Wilma de Groot

Robeco Asset Management

Rotterdam, 3011 AG

Netherlands

SCHOLARLY PAPERS

7

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Top 25,716

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17

CROSSREF CITATIONS

9

Scholarly Papers (7)

Another Look at Trading Costs and Short-Term Reversal Profits

Number of pages: 44 Posted: 15 May 2010 Last Revised: 26 Jul 2011
Wilma de Groot, Joop Huij and Weili Zhou
Robeco Asset Management, Erasmus University - Rotterdam School of Management and Robeco Asset Management
Downloads 3,031 (3,492)
Citation 7

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market efficieny, anomalies, short-term reversal, portfolio construction, market impact, transaction costs, liquidity

Another Look at Trading Costs and Short-Term Reversal Profits

Journal of Banking and Finance, Vol. 36, No. 2, 2012
Posted: 22 Nov 2011
Wilma de Groot, Joop Huij and Weili Zhou
Robeco Asset Management, Erasmus University - Rotterdam School of Management and Robeco Asset Management

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market efficieny, anomalies, short-term reversal, portfolio construction, market impact, transaction costs, liquidity

2.

Exploiting Option Information in the Equity Market

Financial Analysts Journal, Forthcoming
Number of pages: 39 Posted: 08 Feb 2012
Erasmus University Rotterdam (EUR), Robeco Asset Management - Quantitative Strategies, Robeco Asset Management, Robeco Asset Management and Rabobank International, Netherlands
Downloads 1,863 (8,148)

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stock selection, behavioral finance, alpha strategies, equity returns, option markets, stock markets, information spillover, asset pricing

3.

The Cross-Section of Stock Returns in Frontier Emerging Markets

Journal of Empirical Finance, Vol. 19, Issue 5, pp. 796-818.
Number of pages: 56 Posted: 13 May 2010 Last Revised: 07 Oct 2012
Wilma de Groot, Juan Pang and Laurens Swinkels
Robeco Asset Management, APG asset Management and Erasmus University Rotterdam (EUR)
Downloads 1,320 (14,207)
Citation 13

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Alpha, Behavioral finance, Emerging markets, Frontier Markets, Momentum effect, Size effect, Value effect

Strategic Allocation to Commodity Factor Premiums

Number of pages: 26 Posted: 17 May 2013 Last Revised: 27 May 2014
David Blitz and Wilma de Groot
Robeco and Robeco Asset Management
Downloads 1,102 (18,365)
Citation 2

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commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

Strategic Allocation to Commodity Factor Premiums

Journal of Alternative Investments, Forthcoming
Posted: 27 May 2014
David Blitz and Wilma de Groot
Robeco and Robeco Asset Management

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commodities, factor premiums, strategic asset allocation, momentum, carry, low-volatility

5.

Are the Fama-French Factors Really Compensations for Distress Risk?

Number of pages: 77 Posted: 14 May 2011 Last Revised: 02 Jun 2015
Wilma de Groot and Joop Huij
Robeco Asset Management and Erasmus University - Rotterdam School of Management
Downloads 1,096 (18,873)
Citation 4

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book-to-market effect, value anomaly, market efficiency, default risk, bankruptcy, credit spread, bond spread, distress risk, credit rating, size effect

6.

Exploiting Commodity Momentum Along the Futures Curves

Journal of Banking and Finance, Forthcoming
Number of pages: 51 Posted: 23 Aug 2014
Wilma de Groot, Dennis Karstanje and Weili Zhou
Robeco Asset Management, Erasmus University Rotterdam and Robeco Asset Management
Downloads 841 (27,731)

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commodity futures, momentum, term structure, futures curve, roll yield, backwardation, contango, transaction costs

Incorporating Uncertainty About Alternative Assets in Strategic Pension Fund Asset Allocation

Number of pages: 10 Posted: 16 Jun 2008
Wilma de Groot and Laurens Swinkels
Robeco Asset Management and Erasmus University Rotterdam (EUR)
Downloads 421 (67,742)

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Alternative investments, Asset allocation, Liability driven investing; Robust optimization; Uncertainty

Incorporating Uncertainty about Alternative Assets in Strategic Pension Fund Asset Allocation

Pensions, Vol. 13, Issues 1-2, pp. 71-77, 2008
Posted: 02 Nov 2008
Wilma de Groot and Laurens Swinkels
Robeco Asset Management and Erasmus University Rotterdam (EUR)

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Alternative investments, Asset allocation, Liability driven investing, Robust optimization, Uncertainty