Details about Willem Verschoor

Access statistics for papers by Willem Verschoor.

Last updated 2024-10-08. Update your information in the RePEc Author Service.

Short-id: pve15

Working Papers

2017

1. Heterogeneous beliefs and asset price dynamics: a survey of recent evidence
   Working Paper, Norges Bank View citations (2)
   See also Chapter Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2018) View citations (10) (2018)

2016

2. Agreeing on disagreement: heterogeneity or uncertainty?
   Working Paper, Norges Bank View citations (3)
   See also Journal Article Agreeing on disagreement: Heterogeneity or uncertainty?, Journal of Financial Markets, Elsevier (2019) View citations (6) (2019)

2009

3. Dispersion of Beliefs in the Foreign Exchange Market
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (6)
4. Time-Variation in Term Permia: International Survey-Based Evidence
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
   See also Journal Article Time-variation in term premia: International survey-based evidence, Journal of International Money and Finance, Elsevier (2011) View citations (11) (2011)

2005

5. Time Variation in Term Premia: International Evidence
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)

1990

6. EMS Exchange Rates
   CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX. View citations (16)

Journal Articles

2024

1. Gamma positioning and market quality
   Journal of Economic Dynamics and Control, 2024, 164, (C)
2. Wall street watches Washington: Asset pricing implications of policy uncertainty
   Journal of Behavioral and Experimental Finance, 2024, 41, (C)

2023

3. Inattentive Search for Currency Fundamentals
   IMF Economic Review, 2023, 71, (4), 907-952 View citations (2)

2020

4. Expected issuance fees and market liquidity
   Journal of Financial Markets, 2020, 48, (C) View citations (5)

2019

5. Agreeing on disagreement: Heterogeneity or uncertainty?
   Journal of Financial Markets, 2019, 44, (C), 17-30 View citations (6)
   See also Working Paper Agreeing on disagreement: heterogeneity or uncertainty?, Working Paper (2016) View citations (3) (2016)

2017

6. Excess stock return comovements and the role of investor sentiment
   Journal of International Financial Markets, Institutions and Money, 2017, 49, (C), 74-87 View citations (23)

2016

7. Time-varying importance of country and industry factors in European corporate bonds
   Journal of Empirical Finance, 2016, 38, (PA), 429-448 View citations (8)

2014

8. Home bias and Dutch pension funds' investment behavior
   The European Journal of Finance, 2014, 20, (11), 978-993 View citations (1)

2013

9. Carry trade and foreign exchange rate puzzles
   European Economic Review, 2013, 60, (C), 17-31 View citations (42)
10. Do foreign exchange fund managers behave like heterogeneous agents?
    Quantitative Finance, 2013, 13, (7), 1125-1134 View citations (7)
11. Dynamic expectation formation in the foreign exchange market
    Journal of International Money and Finance, 2013, 37, (C), 75-97 View citations (50)

2012

12. Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach
    Journal of Economic Dynamics and Control, 2012, 36, (5), 719-735 View citations (52)
13. REPUTATIONAL PENALTIES TO FIRMS IN ANTITRUST INVESTIGATIONS
    Journal of Competition Law and Economics, 2012, 8, (2), 231-258 View citations (5)
14. Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms
    Journal of International Money and Finance, 2012, 31, (2), 148-169 View citations (14)

2011

15. Time-variation in term premia: International survey-based evidence
    Journal of International Money and Finance, 2011, 30, (4), 605-622 View citations (11)
    See also Working Paper Time-Variation in Term Permia: International Survey-Based Evidence, LSF Research Working Paper Series (2009) (2009)

2010

16. Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS
    Journal of International Money and Finance, 2010, 29, (8), 1652-1669 View citations (70)

2009

17. A heterogeneous route to the European monetary system crisis
    Applied Economics Letters, 2009, 16, (9), 929-932 View citations (1)
18. Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis
    Journal of Economic Dynamics and Control, 2009, 33, (11), 1929-1944 View citations (64)
19. The effect of exchange rate variability on US shareholder wealth
    Journal of Banking & Finance, 2009, 33, (11), 1963-1972 View citations (14)

2008

20. Extreme US stock market fluctuations in the wake of 9|11
    Journal of Applied Econometrics, 2008, 23, (1), 17-42 View citations (56)
21. FOREIGN EXCHANGE RATE EXPECTATIONS: SURVEY AND SYNTHESIS
    Journal of Economic Surveys, 2008, 22, (1), 140-165 View citations (51)
22. Further evidence on the rationality of interest rate expectations
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (5), 438-448 View citations (9)
23. Measuring Financial Contagion Using Time‐Aligned Data: The Importance of the Speed of Transmission of Shocks*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (4), 493-508 View citations (22)
24. The Latin American exchange exposure of U.S. multinationals
    Journal of Multinational Financial Management, 2008, 18, (2), 112-130 View citations (8)

2007

25. Asian foreign exchange risk exposure
    Journal of the Japanese and International Economies, 2007, 21, (1), 16-37 View citations (36)
26. Trade and exposure of Eastern European multinationals
    Emerging Markets Review, 2007, 8, (3), 218-229 View citations (2)

2006

27. Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms
    Journal of Empirical Finance, 2006, 13, (4-5), 495-518 View citations (62)
28. European Foreign Exchange Risk Exposure
    European Financial Management, 2006, 12, (2), 195-220 View citations (73)
29. Foreign exchange risk exposure: Survey and suggestions
    Journal of Multinational Financial Management, 2006, 16, (4), 385-410 View citations (47)

2005

30. Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion
    Journal of International Money and Finance, 2005, 24, (8), 1317-1334 View citations (40)

2004

31. A note on transition stock return behaviour
    Applied Economics Letters, 2004, 11, (1), 11-13

2002

32. Further evidence on Asian stock return behavior
    Emerging Markets Review, 2002, 3, (2), 179-193 View citations (10)
33. Scandinavian exchange rate expectations
    Applied Economics Letters, 2002, 9, (2), 111-116 View citations (4)

2001

34. Exchange risk premia, expectations formation and "news" in the Mexican peso/U.S. dollar forward exchange rate market
    International Review of Financial Analysis, 2001, 10, (2), 157-174 View citations (4)
35. Scandinavian forward discount bias risk premia
    Economics Letters, 2001, 73, (1), 65-72 View citations (12)

2000

36. Exchange risk premia in the European monetary system
    Applied Financial Economics, 2000, 10, (4), 351-360 View citations (5)

1998

37. EMS exchange rate expectations and time-varying risk premia
    Economics Letters, 1998, 60, (3), 351-355 View citations (6)
38. Interest expectations and exchange rates news
    Empirical Economics, 1998, 23, (4), 525-534 View citations (5)

1995

39. Asian interest expectations and exchange rate dynamics
    Pacific-Basin Finance Journal, 1995, 3, (1), 145-145
    Also in Pacific-Basin Finance Journal, 1994, 2, (4), 439-452 (1994) View citations (1)

1994

40. German Stock Market Dynamics
    Empirical Economics, 1994, 19, (3), 397-418 View citations (2)
41. On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?
    The Journal of Business, 1994, 67, (3), 321-43 View citations (90)
42. Stochastic trends and jumps in EMS exchange rates
    Journal of International Money and Finance, 1994, 13, (6), 699-727 View citations (51)

1993

43. Asian Exchange Rate Expectations
    Journal of the Japanese and International Economies, 1993, 7, (1), 57-77 View citations (16)
44. Further evidence on exchange rate expectations
    Journal of International Money and Finance, 1993, 12, (1), 78-98 View citations (92)

Chapters

2018

1. Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence
   Springer View citations (10)
   See also Working Paper Heterogeneous beliefs and asset price dynamics: a survey of recent evidence, Norges Bank (2017) View citations (2) (2017)