Research Output 1979 2019

2019

Agreeing on disagreement: Heterogeneity or uncertainty?

ter Ellen, S., Verschoor, W. F. C. & Zwinkels, R. C. J., Jun 2019, In : Journal of Financial Markets. 44, p. 17-30 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Uncertainty
Market liquidity
Foreign exchange market
Trading activity
Forecast horizon

An ensemble of LSTM neural networks for high-frequency stock market classification

Borovkova, S. & Tsiamas, I., 1 Jan 2019, (Accepted/In press) In : Journal of Forecasting.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Memory Term
Stock Market
Ensemble
Neural Networks
Neural networks

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 2019, (Accepted/In press) In : Journal of Business and Economic Statistics. p. 1-14 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Business Model
Interest Rates
interest rate
bank
Zero

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

Opschoor, A., Lucas, A., Barra, I. & Van Dijk, D., 2019, 013/IV ed., Amsterdam: Tinbergen Institute, 49 p. (TI Discussion Paper Series; vol. 2019, no. 013/IV).

Research output: Working paperAcademic

Clustered shareholder activism

Artiga González, T. & Calluzzo, P., 1 May 2019, In : Corporate Governance: An International Review. 27, 3, p. 210-225 16 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Shareholders
Costs
Watches
Shareholder activism
Activism

Does Bankruptcy Risk Increase Value? Puzzles and Diversification

Altieri, M. & Nicodano, G., 2019, SSRN, p. 1, 60 p. (ECGI-Finance Working Paper; no. No 600/2019).

Research output: Working paperProfessional

Bankruptcy
Diversification
Discount
Diversified firms
Survival probability

Does Price Fixing Benefit Corporate Managers?

Artiga Gonzalez, T., Schmid, M. & Yermack, D., 2019, (Accepted/In press) In : Management Science.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

Effective Macroprudential Policy: Cross-Sector Substitution from Price and Quantity Measures

Wierts, P., Cizel, J., Houben, A. & Frost, J., 27 May 2019, In : Journal of Money, Credit and Banking.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Substitution
Credit
Policy measures
Propensity score matching
Panel estimation

Elicitation of expectations using Colonel Blotto

Peeters, R. & Wolk, L., Mar 2019, In : Experimental Economics. 22, 1, p. 268-288

Research output: Contribution to JournalArticleAcademicpeer-review

Financial institutions’ business models and the global transmission of monetary policy

Argimon, I., Bonner, C., Correa, R., Duijm, P., Frost, J., de Haan, J., de Haan, L. & Stebunovs, V., Feb 2019, In : Journal of International Money and Finance. 90, p. 99-117 19 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Business model
Financial institutions
Monetary policy
Insurance companies
Pension funds

Fractional integration and fat tails for realized covariance kernels

Opschoor, A. & Lucas, A., 1 Jan 2019, In : Journal of Financial Econometrics. 17, 1, p. 66-90 25 p., 17.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Kernel
Fractional integration
Fat tails
Covariance matrix
Integrated model

High-Frequency Trading around Large Institutional Orders

Van Kervel, V. & Menkveld, A. J., 1 Jun 2019, In : Journal of Finance. 74, 3, p. 1091-1137 47 p.

Research output: Contribution to JournalArticleAcademicpeer-review

High-frequency trading
Traders
Suppliers
Trade intensity
Liquidity

Identifying booms and busts in house prices under heterogeneous expectations

Bolt, W., Demertzis, M., Diks, C., Hommes, C. & Leij, M. V. D., Jun 2019, In : Journal of Economic Dynamics and Control. 103, p. 234-259 26 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Heterogeneous Expectations
Bubble
Early Warning
Market Model
Tax

Indirect interconnectedness - Portfolio overlap in the euro area

Inhoffen, J. H., Wierts, P., van Lelyveld, I. P. P. & Bootsma, N., 4 Feb 2019, Global Monitoring Report on Non-Bank Financial Intermediation 2018.

Research output: Chapter in Book / Report / Conference proceedingChapterProfessional

Open Access

Individual pension risk preference elicitation and collective asset allocation with heterogeneity

van der Lecq, F., Dellaert, B. G. C., Alserda, G. A. G. & Swinkels, L. A. P., 21 Feb 2019, In : Journal of Banking and Finance. 101, April, p. 206-225 20 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
File
Pensions
Preference elicitation
Asset allocation
Risk preferences
Pension plans

Institutional Ownership and Future Stock Returns: An International Perspective

Dyakov, T. & Wipplinger, E. C., 2019, (Accepted/In press) In : International Review of Finance.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Institutional ownership
Stock returns
Institutional trading
Risk-adjusted returns
Mutual funds

Institutional Ownership and Private Equity Placements: Evidence from Chinese Listed Firms

He, Q., Li, D., Lu, L. & Chong, T. T. L., 1 Jun 2019, In : International Review of Finance. 19, 2, p. 315-346 32 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Placement
Private equity
Institutional ownership
Shareholding
China

Investor Sentiment and Employment

Montone, M. & Zwinkels, R. C. J., 2019, (Accepted/In press) In : Journal of Financial and Quantitative Analysis.

Research output: Contribution to JournalArticleAcademicpeer-review

Malleable Lies: Communication and Cooperation in a High Stakes TV Game Show

Turmunkh, U., van den Assem, M. J. & van Dolder, D., 2019, (Accepted/In press) In : Management Science. p. 1-35 35 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Credibility
Communication
Conditionality
Cooperative behavior
Empirical analysis

Minimum prices and social interactions: Evidence from the German renewable energy program

Inhoffen, J., Siemroth, C. & Zahn, P., Feb 2019, In : Energy Economics. 78, p. 350-364 15 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Solar radiation
Economic and social effects
Social interaction
Renewable energy
Municipalities

Mortgage Insurance Adoption in the Netherlands

Cox, R. & Zwinkels, R. C. J., 2019, (Accepted/In press) In : Real Estate Economics.

Research output: Contribution to JournalArticleAcademicpeer-review

Insurance
The Netherlands
Mortgages
House prices
Overconfidence

On Drivers of Asset Pricing Factors

Vidojevic, M., 2019, 189 p.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File

On the value of virtual currencies

Bolt, W. & van Oordt, M., 2019, (Accepted/In press) In : Journal of Money, Credit and Banking.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access

Option pricing of earnings announcement risks

Dubinsky, A., Johannes, M., Kaeck, A. & Seeger, N. J., Feb 2019, In : Review of Financial Studies. 32, 2, p. 646-687 42 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Earnings announcements
Option pricing
Price uncertainty
Estimator
Option pricing model

Pollution and corporate valuation: evidence from China

Wang, C., Zhang, H., Lu, L., Wang, X. & Song, Z., 9 Jul 2019, In : Applied Economics. 51, 32, p. 3516-3530 15 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Pollution
China
Business valuation
Sanctions
Cumulative abnormal return

Speculation and the price of virtual currency

Bolt, W. & van Oordt, M., 14 May 2019, In : VoxEU.org.

Research output: Contribution to JournalArticleProfessional

The evolution of electricity price on the German day-ahead market before and after the energy switch

Khoshrou, A., Dorsman, A. B. & Pauwels, E. J., Apr 2019, In : Renewable Energy. 134, p. 1-13 13 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Electricity
Switches
Singular value decomposition
Availability

The global macroeconomics of a trade war: Findings from the EAGLE model

Bolt, W., Mavromatis, K. & van Wijnbergen, S., 25 Apr 2019, In : VoxEU.org.

Research output: Contribution to JournalArticleProfessional

The Global Macroeconomics of a Trade War: The EAGLE model on the US-China trade conflict

Bolt, W., Mavromatis, K. & van Wijnbergen, S., 2019, 015/VIII ed., Amsterdam: Tinbergen Institute, 28 p. (TI Discussion Paper Series; vol. 2019, no. 015/VIII).

Research output: Working paperAcademic

2018

A dynamic network model of the unsecured interbank lending market

Blasques, F., Bräuning, F. & Lelyveld, I. V., May 2018, In : Journal of Economic Dynamics and Control. 90, p. 310-342 33 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Dynamic Networks
Network Model
Dynamic Model
Credit Risk
Monitoring

A Stochastic Recurrence Equations Approach for Score Driven Correlation Models

Blasques, F., Lucas, A. & Silde, E., 2018, In : Econometric Reviews. 37, 2, p. 166-181

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Decomposition
Sufficiency
Rescaling
Maximum likelihood estimator
Asymptotic normality

Bank market power and the intensity of borrower discouragement: analysis of SMEs across developed and developing European countries

Mol-Gómez-Vázquez, A., Hernández-Cánovas, G. & Koëter-Kant, J., 27 Apr 2018, In : Small Business Economics. p. 1-15 15 p.

Research output: Contribution to JournalArticleAcademicpeer-review

European countries
Market power
Small and medium-sized enterprises
Industrial organization
European banking

Bayesian dynamic modeling of high-frequency integer price changes

Barra, I., Borowska, A. & Koopman, S. J., 1 Jun 2018, In : Journal of Financial Econometrics. 16, 3, p. 384-424 41 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Price changes
Dynamic modeling
Ticks
Integer
Modeling

Can Mutual Fund Investors Distinguish Good from Bad Managers?

Dyakov, T. & Verbeek, M., 25 Mar 2018, In : International Review of Finance. p. 1-36 36 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Investors
Mutual funds
Managers
Investor sophistication
Mutual fund flows

Do exposures to sagging real estate, subprime, or conduits abroad lead to contraction and flight to quality in bank lending at home?

Ongena, S., Tumer-Alkan, G. & Von Westernhagen, N., Jul 2018, In : Review of Finance. 22, 4, p. 1335-1373 39 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Subprime
Contraction
Bank lending
Real estate
Flight to quality

Do information contagion and business model similarities explain bank credit risk commonalities?

Wang, D., van Lelyveld, I. P. P. & Schaumburg, J., 2018, 100/IV ed., Amsterdam: Tinbergen Institute, 36 p. (TI Discussion Paper Series; vol. 2018, no. 100/IV).

Research output: Working paperAcademic

Dynamic discrete copula models for high-frequency stock price changes

Koopman, S. J., Lit, R., Lucas, A. & Opschoor, A., Nov 2018, In : Journal of Applied Econometrics. 33, 7, p. 966-985 20 p., 33.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
bank
simulation
Price changes
Copula
Stock prices

Empirical validation of agent-based models

Lux, T. & Zwinkels, R. C. J., 2018, Handbook of Computational Economics. Hommes, C. & LeBaron, B. (eds.). Elsevier, Vol. 4. p. 437-488 (Handbook of Computational Economics).

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

Agent-based model
Time series
Reduced form
Nonlinearity
Macroeconomics

Energy economy, finance and geostrategy

Dorsman, A. B., Ediger, V. & Baha Karan, M., 2018, Springer International Publishing AG. 274 p.

Research output: Book / ReportBook editingAcademic

finance
energy
economy
Finance
Energy

Essays on the efficiency of pension funds and financial markets

Rijsbergen, D. R., 2018, Amsterdam: Vrije Universiteit. 186 p.

Research output: PhD ThesisPhD Thesis - Research external, graduation VUAcademic

Open Access
File

Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models

van Vlodrop, A. C. & Lucas, A., 2018, 099/III ed., Amsterdam: Tinbergen Institute, 34 p. (TI Discussion Paper Series; vol. 2018, no. 099/III).

Research output: Working paperAcademic

Five concerns with the five-factor model

Blitz, D., Hanauer, M. X., Vidojevic, M. & Van Vliet, P., 1 Jan 2018, In : Journal of Portfolio Management. 44, 4, p. 71-78 8 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Forecasting with Bayesian Vector Autoregressions with Time Variation in the Mean

Banbura, M. & van Vlodrop, A. C., 2018, Amsterdam: Tinbergen Institute, 54 p. (TI Discussion Paper Series; vol. 18, no. 025/IV).

Research output: Working paperAcademic

From chaining blocks to breaking even: A study on the profitability of bitcoin mining from 2012 to 2016

Derks, J., Gordijn, J. & Siegmann, A., Aug 2018, In : Electronic Markets. 28, 3, p. 321–338 18 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Miners
Profitability
Hardware
Expenses
Sustainable development

Geostrategy of the european union in energy

Dorsman, A. B., Nentjes, A. & Polak, P., 2018, Energy Economy, Finance and Geostrategy. Springer International Publishing AG, p. 199-120 80 p.

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

energy
coal
import
voter
supplier

Heterogeneous beliefs and asset price dynamics: A survey of recent evidence

Verschoor, W. F. C. & ter Ellen, S., 2018, Uncertainty, expectations and asset price dynamics: Essays in honor of Georges Prat. Jawadi, F. (ed.). Springer Nature Switzerland AG, Vol. 24. p. 53-79 (Dynamic Modeling and Econometrics in Economics and Finance; vol. 24).

Research output: Chapter in Book / Report / Conference proceedingChapterAcademicpeer-review

High-frequency trading as viewed through an electron microscope

Menkveld, A. J., 1 Jan 2018, In : Financial Analysts Journal. 74, 2, p. 24-31 8 p.

Research output: Contribution to JournalReview articleAcademicpeer-review

High-frequency trading
Traders
Assets
Factors
Reallocation

Households rejecting loan offers from banks

Bai, Y. & Lu, L., 1 Jan 2018, (Accepted/In press) In : Journal of Banking and Finance.

Research output: Contribution to JournalArticleAcademicpeer-review

Loans
Household
Mortgages
Information advantage
Acceptance

Incentives, Performance and Choking in Darts

Klein Teeselink, B., Potter van Loon, R. J. D., van den Assem, M. J. & van Dolder, D., 19 Dec 2018, SSRN, 20 p.

Research output: Working paperAcademic

Incentives

Incentives, Performance and Choking in Darts

Klein Teeselink, B., van Loon, R. J. D. P., van den Assem, M. J. & van Dolder, D., 2018, 101/IV ed., Amsterdam: Tinbergen Institute, 22 p. (TI Discussion Paper Series; vol. 2018, no. 101/IV).

Research output: Working paperAcademic