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Publications

by members of

Department of Finance
Rotterdam School of Management (RSM Erasmus University)
Erasmus Universiteit Rotterdam
Rotterdam, Netherlands

(Erasmus University of Rotterdam))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2014

  1. van Dijk, M.A., 2014. "The Social Value of Finance," ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University an EIA-2014-055-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..

2013

  1. Stulz, Rene M. & Vagias, Dimitrios & Van Dijk, Mathijs A., 2013. "Do Firms Issue More Equity When Markets Are More Liquid?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2013-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  2. Ager, Philipp & Spargoli, Fabrizio, 2013. "Bank Deregulation, Competition and Economic Growth: The US Free Banking Experience," MPRA Paper 49269, University Library of Munich, Germany.

2012

  1. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Sunshine Trading: Flashes of Trading Intent at the NASDAQ," Tinbergen Institute Discussion Papers 12-141/IV/DSF47, Tinbergen Institute.
  2. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers 12-140/IV/DSF46, Tinbergen Institute.
  3. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012. "Identifying cross-sided liquidity externalities," Working Paper, Norges Bank 2012/20, Norges Bank.

2010

  1. Hou, Kewei & van Dijk, Mathijs A., 2010. "Profitability Shocks and the Size EFfect in the Cross-Section of Expected Stock Return," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2010-1, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  2. Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2010. "The Implied Cost of Capital: A New Approach," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2010-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics.

2009

  1. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. van Dijk & Marno Verbeek, 2009. "Forecast accuracy and economic gains from Bayesian model averaging using time varying weight," Working Paper, Norges Bank 2009/10, Norges Bank.

2008

  1. Abe de Jong & Thuy Thu Nguyen & Mathijs A. van Dijk, 2008. "Strategic Debt: Evidence from Bertrand and Cournot Competition," Working Papers 11, Development and Policies Research Center (DEPOCEN), Vietnam.
  2. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures: a structural view ," Research Discussion Papers, Bank of Finland 26/2008, Bank of Finland.

2007

  1. Karolyi, G. Andrew & Lee, Kuan Hui & van Dijk, Mathijs A., 2007. "Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2007-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  2. Spargoli, Fabrizio & Zagaglia, Paolo, 2007. "Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations," Research Papers in Economics, Stockholm University, Department of Economics 2007:16, Stockholm University, Department of Economics.
  3. Spargoli, Fabrizio & Zagaglia, Paolo, 2007. "The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model," Research Papers in Economics, Stockholm University, Department of Economics 2007:15, Stockholm University, Department of Economics.
  4. Ravazzolo, F. & van Dijk, H.K. & Verbeek, M.J.C.M., 2007. "Predictive gains from forecast combinations using time-varying model weights," Econometric Institute Research Papers EI 2007-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Prado, Melissa Porras & Verbeek, Dirk Brounen & & Brounen, Dirk & Verbeek, Marno, 2007. "Real Estate Allocation in an ALM Framework," ERES, European Real Estate Society (ERES) eres2007_134, European Real Estate Society (ERES).
  6. Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper, Norges Bank 2007/02, Norges Bank.

2006

  1. Koedijk, Kees & Tims, Ben & Van Dijk, Mathijs A, 2006. "Purchasing Power Parity and Heterogenous Mean Reversion," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5473, C.E.P.R. Discussion Papers.
  2. Szymanowska, M., 2006. "Essays on Rational Asset Pricing," Open Access publications from Tilburg University urn:nbn:nl:ui:12-193810, Tilburg University.
  3. Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5652, C.E.P.R. Discussion Papers.
  4. Baquero, G. & Verbeek, M.J.C.M., 2006. "Do Sophisticated Investors Believe in the Law of Small Numbers?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2006-033-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  5. Erjon Luci & Marta Muco & Elvira Sojli, 2006. "Euroisation in Albania: From Spontaneous to Consensual," wiiw Balkan Observatory Working Papers, The Vienna Institute for International Economic Studies, wiiw 71, The Vienna Institute for International Economic Studies, wiiw.

2005

  1. Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005, Society for Computational Economics 40, Society for Computational Economics.
  2. Baquero, G. & Verbeek, M.J.C.M., 2005. "A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2005-068-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

2004

  1. Koedijk, Kees & Tims, Ben & Van Dijk, Mathijs A, 2004. "Purchasing Power Parity and the Euro Area," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4510, C.E.P.R. Discussion Papers.
  2. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004. "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2004-027-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  3. Daniševská, P. & de Jong, A. & Verbeek, M.J.C.M., 2004. "Do Banks Influence the Capital Structure Choices of Firms?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2004-040-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  4. ter Horst, J.R. & Verbeek, M.J.C.M., 2004. "Fund liquidation, self-selection and look-ahead bias in the hedge fund industry," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2004-104-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

2003

  1. Swinkels, L.A.P. & Sluis, P.J. van der & Verbeek, M.J.C.M., 2003. "Market Timing: A Decomposition of Mutual Fund Returns," Discussion Paper, Tilburg University, Center for Economic Research 2003-95, Tilburg University, Center for Economic Research.
  2. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2003. "Stress Testing with Student's t Dependence," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2003-056-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

2002

  1. Flood, M.D. & Koedijk, C.G. & van Dijk, M.A. & van Leeuwen, I.W., 2002. "Dividing the Pie," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2002-101-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  2. Koedijk, C.G. & van Dijk, M.A., 2002. "Do Global Risk Factors Matter for International Cost of Capital Computations?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2002-100-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  3. Koedijk, C.G. & van Dijk, M.A., 2002. "The Cost of Capital of Cross-Listed Firms," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2002-99-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  4. Baquero, G. & Horst, J.R. ter & Verbeek, M.J.C.M., 2002. "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," Discussion Paper, Tilburg University, Center for Economic Research 2002-111, Tilburg University, Center for Economic Research.
  5. Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002. "Do Countries or Industries Explain Momentum in Europe?," Discussion Paper, Tilburg University, Center for Economic Research 2002-9, Tilburg University, Center for Economic Research.
  6. Verbeek, M.J.C.M., 2002. "Onweerlegbaar Bewijs? Over het Belang en de Waarde van empirisch Onderzoek voor Financierings- en Beleggingsvraagstukken," ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University an 343, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..

2001

  1. Koedijk, Kees & Kool, Clemens J. M. & Schotman, Peter C & Van Dijk, Mathijs A, 2001. "The Cost of Capital in International Financial Markets: Local or Global," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3062, C.E.P.R. Discussion Papers.
  2. Peter De Goeij & Marno Verbeek, 2001. "An Empirical Analysis of Affine Term Structure Models Using the Generalized Method of Moments," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces0101, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  3. Horst, J.R. ter & Nijman, T.E. & Verbeek, M.J.C.M., 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Open Access publications from Tilburg University urn:nbn:nl:ui:12-87532, Tilburg University.

2000

  1. Wessel Marquering & Marno Verbeek, 2000. "The Economic Value of Predicting Stock Index Returns and Volatility," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces0020, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  2. Verbeek, M.J.C.M. & Vella, F., 2000. "Estimating Dynamic Models from Repeated Cross-Sections," Discussion Paper, Tilburg University, Center for Economic Research 2000-25, Tilburg University, Center for Economic Research.

1999

  1. van Dijk, Mathijs & Schweitzer, Mark & Eichholtz, Piet, 1999. "Mean-Variance Spanning: Added Value of Real Estate," ERES, European Real Estate Society (ERES) eres1999_138, European Real Estate Society (ERES).
  2. Vella, F. & Verbeek, M.J.C.M., 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Open Access publications from Tilburg University urn:nbn:nl:ui:12-80344, Tilburg University.

1998

  1. Koedijk, K.G. & Kool, C.J.M. & Nissen, F.G.J.A. & Schotman, P.C. & Van Dijk, M.A., 1998. "The Cost of Capital in International Financial Markets: Local Versus Global Beta," Papers, Southern California - School of Business Administration 99-55, Southern California - School of Business Administration.
  2. Wessel Marquering & Marno Verbeek, 1998. "An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces9824, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  3. Jenke R. ter Horst & Theo E. Nijman & Marno Verbeek, 1998. "Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample," Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën ces9820, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.

1997

  1. Horst, J.R. ter & Verbeek, M.J.C.M., 1997. "Estimating short-run persistence in mutual fund performance," Discussion Paper, Tilburg University, Center for Economic Research 97.21, Tilburg University, Center for Economic Research.

1993

  1. Vella, F. & Verbeek, M., 1993. "Estimating and testing Simultaneous Equation Panel Data Models with Censored Endogenous Variables," Papers, Tilburg - Center for Economic Research 9359, Tilburg - Center for Economic Research.
  2. Vella, F. & Verbeek, M., 1993. "Estmating and Interpreting Models with Endogenous Treatment Effects: The Relationship between Competing Estimators of the Union Impact on Wages," Papers, Tilburg - Center for Economic Research 9351, Tilburg - Center for Economic Research.

1992

  1. Verbeek, M. & Nijman, T., 1992. "Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections," Papers, Tilburg - Center for Economic Research 9201, Tilburg - Center for Economic Research.
  2. Verbeek, M. & Nijman, T., 1992. "Incomplete Panels and Selection Bias: A Survey," Papers, Tilburg - Center for Economic Research 9207, Tilburg - Center for Economic Research.
  3. Vella, F. & Verbeek, M., 1992. "Estimating the Impact of Endogenous Unions Choice on Wages Using Panel Data," Papers, Tilburg - Center for Economic Research 9232, Tilburg - Center for Economic Research.
  4. Vella, F. & Verbeek, M.J.C.M., 1992. "Estimating the impact of endogenous union choice on wages using panel data (Revised version)," Discussion Paper, Tilburg University, Center for Economic Research 1992-32, Tilburg University, Center for Economic Research.
  5. Nijman, T.E. & Verbeek, M.J.C.M., 1992. "The optimal choice of controls and pre-experimental observations," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153278, Tilburg University.
  6. Nijman, T.E. & Verbeek, M.J.C.M., 1992. "Testing for selectivity in panel data models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153280, Tilburg University.
  7. Nijman, T.E. & Verbeek, M.J.C.M., 1992. "Non-response in panel data: The impact on estimates of a life cycle consumption function," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153282, Tilburg University.
  8. Verbeek, M.J.C.M. & Nijman, T.E., 1992. "Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version)," Discussion Paper, Tilburg University, Center for Economic Research 1992-1, Tilburg University, Center for Economic Research.

1991

  1. Nijman, T.E. & Verbeek, M.J.C.M. & Soest, A.H.O. van, 1991. "The efficiency of rotating panel designs in an analysis of variance model," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153279, Tilburg University.

1990

  1. Verbeek, M. & Nijman, T., 1990. "Testing For Selectivity Bias In Panel Data Models," Papers, Tilburg - Center for Economic Research 9018, Tilburg - Center for Economic Research.
  2. Verbeek, M. & Nijman, T., 1990. "Can Cohort Data Be Treated As Genuine Panel Data," Papers, Tilburg - Center for Economic Research 9064, Tilburg - Center for Economic Research.

1989

  1. Nijman, T. & Verbeek, M., 1989. "The Nonresponse Bias In The Analysis Of The Determinants Of Total Expenditures Of Households Based On Panel Data," Papers, Tilburg - Center for Economic Research 8936, Tilburg - Center for Economic Research.
  2. Verbeek, M.J.C.M., 1989. "On the estimation of a fixed effects model with selective non-response," Research Memorandum, Tilburg University, Faculty of Economics and Business Administration 376, Tilburg University, Faculty of Economics and Business Administration.

1988

  1. Nijman, T.E. & Verbeek, M.J.C.M., 1988. "Estimation of time dependent parameters in linear models using cross sections, panels or both," Research Memorandum, Tilburg University, Faculty of Economics and Business Administration 302, Tilburg University, Faculty of Economics and Business Administration.
  2. Nijman, T.E. & Verbeek, M.J.C.M. & Soest, A.H.O. van, 1988. "The optimal design of rotating panels in a simple analysis of variance model," Research Memorandum, Tilburg University, Faculty of Economics and Business Administration 318, Tilburg University, Faculty of Economics and Business Administration.

Journal articles

2013

  1. Larrain, Borja & Urzúa I., Francisco, 2013. "Controlling shareholders and market timing in share issuance," Journal of Financial Economics, Elsevier, Elsevier, vol. 109(3), pages 661-681.
  2. Donelli, Marcelo & Larrain, Borja & Francisco Urzúa, I., 2013. "Ownership Dynamics with Large Shareholders: An Empirical Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 48(02), pages 579-609, April.
  3. Verbeek, Marno & Wang, Yu, 2013. "Better than the original? The relative success of copycat funds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(9), pages 3454-3471.
  4. Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno, 2013. "Short-term residual reversal," Journal of Financial Markets, Elsevier, Elsevier, vol. 16(3), pages 477-504.
  5. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 4931-4942.
  6. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 5073-5087.

2012

  1. Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2012. "The implied cost of capital: A new approach," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 53(3), pages 504-526.
  2. Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012. "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(1), pages 82-112.
  3. Nguyen, Thuy Thu & van Dijk, Mathijs A., 2012. "Corruption, growth, and governance: Private vs. state-owned firms in Vietnam," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(11), pages 2935-2948.
  4. Frans de Roon & Marta Szymanowska, 2012. "Asset Pricing Restrictions on Predictability: Frictions Matter," Management Science, INFORMS, INFORMS, vol. 58(10), pages 1916-1932, October.
  5. Abe de Jong & Marno Verbeek & Patrick Verwijmeren, 2012. "Does Financial Flexibility Reduce Investment Distortions?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 35(2), pages 243-259, 06.

2011

  1. Koedijk, Kees G. & Tims, Ben & van Dijk, Mathijs A., 2011. "Why panel tests of purchasing power parity should allow for heterogeneous mean reversion," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(1), pages 246-267, February.
  2. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(12), pages 3263-3274.
  3. de Jong, Abe & Verbeek, Marno & Verwijmeren, Patrick, 2011. "Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1303-1314, May.

2010

  1. Moerman, Gerard A. & van Dijk, Mathijs A., 2010. "Inflation risk and international asset returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(4), pages 840-855, April.
  2. Abe de Jong & Marno Verbeek & Patrick Verwijmeren, 2010. "The Impact of Financing Surpluses and Large Financing Deficits on Tests of the Pecking Order Theory," Financial Management, Financial Management Association International, Financial Management Association International, vol. 39(2), pages 733-756, 06.
  3. Dirk Brounen & Melissa Porras Prado & Marno Verbeek, 2010. "Real Estate in an ALM Framework: The Case of Fair Value Accounting," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 38(4), pages 775-804, Winter.
  4. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
  5. King, Michael & Sarno, Lucio & Sojli, Elvira, 2010. "Timing exchange rates using order flow: The case of the Loonie," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(12), pages 2917-2928, December.
  6. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, Elsevier, vol. 80(1), pages 72-88, January.

2009

  1. Abe De Jong & Leonard Rosenthal & Mathijs A. Van Dijk, 2009. "The Risk and Return of Arbitrage in Dual-Listed Companies," Review of Finance, European Finance Association, European Finance Association, vol. 13(3), pages 495-520.
  2. Roosenboom, Peter & van Dijk, Mathijs A., 2009. "The market reaction to cross-listings: Does the destination market matter?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(10), pages 1898-1908, October.
  3. Urzúa I., Francisco, 2009. "Too few dividends? Groups' tunneling through chair and board compensation," Journal of Corporate Finance, Elsevier, Elsevier, vol. 15(2), pages 245-256, April.
  4. Joop Huij & Marno Verbeek, 2009. "On the Use of Multifactor Models to Evaluate Mutual Fund Performance," Financial Management, Financial Management Association International, Financial Management Association International, vol. 38(1), pages 75-102, 03.
  5. Jeroen Rombouts & Marno Verbeek, 2009. "Evaluating portfolio Value-at-Risk using semi-parametric GARCH models," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(6), pages 737-745.
  6. Lucio Sarno & Elvira Sojli, 2009. "The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 41(2-3), pages 437-442, 03.

2008

  1. Dirk Brounen & Mathijs van Dijk & Piet M.A. Eichholtz, 2008. "Corporate Real Estate and Corporate Takeovers: International Evidence," Journal of Real Estate Research, American Real Estate Society, American Real Estate Society, vol. 30(3), pages 293-314.
  2. Lefort, Fernando & Urzúa, Francisco, 2008. "Board independence, firm performance and ownership concentration: Evidence from Chile," Journal of Business Research, Elsevier, Elsevier, vol. 61(6), pages 615-622, June.

2007

  1. Jenke Ter Horst & Marno Verbeek, 2007. "Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry," Review of Finance, European Finance Association, European Finance Association, vol. 11(4), pages 605-632.
  2. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(8), pages 2405-2423, August.
  3. Verbeek, Marno, 2007. "A Guide to Modern Econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 8(4), pages 125-132.
  4. Huij, Joop & Verbeek, Marno, 2007. "Cross-sectional learning and short-run persistence in mutual fund performance," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(3), pages 973-997, March.
  5. Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(3), pages 197-213.

2006

  1. Koedijk, Kees G. & Lothian, James R. & van Dijk, Mathijs A., 2006. "Foreign exchange markets: Overview of the special issue," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(1), pages 1-6, February.
  2. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(8), pages 2347-2369, August.
  3. Verbeek, Marno, 2006. "Panel Data Models," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 1(1), pages 94-135.

2005

  1. Fabrizio Spargoli, 2005. "Monetary Policy Transmission Mechanisms within the European Monetary Union," Rivista di Politica Economica, SIPI Spa, SIPI Spa, vol. 95(6), pages 31-68, November-.
  2. Baquero, Guillermo & ter Horst, Jenke & Verbeek, Marno, 2005. "Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 40(03), pages 493-517, September.
  3. Verbeek, Marno & Vella, Francis, 2005. "Estimating dynamic models from repeated cross-sections," Journal of Econometrics, Elsevier, Elsevier, vol. 127(1), pages 83-102, July.

2004

  1. Koedijk, Kees G. & Tims, Ben & van Dijk, Mathijs A., 2004. "Purchasing power parity and the euro area," Journal of International Money and Finance, Elsevier, Elsevier, vol. 23(7-8), pages 1081-1107.
  2. Kees G. Koedijk & Mathijs A. van Dijk, 2004. "The Cost of Capital of Cross-listed Firms," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 10(3), pages 465-486.
  3. Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004. "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(4), pages 461-481, September.
  4. Marquering, Wessel & Verbeek, Marno, 2004. "A multivariate nonparametric test for return and volatility timing," Finance Research Letters, Elsevier, Elsevier, vol. 1(4), pages 250-260, December.
  5. Marquering, Wessel & Verbeek, Marno, 2004. "The Economic Value of Predicting Stock Index Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 39(02), pages 407-429, June.

2002

  1. Koedijk, Kees G. & Kool, Clemens J. M. & Schotman, Peter C. & van Dijk, Mathijs A., 2002. "The cost of capital in international financial markets: local or global?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(6), pages 905-929, November.

2001

  1. ter Horst, Jenke R. & Nijman, Theo E. & Verbeek, Marno, 2001. "Eliminating look-ahead bias in evaluating persistence in mutual fund performance," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(4), pages 345-373, September.

2000

  1. Jenke Ter Horst & Marno Verbeek, 2000. "Estimating Short-Run Persistence In Mutual Fund Performance," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 646-655, November.

1999

  1. Vella, Francis & Verbeek, Marno, 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Journal of Econometrics, Elsevier, Elsevier, vol. 90(2), pages 239-263, June.
  2. Marquering, Wessel & Verbeek, Marno, 1999. "An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(3), pages 243-265, September.
  3. Vella, Francis & Verbeek, Marno, 1999. "Estimating and Interpreting Models with Endogenous Treatment Effects," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(4), pages 473-78, October.
  4. Rummery, Sarah & Vella, Francis & Verbeek, Marno, 1999. "Estimating the returns to education for Australian youth via rank-order instrumental variables," Labour Economics, Elsevier, Elsevier, vol. 6(4), pages 491-507, November.

1998

  1. Koedijk, Kees G. & Schotman, Peter C. & Van Dijk, Mathijs A., 1998. "The re-emergence of PPP in the 1990s," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(1), pages 51-61, February.
  2. Francis Vella & Marno Verbeek, 1998. "Whose wages do unions raise? A dynamic model of unionism and wage rate determination for young men," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 13(2), pages 163-183.

1993

  1. Verbeek, Marno & Nijman, Theo, 1993. "Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections," Journal of Econometrics, Elsevier, Elsevier, vol. 59(1-2), pages 125-136, September.
  2. Verbeek, Marno, 1993. "Missing measurements in econometric models with no auxiliary relations," Economics Letters, Elsevier, Elsevier, vol. 43(2), pages 125-128.

1992

  1. Nijman, Theo & Verbeek, Marno, 1992. "Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(3), pages 243-57, July-Sept.
  2. Nijman, Theo & Verbeek, Marno, 1992. "The optimal choice of controls and pre-experimental observations," Journal of Econometrics, Elsevier, Elsevier, vol. 51(1-2), pages 183-189.
  3. Verbeek, Marno & Nijman, Theo, 1992. "Testing for Selectivity Bias in Panel Data Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 681-703, August.
  4. Verbeek, Marno & Nijman, Theo, 1992. "Can Cohort Data Be Treated as Genuine Panel Data?," Empirical Economics, Springer, Springer, vol. 17(1), pages 9-23.

1991

  1. Nijman, Theo & Verbeek, Marno & van Soest, Arthur, 1991. "The efficiency of rotating-panel designs in an analysis-of-variance model," Journal of Econometrics, Elsevier, Elsevier, vol. 49(3), pages 373-399, September.

1990

  1. Verbeek, Marno, 1990. "On the estimation of a fixed effects model with selectivity bias," Economics Letters, Elsevier, Elsevier, vol. 34(3), pages 267-270, November.
  2. Nijman, Theo & Verbeek, Marno, 1990. "Estimation of time-dependent parameters in linear models using cross-sections, panels, or both," Journal of Econometrics, Elsevier, Elsevier, vol. 46(3), pages 333-346, December.