Working Papers and Work in progress:
“How Are Coco Bonds Perceived? Going Concern, Gone Concern, or None of the Above?”, with T. Mouctar Bah, Koen Schoors, Nicolas Soenen and Rudi Vander Vennet.
“Do Bank Stress Tests Reduce the Reliance on Credit Rating Downgrades?”, with Jessie Vantieghem.
“Stock Price Anchoring”, with Mustafa Disli, Koen Schoors and Hannes Stieperaere.
“A Unified Market Liquidity Measure”, with Garo Garabedian.
“Why do investors (not) react to credit rating downgrades?”, with Jessie Vantieghem.
“Model-Free Implied Dependence and the Cross-Section of Expected Stock Returns?”, with Daniel Linders and Gertjan Verdict.
“Effectiveness of Warning Signal and Overconfident Investors”, with Mariachiara Tedde.
Publications in International (peer-reviewed) Journals:
“Overconfidence, financial literacy and excessive trading”, with Mariachiara Tedde, 2024, Journal of Economic Behavior & Organization, Vol. 2019, p. 152-195 (Link).
“Climate change concerns and the performance of green versus brown stocks”, with David Ardia, Keven Bluteau and Kris Boudt, 2023, Management Science, Vol. 69, No. 12, p. 7607-7632 (Link).
“Flights to Safety”, with Lieven Baele, Geert Bekaert, and Min Wei, 2020, Review of Financial Studies, Vol. 33, No. 2, p. 689-746 (Link). Also available as NBER Working Paper No. 19095. Daily FTS dummies for 23 countries are available here (updated until October 16, 2023).
“Financial attention and the disposition effect”, with Nicolas Dierick, Dries Heyman, and Hannes Stieperaere, 2019, Journal of Economic Behavior & Organization, Vol. 163, p. 190-217 (Link).
"On the dynamic links between commodities and Islamic equity", with R. Nagayev, M. Disli, and A. Ng, 2016, Energy Economics, Vol. 58, p. 125–140 (Link).
"Macroeconomic Regimes", with G. Bekaert, L. Baele, S. Cho and A. Moreno, 2015, Journal of Monetary Economics, Vol. 70, p. 51-71 (Link). Also available as NBER Working Paper No. 17090.
"The Determinants of Stock and Bond Return Comovements", with K. Inghelbrecht, G. Bekaert and L. Baele, 2010, Review of Financial Studies, Vol. 23, No. 6, p. 2374-2428 (Link). Also available as NBER Working Paper No. 15260.
"Time-Varying Integration, Interdependence and Contagion", with L. Baele, 2010, Journal of International Money and Finance, Vol. 29, p. 791-818 (Link).
"Time-Varying Integration and International Diversification Strategies", with L. Baele, 2009, Journal of Empirical Finance, Vol. 16, No. 3, p. 368-387 (Link). An Appendix can be downloaded here.
"How Do Investment Banks Value IPOs?", with M. Deloof and W. Demaeseneire, 2009, Journal of Business, Finance and Accounting, Vol. 7, No. 1-2, p. 130-160 (Link).
Other Publications:
"Financiële gemoedsrust met het omgekeerd hypothecair krediet", with Kris Boudt and Maarten Van Besien, 2022, Bank- en Financiewezen, No. 1, p. 38-44.
"Time-Varying Integration, the euro and International Diversification Strategies", with L. Baele, European Economy Economic Papers 333, July 2008, European Commission, Brussels (Link).
"Structural versus Temporary Drivers of Country and Industry Risk", with L. Baele, 2006, Working Paper Ghent University (Link).
"The Valuation of IPOs by Investment Banks and the Stock Market: Empirical Evidence", with M. Deloof and W. Demaeseneire, 2002, Working Paper Ghent University (Link).
"Stamp duties forecasting models based on intra-annual data", with C. Smolders and H. Stieperaere, INTERNATIONAL WORK-CONFERENCE ON TIME SERIES, 2014 p.209-226
"Tijdreeksmodellen ter voorspelling van de ontvangsten uit de registratierechten", with G. Everaert, A. Hoebeeck, C. Smolders and H. Stieperaere, Steunpunt Fiscaliteit en Begroting, 2013.
"Forecasting Flemish registration fees revenues", with G. Everaert, A. Hoebeeck, C. Smolders and H. Stieperaere, Steunpunt Fiscaliteit en Begroting, 2013.
"Elasticiteitsmodellen en combination forecasts ter voorspelling van de ontvangsten van de registratierechten", with G. Everaert, A. Hoebeeck, C. Smolders and H. Stieperaere, Steunpunt Fiscaliteit en Begroting, 2013.
"Technical trading rules in emerging stock markets", with D. Heyman, S. Pauwels and P. Marius, WORLD ACADEMY OF SCIENCE, ENGINEERING AND TECHNOLOGY, Vol. 59, 2012, p.2241-2264.