Publications

The Dividend Term Structure, with Jac. Kragt and Frank de Jong, Journal of Financial and Quantitative Analysis, forthcoming.

Cumulative Prospect Theory, Option Returns, and the Variance Premium, Review of Financial Studies, forthcoming.

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