Mathijs A. Van Dijk

Erasmus University - Rotterdam School of Management

Professor of Finance

P.O. Box 1738

Rotterdam, 3000 DR

Netherlands

http://mathijsavandijk.com/

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

31

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138

Scholarly Papers (31)

The Risk and Return of Arbitrage in Dual-Listed Companies

Review of Finance, Vol. 13, 495-520, 2009.
Number of pages: 37 Posted: 01 Jun 2009 Last Revised: 30 Apr 2010
Abe de Jong, Leonard Rosenthal and Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management, Bentley University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 2,166 (4,612)
Citation 14

Abstract:

Arbitrage, dual-listed companies, idiosyncratic risk, anomalies, international finance

The Risk and Return of Arbitrage in Dual-Listed Companies

Review of Finance, Vol. 13, Issue 3, pp. 495-520, 2009
Posted: 18 Aug 2009
Abe de Jong, Leonard Rosenthal and Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management, Bentley University - Department of Finance and Erasmus University - Rotterdam School of Management

Abstract:

F30, G14, G15

2.

Is Size Dead? A Review of the Size Effect in Equity Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 30 Jan 2006 Last Revised: 16 May 2011
Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management
Downloads 1,932 (5,013)
Citation 20

Abstract:

Size Effect, Cross-Section of Equity Returns, CAPM, Anomalies

3.

The Implied Cost of Capital: A New Approach

Charles A. Dice Center Working Paper No. 2010-4, Fisher College of Business Working Paper No. 2010-03-004, Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 53 Posted: 02 Mar 2010 Last Revised: 13 Dec 2011
Kewei Hou, Mathijs A. Van Dijk and Yinglei Zhang
Ohio State University (OSU) - Department of Finance, Erasmus University - Rotterdam School of Management and The Chinese University of Hong Kong (CUHK) - School of Accountancy
Downloads 1,514 (6,605)
Citation 28

Abstract:

Cross-sectional earnings model, Earnings forecasts, Expected returns, Implied cost of capital, Asset pricing tests

The Cost of Capital in International Financial Markets: Local or Global?

Journal of International Money and Finance, Vol. 21, pp. 905–929, 2002,
Number of pages: 37 Posted: 20 Jul 1999 Last Revised: 12 May 2010
Tilburg University - Department of Finance, Utrecht University - Utrecht University School of Economics, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 1,304 (10,889)
Citation 13

Abstract:

The Cost of Capital in International Financial Markets: Local or Global

CEPR Discussion Paper No. 3062
Number of pages: 34 Posted: 30 Nov 2001
Tilburg University - Department of Finance, Utrecht University - Utrecht University School of Economics, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 44 (346,223)
Citation 13
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Abstract:

Cost of capital, ICAPM, pricing error, exchange rate exposure

5.
Downloads 1,079 ( 14,958)
Citation 3

The Cost of Capital of Cross-Listed Firms

EFMA 2001 Lugano Meetings; and ERIM Report Series Reference No. ERS-2002-99-F&A
Number of pages: 37 Posted: 15 Jun 2001
Kees C. G. Koedijk and Mathijs A. Van Dijk
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 754 (25,069)
Citation 3

Abstract:

Cross-listings, cost of equity capital, foreign exchange exposure

The Cost of Capital of Cross-listed Firms

European Financial Management, Vol. 10, No. 3, pp. 465-486, September 2004
Number of pages: 22 Posted: 06 Sep 2004
Kees C. G. Koedijk and Mathijs A. Van Dijk
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 325 (73,737)
Citation 3
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Abstract:

Cross-listings, cost of equity capital, foreign exchange exposure

6.

The Market Reaction to Cross-Listings: Does the Destination Market Matter?

Journal of Banking and Finance, Vol. 33, pp. 1898-1908, 2009
Number of pages: 31 Posted: 03 Dec 2007 Last Revised: 01 May 2010
Peter Roosenboom and Mathijs A. Van Dijk
Rotterdam School of Management, Erasmus University and Erasmus University - Rotterdam School of Management
Downloads 1,051 (12,853)
Citation 6

Abstract:

Cross-listings, Capital market integration, Investor protection, Market liquidity, Information disclosure

7.

Understanding Commonality in Liquidity Around the World

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 64 Posted: 13 Sep 2007 Last Revised: 16 Jul 2011
George Andrew Karolyi, Kuan-Hui Lee and Mathijs A. Van Dijk
Cornell University - Johnson Graduate School of Management, Seoul National University Business School and Erasmus University - Rotterdam School of Management
Downloads 1,051 (13,963)
Citation 28

Abstract:

Commonality, Liquidity, International markets

8.

Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns

Charles A. Dice Center Working Paper No. 2010-1 , Fisher College of Business Working Paper No. 2010-03-001
Number of pages: 49 Posted: 18 Jan 2010 Last Revised: 31 Mar 2014
Kewei Hou and Mathijs A. Van Dijk
Ohio State University (OSU) - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 771 (16,397)
Citation 4

Abstract:

Size effect, Expected stock returns, Profitability shocks, Asset pricing tests

9.
Downloads 543 ( 39,891)
Citation 9

Purchasing Power Parity and the Euro Area

ERIM Report Series Reference No. ERS-2004-025-F&A
Number of pages: 41 Posted: 29 Mar 2004
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 483 (45,686)
Citation 9

Abstract:

european integration, real exchange rates, purchasing power parity, heterogeneous SUR

Purchasing Power Parity and the Euro Area

Journal of International Money and Finance, Vol. 23, pp. 1081-1107, 2004
Number of pages: 37 Posted: 15 May 2011
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 42 (352,987)
Citation 9

Abstract:

European integration, real exchange rates, purchasing power parity, heterogeneous SUR

Purchasing Power Parity and the Euro Area

CEPR Discussion Paper No. 4510
Number of pages: 39 Posted: 13 Sep 2004
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 18 (464,329)
Citation 9
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Abstract:

European integration, real exchange rates, purchasing power parity, heterogenous SUR

Do Global Risk Factors Matter for International Cost of Capital Computations?

ERIM Report Series Reference No. ERS-2002-100-F&A
Number of pages: 19 Posted: 18 Jan 2003
Kees C. G. Koedijk and Mathijs A. Van Dijk
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 449 (50,020)

Abstract:

cost of equity capital, exchange rate risk, capital budgeting, valuation

Perspectives: Global Risk Factors and the Cost of Capital

Financial Analysts Journal, Vol. 60, No. 2, pp. 32-38, March/April 2004
Posted: 05 May 2004
Kees C. G. Koedijk and Mathijs A. Van Dijk
Tilburg University - Department of Finance and Erasmus University - Rotterdam School of Management

Abstract:

Equity Investments, fundamental analysis and valuation models, Corporate Finance, capital investment decisions

11.

Strategic Competition, Capital Structure, and Market Share

EFA 2008 Athens Meetings Paper
Number of pages: 32 Posted: 06 Mar 2008 Last Revised: 10 Jun 2008
Abe de Jong, Thuy Thu Nguyen and Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management, Erasmus University Rotterdam (EUR) - Rotterdam School of Management, Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 435 (50,430)

Abstract:

Strategic debt, capital structure, market share, Cournot competition, Bertrand competition

12.

The Social Costs of Financial Crises

Number of pages: 27 Posted: 13 Jun 2013
Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management
Downloads 412 (40,629)

Abstract:

financial crises, social costs, health, education, poverty, ender issues

Strategic Debt: Evidence from Bertrand and Cournot Competition

Number of pages: 31 Posted: 10 Sep 2007
Abe de Jong, Thuy Thu Nguyen and Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management, Erasmus University Rotterdam (EUR) - Rotterdam School of Management, Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 213 (116,135)
Citation 2

Abstract:

Strategic debt, Cournot competition, Bertrand competition, demand and cost uncertainty, leverage

Strategic Debt: Evidence from Bertrand and Cournot Competition

ERIM Report Series Reference No. ERS-2007-057-F&A
Number of pages: 35 Posted: 18 Sep 2007
Abe de Jong, T.T. Nguyen and Mathijs A. Van Dijk
Erasmus University - Rotterdam School of Management, affiliation not provided to SSRN and Erasmus University - Rotterdam School of Management
Downloads 195 (126,526)
Citation 2

Abstract:

leverage, Bertrand competition, Cournot competition, Strategic debt, demand and cost uncertainty

14.
Downloads 348 ( 68,642)
Citation 5

The World Price of Inflation Risk

Number of pages: 39 Posted: 05 Apr 2005
G. A. Moerman and Mathijs A. Van Dijk
AEGON Asset Management and Erasmus University - Rotterdam School of Management
Downloads 201 (122,906)
Citation 1

Abstract:

International asset pricing, Inflation risk, Exchange rate risk

Inflation Risk and International Asset Returns

Journal of Banking and Finance, 34, pp. 840-855, 2010.
Number of pages: 46 Posted: 18 Apr 2007 Last Revised: 01 May 2010
G. A. Moerman and Mathijs A. Van Dijk
AEGON Asset Management and Erasmus University - Rotterdam School of Management
Downloads 147 (163,183)
Citation 5

Abstract:

International asset pricing, Inflation risk, Exchange rate risk

15.

The Impact of European Antitrust Policy: Evidence from the Stock Market

Number of pages: 46 Posted: 30 Apr 2010 Last Revised: 21 Jun 2011
Andrea Günster and Mathijs A. Van Dijk
ETH Zürich - Center for Law & Economics and Erasmus University - Rotterdam School of Management
Downloads 304 (70,326)

Abstract:

Antitrust, Competition Policy, European Commission, Event Study

Cross-Sectional Identification of Informed Trading

Number of pages: 44 Posted: 01 Dec 2014
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 257 (95,796)

Abstract:

XPIN, informed trading, private information, portfolio optimization model

Cross-Sectional Identification of Informed Trading

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 44 Posted: 01 Feb 2016
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 33 (386,738)

Abstract:

XPIN, informed trading, private information, portfolio optimization model

17.

The Dynamics of Market Efficiency

Review of Financial Studies, Forthcoming
Number of pages: 69 Posted: 21 May 2012 Last Revised: 30 Jun 2016
Dominik Rösch, Avanidhar Subrahmanyam and Mathijs A. Van Dijk
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 274 (58,076)

Abstract:

market efficiency, co-movement, funding liquidity, hedge funds, algorithmic trading

18.
Downloads 250 ( 99,065)
Citation 1

International Capital Flows and Liquidity

Number of pages: 53 Posted: 15 Mar 2010 Last Revised: 08 Oct 2010
Dimitrios Vagias and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 131 (179,408)
Citation 1

Abstract:

Capital flows, stock market liquidity, financial crises

International Capital Flows and Liquidity

Number of pages: 53 Posted: 21 Jan 2011 Last Revised: 11 Mar 2011
Dimitrios Vagias and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 119 (193,380)
Citation 1

Abstract:

19.

Dividing the Pie

ERIM Report Series Reference No. ERS-2002-101-F&A
Number of pages: 48 Posted: 18 Jan 2003
Government of the United States of America - Office of Financial Research, Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 247 (97,049)

Abstract:

financial markets, market microstructure, experimental economics, information asymmetry

20.

Corruption, Growth, and Governance: Private vs. State-Owned Firms in Vietnam

Number of pages: 43 Posted: 08 May 2010
Thuy Thu Nguyen and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Rotterdam School of Management, Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 202 (101,199)

Abstract:

Corruption, growth, governance, private firms, state-owned enterprises

21.

Do Firms Issue More Equity When Markets Are More Liquid?

Fisher College of Business Working Paper No. 2013-03-10, Charles A. Dice Center Working Paper No. 2013-10
Number of pages: 44 Posted: 10 Jul 2013 Last Revised: 23 Apr 2014
René M. Stulz, Dimitrios Vagias and Mathijs A. Van Dijk
Ohio State University (OSU) - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 191 (111,365)

Abstract:

International finance, IPOs, SEOs, market liquidity, market timing

Why Panel Tests of Purchasing Power Parity Should Allow for Heterogeneous Mean Reversion

Journal of International Money and Finance, Vol. 30, pp. 246-267, 2010
Number of pages: 43 Posted: 12 Dec 2005 Last Revised: 16 May 2011
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 80 (254,371)

Abstract:

PPP, real exchange rates, panel models, unit root tests, heterogeneity, panel tests

Purchasing Power Parity and Heterogeneous Mean Reversion

ERIM Report Series Reference No. ERS-2005-085-F&A
Number of pages: 44 Posted: 21 Dec 2005
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 76 (262,309)

Abstract:

Panel Models, Heterogeneity, Purchasing Power Parity, Real Exchange Rates, Unit Root Tests

Purchasing Power Parity and Heterogenous Mean Reversion

CEPR Discussion Paper No. 5473
Number of pages: 42 Posted: 08 May 2006
Kees C. G. Koedijk, Ben Tims and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 18 (464,329)
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Abstract:

International economics, purchasing power parity, real exchange rates, panel models, unit root tests, heterogeneity

23.

The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective

7th Miami Behavioral Finance Conference 2016
Number of pages: 64 Posted: 04 Aug 2014 Last Revised: 07 Feb 2017
Erasmus University Rotterdam (EUR) - Finance, California Institute of Technology, State University of New York at Buffalo - School of Management, Erasmus University - Rotterdam School of Management and Norwegian School of Economics (NHH) - Department of Finance
Downloads 141 (111,854)

Abstract:

Equity markets, jumps, financial crises, contagion, liquidity, trading activity

24.

The More You See, the Less You Get: Price-Competing Insiders under Different Trading Mechanisms

Number of pages: 32 Posted: 10 Aug 1998
Government of the United States of America - Office of Financial Research, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Erasmus University - Rotterdam School of Management and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 132 (171,543)
Citation 2

Abstract:

Nascent Markets: Understanding the Success and Failure of New Stock Markets

Number of pages: 68 Posted: 17 Nov 2016
Erasmus Research Institute of Management (ERIM), City University London - Sir John Cass Business School, Erasmus University - Institute of Social Studies (ISS) and Erasmus University - Rotterdam School of Management
Downloads 70 (275,318)

Abstract:

nascent markets, stock market success, financial development

Nascent Markets: Understanding the Success and Failure of New Stock Markets

CEPR Discussion Paper No. DP11604
Number of pages: 70 Posted: 07 Nov 2016
Erasmus Research Institute of Management (ERIM), City University London - Sir John Cass Business School, Erasmus University - Institute of Social Studies (ISS) and Erasmus University - Rotterdam School of Management
Downloads 1 (563,836)
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Abstract:

stock exchanges; financial development

26.

Corporate Real Estate and Corporate Takeovers: International Evidence

Journal of Real Estate Research (JRER), Vol. 30, No. 3, 2008
Number of pages: 22 Posted: 22 Jan 2008 Last Revised: 17 Jul 2009
Dirk Brounen, Piet M. A. Eichholtz and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Department of Financial Management, University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University - Rotterdam School of Management
Downloads 58 (292,828)
Citation 3

Abstract:

corporate real estate, firm characteristics

27.

Do Firms Issue More Equity When Markets are More Liquid?

NBER Working Paper No. w19229
Number of pages: 44 Posted: 20 Jul 2013
René M. Stulz, René Stulz, Dimitrios Vagias and Mathijs A. Van Dijk
Ohio State University (OSU) - Department of Finance, Ohio State University (OSU), Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University - Rotterdam School of Management
Downloads 8 (489,083)

Abstract:

28.

Do Firms Issue More Equity When Markets Become More Liquid?

Fisher College of Business Working Paper No. 2016-03-024, Charles A Dice Center Working Paper No. 2016-24
Number of pages: 44 Posted: 31 Dec 2016
Rogier Hanselaar, René M. Stulz and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR), Ohio State University (OSU) - Department of Finance and Erasmus University - Rotterdam School of Management
Downloads 0 (226,117)

Abstract:

International finance, IPOs, SEOs, market liquidity, market timing

29.

The Re-Emergence of PPP in the 1990s

Journal of International Money and Finance, Vol. 17, pp. 51-61, 1998
Posted: 02 May 2010
Kees C. G. Koedijk, Peter C. Schotman and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Erasmus University - Rotterdam School of Management

Abstract:

Purchasing power parity, panel test, numeraire, productivity

30.

Foreign Exchange Markets: Overview of the Special Issue

Journal of International Money and Finance, Vol. 25, pp. 1-6, 2006
Posted: 01 May 2010
Kees C. G. Koedijk, James R. Lothian and Mathijs A. Van Dijk
Tilburg University - Department of Finance, Gabelli School of Business, Fordham University and Erasmus University - Rotterdam School of Management

Abstract:

Foreign Exchange Markets, Exchange Rates, Purchasing Power Parity, Uncovered Interest Parity, Monetary Policy

31.

Resource Misallocation and Mark-Up Ratios: An Alternative Estimation Technique for Harberger Triangles

Economics Letters, Vol. 54, 1997
Posted: 01 May 2010
Mathijs A. Van Dijk and Peter A. G. van Bergeijk
Erasmus University - Rotterdam School of Management and Erasmus University - Institute of Social Studies (ISS)

Abstract:

Price mark-up, Allocative efficiency