Details about Laurens A. P. Swinkels

Access statistics for papers by Laurens A. P. Swinkels.

Last updated 2024-11-21. Update your information in the RePEc Author Service.

Short-id: psw2

Working Papers

2023

1. The Effects of COVID-19 Policies on Consumer Spending in Norway
   Working Papers, Oslo Metropolitan University, Oslo Business School
   See also Journal Article The effects of COVID‐19 policies on consumer spending in Norway, Contemporary Economic Policy, Western Economic Association International (2024) (2024)

2012

2. Emerging Markets Inflation-Linked Bonds
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (6)
   See also Journal Article Emerging Market Inflation-Linked Bonds, Financial Analysts Journal, Taylor & Francis Journals (2012) (2012)
3. The Cross-Section of Stock Returns in Frontier Emerging Markets
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (42)
   See also Journal Article The cross-section of stock returns in frontier emerging markets, Journal of Empirical Finance, Elsevier (2012) View citations (42) (2012)

2010

4. Create Better Diversified High-Conviction Equity Portfolios using the Portfolio Diversification Index
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

2009

5. Performance Evaluation of Balanced Pension Plans
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
   See also Journal Article Performance evaluation of balanced pension plans, Quantitative Finance, Taylor & Francis Journals (2012) (2012)

2007

6. The Economic Value of Fundamental and Technical Information in Emerging Currency Markets
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (6)
   See also Journal Article The economic value of fundamental and technical information in emerging currency markets, Journal of International Money and Finance, Elsevier (2009) View citations (35) (2009)

2005

7. Why don’t Latvian pension funds diversify more internationally?
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (1)

2004

8. Do countries or industries explain momentum in Europe?
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (30)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2002) View citations (1)
   ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2002) View citations (1)
   Other publications TiSEM, Tilburg University, School of Economics and Management (2002) View citations (1)
   See also Journal Article Do countries or industries explain momentum in Europe?, Journal of Empirical Finance, Elsevier (2004) View citations (30) (2004)

2003

9. De gevolgen van de ontwikkelingen in de regelgeving voor de beleggingsmix van pensioenfondsen
   Other publications TiSEM, Tilburg University, School of Economics and Management
10. Empirical analysis of investment strategies for institutional investors
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
11. Market Timing: A Decomposition of Mutual Fund Returns
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2003)
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2003)
12. Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (6)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2003) View citations (11)

2001

13. Return-Based Style Analysis with Time-Varying Exposures
    Discussion Paper, Tilburg University, Center for Economic Research View citations (11)
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (3)
    Other publications TiSEM, Tilburg University, School of Economics and Management (2001) View citations (3)
    See also Journal Article Return-based style analysis with time-varying exposures, The European Journal of Finance, Taylor & Francis Journals (2006) View citations (24) (2006)

Journal Articles

2024

1. Empirical Evidence on the Stock–Bond Correlation
   Financial Analysts Journal, 2024, 80, (3), 17-36
2. Factor models for Chinese A-shares
   International Review of Financial Analysis, 2024, 91, (C) View citations (2)
3. The effects of COVID‐19 policies on consumer spending in Norway
   Contemporary Economic Policy, 2024, 42, (1), 56-67
   See also Working Paper The Effects of COVID-19 Policies on Consumer Spending in Norway, Working Papers (2023) (2023)
4. Trading carbon credit tokens on the blockchain
   International Review of Economics & Finance, 2024, 91, (C), 720-733 View citations (1)

2023

5. Does excluding sin stocks cost performance?
   Journal of Sustainable Finance & Investment, 2023, 13, (4), 1693-1710 View citations (2)
6. Empirical evidence on the ownership and liquidity of real estate tokens
   Financial Innovation, 2023, 9, (1), 1-29 View citations (8)
7. Investing in Deflation, Inflation, and Stagflation Regimes
   Financial Analysts Journal, 2023, 79, (3), 5-32 View citations (1)

2021

8. Anomalies in the China A-share market
   Pacific-Basin Finance Journal, 2021, 68, (C) View citations (20)
9. Global factor premiums
   Journal of Financial Economics, 2021, 142, (3), 1128-1154 View citations (21)
10. The structure and degree of dependence in government bond markets
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (5)
11. Who owns tobacco stocks?
    Journal of Asset Management, 2021, 22, (5), 311-325 View citations (2)

2020

12. Media attention and the volatility effect
    Finance Research Letters, 2020, 36, (C) View citations (8)

2019

13. Individual pension risk preference elicitation and collective asset allocation with heterogeneity
    Journal of Banking & Finance, 2019, 101, (C), 206-225 View citations (14)
14. Treasury Bond Return Data Starting in 1962
    Data, 2019, 4, (3), 1-6 View citations (1)

2018

15. Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation
    The Geneva Papers on Risk and Insurance - Issues and Practice, 2018, 43, (4), 633-652 View citations (1)
16. Simulating historical inflation-linked bond returns
    Journal of Empirical Finance, 2018, 48, (C), 374-389 View citations (3)

2017

17. Frontier and emerging government bond markets
    Emerging Markets Review, 2017, 30, (C), 232-255 View citations (8)
18. Fundamental indexation for developed, emerging, and frontier government bond markets
    Journal of Asset Management, 2017, 18, (5), 405-420 View citations (1)
19. The impact of FinTech start-ups on incumbent retail banks’ share prices
    Financial Innovation, 2017, 3, (1), 1-16 View citations (25)

2015

20. Accounting for market risk in microfinance investments
    International Journal of Sustainable Economy, 2015, 7, (4), 262-279 View citations (1)
21. Can implied volatility predict returns on the currency carry trade?
    Journal of Banking & Finance, 2015, 59, (C), 14-26 View citations (15)
22. Empirical evidence on the currency carry trade, 1900–2012
    Journal of International Money and Finance, 2015, 51, (C), 370-389 View citations (21)

2014

23. The Global Multi-Asset Market Portfolio, 1959–2012
    Financial Analysts Journal, 2014, 70, (2), 26-41
24. “The Global Multi-Asset Market Portfolio, 1959–2012”: Author Response
    Financial Analysts Journal, 2014, 70, (4), 9-12

2013

25. Can exchange traded funds be used to exploit industry and country momentum?
    Financial Markets and Portfolio Management, 2013, 27, (2), 127-148 View citations (15)

2012

26. An anatomy of calendar effects
    Journal of Asset Management, 2012, 13, (4), 271-286 View citations (11)
27. Emerging Market Inflation-Linked Bonds
    Financial Analysts Journal, 2012, 68, (5), 38-56
    See also Working Paper Emerging Markets Inflation-Linked Bonds, ERIM Report Series Research in Management (2012) View citations (6) (2012)
28. Performance evaluation of balanced pension plans
    Quantitative Finance, 2012, 12, (5), 819-830
    See also Working Paper Performance Evaluation of Balanced Pension Plans, ERIM Report Series Research in Management (2009) (2009)
29. The Performance of European Index Funds and Exchange†Traded Funds
    European Financial Management, 2012, 18, (4), 649-662 View citations (13)
30. The cross-section of stock returns in frontier emerging markets
    Journal of Empirical Finance, 2012, 19, (5), 796-818 View citations (42)
    See also Working Paper The Cross-Section of Stock Returns in Frontier Emerging Markets, ERIM Report Series Research in Management (2012) View citations (42) (2012)

2009

31. Performance evaluation of Polish mutual fund managers
    International Journal of Emerging Markets, 2009, 4, (1), 26-42 View citations (2)
32. The economic value of fundamental and technical information in emerging currency markets
    Journal of International Money and Finance, 2009, 28, (4), 581-604 View citations (35)
    See also Working Paper The Economic Value of Fundamental and Technical Information in Emerging Currency Markets, ERIM Report Series Research in Management (2007) View citations (6) (2007)

2008

33. Fundamental indexation: An active value strategy in disguise
    Journal of Asset Management, 2008, 9, (4), 264-269 View citations (17)

2007

34. Can mutual funds time investment styles?
    Journal of Asset Management, 2007, 8, (2), 123-132 View citations (21)

2006

35. Return-based style analysis with time-varying exposures
    The European Journal of Finance, 2006, 12, (6-7), 529-552 View citations (24)
    See also Working Paper Return-Based Style Analysis with Time-Varying Exposures, Discussion Paper (2001) View citations (11) (2001)

2004

36. Do countries or industries explain momentum in Europe?
    Journal of Empirical Finance, 2004, 11, (4), 461-481 View citations (30)
    See also Working Paper Do countries or industries explain momentum in Europe?, Other publications TiSEM (2004) View citations (30) (2004)
37. Momentum investing: A survey
    Journal of Asset Management, 2004, 5, (2), 120-143 View citations (16)

2002

38. International industry momentum
    Journal of Asset Management, 2002, 3, (2), 124-141 View citations (10)

Undated

39. Historical Returns of the Market Portfolio
    The Review of Asset Pricing Studies, 10, (3), 521-567 View citations (3)