Can Unpredictable Risk Exposure Be Priced?, with Ricardo Barahona and Rik Frehen, Journal of Financial Economics, 2021, 139(2), 522-544.
Pricing Liquidity Risk with Heterogeneous Investment Horizons, with Alessandro Beber, Anthony Neuberger, and Patrick Tuijp, Journal of Financial and Quantitative Analysis, 2021, 56(2), 373-408.
The Dividend Term Structure, with Jac. Kragt and Frank de Jong, Journal of Financial and Quantitative Analysis, 2020, 55(3), 829-867.
Rebalancing for Long Term Investors: Why it Pays to do Less, with Ivo Kuiper, Bankers, Markets and Investors, 2019, 158, 9-24.
Does Interest Rate Exposure Explain the Low-Volatility Anomaly?, with Ivo Kuiper, Korhan Nazliben, and Robbert Beilo, Journal of Banking and Finance, 2019, 103, 51-61.
Cumulative Prospect Theory, Option Returns, and the Variance Premium, with Lieven Baele, Sebastian Ebert, Juan-Miguel Londono, and Oliver Spalt, Review of Financial Studies, 2019, 32(9), 3667-3723.
An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets, with Dion Bongaerts and Frank de Jong, Review of Financial Studies, 2017, 30(4), 1229-1269.
Can Large Long-term Investors Capture Illiquidity Premiums?, with Frank de Jong, Bankers, Markets and Investors, 2015, 134, 34-60.
How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments, with Tse-Chun Lin and Otto van Hemert, Review of Finance, 2013, 17(1), 369-401.
The World Price of Jump and Volatility Risk, with Pascal Maenhout, Journal of Banking and Finance, 2013, 37(2), 518-536.
Liquidity Risk Premia in Corporate Bond Markets, with Frank de Jong, Quarterly Journal of Finance, 2012, 2(2).
Pricing of Commercial Real Estate Securities during the 2007-2009 Financial Crisis, with Otto van Hemert, Journal of Financial Economics, 2012, 105(1), p. 37-61.
A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds, with Ludo Phalippou and Tse-Chun Lin, Journal of Financial and Quantitative Analysis, 2012, 47(1), 511-535
Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market, with Dion Bongaerts and Frank de Jong, Journal of Finance, 2011, 66(1), 203–240
Confidence Building on Euro Convergence: Theory and Evidence from Cross-Rate Options, with Enrico Perotti, Journal of International Money and Finance, 2011, 30(3), 474-491
The Price of Correlation Risk: Evidence from Equity Options, with Pascal Maenhout and Grigory Vilkov, Journal of Finance, 2009, 64(3), p. 1377-1406
Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry, with Martijn Cremers, Pascal Maenhout, and David Weinbaum, Journal of Financial and Quantitative Analysis, 2009, 44, 1345-1373
Individual Stock-Option Prices and Credit Spreads, with Martijn Cremers, Pascal Maenhout and David Weinbaum, Journal of Banking and Finance, 2008, 32(12), p. 2706-2715
Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model, with Martijn Cremers and Pascal Maenhout, Review of Financial Studies , 2008, 21, (5), 2209-2242
An Empirical Portfolio Perspective on Option Pricing Anomalies, with Pascal Maenhout, Review of Finance, 2007, 11 , (4), 561-603
International Portfolio Diversification Benefits: Cross-Country Evidence, with Luc Laeven, Journal of Banking and Finance, 2007, 31 , (6), 1693-1712
Is Default Event Risk Priced in Corporate Bonds?, Review of Financial Studies, 2005, 18 , 165-195
Testing Affine Term Structure Models in case of Transaction Costs, with Bertrand Melenberg and Theo Nijman, Journal of Econometrics, 2005, 126 , (1), 201-232
On the Information in the Interest Rate Term Structure and Option Prices, with Frank de Jong and Antoon Pelsser, Review of Derivatives Research, 2004, 7 , 99-127
The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions, with Pieter Klaassen and Bertrand Melenberg, Journal of Financial and Quantitative Analysis, 2003, 38(3), 635-672
Common Factors in International Bond Returns, with Bertrand Melenberg and Theo Nijman, Journal of international Money and Finance, 2003, 22 , (5), 629-656
Libor Market Models versus Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis, with Frank de Jong and Antoon Pelsser, European Finance Review, 2001, 5(3), 201-237