HERE IS A SELECTION OF MY PUBLISHED ACADEMIC ARTICLES.
The Daylight Saving Time Anomaly in Stock Returns: Fact or Fiction?, forthcoming in: Journal of Financial Research, 2010 (co-authored with B. Jacobsen and R. Gregory-Allen).
REIT Momentum and the Performance of Real Estate Mutual Funds, Financial Analysts Journal, 65, 24-34, 2009 (co-authored with J. Derwall, J. Huij and D. Brounen).
Is it the Weather? Response, Journal of Banking and Finance, 33, 583-597, 2009 (co-authored with B. Jacobsen).
Waarom Beleggen Mannen meer in Aandelen dan Vrouwen?, Kwartaalschrift Economie, 6, 2009 (co-authored with B. Jacobsen and J. Lee).
Stock and Bond Market Interactions with Level and Asymmetry Dynamics: An Out-of-Sample Application, Journal of Empirical Finance, 16, 318-329, 2009 (co-authored with P. De Goeij).
Gender Wars, Optimism, Self-Confidence and Attitudes to Risk, ISCR’s Competition and Regulation Times, 27, 2008 (co-authored with B. Jacobsen and J. Lee).
Is it the Weather?, Journal of Banking and Finance, 32, 526-540, 2008 (co-authored with B. Jacobsen).
The Friday Effect in European Securitized Real Estate Index Returns, Journal of Real Estate Finance and Economics, 33-50, 2006 (co-authored with V. Lenkkeri and B. Strunkmann-Meister).
Do Consumption-based Asset Pricing Models Explain Return Predictability?, Applied Financial Economics, 16, 1019-1027, 2006.
Macroeconomic Announcements and Asymmetric Volatility in Bond Returns, Journal of Banking and Finance, 30, 2659-2680, 2006 (co-authored with P. De Goeij).
The Generalized Asymmetric Dynamic Covariance Model, Finance Research Letters, 2 (2), 67-74, 2006 (co-authored with P. De Goeij).
Disappearing Anomalies: A Dynamic Analysis of the Persistence of Anomalies, Applied Financial Economics, 16 (4), 291-302, 2006 (co-authored with J. Nisser and T. Valla).
Forecasting Time-Varying Correlations: An Application to Stock and Bond Returns, Medium Econometrische Toepassingen (MET), 2005.
The Economic Value of Predicting Stock Index Returns and Volatility, Journal of Financial and Quantitative Analysis, 39, 2, 407-429, 2004 (co-authored with M. Verbeek).
A Multivariate Nonparametric Test for Return and Volatility Timing, Finance Research Letters, 1, 4, 2004 (co-authored with P. De Goeij).
Modeling the Conditional Covariance between Stock and Bond Returns: A Multivariate GARCH Approach, Journal of Financial Econometrics, 2, 4, 2004 (co-authored with P. De Goeij).
Murphy’s Law in the Stock Market, VBA journal, 2003 (co-authored with M. Verbeek).
Seasonal Predictability of Stock Market Returns, Tijdschrift voor Economie en Management, 2002.
An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence, Journal of Empirical Finance, vol. 6, 243-265, 1999 (co-authored with M. Verbeek).