Research Output 1986 2019

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Working paper
2018

Pricing Liquidity Risk with Heterogeneous Investment Horizons

Beber, A., Driessen, J., Neuberger, A. & Tuijp, P., Jan 2018, SSRN, 99 p.

Research output: Working paperOther research output

Open Access
Investment horizon
Liquidity risk
Investors
Pricing
Assets
2017

Are Stock and Corporate Bond Markets Integrated?

van Zundert, J. & Driessen, J., Nov 2017, SSRN, 60 p.

Research output: Working paperOther research output

Open Access
Corporate bonds
Stock returns
Integrated
Bond market
Limits to arbitrage

Asymmetric information in a capital

Kort, P., Feichtinger, G., Hartl, R. F., Seidl, A. & Wrzaczek, S., 2017, (In preparation).

Research output: Working paperOther research output

Beta: The Good, the Bad, and the Ugly

Driessen, J. & van Zundert, J., Nov 2017, SSRN, 64 p.

Research output: Working paperOther research output

Open Access
News
Interest rates
Risk premium
Cash flow
Stock market returns

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Baele, L., Driessen, J., Ebert, S., Londono Yarce, J. M. & Spalt, O., May 2017, SSRN, 74 p.

Research output: Working paperOther research output

Open Access
Cumulative prospect theory
Premium
Probability weighting
Index options
Equity returns

Does Interest rate Exposure explain the Low-Volatility Anomaly?

Driessen, J., Kuiper, I. & Beilo, R., Jan 2017, SSRN, 43 p.

Research output: Working paperOther research output

Open Access
Anomaly
Interest rates
Premium
Stock volatility
Time variation

Myopic or Dynamic Liquidity Management? A Study of Hedge Funds around the 2008 Financial Crisis

Driessen, J. & Xing, R., 2017, Tilburg: NETSPAR, 40 p. (Netspar Discussion Paper; vol. 08/2017-012).

Research output: Working paperOther research output

Open Access
Financial crisis
Hedge funds
Liquidity management
Assets
Empirical evidence

Rebalancing for Long-Term Investors

Driessen, J. & Kuiper, I. T. J., 2017, Tilburg: NETSPAR, 42 p. (Netspar Discussion Paper; vol. 05/2017-013).

Research output: Working paperOther research output

Investors
Transaction costs
Rebalancing
Predictability
Wealth

The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets

Driessen, J., Nijman, T. & Simon, Z., 2017, SSRN, 52 p. (SAFE Working Paper; vol. 183).

Research output: Working paperOther research output

Open Access
Liquidity risk
Inflation
Liquidity premium
Liquidity
Risk premium

To Stay or Go? Consumer Bank Switching Behaviour After Government Interventions

Diepstraten, M. & van der Cruijsen, C., 17 Mar 2017, Amsterdam: DNB, p. 40, (DNB Working Paper; no. 550).

Research output: Working paperOther research output

Open Access
Government intervention
Switching behavior
Current account
Nationalization
Government
2016

Explaining the Stock Market's Reaction to Unemployment News Over the Business Cycle

Driessen, J. & Kuiper, I. T. J., Sep 2016, SSRN, 25 p.

Research output: Working paperOther research output

Open Access
Unemployment
Decomposition
Economic environment
Stock market reaction
News

Who Is Afraid of Liquidity Risk? Dynamic Portfolio Choice with Stochastic Illiquidity

Driessen, J. & Xing, R., Jan 2016, Tilburg: NETSPAR, 53 p. (Netspar Discussion Paper; vol. 12/2015-049).

Research output: Working paperOther research output

Open Access
Dynamic portfolio choice
Liquidity risk
Risk premium
Illiquidity
Price impact
2015

Banking products: You can take them with you so why don't you?

van der Cruijsen, C. & Diepstraten, M., 17 Dec 2015, DNB, p. 38, (DNB Working Paper; no. 490).

Research output: Working paperOther research output

Banking
Propensity
Switching costs
Current account
Mortgage loan
23 Downloads (Pure)

Seven Ways to Knit Your Portfolio: Is Investor Communication Neutral?

Boggio, C., Fornero, E., Prast, H. M. & Sanders, J., Oct 2015, Turin: CeRP - Center for Research on Pensions and Welfare Policies, 33 p. (CeRP Working Paper; vol. 140/14).

Research output: Working paperOther research output

File
investor
communication
language
metaphor
finance theory
147 Downloads (Pure)

Seven Ways to Knit Your Portfolio: Is Investor Communication Neutral?

Boggio, C., Fornero, E., Prast, H. M. & Sanders, J., Oct 2015, Tilburg: NETSPAR, 33 p. (NETSPAR Academic Series; vol. 10/2015-030).

Research output: Working paperOther research output

Open Access
File
investor
communication
language
metaphor
finance theory

The Dividend Term Structure

Kragt, J., de Jong, F. & Driessen, J., Apr 2015, Tilburg: NETSPAR, 54 p. (Netspar Discussion Paper; vol. 11/2014-055).

Research output: Working paperOther research output

Open Access
Dividends
Term structure
Derivatives
Investors
Business cycles

The Option Value in Timing Derivative Trades

Drost, F., van der Heijden, T. G. E. & Werker, B., May 2015, Tilburg: SSRN, 52 p.

Research output: Working paperOther research output

Derivatives
Option value
Traders
Managers
Time-varying
2014

De Toegevoegde Waarde van Risicodeling met Toekomstige Generaties

Boelaars, I., Bovenberg, A. L., de Haan, J., van Hoogdalem, S., Kocken, T., Lever, M. H. C., Mehlkopf, R. J., Nijman, T. E. & Ponds, E. H. M., Oct 2014, Tilburg: NETSPAR, 3 p.

Research output: Working paperOther research output

213 Downloads (Pure)

Modern Monetary Policy and Central Bank Governance: A Story of Two Tales

Eijffinger, S. C. W. & Masciandaro, D., Aug 2014, Milan: BAFFI Center on International Markets, Money and Regulation, 10 p. (BAFFI Center Research Paper; vol. 2014-157).

Research output: Working paperOther research output

Open Access
File
Governance
Central bank
Monetary policy
Bankers
Economics
2012
7 Downloads (Pure)

Is Information Overrated? Evidence from the Pension Domain

Prast, H. M., Teppa, F. & Smits, A., 2012, Amsterdam: De Nederlandsche Bank N.V., 42 p. (DNB Working Paper; vol. 360).

Research output: Working paperOther research output

File
Pensions
Employees
Industry
Structural change
Politicians