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

Applying complexity theory to interest rates: Evidence of critical transitions in the euro area

van den End, J. W., 2019, In : Kredit und Kapital. 52, 1

Research output: Contribution to JournalArticleAcademicpeer-review

Bank Business Models at Zero Interest Rates

Lucas, A., Schaumburg, J. & Schwaab, B., 2019, In : Journal of Business and Economic Statistics. 37, 3, p. 542-555 14 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Business Model
Interest Rates
interest rate
bank
Zero

Bedrijfseconomie

Bouwer, J. & Schauten, M. B. J., 2019, Wat is echt de moeite waard om te onderwijzen; Een perspectiefgerichte benadering. Janssen, F., Hulshof, H. & van Veen, K. (eds.). Leiden/Groningen: Universiteit Leiden en Rijksuniversiteit Groningen, p. 211-221

Research output: Chapter in Book / Report / Conference proceedingChapterProfessional

Bubbles and Financial Professionals

Weitzel, U., Huber, C., Huber, J., Kirchler, M., Lindner, F. & Rose, J., 2019, In : Review of Financial Studies.

Research output: Contribution to JournalArticleAcademicpeer-review

Bubble
Experimental markets
Price efficiency
Market environment
Capital inflows

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

Determinants of investor expectations and satisfaction. A study with financial professionals

Schwaiger, R., Kirchler, M., Lindner, F. & Weitzel, U., 1 Jan 2019, In : Journal of Economic Dynamics and Control.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Determinant
Students
Investors
Experiments
Vary

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

Cizel, J., Frost, J., Houben, A. & Wierts, P., Aug 2019, In : Journal of Money, Credit and Banking. 51, 5, p. 1209-1235 27 p.

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

Evaluating feasibility and acceptability of a group WHO trans-diagnostic intervention for women with common mental disorders in rural Pakistan: a cluster randomised controlled feasibility trial - CORRIGENDUM

Khan, M. N., Hamdani, S. U., Chiumento, A., Dawson, K., Bryant, R. A., Sijbrandij, M., Nazir, H., Akhtar, P., Masood, A., Wang, D., Wang, E., Uddin, I., van Ommeren, M. & Rahman, A., Aug 2019, In : Epidemiology and Psychiatric Sciences. 28, 4, p. 466

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

Increasing quantity without compromising quality: How managerial framing affects intrapreneurship

Rigtering, J. P. C. C., Weitzel, G. U. U. & Muehlfeld, K. K., 1 Mar 2019, In : Journal of Business Venturing. 34, 2, p. 224-241 18 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Personnel
Experiments
Communication
Intrapreneurship
Experiment

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

Individual speculative behavior and overpricing in experimental asset markets

Janssen, D. J., Füllbrunn, S. & Weitzel, U., 2019, In : Experimental Economics. p. 1-23 23 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Speculation
Experimental asset markets
Market environment
Bubble
Traders

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
Mutual funds
Equity

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

International Lending of Dutch Insurers and Pension Funds: the Impact of ECB Monetary Policy and Prudential Policies in the Host Country

Frost, J., Duijm, P., Bonner, C., de Haan, L. & de Haan, J., 15 Jul 2019, In : Open Economies Review. 30, 3, p. 445-456 12 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Insurer
Host country
International lending
Pension funds
Monetary policy

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

Liquidity Risk and Funding Cost

Bechtel, A., Ranaldo, A. & Wrampelmeyer, J., 29 May 2019.

Research output: Working paperAcademic

Open Access

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
Prisoners' dilemma
Cooperative behavior

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

Renewable energy, carbon emission and economic growth: A revised environmental Kuznets Curve perspective

Yao, S., Zhang, S. & Zhang, X., 8 Jul 2019, In : Journal of Cleaner Production. 235, p. 1338-1352 15 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Kuznets curve
carbon emission
economic growth
Energy utilization
Economics

RISK AVERSION AND OVERBIDDING IN FIRST PRICE SEALED BID AUCTIONS: NEW EXPERIMENTAL EVIDENCE

Füllbrunn, S., Janssen, D. J. & Weitzel, U., 1 Jan 2019, In : Economic Inquiry. 57, 1, p. 631-647 17 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Overbidding
First-price sealed-bid auction
Risk aversion
Bidding
Nash equilibrium

Selecting Legal Advisors in M&As: Organizational Learning and the Role of Multiplicity of Mental Models

Westbrock, B., Muehlfeld, K. & Weitzel, U., 1 May 2019, In : Journal of Management. 45, 5, p. 2193-2224 32 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Cross-border
Advisors
Organizational learning
Selection criteria
Mental models

Speculation and the price of virtual currency

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

Research output: Contribution to JournalArticleProfessional

Subjective beliefs about trust and reciprocity activate an expected reward signal in the ventral striatum

Fairley, K., Vyrastekova, J., Weitzel, U. & Sanfey, A. G., 1 Jan 2019, In : Frontiers in Neuroscience. 13, JUN, 660.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Reward
Decision Making
Cues
Ventral Striatum
Uncertainty

The effect of pledges on the distribution of lying behavior: An online experiment

Heinicke, F., Rosenkranz, S. & Weitzel, U., 1 Aug 2019, In : Journal of Economic Psychology. 73, p. 136-151 16 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Numismatics
Random Allocation
Equipment and Supplies
experiment
Research

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

The Middle: The middle class as the moral core of society

Siegmann, A., 2019, Wetenschappelijk Instituut voor het CDA. 147 p. (Economic & Social Policy)

Research output: Book / ReportBookProfessional

middle class
world population
technical development
civil society
Netherlands
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

Does the media help the general public in understanding inflation?

Jansen, D-J. & Neuenkirch, M., 1 Dec 2018, In : Oxford Bulletin of Economics and Statistics. 80, 6, p. 1185-1212

Research output: Contribution to JournalArticleAcademicpeer-review