Finance
The Finance field at Tinbergen Institute (TI) spans many of the core fields in finance: asset pricing, corporate finance, behavioral finance, financial econometrics, market microstructure, and financial institutions.
Researchers in this field
Fellows
Fellows
PhD Students
PhD Students
Key Publications
Seeger, N., Kaeck, A., and Johannes, M. (2019). Option pricing of earnings announcement risks. Review of Financial Studies, 32(2):646–687.
Koopman, S., Lit, R., Lucas, A., and Opschoor, A. (2018). Dynamic discrete copula models for high-frequency stock price changes. Journal of Applied Econometrics, 33(7):966-985.
Leung, E. and Veenman, D. (2018a). Non-GAAP earnings disclosure in loss firms. Journal of Accounting Research, 56(4):1083-1137.
Adams, R., Akyol, A., and Verwijmeren, P. (2018). Director skill sets. Journal of Financial Economics, 130(3):641-662.
Baltussen, G., van Bekkum, S., and Da, Z. (2018). Indexing and stock market serial dependence around the world. Journal of Financial Economics, Accepted.
Discussion Papers
19-060/IV - Funding Shocks and Credit Quality
Date: August 20, 2019
19-051/IV - Time-varying tail behavior for realized kernels
Date: July 31, 2019
19-052/IV - Observation-driven Models for Realized Variances and Overnight Returns
Date: July 31, 2019
19-029/IV - Constructing and using double-adjusted alphas to analyze mutual fund performance
Date: April 17, 2019
19-013/IV - Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
Date: February 19, 2019
Upcoming events
Seminar
| 15:30 - 16:45
Friends with Bankruptcy Protection Benefits
Noah Stoffmann (Kelly School of Business Indiana University, United States)
- Erasmus Finance Seminars
PhD Defense
| 11:00 - 12:30
Essays in Financial Economics
Pascal Golec (University of Amsterdam)
- PhD Defense
Seminar
| 12:00 - 13:15
Zombie Credit and (Dis-) Inflation: Evidence from Europe
Tim Eisert (Erasmus University Rotterdam)
- Brown Bag Seminars in Finance
Seminar
| 12:45 - 14:00
Variation Margins, Fire Sales, and Information-Constrained Optimality
Florian Heider (European Central Bank)
- TI Finance Research Seminars
Seminar
| 15:30 - 16:45
Uncertainty and Contracting: A Theory of Consensus and Envy in...
Paolo Fulghieri (UNC Kenan Flager Business School, United States)
- Erasmus Finance Seminars