Wilma de Groot

Robeco Asset Management

Rotterdam, 3014 DA

Netherlands

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 19,158

in Total Papers Citations

48

CROSSREF CITATIONS

14

Scholarly Papers (9)

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 4,296 (3,865)
Citation 13

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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 Analyst Journal 68(4), p. 56–72, 2012.
Number of pages: 39 Posted: 08 Feb 2012 Last Revised: 29 Nov 2021
Erasmus University Rotterdam (EUR), Robeco Quantitative Investments, Robeco Asset Management, Robeco Asset Management and Rabobank International, Netherlands
Downloads 2,119 (12,411)

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

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 Quantitative Investments and Robeco Asset Management
Downloads 1,584 (19,160)
Citation 8

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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 Quantitative Investments and Robeco Asset Management

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

4.

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 1,477 (21,756)
Citation 18

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

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 1,247 (27,922)
Citation 5

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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.

Sustainable Voting Behavior of Asset Managers: Do They Walk the Walk?

Number of pages: 41 Posted: 11 Feb 2021 Last Revised: 24 Feb 2021
Robeco Asset Management, Robeco Asset ManagementUniversity of Amsterdam - Amsterdam Institute for Social Science Research (AISSR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 1,228 (28,564)
Citation 5

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Voting, Sustainability, Responsible Investing, ESG, Governance, Active ownership, Asset managers, Passive, Active, PRI, Mutual funds

7.

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 1,195 (29,808)
Citation 2

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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 486 (97,417)
Citation 1

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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

9.

China A-Shares: Strategic Allocation to Market and Factor Premiums

Forthcoming, Journal of Portfolio Management
Number of pages: 38 Posted: 22 Oct 2020
Wilma de Groot, Laurens Swinkels and Weili Zhou
Robeco Asset Management, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 347 (144,961)

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Alpha, China, A-shares, Factor investing, Investing, Momentum, Value