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

Full Professor

Department of Finance

Rotterdam School of Management (RSM)

Erasmus University Rotterdam

Fellow ERIM

Field: Finance & Accounting

Affiliated since 2001

T: +31 10 4082727

E: mverbeek@rsm.nl

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[go to publisher's site]
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 (28)

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
W.J. Armstrong, E. Genc & M.J.C.M. Verbeek (2018). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, Accepted. doi: 10.1287/mnsc.2017.2884
M.J.C.M. Verbeek (2017). A Guide to Modern Econometrics, 5th edition. Hoboken, NJ: John Wiley and Sons
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
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]
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
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
W.J. Armstrong, E. Genc & M.J.C.M. Verbeek (2018). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, Accepted. doi: 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
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 (28)

Behavioral Finance and Agent-Based Artificial Markets

Role: Member Doctoral Committee
PhD Candidate: Milan Lovric
Time frame: 2005 - 2011

An Analysis of Occupational Pension Provision: From Evaluation to Redesign

Role: Promotor
PhD Candidate: Xiaohong Huang
Time frame: 2005 - 2010

Empirical Essays on Debt, Equity, and Convertible Securities

Role: Promotor
PhD Candidate: Patrick Verwijmeren
Time frame: 2005 - 2008

The Analysis of Mutual Fund Performance: Evidence from U.S. Equity Mutual Funds

Role: Promotor
PhD Candidate: Diana Budiono
Time frame: 2005 - 2010

Empirical Essays on Office Market Dynamics

Role: Member Doctoral Committee
PhD Candidate: Maarten Jennen
Time frame: 2004 - 2008

Capital Structure, Strategic Competition, and Governance

Role: Member Doctoral Committee
PhD Candidate: Thuy Nguyen
Time frame: 2005 - 2008

The Long and Short Side of Real Estate, Real Estate Stocks, and Equity

Role: Promotor
PhD Candidate: Melissa Porras Prado
Time frame: 2006 - 2012

Investment Strategies based on Social Responsibility and Bubbles

Role: Member Doctoral Committee
PhD Candidate: Nadja Günster
Time frame: 2003 - 2009

Hierarchical Portfolio Management: Theory and Applications

Role: Member Doctoral Committee
PhD Candidate: Haikun Ning
Time frame: 2003 - 2007

Corporate Bond Issuers

Role: Member Doctoral Committee
PhD Candidate: Willem Schramade
Time frame: 2002 - 2006

Innovation in the Pharmaceutical Industry: Evidence from Drug Introductions in the U.S.

Role: Member Doctoral Committee
PhD Candidate: Lenny Pattikawa
Time frame: 2002 - 2007

New Insights into Mutual Funds: Performance and Family Strategies

Role: Promotor
PhD Candidate: Joop Huij
Time frame: 2002 - 2007

On Hedge Fund Performance, Capital Flows and Investor Psychology

Role: Promotor
PhD Candidate: Guillermo Baquero
Time frame: 2001 - 2006

On Crises, Crashes and Comovements

Role: Promotor
PhD Candidate: Erik Kole
Time frame: 2001 - 2006

Empirical Studies on Exchange Rate Puzzles and Volatility

Role: Member Doctoral Committee
PhD Candidate: Ben Tims
Time frame: 1999 - 2006

Empirical Essays on the Stock Returns, Risk Management, and Liquidity Creation of Banks

Role: Promotor
PhD Candidate: Ying Xu
Time frame: 2006 - 2010

Information Content of Mutual Fund Portfolio Disclosure

Role: Promotor
PhD Candidate: Yu Wang
Time frame: 2008 - 2011

Liquidity, Investors, and International Capital Markets

Role: Member Doctoral Committee
PhD Candidate: Dimitrios Vagias
Time frame: 2008 - 2013

Empirical Studies on Actively Managed Mutual Funds: New Insights into the Costs and Benefits of Portfolio Disclosure

Role: Promotor
PhD Candidate: Teodor Dyakov
Time frame: 2010 - 2014

Market Efficiency and Liquidity

Role: Member Doctoral Committee, Promotor
PhD Candidate: Dominik Rösch
Time frame: 2010 - 2015

Essays in Banking and Corporate Finance

Role: Member Doctoral Committee
PhD Candidate: Teng Wang
Time frame: 2011 - 2015

Price Discovery, Liquidity Provision, and Low-Latency Trading

Role: Member Doctoral Committee, Promotor
PhD Candidate: Darya Yuferova
Time frame: 2011 - 2016

The Family Role in Mutual Fund Performance

Role: Promotor, Daily Supervisor
PhD Candidate: Marina Dzhelepska
Time frame: 2012 -

The Cost of Market Efficiency: a micro-structural approach

Role: Promotor
PhD Candidate: Lingtian Kong
Time frame: 2012 -

Factor Investing Inefficiencies in current investment approaches and drivers of long term premiums

Role: Promotor
PhD Candidate: Georgi Kyosev
Time frame: 2014 -

Agency Problems in the Mutual Fund Industry

Role: Promotor
PhD Candidate: Gelly Fu
Time frame: 2016 -

PhD in Financial Markets and Investment Strategies

Role: Promotor
PhD Candidate: Lennard Böckenförde
Time frame: 2018 -

Financial Markets and Investment Strategies

Role: Promotor
PhD Candidate: Xander Hut
Time frame: 2018 -

Recognitions (2)

Editorial positions

De Economist

Associate Editor

Side positions

Netspar

Research Coordinator

Courses (5)

Applied Econometrics (2018/2019, 2017/2018, 2016/2017)

Past

Panel Data Econometrics: Theory and Practice (2017/2018)
Publishing Strategy (2017/2018, 2016/2017)
Seminar Asset Pricing 1 (2016/2017)
Seminar Asset Pricing 2 (2016/2017)

PhD Vacancy (1)

Financial Markets and Investment Strategies

Risks and rewards play a pivotal role in theoretical and empirical research on 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. However, the notion that security prices are always accurate (the “efficient markets hypothesis”) has been undermined by mounting evidence on incidences of mispricing, “behavioural finance”, and limits to arbitrage. This development has opened the door to idiosyncratic risk and variables related to mispricing being considered as potential determinants of expected returns. Establishing the determinants of asset prices and expected returns of securities in different asset classes remains a key challenge, and a very active area of research. Research on financial markets further considers trading on financial markets, the role of different types of (institutional) investors, the viability of different investment strategies, and also the broader role of financial markets in society.

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.