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

SCHOLARLY PAPERS

7

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2,704

SSRN CITATIONS
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Top 13,825

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1

CROSSREF CITATIONS

65

Scholarly Papers (7)

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 1,204 (16,976)
Citation 7

Abstract:

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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

ERIM Report Series Reference No. ERS-2004-110-F&A
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 378 (80,211)

Abstract:

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

3.
Downloads 368 ( 82,811)
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 208 (150,680)
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 160 (191,128)

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International asset pricing, Inflation risk, Exchange rate risk

4.

Diversification in Euro Area Stock Markets: Country Versus Industry

ECB Working Paper No. 327
Number of pages: 47 Posted: 29 Jul 2004
G. A. Moerman
AEGON Asset Management
Downloads 318 (97,672)

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

Measurement of Contagion in Banks' Equity Prices

ECB Working Paper No. 297
Number of pages: 59 Posted: 03 Feb 2004
Reint Gropp and G. A. Moerman
Halle Institute for Economic Research and AEGON Asset Management
Downloads 217 (144,697)

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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

Abstract:

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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 182 (170,707)

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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 (449,824)

Abstract:

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