M.J.C.M. (Marno) Verbeek

Marno Verbeek is a Professor of Finance at the Rotterdam School of Management, Erasmus University (RSM). He is also Dean of Research of RSM and Academic Director of the Erasmus Research Institute of Management (ERIM).

His recent research is largely in the area of empirical finance with a particular focus on mutual funds, hedge funds, asset pricing, investment strategies, survival bias and performance evaluation.

He is the author of the textbook A Guide to Modern Econometrics (4th ed, 2012), and has published articles in international scholarly journals including the Journal of Financial and Quantitative Analysis, the Journal of Banking and Finance, the Journal of Empirical Finance, Financial Management, the Journal of Business and Economic Statistics, Review of Economics and Statistics, the Journal of Econometrics and the International Economic Review.

He received his PhD from Tilburg University in 1991.

• Shen, R., Verbeek, M.J.C.M. & Wang, Y. (2013). Fundamental Analysis, Mutual Fund Trading and Fund Performance. : .
• Jiang, H., Verbeek, M.J.C.M. & Wang, Y. (2011). Information Content when Mutual Funds Deviate from Benchmarks. In 2011 Utah Winter Finance Conference.

• Key publications (22)
  • Blitz, D., Huij, J.J., Lansdorp, S.D. & Verbeek, M.J.C.M. (2013). Short-Term Residual Reversal. Journal of Financial Markets, forthcomin.
  • De Jong, Abe, Verbeek, M.J.C.M. & Verwijmeren, P. (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35(2), 243-259.
  • De Jong, A., Verbeek, M.J.C.M. & Verwijmeren, P. (2011). Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree. Journal of Banking and Finance, 35(5), 1303-1314.
  • Brounen, D., Porras Prado, M. & Verbeek, M.J.C.M. (2010). Real Estate in an ALM Framework: The Case of Fair Value Accounting. Real Estate Economics, 38(4), 775-804.
  • De Jong, A., Verbeek, M.J.C.M. & Verwijmeren, P. (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management, 39(2), 733-756.
  • Huij, J.J. & Verbeek, M.J.C.M. (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management, 38(1), 75-102.
  • Rombouts, J.V.K. & Verbeek, M.J.C.M. (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9(6), 737-745.
  • Horst, J.R. ter & Verbeek, M.J.C.M. (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11(4), 605-632.
  • Huij, J.J. & Verbeek, M.J.C.M. (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31(3), 973-997.
  • Kole, H.J.W.G., Koedijk, C.G. & Verbeek, M.J.C.M. (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31(8), 2405-2423.
  • Kole, H.J.W.G., Koedijk, C.G. & Verbeek, M.J.C.M. (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30(8), 2347-2369.
  • Baquero, G.P., Horst, J.R. ter & Verbeek, M.J.C.M. (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40(3), 493-517.
  • Verbeek, M.J.C.M. & Vella, F. (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127(1), 83-102.
  • Marquering, W.A. & Verbeek, M.J.C.M. (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39(2), 407-429.
  • Marquering, W.A. & Verbeek, M.J.C.M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1(3), 250-260.
  • Nijman, Th.E., Swinkels, L.M. & Verbeek, M.J.C.M. (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11(4), 461-481.
  • Horst, J.R. ter, Nijman, Th.E. & Verbeek, M.J.C.M. (2001). Eliminating look-ahead bias in evaluating persistence in mutual fund performance. Journal of Empirical Finance, 8(4), 345-373.
  • Horst, J.R. ter & Verbeek, M.J.C.M. (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82(4), 646-655.
  • Marquering, W.A. & Verbeek, M.J.C.M. (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6(3), 243-265.
  • Verbeek, M.J.C.M. (2012). A Guide to Modern Econometrics, 4th edition. Chichester: John Wiley and Sons.
  • Honoré, B., Vella, F. & Verbeek, M.J.C.M. (2008). Attrition, Selection Bias and Censored Regressions. In L. Matyas & P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice (pp. 385-418). Berlin: Springer.
  • Verbeek, M.J.C.M. (2008). Pseudo Panels and Repeated Cross-Sections. In L. Matyas & P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice (pp. 369-383). Berlin: Springer Verlag.

• Articles (36)
  • Blitz, D., Huij, J.J., Lansdorp, S.D. & Verbeek, M.J.C.M. (2013). Short-Term Residual Reversal. Journal of Financial Markets, forthcomin.
  • Verbeek, M.J.C.M. & Wang, Y. (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, forthcomin.
  • De Jong, Abe, Verbeek, M.J.C.M. & Verwijmeren, P. (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35(2), 243-259.
  • De Jong, A., Verbeek, M.J.C.M. & Verwijmeren, P. (2011). Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree. Journal of Banking and Finance, 35(5), 1303-1314.
  • Brounen, D., Porras Prado, M. & Verbeek, M.J.C.M. (2010). Real Estate in an ALM Framework: The Case of Fair Value Accounting. Real Estate Economics, 38(4), 775-804.
  • De Jong, A., Verbeek, M.J.C.M. & Verwijmeren, P. (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management, 39(2), 733-756.
  • Hoogerheide, L.F., Kleijn, R., Ravazzolo, F., van Dijk, H.K. & Verbeek, M.J.C.M. (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Journal of Forecasting, 29(1/2), 251-269.
  • Huij, J.J. & Verbeek, M.J.C.M. (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management, 38(1), 75-102.
  • Rombouts, J.V.K. & Verbeek, M.J.C.M. (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9(6), 737-745.
  • Horst, J.R. ter & Verbeek, M.J.C.M. (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11(4), 605-632.
  • Huij, J.J. & Verbeek, M.J.C.M. (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31(3), 973-997.
  • Kole, H.J.W.G., Koedijk, C.G. & Verbeek, M.J.C.M. (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31(8), 2405-2423.
  • Kole, H.J.W.G., Koedijk, C.G. & Verbeek, M.J.C.M. (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30(8), 2347-2369.
  • Baquero, G.P., Horst, J.R. ter & Verbeek, M.J.C.M. (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40(3), 493-517.
  • Horst, J.R. ter & Verbeek, M.J.C.M. (2005). Hedgefondsen: Prestaties uit het verleden bieden verwachtingen voor de toekomst. MAB, 79(4), 168-173.
  • Verbeek, M.J.C.M. & Vella, F. (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127(1), 83-102.
  • Marquering, W.A. & Verbeek, M.J.C.M. (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39(2), 407-429.
  • Marquering, W.A. & Verbeek, M.J.C.M. (2004). De Wet van Murphy in de Aandelenmarkt. VBA Journaal, 19(4), 24-29.
  • Marquering, W.A. & Verbeek, M.J.C.M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1(3), 250-260.
  • Nijman, Th.E., Swinkels, L.M. & Verbeek, M.J.C.M. (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11(4), 461-481.
  • Horst, J.R. ter, Nijman, Th.E. & Verbeek, M.J.C.M. (2001). Eliminating look-ahead bias in evaluating persistence in mutual fund performance. Journal of Empirical Finance, 8(4), 345-373.
  • Horst, J.R. ter & Verbeek, M.J.C.M. (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82(4), 646-655.
  • Marquering, W.A. & Verbeek, M.J.C.M. (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6(3), 243-265.
  • Rummery, S., Vella, F. & Verbeek, M.J.C.M. (1999). Estimating the returns to education for Australian youth via rank-order instrumental variables. Labour Economics, 6(4), 491-507.
  • Vella, F. & Verbeek, M.J.C.M. (1999). Two-step estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90(2), 239-263.
  • Verbeek, M.J.C.M. & Vella, F. (1999). Estimating and Interpreting Models with Endogenous Treatment Effects. Journal of Business and Economic Statistics, 17(4), 473-478.
  • Vella, F. & Verbeek, M.J.C.M. (1998). Whose wages do unions raise? A dynamic model of unionism and wage rate determination for young men. Journal of Applied Econometrics, 13(2), 163-183.
  • Verbeek, M.J.C.M. & Nijman, Th.E. (1993). Minimum MSE Estimation of a Regression Model with Fixed Effects from a Series of Cross-Sections. Journal of Econometrics, 59(1-2), 125-136.
  • Verbeek, M.J.C.M. (1993). Missing measurements in econometric models with no auxiliary relations. Economics Letters, 43(2), 125-128.
  • Nijman, Th.E. & Verbeek, M.J.C.M. (1992). Can Cohort Data Be Treated as Genuine Panel Data? Empirical Economics (Heidelberg), 17, 9-24.
  • Nijman, Th.E. & Verbeek, M.J.C.M. (1992). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51(1-2), 183-189.
  • Nijman, Th.E. & Verbeek, M.J.C.M. (1992). Nonresponse in panel data: The impact on estimates of a life cycle consumption function. Journal of Applied Econometrics, 7(3), 243-257.
  • Verbeek, M.J.C.M. & Nijman, Th.E. (1992). Testing for Selectivity Bias in Panel Data Models. International Economic Review, 33(3), 681-703.
  • Nijman, Th.E., Verbeek, M.J.C.M. & Soest, A.H.O. van (1991). The Efficiency of Rotating-Panel Designs in an Analysis-of-Variance Model. Journal of Econometrics, 49(3), 373-399.
  • Nijman, Th.E. & Verbeek, M.J.C.M. (1990). Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both. Journal of Econometrics, 46(3), 333-346.
  • Verbeek, M.J.C.M. (1990). On the estimation of a fixed effects model with selectivity bias. Economics Letters, 34(3), 267-270.

• Books (4)
  • Verbeek, M.J.C.M. (2012). A Guide to Modern Econometrics, 4th edition. Chichester: John Wiley and Sons.
  • Verbeek, M.J.C.M. (2008). A Guide to Modern Econometrics, 3rd edition. Chichester: John Wiley and Sons.
  • Verbeek, M.J.C.M. (2004). A Guide to Modern Econometrics, 2nd edition. Chichester: John Wiley and Sons.
  • Verbeek, M.J.C.M. (2000). A guide to modern econometrics. Chichester, England: John Wiley & Sons, Ltd..

• Book contributions (6)
  • Verbeek, M.J.C.M. (2009). Alternative Asset Class. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 16-16). Boca Raton, FL: Chapman and Hall / CRC.
  • Verbeek, M.J.C.M. (2009). Nondirectional. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 319-319). Boca Raton, FL: Chapman and Hall / CRC.
  • Verbeek, M.J.C.M. (2009). Redemption Period. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 392-392). Boca Raton, FL: Chapman and Hall / CRC.
  • Verbeek, M.J.C.M. (2009). Modified Sharpe Ratio. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 303-304). Boca Raton, FL: Chapman and Hall / CRC.
  • Honoré, B., Vella, F. & Verbeek, M.J.C.M. (2008). Attrition, Selection Bias and Censored Regressions. In L. Matyas & P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice (pp. 385-418). Berlin: Springer.
  • Verbeek, M.J.C.M. (2008). Pseudo Panels and Repeated Cross-Sections. In L. Matyas & P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice (pp. 369-383). Berlin: Springer Verlag.

• Professional publications
  • De Jong, A., Roosenboom, P.G.J., Verbeek, M.J.C.M. & Verwijmeren, P. (2007). Hedgefondsen en private equity in Nederland. Den Haag: Ministerie van Financien.

• Editorial position (1)

  Journal	De Economist
  Role	Associate Editor
  Start date	01-05-2011

• Side position (1)

  Name organisation	Netspar
  Role	Research Coordinator
  Start date	01-09-2009
  Additional information	www.netspar.nl
  Wage earning	nee