prof.dr. M.J.C.M. (Marno) Verbeek
Full Professor
Rotterdam School of Management (RSM)
Erasmus University Rotterdam
Fellow ERIM
Field: Finance & Accounting
Affiliated since 2001
Marno Verbeek is a Professor of Finance at Rotterdam School of Management, Erasmus University (RSM). He was Dean of Research of RSM and Academic Director of the Erasmus Research Institute of Management (ERIM) from 1 July 2011 until 15 July 2017.
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 (5th ed, 2017), and has published articles in international scholarly journals including the Journal of Financial and Quantitative Analysis, Management Science, the Review of Finance, the Journal of Banking and Finance, the Journal of Empirical Finance, Financial Management, the Journal of Financial Markets, 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.
Work in Progress (3)
- T.C. Dyakov, H. Jiang & M.J.C.M. Verbeek (2018). Trading is Hazardous to Your Wealth: Evidence from Mutual Funds around the World. (Preprints). Rotterdam: Rotterdam
- G.P. Baquero & M.J.C.M. Verbeek (2018). Hedge Fund Flows and Performance Streaks: How Investors Weigh Information. (Preprints). : working paper
- R. Shen, M.J.C.M. Verbeek & Y. Wang (2016). Fundamental Analysis, Mutual Fund Trading and Fund Performance. (Preprints). :
Publications (56)
Key Publications (25)
-
H. Jiang, M.J.C.M. Verbeek & Y. Wang (2014). Information Content when Mutual Funds Deviate from Benchmarks. Management Science, 60 (8), 2038-2053. doi: http://dx.doi.org/10.1287/mnsc.2013.1847[go to publisher's site]
-
D. Blitz, J.J. Huij, S.D. Lansdorp & M.J.C.M. Verbeek (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16 (3), 477-504. doi: http://dx.doi.org/10.1016/j.finmar.2012.10.005[go to publisher's site]
-
M.J.C.M. Verbeek & Y. Wang (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, 37 (9), 3454-3471. doi: http://dx.doi.org/10.1016/j.jbankfin.2013.04.024[go to publisher's site]
-
T. Dyakov & M.J.C.M. Verbeek (2013). Front-Running of Mutual Fund Fire-Sales. Journal of Banking and Finance, 37 (12), 4931-4942. doi: http://dx.doi.org/10.1016/j.jbankfin.2013.08.013[go to publisher's site]
-
M.J.C.M. Verbeek (2012). A Guide to Modern Econometrics, 4th edition. Chichester: John Wiley and Sons
-
A. de Jong, M.J.C.M. Verbeek & P. Verwijmeren (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35 (2), 243-259. doi: http://dx.doi.org/10.1111/j.1475-6803.2012.01316.x[go to publisher's site]
-
A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (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. doi: http://dx.doi.org/10.1016/j.jbankfin.2010.10.006[go to publisher's site]
-
A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management - FM, 39 (2), 733-756. doi: http://dx.doi.org/10.1111/j.1755-053X.2010.01090.x[go to publisher's site]
-
D. Brounen, M. Porras Prado & M.J.C.M. Verbeek (2010). Real Estate in an ALM Framework: The Case of Fair Value Accounting. Real Estate Economics, 38 (4), 775-804. doi: http://dx.doi.org/10.1111/j.1540-6229.2010.00283.x[go to publisher's site]
-
J.V.K. Rombouts & M.J.C.M. Verbeek (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9 (6), 737-745. doi: http://dx.doi.org/10.1080/14697680902785284[go to publisher's site]
-
J.J. Huij & M.J.C.M. Verbeek (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38 (1), 75-102. doi: http://dx.doi.org/10.1111/j.1755-053X.2009.01029.x[go to publisher's site]
-
B. Honoré, F. Vella & M.J.C.M. Verbeek (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
-
M.J.C.M. Verbeek (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
-
J.R. ter Horst & M.J.C.M. Verbeek (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11 (4), 605-632. doi: http://dx.doi.org/10.1093/rof/rfm012[go to publisher's site]
-
J.J. Huij & M.J.C.M. Verbeek (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31 (3), 973-997. doi: http://dx.doi.org/10.1016/j.jbankfin.2006.08.002[go to publisher's site]
-
H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31 (8), 2405-2423. doi: http://dx.doi.org/10.1016/j.jbankfin.2006.09.010[go to publisher's site]
-
H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30 (8), 2347-2369. doi: http://dx.doi.org/10.1016/j.jbankfin.2005.08.006[go to publisher's site]
-
M.J.C.M. Verbeek & F. Vella (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127 (1), 83-102. doi: http://dx.doi.org/10.1016/j.jeconom.2004.06.004[go to publisher's site]
-
G.P. Baquero, J.R. ter Horst & M.J.C.M. Verbeek (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40 (3), 493-517.[go to publisher's site]
-
W.A. Marquering & M.J.C.M. Verbeek (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39 (2), 407-429. doi: http://dx.doi.org/10.1017/S0022109000003136[go to publisher's site]
-
Th.E. Nijman, L.M. Swinkels & M.J.C.M. Verbeek (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11 (4), 461-481. doi: http://dx.doi.org/10.1016/j.jempfin.2004.02.001[go to publisher's site]
-
W.A. Marquering & M.J.C.M. Verbeek (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1 (3), 250-260. doi: http://dx.doi.org/10.1016/j.frl.2004.07.002[go to publisher's site]
-
J.R. ter Horst, Th.E. Nijman & M.J.C.M. Verbeek (2001). Eliminating look-ahead bias in evaluating persistence in mutual fund performance. Journal of Empirical Finance, 8 (4), 345-373. doi: http://dx.doi.org/10.1016/S0927-5398(01)00032-9[go to publisher's site]
-
J.R. ter Horst & M.J.C.M. Verbeek (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82 (4), 646-655. doi: http://dx.doi.org/10.1162/003465300558984[go to publisher's site]
-
W.A. Marquering & M.J.C.M. Verbeek (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6 (3), 243-265. doi: http://dx.doi.org/10.1016/S0927-5398(99)00003-1[go to publisher's site]
Articles (40)
-
T.C. Dyakov & M.J.C.M. Verbeek (2018). Can Mutual Fund Investors Distinguish Good from Bad Managers? International Review of Finance, Accepted. doi: 10.1111/irfi.12187[go to publisher's site]
-
W.J. Armstrong, E. Genc & M.J.C.M. Verbeek (2018). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, Accepted. doi: http://dx.doi.org/10.1287/mnsc.2017.2884
-
M.J.C.M. Verbeek (2017). Using linear regression to establish empirical relationships. In IZA World of Labour. Bonn: Institute of Labor Economics (IZA)
-
H. Jiang, M.J.C.M. Verbeek & Y. Wang (2014). Information Content when Mutual Funds Deviate from Benchmarks. Management Science, 60 (8), 2038-2053. doi: http://dx.doi.org/10.1287/mnsc.2013.1847[go to publisher's site]
-
D. Blitz, J.J. Huij, S.D. Lansdorp & M.J.C.M. Verbeek (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16 (3), 477-504. doi: http://dx.doi.org/10.1016/j.finmar.2012.10.005[go to publisher's site]
-
M.J.C.M. Verbeek & Y. Wang (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, 37 (9), 3454-3471. doi: http://dx.doi.org/10.1016/j.jbankfin.2013.04.024[go to publisher's site]
-
T. Dyakov & M.J.C.M. Verbeek (2013). Front-Running of Mutual Fund Fire-Sales. Journal of Banking and Finance, 37 (12), 4931-4942. doi: http://dx.doi.org/10.1016/j.jbankfin.2013.08.013[go to publisher's site]
-
A. de Jong, M.J.C.M. Verbeek & P. Verwijmeren (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35 (2), 243-259. doi: http://dx.doi.org/10.1111/j.1475-6803.2012.01316.x[go to publisher's site]
-
A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (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. doi: http://dx.doi.org/10.1016/j.jbankfin.2010.10.006[go to publisher's site]
-
L.F. Hoogerheide, R. Kleijn, F. Ravazzolo, H.K. van Dijk & M.J.C.M. Verbeek (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Journal of Forecasting, 29 (1/2), 251-269. doi: http://dx.doi.org/10.1002/for.1145[go to publisher's site]
-
A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management - FM, 39 (2), 733-756. doi: http://dx.doi.org/10.1111/j.1755-053X.2010.01090.x[go to publisher's site]
-
D. Brounen, M. Porras Prado & M.J.C.M. Verbeek (2010). Real Estate in an ALM Framework: The Case of Fair Value Accounting. Real Estate Economics, 38 (4), 775-804. doi: http://dx.doi.org/10.1111/j.1540-6229.2010.00283.x[go to publisher's site]
-
J.V.K. Rombouts & M.J.C.M. Verbeek (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9 (6), 737-745. doi: http://dx.doi.org/10.1080/14697680902785284[go to publisher's site]
-
J.J. Huij & M.J.C.M. Verbeek (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38 (1), 75-102. doi: http://dx.doi.org/10.1111/j.1755-053X.2009.01029.x[go to publisher's site]
-
J.R. ter Horst & M.J.C.M. Verbeek (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11 (4), 605-632. doi: http://dx.doi.org/10.1093/rof/rfm012[go to publisher's site]
-
J.J. Huij & M.J.C.M. Verbeek (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31 (3), 973-997. doi: http://dx.doi.org/10.1016/j.jbankfin.2006.08.002[go to publisher's site]
-
H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31 (8), 2405-2423. doi: http://dx.doi.org/10.1016/j.jbankfin.2006.09.010[go to publisher's site]
-
H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30 (8), 2347-2369. doi: http://dx.doi.org/10.1016/j.jbankfin.2005.08.006[go to publisher's site]
-
G.P. Baquero, J.R. ter Horst & M.J.C.M. Verbeek (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40 (3), 493-517.[go to publisher's site]
-
J.R. ter Horst & M.J.C.M. Verbeek (2005). Hedgefondsen: Prestaties uit het verleden bieden verwachtingen voor de toekomst. MAB, 79 (4), 168-173.
-
M.J.C.M. Verbeek & F. Vella (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127 (1), 83-102. doi: http://dx.doi.org/10.1016/j.jeconom.2004.06.004[go to publisher's site]
-
W.A. Marquering & M.J.C.M. Verbeek (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39 (2), 407-429. doi: http://dx.doi.org/10.1017/S0022109000003136[go to publisher's site]
-
Th.E. Nijman, L.M. Swinkels & M.J.C.M. Verbeek (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11 (4), 461-481. doi: http://dx.doi.org/10.1016/j.jempfin.2004.02.001[go to publisher's site]
-
W.A. Marquering & M.J.C.M. Verbeek (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1 (3), 250-260. doi: http://dx.doi.org/10.1016/j.frl.2004.07.002[go to publisher's site]
-
J.R. ter Horst, Th.E. Nijman & M.J.C.M. Verbeek (2001). Eliminating look-ahead bias in evaluating persistence in mutual fund performance. Journal of Empirical Finance, 8 (4), 345-373. doi: http://dx.doi.org/10.1016/S0927-5398(01)00032-9[go to publisher's site]
-
J.R. ter Horst & M.J.C.M. Verbeek (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82 (4), 646-655. doi: http://dx.doi.org/10.1162/003465300558984[go to publisher's site]
-
M.J.C.M. Verbeek & F. Vella (1999). Estimating and Interpreting Models with Endogenous Treatment Effects. Journal of Business and Economic Statistics, 17 (4), 473-478. doi: http://dx.doi.org/10.2307/1392404
-
F. Vella & M.J.C.M. Verbeek (1999). Two-step estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90 (2), 239-263. doi: http://dx.doi.org/10.1016/S0304-4076(98)00043-8[go to publisher's site]
-
W.A. Marquering & M.J.C.M. Verbeek (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6 (3), 243-265. doi: http://dx.doi.org/10.1016/S0927-5398(99)00003-1[go to publisher's site]
-
S. Rummery, F. Vella & M.J.C.M. Verbeek (1999). Estimating the returns to education for Australian youth via rank-order instrumental variables. Labour Economics, 6 (4), 491-507. doi: http://dx.doi.org/10.1016/S0927-5371(98)00016-5[go to publisher's site]
-
F. Vella & M.J.C.M. Verbeek (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. doi: http://dx.doi.org/10.1002/(SICI)1099-1255(199803/04)13:23.0.CO;2-Y
-
M.J.C.M. Verbeek & Th.E. Nijman (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.
-
M.J.C.M. Verbeek (1993). Missing measurements in econometric models with no auxiliary relations. Economics Letters, 43 (2), 125-128. doi: http://dx.doi.org/10.1016/0165-1765(93)90024-7[go to publisher's site]
-
Th.E. Nijman & M.J.C.M. Verbeek (1992). Can Cohort Data Be Treated as Genuine Panel Data? Empirical Economics (Heidelberg), 17, 9-24. doi: http://dx.doi.org/10.1007/BF01192471[go to publisher's site]
-
M.J.C.M. Verbeek & Th.E. Nijman (1992). Testing for Selectivity Bias in Panel Data Models. International Economic Review, 33 (3), 681-703.
-
Th.E. Nijman & M.J.C.M. Verbeek (1992). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51 (1-2), 183-189.
-
Th.E. Nijman & M.J.C.M. Verbeek (1992). Nonresponse in panel data: The impact on estimates of a life cycle consumption function. Journal of Applied Econometrics, 7 (3), 243-257. doi: http://dx.doi.org/10.1002/jae.3950070303[go to publisher's site]
-
Th.E. Nijman, M.J.C.M. Verbeek & A.H.O. van Soest (1991). The Efficiency of Rotating-Panel Designs in an Analysis-of-Variance Model. Journal of Econometrics, 49 (3), 373-399. doi: http://dx.doi.org/10.1016/0304-4076(91)90003-V[go to publisher's site]
-
Th.E. Nijman & M.J.C.M. Verbeek (1990). Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both. Journal of Econometrics, 46 (3), 333-346.
-
M.J.C.M. Verbeek (1990). On the estimation of a fixed effects model with selectivity bias. Economics Letters, 34 (3), 267-270. doi: http://dx.doi.org/10.1016/0165-1765(90)90129-O[go to publisher's site]
Books (6)
-
M.J.C.M. Verbeek (2017). A Guide to Modern Econometrics, 5th edition. Hoboken, NJ: John Wiley and Sons
-
M.J.C.M. Verbeek (2014). Moderne Oekonometrie. Weinheim: Wiley-VCH
-
M.J.C.M. Verbeek (2012). A Guide to Modern Econometrics, 4th edition. Chichester: John Wiley and Sons
-
M.J.C.M. Verbeek (2008). A Guide to Modern Econometrics, 3rd edition. Chichester: John Wiley and Sons
-
M.J.C.M. Verbeek (2004). A Guide to Modern Econometrics, 2nd edition. Chichester: John Wiley and Sons[go to publisher's site]
-
M.J.C.M. Verbeek (2000). A guide to modern econometrics. Chichester, England: John Wiley & Sons, Ltd.
Book Contributions (6)
-
M.J.C.M. Verbeek (2009). Modified Sharpe Ratio. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 303-304). Boca Raton, FL: Chapman and Hall / CRC
-
M.J.C.M. Verbeek (2009). Alternative Asset Class. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 16-16). Boca Raton, FL: Chapman and Hall / CRC
-
M.J.C.M. Verbeek (2009). Nondirectional. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 319-319). Boca Raton, FL: Chapman and Hall / CRC
-
M.J.C.M. Verbeek (2009). Redemption Period. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 392-392). Boca Raton, FL: Chapman and Hall / CRC
-
M.J.C.M. Verbeek (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
-
B. Honoré, F. Vella & M.J.C.M. Verbeek (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
Inaugural Speech
-
M.J.C.M. Verbeek (2002). Onweerlegbaar bewijs? Over het belang en de waarde van empirisch onderzoek voor financierings- en beleggingsvraagstukken. (2002, juni 21). Rotterdam: Erasmus Research Institute of Management
Professional Publications (3)
-
E. Genc & M.J.C.M. Verbeek (2018). How independent research can improve investment decisions. RSM Discovery - Management Knowledge, 33 (1), 14-16.
-
A. De Jong, P.G.J. Roosenboom, M.J.C.M. Verbeek & P. Verwijmeren (2007). Hedgefondsen en private equity in Nederland. (Extern rapport). Den Haag: Ministerie van Financien
-
W.A. Marquering & M.J.C.M. Verbeek (2004). De Wet van Murphy in de Aandelenmarkt. VBA Journaal, 19 (4), 24-29.
PhD Tracks (27)
- Role: Member Doctoral Committee
- PhD Candidate: Milan Lovric
- Time frame: 2005 - 2011
- Role: Promotor
- PhD Candidate: Xiaohong Huang
- Time frame: 2005 - 2010
- Role: Promotor
- PhD Candidate: Patrick Verwijmeren
- Time frame: 2005 - 2008
- Role: Promotor
- PhD Candidate: Diana Budiono
- Time frame: 2005 - 2010
- Role: Member Doctoral Committee
- PhD Candidate: Maarten Jennen
- Time frame: 2004 - 2008
- Role: Member Doctoral Committee
- PhD Candidate: Thuy Nguyen
- Time frame: 2005 - 2008
- Role: Promotor
- PhD Candidate: Melissa Porras Prado
- Time frame: 2006 - 2012
- Role: Member Doctoral Committee
- PhD Candidate: Nadja Günster
- Time frame: 2003 - 2009
- Role: Member Doctoral Committee
- PhD Candidate: Haikun Ning
- Time frame: 2003 - 2007
- Role: Member Doctoral Committee
- PhD Candidate: Willem Schramade
- Time frame: 2002 - 2006
- Role: Member Doctoral Committee
- PhD Candidate: Lenny Pattikawa
- Time frame: 2002 - 2007
- Role: Promotor
- PhD Candidate: Joop Huij
- Time frame: 2002 - 2007
- Role: Promotor
- PhD Candidate: Guillermo Baquero
- Time frame: 2001 - 2006
- Role: Promotor
- PhD Candidate: Erik Kole
- Time frame: 2001 - 2006
- Role: Member Doctoral Committee
- PhD Candidate: Ben Tims
- Time frame: 1999 - 2006
- Role: Promotor
- PhD Candidate: Ying Xu
- Time frame: 2006 - 2010
- Role: Promotor
- PhD Candidate: Yu Wang
- Time frame: 2008 - 2011
- Role: Member Doctoral Committee
- PhD Candidate: Dimitrios Vagias
- Time frame: 2008 - 2013
- Role: Promotor
- PhD Candidate: Teodor Dyakov
- Time frame: 2010 - 2014
- Role: Member Doctoral Committee, Promotor
- PhD Candidate: Dominik Rösch
- Time frame: 2010 - 2015
- Role: Member Doctoral Committee
- PhD Candidate: Teng Wang
- Time frame: 2011 - 2015
- Role: Member Doctoral Committee, Promotor
- PhD Candidate: Darya Yuferova
- Time frame: 2011 - 2016
- Role: Promotor, Daily Supervisor
- PhD Candidate: Marina Dzhelepska
- Time frame: 2012 -
- Role: Promotor
- PhD Candidate: Lingtian Kong
- Time frame: 2012 -
- Role: Promotor
- PhD Candidate: Georgi Kyosev
- Time frame: 2014 -
- Role: Promotor
- PhD Candidate: Gelly Fu
- Time frame: 2016 -
- Role: Promotor
- PhD Candidate: Lennard Böckenförde
- Time frame: 2018 -
Recognitions (2)
Editorial positions
-
De Economist
Associate Editor
Side positions
-
Netspar
Research Coordinator
Courses (5)
- Applied Econometrics (2017/2018, 2016/2017, 2015/2016)
- Panel Data Econometrics: Theory and Practice (2017/2018, 2015/2016)
- Publishing Strategy (2017/2018, 2016/2017)
Past
- Seminar Asset Pricing 1 (2016/2017)
- Seminar Asset Pricing 2 (2016/2017)
PhD Vacancy (1)
Risks and rewards play a pivotal role in theoretical and empirical research in financial markets. One of the fundamental concepts of asset pricing is that investors are rewarded for bearing risk, through higher expected returns, but that only particular, aggregate and non-diversifiable, sources of risk are priced by the market. Establishing risk factors and identifying to what extent they are priced is a key challenge, and a very active area of research.
In this project, which is an umbrella for several potential projects, a number of alternative research problems are collected that provide additional insight into the role of risk, information and investor behaviour in financial markets. All projects are of an empirical nature and are exploring the wide range of databases that is available at Erasmus University, including data on international stock prices, institutional ownership, mutual fund and hedge fund performance. Key questions are identified and investigated using appropriate and, where necessary, innovative econometric techniques. The first year of the project will be used to get acquainted with potential supervisors and to identify concrete research topics. During the entire project, three or four papers will be written, potentially with different supervisors, which jointly constitute the PhD thesis.
Events (16)
2016
June
13
2013
June
06
2013
April
17
Research Seminar
As: Speaker
2012
July
05
2011
June
30
2011
May
12
2010
July
07
2010
March
19
2009
June
26
2009
March
20
2008
June
27
2008
March
20
Research Workshop
As: Coordinator
2008
March
14
2007
November
22
2007
March
09
2006
October
24
Address
Visiting address
Office: Mandeville Building T08-23
Burgemeester Oudlaan 50
3062 PA Rotterdam
Postal address
Postbus 1738
3000 DR Rotterdam
Netherlands
