G. A. Moerman

AEGON Asset Management

P.O. Box 202

2501 CE The Hague

Netherlands

Erasmus University Rotterdam (EUR) - Department of Financial Management

RSM Erasmus University

P.O. Box 1738

Room T09-53

3000 DR Rotterdam

Netherlands

  • AEGON Asset Management

    • Email
    • Tel: +31 70 344 8318

  • Erasmus University Rotterdam (EUR) - Department of Financial Management

    • Email
    • Tel: +31 10 408 2790
SCHOLARLY PAPERS

7

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1

CROSSREF CITATIONS

65

Scholarly Papers (7)

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1.

How Domestic is the Fama and French Three-Factor Model? An Application to the Euro Area

ERIM Report Series Reference No. ERS-2005-035-F&A
Number of pages: 32 Posted: 09 Jun 2005
G. A. Moerman
AEGON Asset Management
Downloads 1,251 (18,330)
Citation 7

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Asset pricing, Fama-French factors, industry factor model, European integration, euro area stock markets, size factor, value factor

2.

Financial Integration Through Benchmarks: The European Banking Sector

Number of pages: 33 Posted: 20 Nov 2006
G. A. Moerman, Ronald Mahieu and Kees C. G. Koedijk
AEGON Asset Management, Tilburg University - Center for Economic Research, Econometrics and Finance Group and Tilburg University - Department of Finance
Downloads 379 (90,160)

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bank integration, equity market integration, bank risk, European banks, regime-switching

3.

The World Price of Inflation Risk

Downloads 371 ( 92,433)
Citation 11

The World Price of Inflation Risk

Number of pages: 39 Posted: 05 Apr 2005
G. A. Moerman and Mathijs A. Van Dijk
AEGON Asset Management and Erasmus University - Rotterdam School of Management
Downloads 209 (167,642)
Citation 3

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International asset pricing, Inflation risk, Exchange rate risk

Inflation Risk and International Asset Returns

Journal of Banking and Finance, 34, pp. 840-855, 2010.
Number of pages: 46 Posted: 18 Apr 2007 Last Revised: 01 May 2010
G. A. Moerman and Mathijs A. Van Dijk
AEGON Asset Management and Erasmus University - Rotterdam School of Management
Downloads 162 (210,798)

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International asset pricing, Inflation risk, Exchange rate risk

4.

Diversification in Euro Area Stock Markets: Country Versus Industry

Number of pages: 47 Posted: 29 Jul 2004
G. A. Moerman
AEGON Asset Management
Downloads 331 (105,188)
Citation 1

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euro area stock markets, portfolio diversification, industry factors, country factors

5.

Measurement of Contagion in Banks' Equity Prices

Downloads 222 (158,587)

Measurement of Contagion in Banks' Equity Prices

Number of pages: 59 Posted: 03 Feb 2004
Reint Gropp and G. A. Moerman
Halle Institute for Economic Research and AEGON Asset Management
Downloads 222 (158,191)

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Contagion, Monte Carlo simulations

Measurement of Contagion in Banks' Equity Prices

Journal of International Money and Finance, Vol. 23, No. 3, pp. 405-459, April 2004
Posted: 24 Aug 2006
Reint Gropp and G. A. Moerman
Halle Institute for Economic Research and AEGON Asset Management

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Banking, Contagion, Monte Carlo simulations

6.

Diversification in Euro Area Stock Markets: Country vs. Industry

Journal of International Money and Finance, 2008
Number of pages: 26 Posted: 16 May 2007
G. A. Moerman
AEGON Asset Management
Downloads 184 (188,704)

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EMU, euro area stock markets, portfolio diversification, industry factors, country factors, European integration process

7.

Unpredictable after All? A Short Note on Exchange Rate Predictability

ERIM Report Series Reference No. ERS-2001-29-F&A
Number of pages: 21 Posted: 15 Oct 2009
G. A. Moerman
AEGON Asset Management
Downloads 37 (497,505)

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forecasting, econometrics, exchange rates, regime-switching model, economic variables