dr. M.M.J.E. (Mathijs) Cosemans

Associate Professor
Rotterdam School of Management (RSM)
Erasmus University Rotterdam
Associate Member ERIM
Field: Finance & Accounting
Affiliated since 2011

Mathijs Cosemans is an Associate Professor of Finance at RSM Erasmus University. Prior to joining RSM, he was a postdoctoral research fellow at the University of Amsterdam and a visiting research fellow at Harvard Business School and Columbia Business School. Mathijs obtained a Ph.D. degree from Maastricht University for his work on risk and return dynamics in stock markets. He holds a Bachelor’s and Master’s degree in Financial Economics (cum laude) and a Master’s degree in Econometrics from Maastricht University.

His research focuses on empirical asset pricing and financial econometrics and has been presented at leading universities and international conferences, including Harvard University, Yale University, and the American Finance Association, Western Finance Association, SFS Cavalcade, European Finance Association, and Econometric Society. His work has been published in international refereed academic journals such as the Review of Financial Studies and the Journal of Banking and Finance and has been cited in the popular press. He received grants from Inquire Europe, Netspar, and the Society for Financial Econometrics.

At RSM, Mathijs teaches MSc courses in Financial Derivatives and in Empirical Research Methods, an MBA course in Investments and Portfolio Theory, and the MPhil Asset Pricing Research Seminar. He has received the Best Professor award for excellence in teaching in the MSc Finance and Investments program.

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  • M.M.J.E. Cosemans & R.G.P. Frehen (2018). Salience Theory and Stock Prices: Empirical Evidence. (Preprints). : RSM Erasmus University and Tilburg University
  • M.M.J.E. Cosemans & R.G.P. Frehen (2018). Insider Trading and the Fairness of Financial Markets. (Preprints). : RSM Erasmus University and Tilburg University
  • M.M.J.E. Cosemans (2018). Causes and Consequences of Horizon Effects in Correlations. (Preprints). : RSM Erasmus University
  • A. Beber, M. Brandt, M.M.J.E. Cosemans & M. Verardo (2015). Ownership Crowded with Style: Institutional Ownership, Liquidity, and Liquidity Risk. (Preprints). : RSM Erasmus University
  • M.M.J.E. Cosemans (2010, april 1). Risk and Return Dynamics. Maastricht University (192 pag.) ( Universitaire Pers Maastricht) Prom./coprom.: Prof.Dr. R.M.M.J. Bauer, P.M.A. Eichholtz & prof.dr. P.C. Schotman.
  • M.M.J.E. Cosemans & P. Eichholtz (2010). Verhoging NHG past als een perfect gesneden maatpak. (no 15). -: Tijdschrift voor de Volkshuisvesting
  • M.M.J.E. Cosemans & P. Eichholtz (2009). De Nederlandse Woningmarkt in Crisis. (no 4563s). -: Economisch Statistische Berichten
  • R. Bauer, M.M.J.E. Cosemans, P. Eichholtz & M. Goldfinger (2007). De Prestaties van Particuliere Beleggers. (no 4508). -: Economisch Statistische Berichten
  • Role: Member Doctoral Committee
  • PhD Candidate: Roy Verbeek
  • Time frame: 2013 - 2017
  • Role: Daily Supervisor
  • PhD Candidate: Xander Hut
  • Time frame: 2018 -

Editorial positions (8)

  • Journal of Economic Behavior and Organization

    Ad Hoc Reviewer

  • Journal of Banking and Finance

    Ad Hoc Reviewer

  • Journal of Empirical Finance

    Ad Hoc Reviewer

  • Journal of Financial and Quantitative Analysis

    Ad Hoc Reviewer

  • Journal of International Money and Finance

    Ad Hoc Reviewer

  • The Review of Financial Studies

    Ad Hoc Reviewer

  • Journal of Financial Econometrics

    Ad Hoc Reviewer

  • Review of Finance

    Ad Hoc Reviewer

Organization Memberships (4)

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.

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Research Seminar
As: Speaker


Visiting address

Office: Mandeville Building T08-41
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam