SSRN logo
Public User
Advanced Search

Frans de Roon

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

  • Tilburg University - Department of Finance

    • Email
    • Tel: +31 1 3466 8361/3025
    • Fax: +31 1 3466 2875
SCHOLARLY PAPERS

30

DOWNLOADS
Rank 2,200

SSRN RANKINGS

Top 2,200

in Total Papers Downloads

12,899

CITATIONS
Rank 4,972

SSRN RANKINGS

Top 4,972

in Total Papers Citations

105

Scholarly Papers (30)

Actions:
Email selected abstracts
1.

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
Frans de Roon, Esther Eiling, Pierre Hillion and Bruno Gerard
Tilburg University - Department of Finance, University of Amsterdam - Amsterdam Business School, INSEAD - Finance and Norwegian School of Management (BI) - Department of Financial Economics
Downloads 1,589 (7,663)
Citation 17

Abstract:

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

2.

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
Marta Szymanowska, Frans de Roon, Theo Nijman and Rob van den Goorbergh
Erasmus University Rotterdam (EUR) - Department of Finance, Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and APG Asset Management
Downloads 1,566 (5,617)
Citation 9

Abstract:

Futures contracts, Commodities, Risk premia, Portfolio sorts

3.

Evaluating Style Analysis

Downloads 1,298 ( 11,624)
Citation 3

Evaluating Style Analysis

ERIM Report Series Reference No. ERS-2000-11-F&A; EFMA 2001 Lugano Meetings
Number of pages: 35 Posted: 28 Feb 2001
Frans de Roon, Theo Nijman and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and TIAS School for Business and Society
Downloads 1,266 (11,815)
Citation 3

Abstract:

Style Analysis, Performance Measurment, Mutual Funds, Portfolio Choice

Evaluating Style Analysis

CEPR Discussion Paper No. 3181
Number of pages: 30 Posted: 21 Feb 2002
Frans de Roon, Theo Nijman and Jenke ter Horst
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and TIAS School for Business and Society
Downloads 32 (401,716)
Citation 3
  • Add to Cart

Abstract:

Style analysis, performance evaluation, portfolio choice

4.

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
New University of Lisbon - Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 957 (13,924)

Abstract:

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

5.

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, Norwegian School of Management (BI) - Department of Financial Economics and Tilburg University - Department of Finance
Downloads 655 (30,773)
Citation 1

Abstract:

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

6.

Emotional Assets and Investment Behavior

Number of pages: 27 Posted: 19 Feb 2009
Rachel A.J. Pownall, Kees C. G. Koedijk and Frans de Roon
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 648 (26,367)

Abstract:

Portfolio Management, Asset pricing, Consumption and Investment decisions

7.

Currency Hedging for International Stock Portfolios

ERIM Report Series Reference No. ERS-2000-21-F&A
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 - Center and Faculty of Economics and Business Administration and Tilburg University - Center for Economic Research (CentER)
Downloads 578 (36,309)
Citation 4

Abstract:

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

8.

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 565 (36,074)
Citation 3

Abstract:

9.

Time-Varying Inflation Risk and the Cross Section of Stock Returns

Downloads 437 ( 53,867)

Time-Varying Inflation Risk and the Cross Section of Stock Returns

FRB of New York Staff Report No. 621
Number of pages: 61 Posted: 04 Jun 2013
Martijn Boons, Fernando Duarte, Frans de Roon and Marta Szymanowska
New University of Lisbon - Nova School of Business and Economics, Federal Reserve Bank of New York, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 255 (99,433)

Abstract:

inflation, time-varying inflation risk premium, inflation hedging, 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
New University of Lisbon - Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 182 (139,037)

Abstract:

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

10.

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 Zhanshun Wei
Tilburg University - Department of Finance, Monash University and University of Toronto - Rotman School of Management
Downloads 430 (54,500)

Abstract:

11.

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 319 (64,176)
Citation 2

Abstract:

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

12.

Currency Risk Hedging: No Free Lunch

Number of pages: 55 Posted: 16 Feb 2009 Last Revised: 29 Oct 2012
Frans de Roon, Esther Eiling, Bruno Gerard and Pierre Hillion
Tilburg University - Department of Finance, University of Amsterdam - Amsterdam Business School, Norwegian School of Management (BI) - Department of Financial Economics and INSEAD - Finance
Downloads 316 (78,896)

Abstract:

Currency risk, Currency risk hedging

13.

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 311 (76,513)

Abstract:

Portfolio choice, estimation error, international finance

14.

Being Locked Up Hurts

Downloads 278 ( 91,166)
Citation 4

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 153 (162,123)
Citation 4

Abstract:

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 125 (191,452)
Citation 4

Abstract:

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

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 266 (81,482)
Citation 1

Abstract:

Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability

16.

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 260 (91,885)

Abstract:

Hedge funds, funds of funds, fund investment

17.

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 228 (112,135)
Citation 1

Abstract:

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

18.

Economic Hedging Portfolios

Tilburg University Working Paper
Number of pages: 31 Posted: 22 May 2003
Rob W. J. van den Goorbergh, Frans de Roon and Bas J. M. Werker
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 225 (106,934)

Abstract:

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

19.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
Massimiliano Caporin, Frans de Roon and Loriana Pelizzon
University of Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 183 (130,997)

Abstract:

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

20.

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
Downloads 160 (140,466)
Citation 6

Abstract:

International diversification, Local factors, Factor funds

21.

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 Norwegian School of Management (BI) - Department of Financial Economics
Downloads 119 (182,717)
Citation 2

Abstract:

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

22.

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 UNSW Australia Business School, School of Banking and Finance
Downloads 87 (103,779)

Abstract:

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

23.

The Portfolio Implications of Home Ownership

CEPR Discussion Paper No. 3501
Number of pages: 26 Posted: 25 Sep 2002
Frans de Roon, Piet M. A. Eichholtz and Kees C. G. Koedijk
Tilburg University - Department of Finance, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Tilburg University - Department of Finance
Downloads 49 (334,097)
Citation 6
  • Add to Cart

Abstract:

Portfolio choice, real estate, home ownership

24.

Time-Varying Market Integration and Expected Returns in Emerging Markets

CEPR Discussion Paper No. 3102
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 (362,586)
Citation 46
  • Add to Cart

Abstract:

Emerging markets, asset pricing, market integration

25.

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 24 (396,273)

Abstract:

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

26.

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

Number of pages: 62 Posted: 01 Oct 2015 Last Revised: 30 Jun 2017
Frans de Roon and Paul Karehnke
Tilburg University - Department of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 0 (325,212)

Abstract:

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

27.

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:

28.

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:

29.

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, Rotterdam School of Management, Erasmus University and Monash University

Abstract:

30.

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

Downloads 0 (565,595)

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:

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:

Other Papers (1)

Total Downloads: 187    Citations: 0
Actions:
Email selected abstracts
1.

Emotional Assets

Number of pages: 35 Posted: 05 Mar 2008 Last Revised: 27 Oct 2012
Frans de Roon, Kees C. G. Koedijk and Rachel A.J. Pownall
Tilburg University - Department of Finance, Tilburg University - Department of Finance and Tilburg University - Department of Finance
Downloads 172

Abstract:

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

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 1.046 seconds

Relx Group logo