Research Output 1986 2019

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Discussion paper
2005
934 Downloads (Pure)

Takeover Waves: Triggers, Performance and Motives

Martynova, M. & Renneboog, L. D. R., 2005, Tilburg: Finance, 56 p. (CentER Discussion Paper; vol. 2005-107).

Research output: Working paperDiscussion paperOther research output

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Trigger
Profitability
Economic environment
Mergers and acquisitions
Stock market
221 Downloads (Pure)

Testing for Mean-Coherent Regular Risk Spanning

Melenberg, B. & Polbennikov, S. Y., 2005, Tilburg: Econometrics, 1 p. (CentER Discussion Paper; vol. 2005-99).

Research output: Working paperDiscussion paperOther research output

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Risk measures
Performance measures
Testing
Instrumental variables regression
Second-order stochastic dominance
409 Downloads (Pure)

The Impact of Overnight Periods on Option Pricing

Boes, M. J., Drost, F. C. & Werker, B. J. M., 2005, Tilburg: Finance, 19 p. (CentER Discussion Paper; vol. 2005-1).

Research output: Working paperDiscussion paperOther research output

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Option pricing
Jump
Asset prices
Option prices
Jump risk
273 Downloads (Pure)

The Value of Fighting Irreversible Demise by Softening the Irreversible Cost

Magis, P. & Sbuelz, A., 2005, Tilburg: Finance, 21 p. (CentER Discussion Paper; vol. 2005-26).

Research output: Working paperDiscussion paperOther research output

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Technology innovation
Costs
Real options
Monopoly
Contingent claims analysis
234 Downloads (Pure)

Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

Beirlant, J., Joossens, E. & Segers, J., 2005, Tilburg: Econometrics, 18 p. (CentER Discussion Paper; vol. 2005-112).

Research output: Working paperDiscussion paperOther research output

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Generalized Pareto Distribution
Tail
2004
244 Downloads (Pure)

An Alternative Asymptotic Analysis of Residual-Based Statistics

Andreou, E. & Werker, B. J. M., 2004, Tilburg: Econometrics, 39 p. (CentER Discussion Paper; vol. 2004-56).

Research output: Working paperDiscussion paperOther research output

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Asymptotic Analysis
Statistics
Alternatives
Limiting Distribution
Nonparametric Statistics
266 Downloads (Pure)

An Irregular Grid Approach for Pricing High-Dimensional American Options

Berridge, S. J. & Schumacher, J. M., 2004, Tilburg: Finance, 31 p. (CentER Discussion Paper; vol. 2004-18).

Research output: Working paperDiscussion paperOther research output

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Markov processes
Costs
493 Downloads (Pure)

Business Groups and Profit Redistribution: A Boon or Bane for Firms

George, R., Kabir, M. R. & Douma, S. W., 2004, Tilburg: Finance, 42 p. (CentER Discussion Paper; vol. 2004-124).

Research output: Working paperDiscussion paperOther research output

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Business groups
Profit
Redistribution
Resources
Underperformance
248 Downloads (Pure)

Capital Structure and Managerial Compensation: The Effects of Renumeration Seniority

Calcagno, R. & Renneboog, L. D. R., 2004, Tilburg: Finance, 33 p. (CentER Discussion Paper; vol. 2004-120).

Research output: Working paperDiscussion paperOther research output

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Managerial compensation
Seniority
Debt
Capital structure
Remuneration
280 Downloads (Pure)

Capital Structure and Managerial Compensation: The Effects of Remuneration Seniority

Calcagno, R. & Renneboog, L. D. R., 2004, Tilburg: TILEC, 51 p. (TILEC Discussion Paper; vol. 2004-015).

Research output: Working paperDiscussion paperOther research output

File
245 Downloads (Pure)

Dividend policy of German firms: A dynamic panel analysis of partial adjustment models

Goergen, M., Renneboog, L. D. R. & Correia Da Silva, L., 2004, Tilburg: TILEC, 34 p. (TILEC Discussion Paper; vol. 2004-013).

Research output: Working paperDiscussion paperOther research output

File
548 Downloads (Pure)

Dividend Policy of German Firms

Goergen, M., Renneboog, L. D. R. & Correia Da Silva, L., 2004, Tilburg: Finance, 34 p. (CentER Discussion Paper; vol. 2004-122).

Research output: Working paperDiscussion paperOther research output

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Dividend policy
Dividends
Cash flow
Payout
Accounting policy
316 Downloads (Pure)

Interbank Exposures: An Empirical Examination of Systemic Risk in the Belgian Banking System

Degryse, H. A. & Nguyen, G., 2004, Tilburg: Finance, 53 p. (CentER Discussion Paper; vol. 2004-4).

Research output: Working paperDiscussion paperOther research output

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Banking risk
Contagion
Systemic risk
Banking system
Cross-border
526 Downloads (Pure)

Lending to Small Businesses: The Role of Loan Maturity in Adressing Information Problems

Ortiz-Molina, H. & Penas, M. F., 2004, Tilburg: Finance, 37 p. (CentER Discussion Paper; vol. 2004-99).

Research output: Working paperDiscussion paperOther research output

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Loans
Small business
Maturity
Lending
Information asymmetry
220 Downloads (Pure)

Mandelbrot's Extremism

Beirlant, J., Schoutens, W. & Segers, J. J. J., 2004, Tilburg: Econometrics, 14 p. (CentER Discussion Paper; vol. 2004-125).

Research output: Working paperDiscussion paperOther research output

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modeling
loss
price
239 Downloads (Pure)

Myopic Loss Aversion: Information Feedback vs. Investment Flexibility

Bellemare, C., Krause, M., Kroger, S. & Zhang, C., 2004, Tilburg: Econometrics, 11 p. (CentER Discussion Paper; vol. 2004-32).

Research output: Working paperDiscussion paperOther research output

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Myopic loss aversion
Investment behavior
Investors
274 Downloads (Pure)

Non-Parametric Inference for Bivariate Extreme-Value Copulas

Segers, J. J. J., 2004, Tilburg: Econometrics, 26 p. (CentER Discussion Paper; vol. 2004-91).

Research output: Working paperDiscussion paperOther research output

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Nonparametric Inference
Extreme Values
Copula
Estimator
Dependence Function
284 Downloads (Pure)

On the Estimation Error in Mean-Variance Efficient Portfolio Weights

de Roon, F. A., 2004, Tilburg: Finance, 20 p. (CentER Discussion Paper; vol. 2004-106).

Research output: Working paperDiscussion paperOther research output

File
261 Downloads (Pure)

Pricing High-Dimensional American Options Using Local Consistency Conditions

Berridge, S. J. & Schumacher, J. M., 2004, Tilburg: Finance, 33 p. (CentER Discussion Paper; vol. 2004-19).

Research output: Working paperDiscussion paperOther research output

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Sampling
Linear programming
Markov processes
Costs
411 Downloads (Pure)

Recent Developments in German Corporate Governance

Goergen, M., Manjon, M. C. & Renneboog, L. D. R., 2004, Tilburg: Finance, 45 p. (CentER Discussion Paper; vol. 2004-123).

Research output: Working paperDiscussion paperOther research output

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corporate governance
act
restructuring
shareholder
investor
269 Downloads (Pure)

Recent Developments in German Corporate Governance

Goergen, M., Manjon, M. C. & Renneboog, L. D. R., 2004, Tilburg: TILEC, 33 p. (TILEC Discussion Paper; vol. 2004-014).

Research output: Working paperDiscussion paperOther research output

File
212 Downloads (Pure)

Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models

Hallin, M., Vermandele, C. & Werker, B. J. M., 2004, Tilburg: Finance, 40 p. (CentER Discussion Paper; vol. 2004-11).

Research output: Working paperDiscussion paperOther research output

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Invariance
Quasi-likelihood
Tangent Space
Misspecification
Likelihood Methods
252 Downloads (Pure)

Shareholder Lockup Agreements in French Nouveau Marche and German Neuer Markt IPOs

Goergen, M., Renneboog, L. D. R. & Khurshed, A., 2004, Tilburg: TILEC, 34 p. (TILEC Discussion Paper; vol. 2004-012).

Research output: Working paperDiscussion paperOther research output

File
605 Downloads (Pure)

Shareholder Lockup Agreements in the European New Markets

Goergen, M., Renneboog, L. D. R. & Khurshed, A., 2004, Tilburg: Finance, 35 p. (CentER Discussion Paper; vol. 2004-121).

Research output: Working paperDiscussion paperOther research output

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New markets
Shareholders
Firm characteristics
248 Downloads (Pure)

Stochatic Volatility Models with Transaction Time Risk

Renault, E. & Werker, B. J. M., 2004, Tilburg: Finance, 28 p. (CentER Discussion Paper; vol. 2004-24).

Research output: Working paperDiscussion paperOther research output

File
240 Downloads (Pure)

Strategic Trading of Forward Contracts in Oligopolistic Industries with Non-storable Commodities

Calcagno, R. & Sadrieh, A., 2004, Tilburg: TILEC, 7 p. (TILEC Discussion Paper; vol. 2004-005).

Research output: Working paperDiscussion paperOther research output

File
207 Downloads (Pure)

Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options

Berridge, S. J. & Schumacher, J. M., 2004, Tilburg: Finance, 22 p. (CentER Discussion Paper; vol. 2004-20).

Research output: Working paperDiscussion paperOther research output

File
Grid
American options
Pricing
Approximation
Operator
2003
225 Downloads (Pure)

Analytic American Option Pricing and Applications

Sbuelz, A., 2003, Tilburg: Finance, 13 p. (CentER Discussion Paper; vol. 2003-64).

Research output: Working paperDiscussion paperOther research output

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American option pricing
Option prices
Breakdown
Maturity
American options
226 Downloads (Pure)

Approximate Distributions of Clusters of Extremes

Segers, J. J. J., 2003, Tilburg: Econometrics, 9 p. (CentER Discussion Paper; vol. 2003-91).

Research output: Working paperDiscussion paperOther research output

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Extremes
Exceedance
Stationary Sequences
Justify
Markov chain
248 Downloads (Pure)

A Simple Asymptotic Analysis of Residual-Based Statistics

Andreou, E. & Werker, B. J. M., 2003, Tilburg: Econometrics, 29 p. (CentER Discussion Paper; vol. 2003-118).

Research output: Working paperDiscussion paperOther research output

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Asymptotic Analysis
Statistics
Limiting Distribution
GARCH Model
Null Distribution
419 Downloads (Pure)

Distance, Lending Relationships, and Competition

Degryse, H. A. & Ongena, S., 2003, Tilburg: Finance, 74 p. (CentER Discussion Paper; vol. 2003-123).

Research output: Working paperDiscussion paperOther research output

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Lending relationships
Bank lending
Loan rates
Small firms
Loans
379 Downloads (Pure)

Do Corporate Control and Product Market Competition Lead to Stronger Productivity Growth? Evidence from Market-Oriented and Blockholder-Based Governance Regimes

Koke, J. & Renneboog, L. D. R., 2003, Tilburg: Finance, 39 p. (CentER Discussion Paper; vol. 2003-78).

Research output: Working paperDiscussion paperOther research output

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Blockholders
Governance
Product market competition
Corporate control
Productivity growth
307 Downloads (Pure)

Do Macroeconomic Announcements Cause Asymmetric Volatility

de Goeij, P. C. & Marquering, W., 2003, Tilburg: Finance, 41 p. (CentER Discussion Paper; vol. 2003-131).

Research output: Working paperDiscussion paperOther research output

File
269 Downloads (Pure)

Economic Hedging Portfolios

van den Goorbergh, R. W. J., de Roon, F. A. & Werker, B. J. M., 2003, Tilburg: Finance, 31 p. (CentER Discussion Paper; vol. 2003-102).

Research output: Working paperDiscussion paperOther research output

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Economic risk
Hedging
Economics
Hedge
Risk aversion
218 Downloads (Pure)

Edgeworth Expansions for the Distribution Function of the Hill Estimator

Cuntz, A., Haeusler, E. & Segers, J. J. J., 2003, Tilburg: Econometrics, 21 p. (CentER Discussion Paper; vol. 2003-8).

Research output: Working paperDiscussion paperOther research output

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Extreme Value Index
Hill Estimator
Edgeworth Expansion
Distribution Function
230 Downloads (Pure)

Functionals of Clusters of Extremes

Segers, J. J. J., 2003, Tilburg: Econometrics, 22 p. (CentER Discussion Paper; vol. 2003-48).

Research output: Working paperDiscussion paperOther research output

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Extremes
Multivariate Extreme Value Distribution
Exceedance
Mixing Conditions
Stationary Sequences
265 Downloads (Pure)

GARCH and Irregularly Spaced Data

Meddahi, N., Renault, E. & Werker, B. J. M., 2003, Tilburg: Finance, 6 p. (CentER Discussion Paper; vol. 2003-27).

Research output: Working paperDiscussion paperOther research output

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Discretization
Generalized autoregressive conditional heteroscedasticity
GARCH model
Stochastic volatility
Continuous time
263 Downloads (Pure)

Market Timing: A Decomposition of Mutual Fund Returns

Swinkels, L. A. P., van der Sluis, P. J. & Verbeek, M. J. C. M., 2003, Tilburg: Finance, 40 p. (CentER Discussion Paper; vol. 2003-95).

Research output: Working paperDiscussion paperOther research output

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Decomposition
Managers
Market timing
Mutual funds
Selectivity
423 Downloads (Pure)

Multivariate Option Pricing Using Dynamic Copula Models

van den Goorbergh, R. W. J., Genest, C. & Werker, B. J. M., 2003, Tilburg: Finance, 21 p. (CentER Discussion Paper; vol. 2003-122).

Research output: Working paperDiscussion paperOther research output

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Dynamic copula
Copula
Option pricing
Option prices
Assets
259 Downloads (Pure)

Overconfidence and Delegated Portfolio Management

Palomino, F. A. & Sadrieh, A., 2003, Tilburg: Microeconomics, 34 p. (CentER Discussion Paper; vol. 2003-54).

Research output: Working paperDiscussion paperOther research output

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Delegated portfolio management
Managers
Hiring
Overconfidence
Financial institutions
286 Downloads (Pure)

Risk Aversion, Price Uncertainty and Irreversible Investments

van den Goorbergh, R. W. J., Huisman, K. J. M. & Kort, P. M., 2003, Tilburg: Finance, 20 p. (CentER Discussion Paper; vol. 2003-119).

Research output: Working paperDiscussion paperOther research output

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Risk aversion
Price uncertainty
Irreversible investment
Investors
Risk-averse
215 Downloads (Pure)

Serial and Nonserial Sign-and-Rank Statistics: Asymptotic Representation and Asymptotic Normality

Hallin, M., Vermandele, C. & Werker, B. J. M., 2003, Tilburg: Finance, 26 p. (CentER Discussion Paper; vol. 2003-23).

Research output: Working paperDiscussion paperOther research output

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Rank Statistics
Asymptotic Representation
Asymptotic Normality
Maximal Invariant
Semiparametric Efficiency
291 Downloads (Pure)

Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes

Nijman, T. E. & Swinkels, L. A. P., 2003, Tilburg: Finance, 37 p. (CentER Discussion Paper; vol. 2003-20).

Research output: Working paperDiscussion paperOther research output

File
279 Downloads (Pure)

Strategic Investment Under Uncertainty: Merging Real Options with Game Theory

Huisman, K. J. M., Kort, P. M., Pawlina, G. & Thijssen, J. J. J., 2003, Tilburg: Microeconomics, 22 p. (CentER Discussion Paper; vol. 2003-6).

Research output: Working paperDiscussion paperOther research output

File
Real options
Uncertainty
Merging
Investment under uncertainty
Strategic investment
274 Downloads (Pure)

Structural RFV: Recovery Form and Defaultable Debt Analysis

Guha, R. & Sbuelz, A., 2003, Tilburg: Finance, 64 p. (CentER Discussion Paper; vol. 2003-37).

Research output: Working paperDiscussion paperOther research output

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Debt
Credit risk models
Structural model
Seniority
Maturity
396 Downloads (Pure)

Testing Expected Shortfall Models for Derivative Positions

Kerkhof, F. L. J., Melenberg, B. & Schumacher, J. M., 2003, Tilburg: Finance, 24 p. (CentER Discussion Paper; vol. 2003-24).

Research output: Working paperDiscussion paperOther research output

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Derivatives
Expected shortfall
Testing
Value at risk
Hedge
216 Downloads (Pure)

The Bank's Choice of Financing and the Correlation Structure of Loan Returns

Ioannidou, V. & Pierides, Y., 2003, Tilburg: Macroeconomics, 28 p. (CentER Discussion Paper; vol. 2003-51).

Research output: Working paperDiscussion paperOther research output

File
Loans
Financing
Correlation structure
Equity
Asymmetric information
228 Downloads (Pure)

The Impact of Competition on Bank Orientation and Specialization

Degryse, H. A. & Ongena, S., 2003, Tilburg: Finance, 59 p. (CentER Discussion Paper; vol. 2003-108).

Research output: Working paperDiscussion paperOther research output

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Bank branches
Banking
Industry
Prediction
Industry classification
234 Downloads (Pure)

The Inefficiency of the Stock Market Equilibrium under Moral Hazard

Calcagno, R. & Wagner, W. B., 2003, Tilburg: Finance, 10 p. (CentER Discussion Paper; vol. 2003-107).

Research output: Working paperDiscussion paperOther research output

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Entrepreneurs
Stock market
Moral hazard
Market equilibrium
Inefficiency
314 Downloads (Pure)

Why Individual Investors want Dividends

Dong, M., Robinson, C. & Veld, C. H., 2003, Tilburg: Finance, 45 p. (CentER Discussion Paper; vol. 2003-28).

Research output: Working paperDiscussion paperOther research output

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Dividends
Individual investors
Transaction costs
Uncertainty
Dividend taxes