Photo of Joost Driessen
  • Warandelaan 2, Koopmans Building, room K 151

    5037 AB Tilburg

    Netherlands

19992019
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Research Output 1999 2019

2019

Cumulative prospect theory, option returns and the variance premium

Baele, L., Driessen, J., Ebert, S., Londono Yarce, J. M. & Spalt, O., Sep 2019, In : The Review of Financial Studies. 32, 9, p. 3667-3723

Research output: Contribution to journalArticleScientificpeer-review

Cumulative prospect theory
Premium
Probability weighting
Index options
Equity returns

Does interest rate exposure explain the low-volatility anomaly?

Driessen, J., Kuiper, I., Nazliben, K. K. & Beilo, R., Jun 2019, In : Journal of Banking and Finance. 103, p. 51-61

Research output: Contribution to journalArticleScientificpeer-review

Anomaly
Interest rates
Premium
Bond market
Stock volatility

The dividend term structure

Kragt, J., de Jong, F. & Driessen, J., May 2019, In : Journal of Financial and Quantitative Analysis.

Research output: Contribution to journalArticleScientificpeer-review

Dividends
Term structure
Business cycles
Economic variables
Investors
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

An asset pricing approach to liquidity effects in corporate bond markets

Bongaerts, D., de Jong, F. & Driessen, J., Apr 2017, In : The Review of Financial Studies. 30, 4, p. 1229-1269

Research output: Contribution to journalArticleScientificpeer-review

Corporate bonds
Asset pricing
Liquidity
Liquidity effect
Bond market

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

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
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
33 Downloads (Pure)

Can large long-term investors capture illiquidity premiums

de Jong, F. C. J. M. & Driessen, J. J. A. G., 2015, In : Bankers, Markets and Investors. 134, January-February, p. 34-60

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Investors
Liquidity premium
Illiquidity
Premium
Corporate bonds

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
2013

How the 52-week high and low affect option-implied volatilities and stock return moments

Driessen, J. J. A. G., Lin, T. C. & van Hemert, O., 2013, In : Review of Finance. 17, 1, p. 369-401

Research output: Contribution to journalArticleScientificpeer-review

Implied volatility
Anchoring
Stock prices
Stock returns
Investors

The world price of jump and volatility risk

Driessen, J. J. A. G. & Maenhout, P., 2013, In : Journal of Banking and Finance. 37, 2, p. 518-536

Research output: Contribution to journalArticleScientificpeer-review

Jump risk
Volatility risk
Pricing
Options markets
Factors
2012

A new method to estimate risk and return of non-traded assets from cash flows: The case of private equity funds

Driessen, J. J. A. G., Lin, T. C. & Phalippou, L., 2012, In : Journal of Financial and Quantitative Analysis. 47, 3, p. 511-535

Research output: Contribution to journalArticleScientificpeer-review

Private equity
Assets
Cash flow
Risk and return
Methodology

Liquidity risk premia in corporate bond markets

Driessen, J. J. A. G. & de Jong, F. C. J. M., 2012, In : Quarterly Journal of Finance. 02, 02

Research output: Contribution to journalArticleScientificpeer-review

Corporate bonds
Liquidity risk
Bond market
Risk premia
Liquidity

Pricing of commercial real estate securities during the 2007-2009 financial crisis

Driessen, J. J. A. G. & van Hemert, O., 2012, In : Journal of Financial Economics. 105, 1, p. 37-61

Research output: Contribution to journalArticleScientificpeer-review

Financial crisis
Commercial real estate
Pricing
Mispricing
Equity
2011

Confidence building on euro convergence: Evidence from currency options

Driessen, J. J. A. G. & Perotti, E., 2011, In : Journal of International Money and Finance. 30, 3, p. 474-491

Research output: Contribution to journalArticleScientificpeer-review

Currency options
Confidence
Uncertainty
Currency
Investors

Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market

Bongaerts, D., de Jong, F. C. J. M. & Driessen, J. J. A. G., 2011, In : Journal of Finance. 66, 1, p. 203-240 38 p.

Research output: Contribution to journalArticleScientificpeer-review

Liquidity risk
Credit default swaps
Derivative pricing
Risk theory
Derivatives
2010

Liquiditeitsrisico in Financiële Markten

Driessen, J. J. A. G., 2010, Tilburg: Tilburg University Press.

Research output: Book/ReportInaugural speechOther research output

2009

Does skin in the game matter? Director incentives and governance in the mutual fund industry

Cremers, M., Driessen, J. J. A. G., Maenhout, P. & Weinbaum, D., 2009, In : Journal of Financial and Quantitative Analysis. 44, 6, p. 1345-1373

Research output: Contribution to journalArticleScientificpeer-review

Industry
Ownership
Governance
Incentives
Mutual funds

The price of correlation risk: Evidence from equity options

Driessen, J. J. A. G., Maenhout, P. & Vilkov, G., 2009, In : Journal of Finance. 64, 3, p. 1377-1406

Research output: Contribution to journalArticleScientificpeer-review

Equity options
Friction
Limits to arbitrage
Investors
Trading strategies
2008

Explaining the level of credit spreads: Option-implied jump risk premia in a firm value model

Cremers, M., Driessen, J. & Maenhout, P., 1 Sep 2008, In : The Review of Financial Studies. 21, 5, p. 2209-2242

Research output: Contribution to journalArticleScientificpeer-review

Jump risk
Credit spreads
Spread options
Firm value
Risk premia

Individual stock-option prices and credit spreads

Cremers, M., Driessen, J., Maenhout, P. & Weinbaum, D., Dec 2008, In : Journal of Banking and Finance. 32, 12, p. 2706-2715

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Stock options
Credit spreads
Option prices
Corporate bonds
Implied volatility
2007

An empirical portfolio perspective on option pricing anomalies

Driessen, J. & Maenhout, P., 1 Jan 2007, In : Review of Finance. 11, 4, p. 561-603

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Investors
Option pricing
Anomaly
anticipated utility
Index options

International portfolio diversification benefits: Cross-country evidence from a local perspective

Driessen, J. J. A. G. & Laeven, L., 2007, In : Journal of Banking and Finance. 31, 6, p. 1693-1712

Research output: Contribution to journalArticleScientificpeer-review

2005

Is default event risk priced in corporate bonds?

Driessen, J., 1 Mar 2005, In : The Review of Financial Studies. 18, 1, p. 165-195

Research output: Contribution to journalArticleScientificpeer-review

Corporate bonds
Event risk
Bond returns
Risk premium
Decomposition
248 Downloads (Pure)

Testing affine term structure models in case of transaction costs

Driessen, J. J. A. G., Melenberg, B. & Nijman, T. E., 2005, In : Journal of Econometrics. 126, 1, p. 201-232 31 p.

Research output: Contribution to journalArticleScientificpeer-review

File
2004
54 Downloads (Pure)

On the information in the interest rate term structure and option prices

de Jong, F. C. J. M., Driessen, J. J. A. G. & Pelsser, A., 2004, In : Review of Derivatives Research. 7, 2, p. 99-127

Research output: Contribution to journalArticleScientificpeer-review

File
2003
326 Downloads (Pure)

Common factors in international bond returns

Driessen, J. J. A. G., Melenberg, B. & Nijman, T. E., 2003, In : Journal of International Money and Finance. 22, 5, p. 629-656 27 p.

Research output: Contribution to journalArticleScientificpeer-review

File

International portfolio diversification benefits: Cross-country evidence

Laeven, L. & Driessen, J. J. A. G., 2003, Globalization and national financial systems. Hanson, J. A., Honohan, P. & Majnoni, G. (eds.). Washington, D.C.: The World Bank, p. 175-188 14 p.

Research output: Chapter in Book/Report/Conference proceedingChapterProfessional

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, J. J. A. G., Klaassen, P. & Melenberg, B., 2003, In : Journal of Financial and Quantitative Analysis. 38, 3, p. 635-672 37 p.

Research output: Contribution to journalArticleScientificpeer-review

2001
336 Downloads (Pure)
File
Empirical study
Interest rate derivatives
Pricing
Term structure models
Hedging

Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis

de Jong, F. C. J. M., Driessen, J. J. A. G. & Pelsser, A., 2001, In : European Finance Review. 5, 3, p. 201-237 76 p.

Research output: Contribution to journalArticleScientificpeer-review

2000
460 Downloads (Pure)

Common Factors in International Bond Returns

Driessen, J. J. A. G., Melenberg, B. & Nijman, T. E., 2000, Tilburg: Finance, 36 p. (CentER Discussion Paper; vol. 2000-91).

Research output: Working paperDiscussion paperOther research output

File
Bond returns
Common factors
Currency
Factors
Term structure
282 Downloads (Pure)

Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

de Jong, F. C. J. M., Driessen, J. J. A. G. & Pelsser, A., 2000, Tilburg: Finance, 46 p. (CentER Discussion Paper; vol. 2000-35).

Research output: Working paperDiscussion paperOther research output

File
Market model
Empirical analysis
Interest rate derivatives
Pricing
Swaps
361 Downloads (Pure)

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Driessen, J. J. A. G., Klaassen, P. & Melenberg, B., 2000, Tilburg: Finance, 46 p. (CentER Discussion Paper; vol. 2000-93).

Research output: Working paperDiscussion paperOther research output

File
Hedging
Swaption
Term structure models
Multi-factor
Pricing
1999
304 Downloads (Pure)

Testing Affine Term Structure Models in Case of Transaction Costs

Driessen, J. J. A. G., Melenberg, B. & Nijman, T. E., 1999, Tilburg: Finance, 32 p. (CentER Discussion Paper; vol. 1999-84).

Research output: Working paperDiscussion paperOther research output

File
Transaction costs
Affine term structure models
Testing
Factors
Misspecification