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

    5037 AB Tilburg

    Netherlands

19992019
If you made any changes in Pure these will be visible here soon.

Research Output 1999 2019

Filter
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

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

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