Frans de Roon

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

30

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CITATIONS
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106

Scholarly Papers (30)

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 - Center and Faculty of Economics and Business Administration and APG Asset Management
Downloads 2,227 (5,814)
Citation 10

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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 1,734 (8,884)
Citation 17

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

3.
Downloads 1,336 ( 13,540)
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 1,304 (13,771)
Citation 3

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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 (458,501)
Citation 3
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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 1,290 (14,282)

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

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 833 (27,448)

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Portfolio Management, Asset pricing, Consumption and Investment decisions

6.

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 692 (35,344)
Citation 1

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

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 611 (41,719)
Citation 4

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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 607 (42,070)
Citation 3

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Time-Varying Inflation Risk and Stock Returns

FRB of New York Staff Report No. 621
Number of pages: 61 Posted: 04 Jun 2013 Last Revised: 14 Nov 2018
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 372 (76,589)

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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 196 (151,043)

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

10.

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 459 (60,133)

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Currency risk, Currency risk hedging

11.

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 440 (63,312)

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12.

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 416 (67,680)
Citation 2

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

13.

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 357 (81,035)

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

14.

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 332 (88,089)

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Portfolio choice, estimation error, international finance

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 329 (88,999)
Citation 1

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Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability

16.
Downloads 288 (102,918)
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 159 (182,304)
Citation 3

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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 129 (216,574)
Citation 3

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

17.

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 282 (105,241)

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Hedge funds, funds of funds, fund investment

18.

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 244 (122,378)

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

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 238 (125,478)
Citation 1

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

20.

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 200 (148,346)

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

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
Downloads 198 (149,706)
Citation 6

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International diversification, Local factors, Factor funds

22.

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 138 (204,464)
Citation 2

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

23.

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

Number of pages: 59 Posted: 01 Oct 2015 Last Revised: 02 May 2019
Frans de Roon and Paul Karehnke
Tilburg University - Department of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 107 (247,555)

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

24.

The Portfolio Implications of Home Ownership

CEPR Discussion Paper No. 3501
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 (382,769)
Citation 6
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Portfolio choice, real estate, home ownership

25.

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 (414,843)
Citation 46
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Emerging markets, asset pricing, market integration

26.

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 33 (443,104)

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

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

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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

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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

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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

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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

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Other Papers (1)

Total Downloads: 195    Citations: 0
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 195

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