In her dissertation ‘Price Discovery, Liquidity Provision, and Low-Latency Trading’, ERIM’s Darya Yuferova discusses three empirical papers in the field of market microstructure. These papers investigate the impact of increased interconnectedness of the financial markets and the vast trading speed improvements on two important functions of financial markets: price discovery and liquidity provision.
In his dissertation ‘Essays on financing and performance: the role of firms, banks and boards, ERIM’s Philip Tadelle Fliers combines studies in economic history with contemporary research in corporate finance, in three studies.
In his dissertation ‘Firms and financial markets: empirical studies on the informational value of dividends, governance and financial reporting’ ERIM’s Henry van Beusichem contributes with three empirical studies to our understanding of dividend, governance and transparency policies of Dutch listed firms.
In his dissertation ‘Market Efficiency and Liquidity’ ERIM’s Dominik Rösch investigates the interaction between market efficiency and liquidity. In particular to document time- and cross-sectional variation in market efficiency, and whether individual stock efficiency co-moves with aggregate market efficiency; to investigate why inefficiencies arise and how trading against these inefficiencies affects market liquidity
Does Finance as a field add value to society? Does the academic discipline stray too far from reality? In his inaugural address, Mathijs van Dijk answers these and other key questions.
The 2013 Nobel Prize in Economics was awarded to two seemingly contrasting views in economics. Joris Kil shows how these views can co-exist in financial research.
Are liquidity considerations limited to asset pricing or do they have a broader relevance in the corporate finance context? Dimitrios Vagias explores the role of liquidity in the decision and the particular type of equity offering performed.
Where do Dutch pension funds invest their considerable resources? Is there a preference for domestic or foreign investments? And what drives these decisions? Ghulame Rubbaniy addresses these and other issues in his PhD dissertation.
We congratulate Professors Justin Jansen, Martijn de Jong and Patrick Verwijmeren on being awarded Vidi grants by the NWO!
Hao Jiang, Marno Verbeek, and PhD alumnus Yu Wang have won a $30,000 international prize for their comprehensive study offering a new perspective in the debate about active management of funds versus passive investing.
Dr Dion Bongaerts, Associate Professor of Finance, received a Veni grant of €250,000 for his research on credit rating agencies (CRAs) from the Netherlands Organisation for Scientific Research (NWO).
ing Wah Tham's paper "Execution Risk High-frequency Arbitrage" (co-authored by Roman Kozhan) has been accepted for publication in Management Science. Execution risk is fundamental to and important for all investment strategies. Perold (1988) suggests that the failure to accomplish a trade immediately can impose an implicit cost on traders. As a result supposedly profitable trading strategies can turn within moments into unprofitable ones. This can be especially important when using high-frequency trading strategies.
Ingolf Dittmann, Professor in Finance in the Erasmus School of Economics received a Vici grant of one and a half million Euros from the Netherlands Organization for Scientific Research (NWO) for his research proposal entitled “Inferring Preferences from Managerial Compensation Data”.
Marta Szymanowska's paper "Asset Pricing Restrictions on Predictability: Frictions Matter" (co-authored by Frans de Roon) has been accepted for publication in Management Science. This paper finds considerable levels and variation of asset return predictability across different portfolios of common stocks. The paper then investigates whether such predictability is an anomaly that could lead markets astray, a rational feature of financial markets consistent with asset pricing theory, or an anomaly that cannot be exploited by investors because of trading restrictions (such as transaction costs or short sales constraints).
Mathijs van Dijk’s paper “The Implied Cost of Capital: A New Approach” (co-authored with Kewei Hou and Yinglei Zhang) proposes a new proxy for a firm's expected returns (or cost of equity capital) based on a firm’s “Implied Cost of Capital” (ICC) – defined as the internal rate of return that equates the firm’s stock price to the present value of expected future cash flows. The ICC has been developed in the early 2000s and has gained considerable popularity in academic studies and in investment management applications.
Bart Diris received the “Commonfund Prize for the best paper on foundation and endowment asset management” at the annual meeting of the European Finance Association for his paper “Model uncertainty for long-term investors”.
Mathijs van Dijk's paper "Understanding Commonality in Liquidity Around the World" (co-authored by Andrew Karolyi and Kuan-Hui Le) has been accepted for publication in the Journal of Financial Economics. This paper investigates the extent to which financial market liquidity is correlated across different stocks within 40 stock markets around the world.
Michel van der Wel has been awarded a Veni grant (€250,000) by the Dutch Organisation for Scientific Research (NWO). He received the Veni grant for his research proposal “How safe is the safe haven? Measuring the riskiness of the riskfree rate.”
Dion Bongaerts received the “SAC Capital Advisors L.P. Best Conference Paper Award” at the annual meeting of the European Finance Association for his paper “An asset pricing approach to liquidity effects in corporate bond markets”, co-authored by Frank de Jong and Joost Driessen.
Agnieszka Markiewicz's paper "Model Uncertainty and Exchange Rate Volatility" has been accepted for a publication in International Economic Review. This paper proposes an explanation for shifts in the volatility of exchange rates, a well-known and much documented fact in international economics.
Martijn van den Assem's paper "Split or Steal? Cooperative Behavior When the Stakes Are Large", co-authored by Richard Thaler and Dennie van Dolder from the University of Chicago and the Tinbergen Institute, respectively, has been accepted by Management Science.
Michel van der Wel’s paper “Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate”, co-authored with Albert J. Menkveld and Asani Sarkar from the VU University Amsterdam and Federal Reserve Bank of New York, respectively, has been accepted by the Journal of Financial and Quantitative Analysis.
Dion Bongaerts’s paper “Tiebreaker: Certification and Multiple Credit Ratings”, co-authored with Martijn Cremers and William Goetzmann from Yale School of Management, has been conditionally accepted by the Journal of Finance.
A recent study by Chan, Chang and Chen (forthcoming in European Financial Management) provides a long-term comprehensive assessment of financial research in the European region. When the period 2004-2008 is considered, the Erasmus Finance Group establishes itself as a top 4 institute for finance in Europe.