Details about Roy Kouwenberg

Access statistics for papers by Roy Kouwenberg.

Last updated 2022-02-10. Update your information in the RePEc Author Service.

Short-id: pko16

Working Papers

2019

1. Ambiguity Attitudes about Investments: Evidence from the Field
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (8)

2018

2. Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (7)
   See also Journal Article in Review of Financial Studies (2021)

2016

3. Currency Wars: Who Gains from the Battle?
   PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research View citations (1)
4. Financial Literacy: Thai Middle Class Women Do Not Lag behind
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (3)
   See also Journal Article in Journal of Behavioral and Experimental Finance (2021)

2015

5. Childhood Roots of Financial Literacy
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (34)
   See also Journal Article in Journal of Economic Psychology (2015)

2014

6. Financial literacy and financial behavior: Do women lag behind?
   VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association
7. Financial literacy and its consequences in the emerging middleclass
   Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (4)
8. Roots of Financial Literacy
   VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association View citations (1)

2013

9. Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)

2003

10. Investing in a real world with mean-reverting inflation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
11. Retirement saving with contribution payments and labor income as a benchmark for investments
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (8)
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
12. Value investing in emerging markets: local macroeconomic risk and extrapolation
    Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) View citations (1)

2000

13. Dynamic asset allocation and downside-risk aversion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (7)
14. From boom til bust: how loss aversion affects asset prices
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    See also Journal Article in Journal of Banking & Finance (2009)
15. Optimal portfolio choice under loss aversion
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (15)
    See also Journal Article in The Review of Economics and Statistics (2004)

1999

16. Hedging Options under Transaction Costs and Stochastic Volatility
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2003)

Journal Articles

2021

1. Cheaper currencies and long‐term growth: The effect of exchange rate management and capital controls
   The World Economy, 2021, 44, (9), 2738-2757
2. Financial literacy: Thai middle-class women do not lag behind
   Journal of Behavioral and Experimental Finance, 2021, 31, (C)
   See also Working Paper (2016)
3. Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field
   Review of Financial Studies, 2021, 34, (9), 4524-4563 View citations (2)
   See also Working Paper (2018)
4. The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates
   International Economics, 2021, 166, (C), 167-176

2020

5. Compulsive gambling in the financial markets: Evidence from two investor surveys
   Journal of Banking & Finance, 2020, 111, (C) View citations (4)

2019

6. A Bibliometric Review of Global Research on Corporate Governance and Board Attributes
   Sustainability, 2019, 11, (12), 1-25 View citations (11)

2018

7. Strategic asset allocation for insurers under Solvency II
   Journal of Asset Management, 2018, 19, (7), 447-459 View citations (2)

2017

8. Model Uncertainty and Exchange Rate Forecasting
   Journal of Financial and Quantitative Analysis, 2017, 52, (1), 341-363 View citations (14)

2016

9. Ambiguity Attitudes in a Large Representative Sample
   Management Science, 2016, 62, (5), 1363-1380 View citations (78)
10. Ambiguity aversion and household portfolio choice puzzles: Empirical evidence
    Journal of Financial Economics, 2016, 119, (3), 559-577 View citations (116)
11. Group affiliation and earnings management of Asian IPO issuers
    Review of Quantitative Finance and Accounting, 2016, 47, (4), 897-917 View citations (6)

2015

12. Childhood roots of financial literacy
    Journal of Economic Psychology, 2015, 51, (C), 114-133 View citations (37)
    See also Working Paper (2015)
13. Endogenous Price Bubbles in a Multi-Agent System of the Housing Market
    PLOS ONE, 2015, 10, (6), 1-10 View citations (13)
14. Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field
    Journal of Risk and Uncertainty, 2015, 51, (3), 219-244 View citations (36)

2014

15. Corporate governance and stock returns in Asia
    Quantitative Finance, 2014, 14, (6), 965-976 View citations (1)
16. Forecasting the US housing market
    International Journal of Forecasting, 2014, 30, (3), 415-425 View citations (37)

2013

17. Corporate governance, violations and market reactions
    Pacific-Basin Finance Journal, 2013, 21, (1), 881-898 View citations (10)
18. Early warning systems for currency crises: A multivariate extreme value approach
    Journal of International Money and Finance, 2013, 36, (C), 151-171 View citations (24)

2010

19. A liability-relative drawdown approach to pension asset liability management
    Journal of Asset Management, 2010, 11, (2), 194-217 View citations (3)
    See also Chapter (2011)
20. Do Firms Decouple Corporate Governance Policy and Practice?
    European Financial Management, 2010, 16, (5), 712-737 View citations (8)
21. Loss-aversion and household portfolio choice
    Journal of Empirical Finance, 2010, 17, (3), 441-459 View citations (50)

2009

22. From boom 'til bust: How loss aversion affects asset prices
    Journal of Banking & Finance, 2009, 33, (6), 1005-1013 View citations (21)
    See also Working Paper (2000)

2007

23. Incentives and risk taking in hedge funds
    Journal of Banking & Finance, 2007, 31, (11), 3291-3310 View citations (35)

2006

24. Linkages between extreme stock market and currency returns
    Journal of International Money and Finance, 2006, 25, (3), 528-550 View citations (27)

2004

25. Optimal Portfolio Choice under Loss Aversion
    The Review of Economics and Statistics, 2004, 86, (4), 973-987 View citations (147)
    See also Working Paper (2000)

2003

26. Do hedge funds add value to a passive portfolio? Correcting for non-normal returns and disappearing funds
    Journal of Asset Management, 2003, 3, (4), 361-382 View citations (6)
27. Hedging options under transaction costs and stochastic volatility
    Journal of Economic Dynamics and Control, 2003, 27, (6), 1045-1068 View citations (12)
    See also Working Paper (1999)
28. Retirement saving with contribution payments and labor income as a benchmark for investments
    Journal of Economic Dynamics and Control, 2003, 27, (6), 1069-1097 View citations (8)
    See also Working Paper (2003)

2002

29. The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile
    European Financial Management, 2002, 8, (2), 139-164 View citations (7)

2001

30. High-Performance Computing for Asset-Liability Management
    Operations Research, 2001, 49, (6), 879-891 View citations (28)
31. Scenario generation and stochastic programming models for asset liability management
    European Journal of Operational Research, 2001, 134, (2), 279-292 View citations (65)

2000

32. Options and earnings announcements: an empirical study of volatility, trading volume, open interest and liquidity
    European Financial Management, 2000, 6, (2), 149-171 View citations (18)

Chapters

2011

1. A Liability-Relative Drawdown Approach to Pension Asset Liability Management
   Palgrave Macmillan
   See also Journal Article in Journal of Asset Management (2010)