioral Finance
Number of pages: 38 Posted: 07 Apr 2016 Last Revised: 05 Aug 2018
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 239 (187,006)

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Cumulative prospect theory; investor sentiment; risk-neutral densities; call options

15.

Contagion Risk in the Australian Banking and Property Sectors

Journal of Banking and Finance, Vol. 3, No. 3, pp.691-697, 2011, 22nd Australasian Finance and Banking Conference 2009
Number of pages: 41 Posted: 25 Aug 2009 Last Revised: 11 Feb 2011
Philip A. Stork and Amelia Pais
Vrije Universiteit Amsterdam, School of Business and Economics and Massey University - Department of Commerce
Downloads 213 (208,463)

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Contagion Risk, Extreme Value Theory, Banks, Australia

16.

Behavioral Heterogeneity in Return Expectations across Equity Style Portfolios

Revised version forthcoming in International Review of Finance
Number of pages: 35 Posted: 16 Oct 2018 Last Revised: 11 Jun 2020
Philip A. Stork, Milan Vidojevic and Remco C. J. Zwinkels
Vrije Universiteit Amsterdam, School of Business and Economics, Robeco Quantitative Investments and Vrije Universiteit Amsterdam
Downloads 191 (230,072)

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behavioral finance, heterogeneous agent models, style investing, asset pricing

17.

Predictable Biases in Macroeconomic Forecasts and Their Impact Across Asset Classes

Number of pages: 43 Posted: 27 Jul 2017 Last Revised: 20 May 2022
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 169 (255,430)

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Anchoring; Rational Bias; Economic Surprises; Predictability; Stocks, Bonds; Currencies; Commodities; Machine learning

18.

The Intertemporal Mechanics of European Stock Price Momentum

Studies in Economics and Finance, Vol. 28, Issue 3, pp. 217-232, 2011
Number of pages: 21 Posted: 21 Jul 2008 Last Revised: 15 Aug 2011
Philip A. Stork
Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 157 (271,630)

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Price momentum, European stock markets, overconfidence, self-attribution

On Agricultural Commodities' Extreme Price Risk

De Nederlandsche Bank Working Paper No. 403
Number of pages: 33 Posted: 03 Dec 2013
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 112 (352,725)

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agricultural commodities, extreme value theory, heavy tails, risk management

On Agricultural Commodities' Extreme Price Risk

(forthcoming in Extremes)
Number of pages: 34 Posted: 23 Feb 2021
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR)
Downloads 26 (708,353)

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Commodity prices, extreme value theory, heavy tails, risk management

20.

When a Celebrity Endorser is Disgraced: A Twenty Five Year Event Study

Forthcoming, Marketing Letters
Number of pages: 21 Posted: 09 Feb 2013
Sherry Bartz, Alexander Molchanov and Philip A. Stork
University of Miami, Massey University and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 132 (313,375)

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Celebrity Endorsement, Event Study, Stock Returns

21.

Short-Selling, Leverage, and Systemic Risk

Number of pages: 39 Posted: 05 Nov 2013
Amelia Pais and Philip A. Stork
Massey University - Department of Commerce and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 122 (330,229)

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bear raids, short-selling bans, financial institutions’ risk, systemic risk, leverage capital requirements, Extreme Value Theory

22.

Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

Economics Letters, Forthcoming
Number of pages: 9 Posted: 23 Sep 2010 Last Revised: 07 May 2012
Russell B. Gregory-Allen, Helen Lu and Philip A. Stork
Massey University - Department of Commerce, University of Auckland Business School and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 118 (338,201)
Citation 1

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Extreme value theory, Asymmetric tails, Prospective utility

23.

Verdeel en beheers: een slimme manier van indexbeleggen in aandelen (Divide and Manage: A Smart Approach to Non-Market Cap Equity Index Strategies)

Number of pages: 28 Posted: 03 Feb 2016
Philip A. Stork and Philip Menco
Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 84 (421,950)

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equity index strategies, risk-return comparisons, investment portfolio

24.

Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'

Number of pages: 19 Posted: 20 Jul 2014
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 50 (548,531)
Citation 1

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Hedge funds, Serial correlation, Systemic risk, VaR, Pareto distribution

25.

Technical Trading Rules, Loss Avoidance, and the Business Cycle

Number of pages: 29 Posted: 07 Sep 2022 Last Revised: 09 Sep 2022
Lerby Ergun, Alexander Molchanov and Philip A. Stork
affiliation not provided to SSRN, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 22 (719,455)

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Tail risk, technical trading rules, loss avoidance

26.

Bank Size and Systemic Risk

European Financial Management, Vol. 19, Issue 3, pp. 429-451, 2013
Number of pages: 23 Posted: 05 Jun 2013
Amelia Pais and Philip A. Stork
Massey University - Department of Commerce and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 2 (923,407)
Citation 5

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systemic risk, banks, Extreme Value Theory, too big to fail

27.

Strategic Bias and Popularity Effect in the Prediction of Economic Surprises

Forthcoming, Journal of Forecasting
Posted: 28 Jan 2021
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
APG Asset Management, Universite du Luxembourg - Department of Finance and Vrije Universiteit Amsterdam, School of Business and Economics

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Strategic bias, skewness, economic surprises, predictability, forecast error.

28.

Factor-Based Investing

Forthcoming in Journal of Investing (revised version)
Posted: 08 Mar 2016 Last Revised: 10 Jun 2020
Pim Lausberg, Alfred Slager and Philip A. Stork
APG Asset Management, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics

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Factor Investing, European Data, Optimization, Timing

29.

Factor Investing in Practice: A Trustees' Guide to Implementation

Forthcoming in Journal of Portfolio Management
Posted: 07 Feb 2014 Last Revised: 02 Feb 2016
Kees C. G. Koedijk, Alfred Slager and Philip A. Stork
Tilburg University - Department of Finance, Tilburg University - TIAS School for Business and Society and Vrije Universiteit Amsterdam, School of Business and Economics

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Factor Investing, Regulatory Perspectives, Checklist, Case Studies

30.

Tail Risk Reduction Strategies

RETHINKING VALUATION AND PRICING MODELS: LESSONS LEARNED FROM THE CRISIS AND FUTURE CHALLENGES, C.S. Wehn, G.N. Gregoriou, C. Hoppe, eds., Elsevier
Posted: 28 Mar 2012
Lerby Ergun, Lerby Ergun and Philip A. Stork
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)Duisenberg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics

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tail risk, investment strategy, technical analysis

31.

Short-Selling Bans and Contagion Risk

Journal of Financial Transformation, Forthcoming
Posted: 20 Feb 2012 Last Revised: 27 Feb 2012
Amelia Pais and Philip A. Stork
Massey University - Department of Commerce and Vrije Universiteit Amsterdam, School of Business and Economics

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systemic risk, short selling, bank’s risk, Extreme Value Theory

32.

Momentum Trading for the Private Investor

HANDBOOK OF TRADING, G. Gregoriou, ed., McGraw-Hill Publishing, 2010
Posted: 02 Feb 2010
Alexander Molchanov and Philip A. Stork
Massey University and Vrije Universiteit Amsterdam, School of Business and Economics

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Momentum, stock returns

33.

The Stability of the Australian Banking System

THE BANKING CRISIS HANDBOOK, G. Gregoriou, ed., pp. 397-416, Chapter 21, CRC Press, Chapman-Hall/Taylor and Francis
Posted: 04 Aug 2009 Last Revised: 03 Feb 2010
Philip A. Stork and Casper G. de Vries
Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Australia, banking, contagion risk

34.

Differences between Foreign Exchange Rate Regimes: The View from the Tails

Journal of International Money and Finance, Vol. 11, No. 5, 1992
Posted: 26 Feb 2008
Kees C. G. Koedijk, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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exchnage rate regime, tails, distribution

35.

Policy Optimization by Lexigographic Preference Ordering

Journal of Policy Modeling, Vol. 14, No. 5, 1992
Posted: 26 Feb 2008
Philip A. Stork and Jean-Marie Viaene
Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University

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policy optimization, lexicographic ordering

36.

Should We Care? Psychological Barriers in Stock Markets

Economics Letters, Vol. 44, No. 4, 1994
Posted: 22 Feb 2008
Philip A. Stork and Kees C. G. Koedijk
Vrije Universiteit Amsterdam, School of Business and Economics and Tilburg University - Department of Finance

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psychological barriers, stock markets

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

European Economic Review, Vol. 39, No. 3-4, 1995
Posted: 26 Feb 2008
Tilburg University - Department of Finance, Rutgers University, Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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official intervention, target zones

An EMS Target Zone Model in Discrete Time

Journal of Applied Econometrics, Vol. 13, pp. 31.48, 1998
Posted: 28 Feb 2008
Kees C. G. Koedijk, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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EMS currencies, fat tails, realignment probability