Academic Publications:

We propose a hybrid approach for estimating beta that shrinks rolling window estimates towards firm-specific priors motivated by economic theory. Our method yields superior forecasts of beta that have important practical implications. First, hybrid betas carry a significant price of risk in the cross-section even after controlling for characteristics, unlike standard rolling window betas. Second, the hybrid approach offers statistically and economically significant out-of-sample benefits for investors who use factor models to construct optimal portfolios. We show that the hybrid estimator outperforms existing estimators because shrinkage towards a fundamentals-based prior is effective in reducing measurement noise in extreme beta estimates. 
This study provides European evidence on the ability of static and dynamic specifications of the Fama and French (1993) three-factor model to price 25 size-B/M portfolios. In contrast to US evidence, we detect a small-growth premium and find that the size effect is still present in Europe. Furthermore, we document strong time variation in factor risk loadings. Incorporating these risk fluctuations in conditional specifications of the three-factor model clearly improves its ability to explain time variation in expected returns. However, the model still fails to completely capture cross-sectional variation in returns as it is unable to explain the momentum effect. 
  • "Option Trading and Individual Investor Performance" (with Rob Bauer and Piet Eichholtz), Journal of Banking and Finance, 33, pp. 731-746, 2009. Presented at EFA Annual Meeting. Emerald Citation of Excellence Award, 2010, as one of the 50 best articles published in management.
This paper examines the impact of option trading on individual investor performance. The results show that most investors incur substantial losses on their option investments, which are much larger than the losses from equity trading. We attribute the detrimental impact of option trading on investor performance to poor market timing that results from overreaction to past stock market returns. High trading costs further contribute to the poor returns on option investments. Gambling and entertainment appear to be the most important motivations for trading options while hedging motives only play a minor role. We also provide strong evidence of performance persistence among option traders.

    Professional Publications (in Dutch):
  • "Verhoging NHG past als een perfect gesneden maatpak" (with Piet Eichholtz), Tijdschrift voor de Volkshuisvesting, 15, 18-23, 2010.
  •  "De Nederlandse Woningmarkt in Crisis" [The Dutch Housing Market in Crisis] (with Piet Eichholtz), Economisch Statistische Berichten, 94, nr. 4563s, pp. 44 - 49, 2009.
  •  "De Prestaties van Particuliere Beleggers" [The Performance of Individual Investors] (with Rob Bauer, Piet Eichholtz, and Michael Goldfinger), Economisch Statistische Berichten, 92, nr. 4508, pp. 228 - 231, 2007.