Frans de Roon

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

33

DOWNLOADS
Rank 3,710

SSRN RANKINGS

Top 3,710

in Total Papers Downloads

18,735

SSRN CITATIONS
Rank 5,567

SSRN RANKINGS

Top 5,567

in Total Papers Citations

201

CROSSREF CITATIONS

124

Scholarly Papers (33)

1.

An Anatomy of Commodity Futures Risk Premia

AFA 2010 Atlanta Meetings Paper, Journal of Finance, Vol. 69, No. 1, pp. 453-482, 2014
Number of pages: 73 Posted: 17 Feb 2009 Last Revised: 11 May 2014
Erasmus University Rotterdam (EUR) - Department of Finance, Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and APG Asset Management
Downloads 3,157 (7,443)
Citation 68

Abstract:

Loading...

Futures contracts, Commodities, Risk premia, Portfolio sorts

2.

International Portfolio Diversification: Currency, Industry and Country Effects Revisited

EFA 2002 Berlin
Number of pages: 44 Posted: 31 Mar 2002 Last Revised: 07 Jan 2010
Tilburg University - Department of Finance, University of Amsterdam - Amsterdam Business School, INSEAD - Finance and BI Norwegian Business School - Department of Finance
Downloads 1,861 (17,182)
Citation 17

Abstract:

Loading...

International financial markets, currency risk, mean-variance efficiency, conditioning information

3.

The Price of Commodity Risk in Stock and Futures Markets

AFA 2012 Chicago Meetings Paper
Number of pages: 54 Posted: 18 Mar 2011 Last Revised: 11 May 2014
Martijn Boons, Frans de Roon and Marta Szymanowska
Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 1,588 (21,944)
Citation 9

Abstract:

Loading...

Asset pricing, Commodity futures markets, Commodity index investment, Commodity risk premium, Hedging

4.
Downloads 1,425 (25,903)
Citation 19

Evaluating Style Analysis

Number of pages: 35 Posted: 28 Feb 2001
Frans de Roon, Theo Nijman and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and TIAS School for Business and Society
Downloads 1,392 (26,341)

Abstract:

Loading...

Style Analysis, Performance Measurment, Mutual Funds, Portfolio Choice

Evaluating Style Analysis

Number of pages: 30 Posted: 21 Feb 2002
Frans de Roon, Theo Nijman and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and TIAS School for Business and Society
Downloads 33 (860,710)
Citation 1
  • Add to Cart

Abstract:

Loading...

Style analysis, performance evaluation, portfolio choice

5.

Emotional Assets and Investment Behavior

Number of pages: 27 Posted: 19 Feb 2009
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 1,108 (37,258)
Citation 2

Abstract:

Loading...

Portfolio Management, Asset pricing, Consumption and Investment decisions

6.

Risk-Adjusted Private Debt Fund Performance and the Term Structure of Alphas (previously "Uncovering the Public and Private Components of Private Debt Returns"

Number of pages: 66 Posted: 09 Jan 2023 Last Revised: 14 Nov 2023
Pascal Böni and Frans de Roon
Tilburg University and Tilburg University - Department of Finance
Downloads 953 (46,172)
Citation 1

Abstract:

Loading...

Private Market, Private Debt, Returns, Performance, Skewness, Value at Risk, Expected Shortfall, Term-Structure

7.
Downloads 917 (48,717)
Citation 35

Time-Varying Inflation Risk and Stock Returns

FRB of New York Staff Report No. 621
Number of pages: 104 Posted: 04 Jun 2013 Last Revised: 29 Aug 2019
Nova School of Business and Economics, Brown University, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 659 (74,561)
Citation 5

Abstract:

Loading...

inflation, time-varying inflation risk premium, inflation hedging, individual stock returns, cross-sectional asset pricing, nominal-real covariance

The Stock Market Price of Inflation Risk and Its Variation over Time

Number of pages: 60 Posted: 14 Mar 2012 Last Revised: 19 Nov 2014
Martijn Boons, Frans de Roon and Marta Szymanowska
Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 258 (219,561)
Citation 1

Abstract:

Loading...

Inflation, (Time-Varying) Inflation Risk Premium, Inflation Hedging, Cross-Sectional Asset-Pricing, TIPS, Nominal-Real Covariance

8.

Euro-Zone Equity Returns: Country Versus Industry Effects

EFA 2004 Maastricht Meetings Paper No. 3454, AFA 2006 Boston Meetings Paper
Number of pages: 46 Posted: 08 Nov 2005 Last Revised: 07 Jan 2010
Esther Eiling, Bruno Gerard and Frans de Roon
University of Amsterdam - Amsterdam Business School, BI Norwegian Business School - Department of Finance and Tilburg University - Department of Finance
Downloads 743 (64,806)
Citation 5

Abstract:

Loading...

International financial markets, style analysis, EMU, currency risk, financial market integration

9.

Currency Risk Hedging: No Free Lunch

Number of pages: 55 Posted: 16 Feb 2009 Last Revised: 29 Oct 2012
Tilburg University - Department of Finance, University of Amsterdam - Amsterdam Business School, BI Norwegian Business School - Department of Finance and INSEAD - Finance
Downloads 679 (72,744)

Abstract:

Loading...

Currency risk, Currency risk hedging

10.

Incorporating Estimation Risk in Portfolio Choice

CentER Working Paper No. 65
Number of pages: 35 Posted: 28 Dec 2000
Jenke ter Horst, Frans de Roon and Bas J. M. Werker
TIAS School for Business and Society, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 655 (76,147)
Citation 2

Abstract:

Loading...

11.

Currency Hedging for International Stock Portfolios

Number of pages: 39 Posted: 20 Jan 2003
Frans de Roon, Theo Nijman and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and Tilburg University - Center for Economic Research (CentER)
Downloads 648 (77,203)

Abstract:

Loading...

currency risk, hedging, forwards, international asset pricing, portfolio choice

12.

A Study on the Efficiency of the Market for Dutch Long Term Call Options

Number of pages: 24 Posted: 26 Jan 1996
Frans de Roon, Chris Veld and Jason Wei
Tilburg University - Department of Finance, Monash University and University of Toronto - Rotman School of Management
Downloads 530 (99,306)

Abstract:

Loading...

13.

The Cross-Section of Commodity Futures Returns

Number of pages: 40 Posted: 15 Nov 2006 Last Revised: 13 Mar 2010
Frans de Roon and Marta Szymanowska
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 526 (100,237)
Citation 8

Abstract:

Loading...

futures, consumption-based model, ultimate consumption risk, production-based model

14.

A Simple Skewed Distribution with Asset Pricing Applications

Review of Finance, Forthcoming, 28th Australasian Finance and Banking Conference
Number of pages: 53 Posted: 18 Aug 2015 Last Revised: 28 Jul 2016
Frans de Roon and Paul Karehnke
Tilburg University - Department of Finance and ESCP Business School
Downloads 495 (107,999)
Citation 10

Abstract:

Loading...

Skewness, Value-at-Risk, Expected Shortfall, Portfolio Choice, Asset Pricing

15.

On Diversification

Number of pages: 38 Posted: 21 Nov 2012
Ben Jacobsen and Frans de Roon
Tilburg University - TIAS School for Business and Society and Tilburg University - Department of Finance
Downloads 403 (137,400)
Citation 1

Abstract:

Loading...

Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability

16.

On the Estimation Error in Mean-Variance Efficient Portfolio Weights

Number of pages: 19 Posted: 28 Oct 2004
Frans de Roon
Tilburg University - Department of Finance
Downloads 400 (138,593)

Abstract:

Loading...

Portfolio choice, estimation error, international finance

17.
Downloads 370 (151,217)
Citation 5

Being Locked Up Hurts

EFA 2009 Bergen Meetings Paper
Number of pages: 40 Posted: 16 Feb 2009 Last Revised: 24 Jul 2014
Frans de Roon, Jinqiang Guo and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University, Department of Finance and TIAS School for Business and Society
Downloads 213 (264,614)
Citation 1

Abstract:

Loading...

Multi-period asset allocation, hedge funds, lockup period

Being Locked Up Hurts

Number of pages: 36 Posted: 22 Mar 2009 Last Revised: 13 Nov 2009
Frans de Roon, Jinqiang Guo and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University, Department of Finance and TIAS School for Business and Society
Downloads 157 (347,917)
Citation 7

Abstract:

Loading...

Hedge funds, lockup period, multi-period asset allocation, timing portfolios

18.

A Random Walk by Fund of Funds Managers?

Number of pages: 29 Posted: 17 Mar 2010 Last Revised: 10 May 2010
Frans de Roon, Jinqiang Guo and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University, Department of Finance and TIAS School for Business and Society
Downloads 335 (168,470)

Abstract:

Loading...

Hedge funds, funds of funds, fund investment

19.

Asset Pricing Restrictions on Predictability: Frictions Matter

Management Science, Vol. 58, No. 10, pp. 1916-1932, 2012
Number of pages: 32 Posted: 04 Mar 2005 Last Revised: 10 May 2014
Frans de Roon and Marta Szymanowska
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 278 (204,792)
Citation 1

Abstract:

Loading...

time-series predictability, cross-sectional predictability, asset pricing tests, market frictions

20.

Economic Hedging Portfolios

Tilburg University Working Paper
Number of pages: 31 Posted: 22 May 2003
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 277 (205,576)
Citation 5

Abstract:

Loading...

Economic hedging portfolios, risk aversion-weighted hedging, state-dependent utility, risk premiums

21.

International Diversification with Factor Funds

Management Science, Forthcoming
Number of pages: 34 Posted: 11 Jun 2010
Cheol S. Eun, Sandy Lai, Frans de Roon and Zhe Zhang
Georgia Institute of Technology - Finance Area, University of Hong Kong, Tilburg University - Department of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 240 (237,022)

Abstract:

Loading...

International diversification, Local factors, Factor funds

22.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
University of Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 237 (240,021)

Abstract:

Loading...

mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

23.

Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds

Management Science, Forthcoming
Number of pages: 55 Posted: 01 Oct 2015 Last Revised: 07 Oct 2020
Paul Karehnke and Frans de Roon
ESCP Business School and Tilburg University - Department of Finance
Downloads 219 (258,681)
Citation 3

Abstract:

Loading...

hedge funds; mutual funds; writing options; performance evaluation; mean-variance-skewness spanning; prudence; portfolio choice

24.

Covenants and the Pricing of Private and Public Bonds

Number of pages: 73 Posted: 28 Aug 2020 Last Revised: 30 Oct 2020
Pascal Böni, Frans de Roon and Philip Joos
Tilburg University, Tilburg University - Department of Finance and Tilburg University
Downloads 195 (287,786)

Abstract:

Loading...

bond, pricing, asset pricing, private placement, covenants, renegotiation, agency theory

25.

Beta Horizons

Number of pages: 40 Posted: 04 Apr 2024
Paul Karehnke and Frans de Roon
ESCP Business School and Tilburg University - Department of Finance
Downloads 186 (300,204)

Abstract:

Loading...

beta, long-horizon, cost of capital

26.

International Diversification in the Euro-Zone: The Increasing Riskiness of Industry Portfolios - Appendix Containing Auxiliary Results

Number of pages: 41 Posted: 13 Sep 2005
Frans de Roon, Esther Eiling and Bruno Gerard
Tilburg University - Department of Finance, University of Amsterdam - Amsterdam Business School and BI Norwegian Business School - Department of Finance
Downloads 163 (336,894)
Citation 1

Abstract:

Loading...

International Financial Markets, Mean-variance Efficiency, Style analysis, EMU

27.

Supplementary Material for 'Asset Pricing Restrictions on Predictability: Frictions Matter'

Number of pages: 8 Posted: 20 Feb 2011 Last Revised: 19 Nov 2011
Frans de Roon and Marta Szymanowska
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 58 (668,289)

Abstract:

Loading...

Out-of-Sample Predictability, Asset Pricing Tests, Market Frictions

28.

The Portfolio Implications of Home Ownership

Number of pages: 26 Posted: 25 Sep 2002
Tilburg University - Department of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Tilburg University - Department of Finance
Downloads 49 (721,539)
  • Add to Cart

Abstract:

Loading...

Portfolio choice, real estate, home ownership

29.

Time-Varying Market Integration and Expected Returns in Emerging Markets

Number of pages: 47 Posted: 15 Jan 2002
Frans de Roon and Frank De Jong
Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 40 (782,861)
Citation 27
  • Add to Cart

Abstract:

Loading...

Emerging markets, asset pricing, market integration

30.

Put-Call Parities and the Value of Early Exercise for Put Options on a Performance Index

Posted: 13 Sep 1999
Frans de Roon and Chris Veld
Tilburg University - Department of Finance and Monash University

Abstract:

Loading...

31.

Announcement Effects of Convertible Bond Loans Versus Warrant-Bond Loans: An Empirical Analysis for the Dutch Market

Posted: 23 Jul 1999
Frans de Roon and Chris Veld
Tilburg University - Department of Finance and Monash University

Abstract:

Loading...

32.

An Empirical Analysis of the Hedging Effectiveness of Currency Futures

Posted: 13 Jul 1998
Frans de Roon, Abe de Jong and Chris Veld
Tilburg University - Department of Finance, Monash University and Monash University

Abstract:

Loading...

An Empirical Investigation of the Factors that Determine the Pricing of Dutch Index Warrants

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996
Posted: 05 Feb 1998
Frans de Roon and Chris Veld
Tilburg University - Department of Finance and Monash University

Abstract:

Loading...

An Empirical Investigation of the Factors that Determine the Pricing of Dutch Index Warrants

Posted: 06 Apr 1995
Frans de Roon and Chris Veld
Tilburg University - Department of Finance and Monash University

Abstract:

Loading...

Other Papers (1)

Total Downloads: 263
1.

Emotional Assets

Number of pages: 35 Posted: 05 Mar 2008 Last Revised: 27 Oct 2012
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 263

Abstract:

Loading...

Philanthropy, Asset allocation, art, wine, luxary goods markets