“Non-standard errors” (with Albert J. Menkveld and 341 other co-authors) – November 2022. [PDF]
Journal of Finance, forthcoming.
“A finance approach to climate stress testing” [PDF]
(with Henk Jan Reinders and Dirk Schoenmaker).
Journal of International Money and Finance, 131, 102797, 2023.
[previous version: CEPR Working Paper No. DP14609]
“Liquidity creation, investment, and growth” [PDF]
(with Thorsten Beck, Robin Döttling, and Thomas Lambert) – September 2022.
Journal of Economic Growth, forthcoming.
“How do shocks arise and spread across stock markets? A microstructure perspective” [PDF] [Data part 1] [Data part 2] [Data part 3]
(with Dion Bongaerts, Richard Roll, Dominik M. Rösch and Darya Yuferova).
Management Science 68, 3071-3089, 2022.
“Investor short-termism and real investment” [PDF]
(with Dominik M. Rösch and Avanidhar Subrahmanyam)
Journal of Financial Markets 59, 100645, 2022.
“Conditional Volatility Targeting” [PDF] [Supplemental Online Appendix]
(with Dion Bongaerts and Xiaowei Kang)
Financial Analysts Journal 76, 2020.
“Who Bears the Brunt? The Impact of Banking Crises on Younger and Older Workers” [PDF]
(with Hendrik P. van Dalen and Martin Hyde)
Journal of the Economics of Ageing 17, 100264, 2020.
“Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns” [PDF]
(with Kewei Hou)
Review of Financial Studies 32, 2850–2889, 2019.
“Do Firms Issue More Equity When Markets Become More Liquid?” [PDF] [DATA] [Internet Appendix]
(with Rogier M. Hanselaar and René M. Stulz)
Journal of Financial Economics 133, 64-82, 2019.
Featured by the Harvard Law School Forum on Corporate Governance and Financial Regulation.
“Climatic Shocks Associate with Innovation in Science and Technology” [PDF] [DATA1] [DATA2]
(with Carsten K. W. De Dreu)
PLOS ONE, 13(1): e0190122, 2018.
“The Dynamics of Market Efficiency” [PDF]
(with Dominik M. Rösch and Avanidhar Subrahmanyam)
Review of Financial Studies 30, 1151-1187, 2017.
“The Impact of European Antitrust Policy: Evidence from the Stock Market” [PDF]
(with Andrea Günster)
International Review of Law and Economics 46, 20-33, 2016
“The Implied Cost of Capital: A New Approach” [PDF]
(with Kewei Hou and Yinglei Zhang)
Journal of Accounting and Economics 53, 504-526, 2012.
Featured in the book Efficiently Inefficient by Lasse Pedersen, Princeton University Press, 2015.
Selected as top 10 contender for best financial research of the year 2011 by Whitebox Advisors.
Finalist, best paper award in corporate finance, 2010 Financial Management Association Meetings.
“Understanding Commonality in Liquidity Around the World” [PDF] [DATA] [Internet Appendix]
(with G. Andrew Karolyi and Kuan-Hui Lee)
Journal of Financial Economics 105, 82-112, 2012.
Featured in the book Cracking the Emerging Markets Enigma by G. Andrew Karolyi, Oxford University Press, 2015.
“Corruption, Growth, and Governance: Private vs. State-owned Firms in Vietnam” [PDF]
(with Thuy Thu Nguyen).
Journal of Banking and Finance 36, 2935-2948, 2012.
Winner of best paper award at the July 2008 “Management, Economic Policy and Growth” conference (Ho Chi Minh City, Vietnam).
“Is Size Dead? A Review of the Size Effect in Equity Returns”. [PDF]
Journal of Banking and Finance 35, 3263-3274, 2011.
A previous version has circulated with the title “The Size Effect Paradox” – July 2007.
“Why Panel Tests of Purchasing Power Parity Should Allow for Heterogeneous Mean Reversion” [PDF] Internet Appendix]
(with Kees G. Koedijk and Ben Tims)
Journal of International Money and Finance, 30, 246-267, 2011.
Supersedes “Purchasing Power Parity and Heterogeneous Mean Reversion”
“Inflation Risk and International Asset Returns” [PDF]
(with Gerard A. Moerman)
Journal of Banking and Finance, 34, 840-855, 2010.
“The Risk and Return of Arbitrage in Dual-Listed Companies” [PDF] [DATA]
(with Abe de Jong and Leonard Rosenthal)
Review of Finance, 13, 495-520, 2009.
Supersedes “The Limits of Arbitrage: Evidence from Dual-Listed Companies”
Featured in the text book Valuation by Koller, Goedhart & Wessels, 4th ed., 2005, page 93-94.
Featured in the text book Principles of Corporate Finance by Brealey, Myers, and Allen, 11th ed., 2013, Figure 13.7.
“The Market Reaction to Cross-Listings: Does the Destination Market Matter?” [PDF] [DATA (right click and save)]
(with Peter Roosenboom)
Journal of Banking and Finance, 33, 1898-1908, 2009.
“The Effect of a Temporary Prostatic Stent on Sexual Function” [PDF]
(with Marleen M. van Dijk, Hessel Wijkstra, Pilar M. Laguna, and Jean J. de la Rosette)
Central European Journal of Urology, 4, 243-248, 2009.
“Corporate Real Estate and Corporate Takeovers: International Evidence” [PDF]
(with Dirk Brounen and Piet M.A. Eichholtz)
Journal of Real Estate Research, 30, 293-314, 2008.
“Foreign Exchange Markets: Overview of the Special Issue” [PDF]
(with Kees G. Koedijk and James R. Lothian)
Journal of International Money and Finance, 25, 1–6, 2006
“Perspectives: Global Risk Factors and the Cost of Capital” [PDF]
(with Kees G. Koedijk)
Financial Analysts Journal, 60, 32–38, March/April, 2004.
Featured in the text book Applied Mergers & Acquisitions by Robert F. Bruner, 2004, page 381.
“Purchasing Power Parity and the Euro Area” [PDF]
(with Kees G. Koedijk and Ben Tims)
Journal of International Money and Finance, 23, 1081–1107, 2004.
“The Cost of Capital of Cross-Listed Firms” [PDF]
(with Kees G. Koedijk)
European Financial Management – 10, 465–486, 2004.
Featured in the text book Applied Mergers & Acquisitions by Robert F. Bruner, 2004, page 381.
“The Cost of Capital in International Financial Markets: Local or Global?” [PDF]
(with Kees G. Koedijk, Clemens J.M. Kool, and Peter C. Schotman)
Journal of International Money and Finance, 21, 905–929, 2002.
“The Reemergence of PPP in the 1990s” [PDF]
(with Kees G. Koedijk and Peter C. Schotman)
Journal of International Money and Finance, 17, 51–61, 1998.
“Resource Misallocation and Mark-ups: An Alternative Estimation Technique for Harberger Triangles” [PDF]
(with P.A.G. van Bergeijk)
Economics Letters, 54, 165–167, 1997.