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Marno Verbeek

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Personal Details

First Name: Marno
Middle Name:
Last Name: Verbeek
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RePEc Short-ID: pve266

Email:
Homepage: http://www.erim.nl/people/marno-verbeek
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Affiliation

Department of Finance
Rotterdam School of Management (RSM Erasmus University)
Erasmus Universiteit Rotterdam
Location: Rotterdam, Netherlands
Homepage: http://www.rsm.nl/home/faculty/academic_departments/finance
Email:
Phone: +31 (0)10 408 2585
Fax: +31 (0)10 408 9020
Postal: P.O. Box 1738, 3000 DR Rotterdam
Handle: RePEc:edi:dfmeunl (more details at EDIRC)

Works

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Working papers

  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 2009/10, Norges Bank.
  2. Prado, Melissa Porras & Verbeek, Dirk Brounen & & Brounen, Dirk & Verbeek, Marno, 2007. "Real Estate Allocation in an ALM Framework," ERES eres2007_134, European Real Estate Society (ERES).
  3. 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.
  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 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 Uni.
  5. Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers.
  6. Marno Verbeek & Jeroen VK Rombouts, 2005. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Computing in Economics and Finance 2005 40, Society for Computational Economics.
  7. 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 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 Uni.
  8. 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 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 Uni.
  9. 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 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 Uni.
  10. 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 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 Uni.
  11. 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 2003-95, Tilburg University, Center for Economic Research.
  12. 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 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 Uni.
  13. 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 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 Uni.
  14. Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002. "Do Countries or Industries Explain Momentum in Europe?," Discussion Paper 2002-9, Tilburg University, Center for Economic Research.
  15. 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 2002-111, Tilburg University, Center for Economic Research.
  16. 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 ces0101, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  17. 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.
  18. Wessel Marquering & Marno Verbeek, 2000. "The Economic Value of Predicting Stock Index Returns and Volatility," Center for Economic Studies - Discussion papers ces0020, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  19. Verbeek, M.J.C.M. & Vella, F., 2000. "Estimating Dynamic Models from Repeated Cross-Sections," Discussion Paper 2000-25, Tilburg University, Center for Economic Research.
  20. 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.
  21. 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 ces9824, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  22. 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 ces9820, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  23. Horst, J.R. ter & Verbeek, M.J.C.M., 1997. "Estimating short-run persistence in mutual fund performance," Discussion Paper 97.21, Tilburg University, Center for Economic Research.
  24. Vella, F. & Verbeek, M., 1993. "Estimating and testing Simultaneous Equation Panel Data Models with Censored Endogenous Variables," Papers 9359, Tilburg - Center for Economic Research.
  25. 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 9351, Tilburg - Center for Economic Research.
  26. Vella, F. & Verbeek, M., 1992. "Estimating the Impact of Endogenous Unions Choice on Wages Using Panel Data," Papers 9232, Tilburg - Center for Economic Research.
  27. 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 1992-1, Tilburg University, Center for Economic Research.
  28. Verbeek, M. & Nijman, T., 1992. "Minimum MSE Estimatin of a Regression Model with Fixed Effects from a Series of Cross Sections," Papers 9201, Tilburg - Center for Economic Research.
  29. Verbeek, M. & Nijman, T., 1992. "Incomplete Panels and Selection Bias: A Survey," Papers 9207, Tilburg - Center for Economic Research.
  30. 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.
  31. Vella, F. & Verbeek, M.J.C.M., 1992. "Estimating the impact of endogenous union choice on wages using panel data (Revised version)," Discussion Paper 1992-32, Tilburg University, Center for Economic Research.
  32. 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.
  33. 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.
  34. 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.
  35. Verbeek, M. & Nijman, T., 1990. "Can Cohort Data Be Treated As Genuine Panel Data," Papers 9064, Tilburg - Center for Economic Research.
  36. Verbeek, M. & Nijman, T., 1990. "Testing For Selectivity Bias In Panel Data Models," Papers 9018, Tilburg - Center for Economic Research.
  37. Nijman, T. & Verbeek, M., 1989. "The Nonresponse Bias In The Analysis Of The Determinants Of Total Expenditures Of Households Based On Panel Data," Papers 8936, Tilburg - Center for Economic Research.
  38. Verbeek, M.J.C.M., 1989. "On the estimation of a fixed effects model with selective non-response," Research Memorandum 376, Tilburg University, Faculty of Economics and Business Administration.
  39. 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 302, Tilburg University, Faculty of Economics and Business Administration.
  40. 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 318, Tilburg University, Faculty of Economics and Business Administration.

Articles

  1. Dyakov, Teodor & Verbeek, Marno, 2013. "Front-running of mutual fund fire-sales," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4931-4942.
  2. Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno, 2013. "Short-term residual reversal," Journal of Financial Markets, Elsevier, vol. 16(3), pages 477-504.
  3. Verbeek, Marno & Wang, Yu, 2013. "Better than the original? The relative success of copycat funds," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3454-3471.
  4. 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.
  5. 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, vol. 35(5), pages 1303-1314, May.
  6. 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, vol. 38(4), pages 775-804, Winter.
  7. 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., vol. 29(1-2), pages 251-269.
  8. 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, vol. 39(2), pages 733-756, 06.
  9. Jeroen Rombouts & Marno Verbeek, 2009. "Evaluating portfolio Value-at-Risk using semi-parametric GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 737-745.
  10. Joop Huij & Marno Verbeek, 2009. "On the Use of Multifactor Models to Evaluate Mutual Fund Performance," Financial Management, Financial Management Association International, vol. 38(1), pages 75-102, 03.
  11. 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, vol. 11(4), pages 605-632.
  12. Verbeek, Marno, 2007. "A Guide to Modern Econometrics," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 8(4), pages 125-132.
  13. Huij, Joop & Verbeek, Marno, 2007. "Cross-sectional learning and short-run persistence in mutual fund performance," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 973-997, March.
  14. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
  15. Verbeek, Marno, 2006. "Panel Data Models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 1(1), pages 94-135.
  16. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
  17. Verbeek, Marno & Vella, Francis, 2005. "Estimating dynamic models from repeated cross-sections," Journal of Econometrics, Elsevier, vol. 127(1), pages 83-102, July.
  18. 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, vol. 40(03), pages 493-517, September.
  19. Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004. "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 461-481, September.
  20. Marquering, Wessel & Verbeek, Marno, 2004. "A multivariate nonparametric test for return and volatility timing," Finance Research Letters, Elsevier, vol. 1(4), pages 250-260, December.
  21. Marquering, Wessel & Verbeek, Marno, 2004. "The Economic Value of Predicting Stock Index Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 407-429, June.
  22. 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, vol. 8(4), pages 345-373, September.
  23. 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.
  24. Marquering, Wessel & Verbeek, Marno, 1999. "An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 243-265, September.
  25. Vella, Francis & Verbeek, Marno, 1999. "Estimating and Interpreting Models with Endogenous Treatment Effects," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 473-78, October.
  26. Vella, Francis & Verbeek, Marno, 1999. "Two-step estimation of panel data models with censored endogenous variables and selection bias," Journal of Econometrics, Elsevier, vol. 90(2), pages 239-263, June.
  27. Rummery, Sarah & Vella, Francis & Verbeek, Marno, 1999. "Estimating the returns to education for Australian youth via rank-order instrumental variables," Labour Economics, Elsevier, vol. 6(4), pages 491-507, November.
  28. 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., vol. 13(2), pages 163-183.
  29. 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, vol. 59(1-2), pages 125-136, September.
  30. Verbeek, Marno, 1993. "Missing measurements in econometric models with no auxiliary relations," Economics Letters, Elsevier, vol. 43(2), pages 125-128.
  31. 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., vol. 7(3), pages 243-57, July-Sept.
  32. Verbeek, Marno & Nijman, Theo, 1992. "Can Cohort Data Be Treated as Genuine Panel Data?," Empirical Economics, Springer, vol. 17(1), pages 9-23.
  33. 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, vol. 33(3), pages 681-703, August.
  34. Nijman, Theo & Verbeek, Marno, 1992. "The optimal choice of controls and pre-experimental observations," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 183-189.
  35. Nijman, Theo & Verbeek, Marno & van Soest, Arthur, 1991. "The efficiency of rotating-panel designs in an analysis-of-variance model," Journal of Econometrics, Elsevier, vol. 49(3), pages 373-399, September.
  36. Nijman, Theo & Verbeek, Marno, 1990. "Estimation of time-dependent parameters in linear models using cross-sections, panels, or both," Journal of Econometrics, Elsevier, vol. 46(3), pages 333-346, December.
  37. Verbeek, Marno, 1990. "On the estimation of a fixed effects model with selectivity bias," Economics Letters, Elsevier, vol. 34(3), pages 267-270, November.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2006-05-06
  2. NEP-CBA: Central Banking (1) 2008-04-21
  3. NEP-CFN: Corporate Finance (1) 2003-12-07
  4. NEP-DGE: Dynamic General Equilibrium (1) 2008-04-21
  5. NEP-ECM: Econometrics (2) 2006-05-06 2009-07-03
  6. NEP-EEC: European Economics (1) 2002-03-14
  7. NEP-ETS: Econometric Time Series (2) 2005-03-13 2009-07-03
  8. NEP-FIN: Finance (2) 2005-03-13 2006-05-06
  9. NEP-FMK: Financial Markets (4) 2006-05-06 2008-04-12 2008-04-12 2008-04-21. Author is listed
  10. NEP-FOR: Forecasting (2) 2009-07-03 2009-08-16
  11. NEP-MAC: Macroeconomics (2) 2009-07-03 2009-08-16
  12. NEP-ORE: Operations Research (2) 2009-07-03 2009-08-16
  13. NEP-RMG: Risk Management (4) 2005-03-13 2005-11-19 2006-05-06 2008-04-12. Author is listed

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