dr. M.M.J.E. (Mathijs) Cosemans
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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Work in Progress (4)
- M.M.J.E. Cosemans (2018). Causes and Consequences of Horizon Effects in Correlations. (Preprints). : RSM Erasmus University
- 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
- 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
Publications (7)
Articles (3)
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M.M.J.E. Cosemans, R.G.P. Frehen, P.C. Schotman & R.M.M.J. Bauer (2016). Estimating Security Betas Using Prior Information Based on Firm Fundamentals. The Review of Financial Studies, 29 (4), 1072-1112. doi: http://dx.doi.org/10.1093/rfs/hhv131[go to publisher's site]
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R.M.M.J. Bauer, M.M.J.E. Cosemans & P.C. Schotman (2010). Conditional Asset Pricing and Stock Market Anomalies in Europe. European Financial Management, 16 (2), 165-190. doi: http://dx.doi.org/10.1111/j.1468-036X.2008.00453.x[go to publisher's site]
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R.M.M.J. Bauer, M.M.J.E. Cosemans & P.M.A. Eichholtz (2009). Option Trading and Individual Investor Performance. Journal of Banking and Finance, 33, 731-746.
Doctoral Thesis
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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.
Professional Publications (3)
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M.M.J.E. Cosemans & P. Eichholtz (2010). Verhoging NHG past als een perfect gesneden maatpak. (no 15). -: Tijdschrift voor de Volkshuisvesting
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M.M.J.E. Cosemans & P. Eichholtz (2009). De Nederlandse Woningmarkt in Crisis. (no 4563s). -: Economisch Statistische Berichten
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R. Bauer, M.M.J.E. Cosemans, P. Eichholtz & M. Goldfinger (2007). De Prestaties van Particuliere Beleggers. (no 4508). -: Economisch Statistische Berichten
PhD Track (1)
- Role: Member Doctoral Committee
- PhD Candidate: Roy Verbeek
- Time frame: 2013 - 2017
Recognitions (12)
Editorial positions (8)
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Journal of Economic Behavior and Organization
Ad Hoc Reviewer
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Journal of Banking and Finance
Ad Hoc Reviewer
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Journal of Empirical Finance
Ad Hoc Reviewer
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Journal of Financial and Quantitative Analysis
Ad Hoc Reviewer
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Journal of International Money and Finance
Ad Hoc Reviewer
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The Review of Financial Studies
Ad Hoc Reviewer
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Journal of Financial Econometrics
Ad Hoc Reviewer
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Review of Finance
Ad Hoc Reviewer
Organization Memberships (4)
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Econometric Society
Member
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American Finance Association
Member
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Western Finance Association
Member
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European Finance Association
Member
Courses (2)
- Seminar Asset Pricing 1 (2017/2018, 2016/2017, 2015/2016)
- Seminar Asset Pricing 2 (2017/2018, 2016/2017, 2015/2016)
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 (3)
Address
Office: Mandeville Building T08-41
Burgemeester Oudlaan 50
3062 PA Rotterdam
Postbus 1738
3000 DR Rotterdam
Netherlands
