Frans de Roon

Tilburg University - Department of Finance

P.O. Box 90153

Tilburg, 5000 LE

Netherlands

SCHOLARLY PAPERS

31

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14,799

SSRN CITATIONS
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Top 6,402

in Total Papers Citations

67

CROSSREF CITATIONS

124

Scholarly Papers (31)

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 2,368 (6,316)
Citation 23

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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 1,762 (10,321)
Citation 17

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

3.
Downloads 1,367 ( 15,409)
Citation 18

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 1,334 (15,688)

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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 (514,699)
Citation 1
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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 1,360 (15,535)
Citation 9

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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 891 (29,103)
Citation 1

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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 701 (40,415)
Citation 4

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

7.
Downloads 667 ( 43,235)
Citation 4

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
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 460 (68,697)
Citation 4

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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
New University of Lisbon - Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 207 (163,872)
Citation 1

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

8.

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 619 (47,708)

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

9.

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 613 (48,311)
Citation 1

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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 534 (57,651)

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Currency risk, Currency risk hedging

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 446 (72,040)
Citation 6

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

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 Zhanshun Wei
Tilburg University - Department of Finance, Monash University and University of Toronto - Rotman School of Management
Downloads 442 (72,828)

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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 ESCP Europe - Department of Finance
Downloads 397 (82,602)
Citation 3

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

14.

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 338 (99,363)
Citation 1

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Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability

15.

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 335 (100,369)

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Portfolio choice, estimation error, international finance

16.
Downloads 300 (113,281)
Citation 6

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 168 (198,222)
Citation 1

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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 132 (242,104)
Citation 7

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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 293 (116,228)

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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 248 (138,184)
Citation 5

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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 245 (139,882)

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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 Padova - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 204 (166,429)

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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 202 (167,979)

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International diversification, Local factors, Factor funds

22.

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 Europe - Department of Finance and Tilburg University - Department of Finance
Downloads 157 (209,768)
Citation 4

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

23.

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 143 (226,477)
Citation 1

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

24.

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 (433,846)
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Portfolio choice, real estate, home ownership

25.

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 (470,321)
Citation 27
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Emerging markets, asset pricing, market integration

26.

Does Borrowing from the Private Bond Market Cost More than Borrowing from the Public Bond Market?

Number of pages: 76 Posted: 28 Aug 2020
Pascal Böni, Frans de Roon and Philip Joos
Tilburg University - TIAS School for Business and Society and Tilburg School of Economics and Management, Tilburg University - Department of Finance and Tilburg University
Downloads 39 (474,622)

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

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 39 (474,622)

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

28.

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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29.

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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30.

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: 201
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 201

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