prof.dr. M.A. (Mathijs) van Dijk

Full Professor

Department of Finance

Rotterdam School of Management (RSM)

Erasmus University Rotterdam

Fellow ERIM

Field: Finance & Accounting

Affiliated since 2002

T: +31 10 4081124

E: madijk@rsm.nl

Mathijs A. van Dijk (personal website for recent working papers, data, etc.) is professor of finance at Rotterdam School of Management, Erasmus University (RSM).

His research focus is international finance and investments. He has published in leading academic journals such as the Review of Financial Studies, the Journal of Financial Economics, the Journal of Accounting and Economics, and the Review of Finance.

Professor van Dijk has presented his work extensively at international conferences and seminars at academic institutions including, among others, Boston College, Dartmouth, Duke, Harvard, HEC Paris, INSEAD, and UCLA. He is also a frequent speaker at industry events and has written for practitioner-oriented journals such as the Financial Analysts Journal. His work has been covered by, e.g., The Economist, the New York Times, Volkskrant, NRC, VOXEU, the World Bank "All About Finance" blog, the Oxford Business Law Blog, and the Harvard Law School Forum on Corporate Governance and Financial Regulation.

Professor van Dijk has been a visiting graduate student at Warwick Business School and Princeton University and a visiting research scholar at the Ohio State University, Duke University, and UCLA. He obtained his MSc in Econometrics (cum laude) from Erasmus University and his PhD in Finance from Maastricht University. In 2008, he received a 600,000 euro Vidi-grant from the Netherlands Organisation for Scientific Research (NWO) for a five-year research program on "Liquidity Black Holes". In 2014, he held his inaugural address as a finance professor (entitled “The Social Value of Finance”).

Publications (25)

Key Publications (13)

K. Hou & M.A. van Dijk (2019). Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns. The Review of Financial Studies, 32 (7), 2850-2889. doi: 10.1093/rfs/hhy104
R.M. Hanselaar, R.M. Stulz & M.A. van Dijk (2019). Do Firms Issue More Equity When Markets Become More Liquid? Journal of Financial Economics, 133 (1), 64-82. doi: 10.1016/j.jfineco.2018.12.004
C.K.W. Dreu & M.A. van Dijk (2018). Climatic Shocks Associate with Innovation in Science and Technology. PLoS One (online), 13 (1). doi: 10.1371/journal.pone.0190122
D.M. Rosch, A. Subrahmanyam & M.A. van Dijk (2017). The dynamics of market efficiency. The Review of Financial Studies, 30 (4), 1151-1187. doi: 10.1093/rfs/hhw085
G.A. Karolyi, K. Lee & M.A. van Dijk (2012). Understanding Commonality in Liquidity Around the World. Journal of Financial Economics, 105 (1), 82-112. doi: 10.1016/j.jfineco.2011.12.008
K. Hou & M.A. van Dijk (2012). The Implied Cost of Capital: A New Approach. Journal of Accounting and Economics, 53 (3), 504-526. doi: 10.1016/j.jacceco.2011.12.001
A. de Jong, L. Rosenthal & M.A. van Dijk (2009). The risk and return of arbitrage in dual-listed companies. Review of Finance, 13 (3), 495-520. doi: 10.1093/rof/rfn031
M.A. van Dijk & P.G.J. Roosenboom (2009). The market reaction to cross-listings: Does the destination market matter? Journal of Banking and Finance, 33 (10), 1898-1908. doi: 10.1016/j.jbankfin.2009.04.010
C.G. Koedijk, J.R. Lothian & M.A. van Dijk (2006). Foreign Exchange Markets. Journal of International Money and Finance, 25 (1), 1-6. doi: 10.1016/j.jimonfin.2005.10.001
C.G. Koedijk & M.A. van Dijk (2004). Global Risk Factors and the Cost of Capital. Financial Analysts Journal, 60 (2), 32-38.
C.G. Koedijk, B. Tims & M.A. van Dijk (2004). Purchasing Power Parity and the Euro Area. Journal of International Money and Finance, 23 (7/8), 1081-1107. doi: 10.1016/j.jimonfin.2004.08.005
C.G. Koedijk, C. Kool, P. Schotman & M.A. van Dijk (2002). The cost of capital in international financial markets: local or global? Journal of International Money and Finance, 21 (6), 905-930. doi: 10.1016/S0261-5606(02)00028-1
C.G. Koedijk, P.C. Schotman & M.A. van Dijk (1998). The Re-emergence of PPP in the 1990s. Journal of International Money and Finance, 17 (1), 51-61. doi: 10.1016/S0261-5606(97)98051-7

Articles (21)

K. Hou & M.A. van Dijk (2019). Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns. The Review of Financial Studies, 32 (7), 2850-2889. doi: 10.1093/rfs/hhy104
R.M. Hanselaar, R.M. Stulz & M.A. van Dijk (2019). Do Firms Issue More Equity When Markets Become More Liquid? Journal of Financial Economics, 133 (1), 64-82. doi: 10.1016/j.jfineco.2018.12.004
C.K.W. Dreu & M.A. van Dijk (2018). Climatic Shocks Associate with Innovation in Science and Technology. PLoS One (online), 13 (1). doi: 10.1371/journal.pone.0190122
D.M. Rosch, A. Subrahmanyam & M.A. van Dijk (2017). The dynamics of market efficiency. The Review of Financial Studies, 30 (4), 1151-1187. doi: 10.1093/rfs/hhw085
A. Guenster & M.A. van Dijk (2016). The impact of European antitrust policy: Evidence from the stock market. International Review of Law and Economics, 46 , 20-33. doi: 10.1016/j.irle.2015.12.001
T.T. Nguyen & M.A. van Dijk (2012). Corruption, Growth, and Governance: Private vs. State-owned Firms in Vietnam. Journal of Banking and Finance, 36 (11), 2935-2948. doi: 10.1016/j.jbankfin.2012.03.027
G.A. Karolyi, K. Lee & M.A. van Dijk (2012). Understanding Commonality in Liquidity Around the World. Journal of Financial Economics, 105 (1), 82-112. doi: 10.1016/j.jfineco.2011.12.008
K. Hou & M.A. van Dijk (2012). The Implied Cost of Capital: A New Approach. Journal of Accounting and Economics, 53 (3), 504-526. doi: 10.1016/j.jacceco.2011.12.001
C.G. Koedijk, B. Tims & M.A. van Dijk (2011). Why Panel Tests of Purchasing Power Parity Should Allow for Heterogeneous Mean Reversion. Journal of International Money and Finance, 30 (1), 246-267. doi: 10.1016/j.jimonfin.2010.10.004
M.A. van Dijk (2011). Is Size Dead? A Review of the Size Effect in Equity Returns. Journal of Banking and Finance, 35 (12), 3263-3274. doi: 10.1016/j.jbankfin.2011.05.009
G.A. Moerman & M.A. van Dijk (2010). Inflation Risk and International Asset Returns. Journal of Banking and Finance, 34 (4), 840-855. doi: 10.1016/j.jbankfin.2009.09.014
A. de Jong, L. Rosenthal & M.A. van Dijk (2009). The risk and return of arbitrage in dual-listed companies. Review of Finance, 13 (3), 495-520. doi: 10.1093/rof/rfn031
M.A. van Dijk & P.G.J. Roosenboom (2009). The market reaction to cross-listings: Does the destination market matter? Journal of Banking and Finance, 33 (10), 1898-1908. doi: 10.1016/j.jbankfin.2009.04.010
D. Brounen, M.A. van Dijk & P.M.A. Eichholtz (2008). Corporate Real Estate and Corporate Takeovers: International Evidence. Journal of Real Estate Research, 30 (3), 293-314.
C.G. Koedijk, J.R. Lothian & M.A. van Dijk (2006). Foreign Exchange Markets. Journal of International Money and Finance, 25 (1), 1-6. doi: 10.1016/j.jimonfin.2005.10.001
C.G. Koedijk & M.A. van Dijk (2004). Global Risk Factors and the Cost of Capital. Financial Analysts Journal, 60 (2), 32-38.
C.G. Koedijk & M.A. van Dijk (2004). The Cost of Capital of Cross-Listed Firms. European Financial Management, 10 (3), 465-486.
C.G. Koedijk, B. Tims & M.A. van Dijk (2004). Purchasing Power Parity and the Euro Area. Journal of International Money and Finance, 23 (7/8), 1081-1107. doi: 10.1016/j.jimonfin.2004.08.005
C.G. Koedijk, C. Kool, P. Schotman & M.A. van Dijk (2002). The cost of capital in international financial markets: local or global? Journal of International Money and Finance, 21 (6), 905-930. doi: 10.1016/S0261-5606(02)00028-1
C.G. Koedijk, P.C. Schotman & M.A. van Dijk (1998). The Re-emergence of PPP in the 1990s. Journal of International Money and Finance, 17 (1), 51-61. doi: 10.1016/S0261-5606(97)98051-7
M.A. van Dijk & P.A.G. van Bergeijk (1997). Resource Misallocation and Mark-ups: An Alternative Estimation Technique for Harberger Triangles. Economics Letters, 54 , 165-167. doi: 10.1016/S0165-1765(97)00021-9

Book Contributions (3)

M.D. Flood, C.G. Koedijk, M.A. van Dijk & I.W. van Leeuwen (2010). Securities Trading, Asymmetric Information, and Market Transparency. In G.N. Gregoriou (Ed.), The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets (pp. 317-341). McGraw-Hill
T.T. Nguyen & M.A. van Dijk (2009). Corruption and Public Governance: Evidence from Vietnam. In G.N. Gregoriou (Ed.), Emerging Markets: Performance, Analysis and Innovation (Boca Raton) (pp. 693-713). CRC press: Chapman-Hall/Taylor and Francis London, UK
C.G. Koedijk, M.A. van Dijk & I.W. van Leeuwen (2008). The Impact of Inter-Dealer Trading on Market Liquidity Under Asymmetric Information. In Francois-Serge.Lhabitant Greg N. Gregoriou (Ed.), Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing (pp. 267-285). Hoboken: John Wiley & Sons

Professional Publications

M.A. van Dijk, J. Dul & J.A. Albuquerque de Sousa (2017). What makes new stock markets succesful?

PhD Tracks (24)

Capital Structure, Strategic Competition, and Governance

Role: Co-promotor
PhD Candidate: Thuy Nguyen
Time frame: 2005 - 2008

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

Role: Member Doctoral Committee
PhD Candidate: Melissa Porras Prado
Time frame: 2006 - 2012

Essays on Momentum Strategies in Finance

Role: Member Doctoral Committee
PhD Candidate: Arco van Oord
Time frame: 2006 - 2016

Extreme Dependence in Asset Markets Around the Globe

Role: Member Doctoral Committee
PhD Candidate: Thijs Markwat
Time frame: 2006 - 2011

Information Content of Mutual Fund Portfolio Disclosure

Role: Member Doctoral Committee
PhD Candidate: Yu Wang
Time frame: 2008 - 2011

Liquidity, Investors, and International Capital Markets

Role: Promotor
PhD Candidate: Dimitrios Vagias
Time frame: 2008 - 2013

To Own, To Finance, and To Insure; Residential Real Estate Revealed

Role: Member Doctoral Committee
PhD Candidate: Ruben Cox
Time frame: 2009 - 2013

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

Role: Member Doctoral Committee
PhD Candidate: Teodor Dyakov
Time frame: 2010 - 2014

Market Efficiency and Liquidity

Role: Daily Supervisor
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

Socially Situated Financial Markets:a Neo-Behavioral Perspective on Firms, Investors and Practices

Role: Member Doctoral Committee
PhD Candidate: Ivana Naumovska
Time frame: 2010 - 2014

Measurement, dynamics, and implications of heterogeneous beliefs in financial markets

Role: Member Doctoral Committee
PhD Candidate: Saskia ter Ellen
Time frame: 2010 - 2015

Aggregated macroeconomic news and price discovery

Role: Member Doctoral Committee
PhD Candidate: Justinas Brazys
Time frame: 2011 - 2015

Price Discovery, Liquidity Provision, and Low-Latency Trading

Role: Promotor
PhD Candidate: Darya Yuferova
Time frame: 2011 - 2016

Access to Finance in a Cross-Country Context

Role: Member Doctoral Committee
PhD Candidate: Vlado Kysucky
Time frame: 2011 - 2015

The Family Role in Mutual Fund Performance

Role: Promotor
PhD Candidate: Marina Dzhelepska
Time frame: 2012 -

Raising capital: On pricing, liquidity, and incentives

Role: Promotor
PhD Candidate: Rogier Hanselaar
Time frame: 2013 - 2018

Essays on Empirical Asset Pricing

Role: Promotor
PhD Candidate: Roy Verbeek
Time frame: 2013 - 2017

International stock markets: Essays on the determinants and consequences of financial market development

Role: Promotor
PhD Candidate: Jose Albuquerque de Sousa
Time frame: 2014 - 2019

Research Interests

Role: Promotor
PhD Candidate: Romulo Trindade Tomé Marques Alves
Time frame: 2016 -

Financial Markets and Investment Strategies

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

Essays on Financial Coordination

Role: Member Doctoral Committee
PhD Candidate: Lingtian Kong
Time frame: 2012 - 2019

Essays on Factor Investing

Role: Member Doctoral Committee
PhD Candidate: Georgi Kyosev
Time frame: 2014 - 2019

Sustainable Finance & Long-Term Value Creation

Role: Co-promotor
PhD Candidate: Eline ten Bosch
Time frame: 2019 -

Recognition (1)

Editorial positions

Journal of Empirical Finance

Associate Editor

Courses (2)

Past

Seminar Asset Pricing 1 (2018/2019, 2017/2018)
Seminar Asset Pricing 2 (2018/2019, 2017/2018)

PhD Vacancy (1)

PhD in Finance

The finance faculty at RSM is a vibrant and diverse group consisting of leading international researchers. Our faculty undertakes world-class research that is regularly published in the top academic journals.

We are looking for highly motivated candidates that have an interest in undertaking challenging and rigorous research. Besides a background in finance, we also welcome applicants with an education in Economics or Econometrics.

Candidates should indicate in their cover letter which field best matches their interest:

Asset Pricing
Corporate Finance
Banking and Financial Intermediation

If applicants have already an idea for a research project, they can briefly describe it in their Statement of Purpose. This, however, is not a requirement.