Philip A. Stork

VU University Amsterdam - Faculty of Economics and Business Administration

De Boelelaan 1105

Amsterdam, 1081HV

Netherlands

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

34

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CITATIONS
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8

Scholarly Papers (34)

1.
Downloads 1,413 ( 10,004)

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 1,411 (9,821)

Abstract:

Factor Investing, European Data, Optimization, Timing

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 2 (564,288)
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Abstract:

European data, factor investing, 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 VU University Amsterdam - Faculty of Economics and Business Administration
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Abstract:

portfolio management, factor investing, diversification, optimisation

2.

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, Humboldt University of Berlin - School of Business and Economics and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 817 (19,935)
Citation 4

Abstract:

3.

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
VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 667 (29,945)

Abstract:

Hedge Funds, Financial Stability

4.

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 VU University Amsterdam - Faculty of Economics and Business Administration

Abstract:

Factor Investing, Regulatory Perspectives, Checklist, Case Studies

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 199 (126,724)

Abstract:

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 131 (182,998)

Abstract:

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

6.

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
VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 317 (61,377)

Abstract:

Banken, Risicomanagement, Behavioural Finance

7.

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 277 (79,079)

Abstract:

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

8.

Trading Volume and Momentum Returns in Europe's Largest Shares

Number of pages: 6 Posted: 31 Mar 2008
Philip A. Stork
VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 270 (88,962)

Abstract:

Momentum, trading volume, European shares

9.

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
VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 248 (97,454)
Citation 2

Abstract:

Momentum, shares, Australia, New Zealand, investment strategy

10.

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, VU University Amsterdam - Faculty of Economics and Business Administration and affiliation not provided to SSRN
Downloads 224 (90,723)

Abstract:

Corporate Sponsorship, Beijing Olympics, Event Study

11.

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 - College of Business, VU University Amsterdam - Faculty of Economics and Business Administration and School of Economics and Finance, Massey Univeristy, Albany
Downloads 189 (112,659)

Abstract:

Stock Splits, Event Study

12.

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
VU University Amsterdam - Faculty of Economics and Business Administration and Massey University - Department of Commerce
Downloads 180 (129,953)
Citation 2

Abstract:

Contagion Risk, Extreme Value Theory, Banks, Australia

13.

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

Tinbergen Institute Discussion Paper 16-022/IV
Number of pages: 50 Posted: 07 Apr 2016 Last Revised: 13 Feb 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 177 (141,486)

Abstract:

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

14.

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
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 145 (122,924)

Abstract:

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

15.

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
VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 138 (166,319)

Abstract:

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

16.

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 - Department of Accounting and Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 97 (221,342)

Abstract:

Extreme value theory, Asymmetric tails, Prospective utility

17.

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 72 (227,464)

Abstract:

Celebrity Endorsement, Event Study, Stock Returns

18.

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 56 (260,991)

Abstract:

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

19.

On Agricultural Commodities' Extreme Price Risk

De Nederlandsche Bank Working Paper No. 403
Number of pages: 33 Posted: 03 Dec 2013
Government of Canada - Bank of Canada, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 32 (296,253)

Abstract:

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

20.

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 18 (389,280)

Abstract:

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

21.

Predictable Biases in Macroeconomic Forecasts

Number of pages: 33 Posted: 27 Jul 2017 Last Revised: 28 Jul 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 0 (397,484)

Abstract:

Anchoring; Rational Bias; Consensus Forecast; Economic Surprises; Predictability

22.

Implied Volatility Sentiment: A Tale of Two Tails

Tinbergen Institute Discussion Paper 17-002/IV
Number of pages: 46 Posted: 17 Jan 2017
Luiz F. F. Felix, Roman Kräussl and Philip A. Stork
VU University Amsterdam, Luxembourg School of Finance and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 0 (110,270)

Abstract:

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

23.

Factor-Based Investing

Number of pages: 60 Posted: 08 Mar 2016
Pim Lausberg, Alfred Slager and Philip A. Stork
APG Asset Management, Tilburg University - TIAS School for Business and Society and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 0 (25,613)

Abstract:

Factor Investing, European Data, Optimization, Timing

24.

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
VU University Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 0 (385,360)

Abstract:

equity index strategies, risk-return comparisons, investment portfolio

25.

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 0 (547,062)
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Abstract:

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

26.

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 Murat Ergun and Philip A. Stork
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and VU University Amsterdam - Faculty of Economics and Business Administration

Abstract:

tail risk, investment strategy, technical analysis

27.

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 VU University Amsterdam - Faculty of Economics and Business Administration

Abstract:

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

28.

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 VU University Amsterdam - Faculty of Economics and Business Administration

Abstract:

Momentum, stock returns

29.

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
VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

Australia, banking, contagion risk

30.

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
VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University

Abstract:

policy optimization, lexicographic ordering

31.

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

exchnage rate regime, tails, distribution

32.

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
VU University Amsterdam - Faculty of Economics and Business Administration and Tilburg University - Department of Finance

Abstract:

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

EMS currencies, fat tails, realignment probability