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
| Rotterdam | 15:30 - 16:45
The U.S. Equity Listing Decline and the Aggregate Economy
Karen Lewis (Wharton School of Business, University of Pennsylvania, United States)
- Erasmus Finance Seminars
Seminar
| Rotterdam | 12:00 - 13:15
Liquidity Forecasts and Expected Stock Returns
Claus Schmitt (RSM)
- Brown Bag Seminars in Finance
Seminar
| Amsterdam | 12:45 - 14:00
The Private Use of Credit Ratings: Evidence from Mutual Fund...
Ramin Baghai (Stockholm School of Economics)
- TI Finance Research Seminars
Seminar
| Rotterdam | 15:30 - 16:45
Title to be Announced
Martin Oehmke (London School of Economics, United Kingdom)
- Erasmus Finance Seminars
Seminar
| Rotterdam | 15:30 - 16:45
Title to be Announced
Alexander Hillert (Goethe University Frankfurt, Germany)
- Erasmus Finance Seminars