R.W.M. (Roy) Verbeek

Rotterdam School of Management (RSM)
Erasmus University Rotterdam
ERIM Doctoral Student
Field: Finance & Accounting
Affiliated since 2012

Roy Verbeek is a PhD Candidate in finance at Rotterdam School of Management, Department of Finance. He is currently working on a project in which he studies the pricing of systematic risk factors across horizons, and on a project where he studies the costs of equity capital produced by several asset pricing models. The project is under the supervision of Prof. Mathijs van Dijk and Dr. Marta Szymanowska.

Essays on Empirical Asset Pricing

This dissertation consists of three essays on empirical asset pricing.

In the first essay, I investigate whether common risk factors are priced across investment horizons. I show that only the market and size factors are priced, but only up to sixteen months. The results highlight the importance of horizon effects in the pricing of systematic risk. They also raise concerns about the ability of asset pricing models to price individual stocks.

In the second essay, I estimate costs of equity capital for individual firms and industries using five models. I show that there is considerable disagreement about costs of equity capital across the models and that they are estimated with great errors. The models exhibit some forecasting power for future returns only when the estimation errors are small. My results raise questions about whether popular asset pricing models can be used for computing costs of equity capital.

In the third essay, I show that firms differ greatly in the extent to which their stock prices are driven by cash flow news versus discount rate news. The differences in their relative importance are associated with differences in firm characteristics, risk exposures, and expected returns. I also show that the amount of return co-movement and the success of variables that predict the equity premium depend on the relative importance of the two components

empirical asset pricing, horizons, risk factors, risks, asset pricing models, disagreement, estimation error, cash flow news, discount rate news, return decomposition
Time frame
2012 -


Visiting address

Office: Mandeville Building T08-29
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam

Supervisory team

Roy Verbeek
Endowed Professor of Business Administration, with particular reference to Financial Markets
Roy Verbeek
Associate Professor of Finance
Daily supervisor