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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105

Scholarly Papers (30)

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
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
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.
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
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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
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:

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
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
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.
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
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
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
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
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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
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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:

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
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 172

Abstract:

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