Details about Marno Verbeek

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Short-id: pve266

Working Papers

2015

1. Hedge fund flows and performance streaks: How investors weigh information
   ESMT Research Working Papers, ESMT European School of Management and Technology
   See also Journal Article Hedge Fund Flows and Performance Streaks: How Investors Weigh Information, Management Science, INFORMS (2022) View citations (1) (2022)

2009

2. Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models
   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 (9)
   Also in Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2004) View citations (2)
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) View citations (9)
   Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (1)
   See also Journal Article Evaluating portfolio Value-at-Risk using semi-parametric GARCH models, Quantitative Finance, Taylor & Francis Journals (2009) View citations (9) (2009)
3. Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
   Also in Working Paper, Norges Bank (2009) View citations (4)
   See also Journal Article Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights, Journal of Forecasting, John Wiley & Sons, Ltd. (2010) View citations (42) (2010)

2007

4. Predictive gains from forecast combinations using time-varying model weights
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (13)
5. Real Estate Allocation in an ALM Framework
   ERES, European Real Estate Society (ERES)

2006

6. Do Sophisticated Investors Believe in the Law of Small Numbers?
   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 (3)
7. Selecting Copulas for Risk Management
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
   See also Journal Article Selecting copulas for risk management, Journal of Banking & Finance, Elsevier (2007) View citations (113) (2007)

2005

8. A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money
   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 (7)

2004

9. Do Banks Influence the Capital Structure Choices of Firms?
   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
10. Do countries or industries explain momentum in Europe?
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (30)
    Also in 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)
    Discussion Paper, Tilburg University, Center for Economic Research (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)
11. Fund liquidation, self-selection and look-ahead bias in the hedge fund industry
    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 Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry, Review of Finance, European Finance Association (2007) View citations (15) (2007)
12. The effects of systemic crises when investors can be crisis ignorant
    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

13. Market Timing: A Decomposition of Mutual Fund Returns
    Discussion Paper, Tilburg University, Center for Economic Research
    Also in 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)
14. Stress Testing with Student's t Dependence
    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

15. Estimating dynamic models from repeated cross-sections
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (10)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2000) View citations (3)
    See also Journal Article Estimating dynamic models from repeated cross-sections, Journal of Econometrics, Elsevier (2005) View citations (96) (2005)
16. Onweerlegbaar Bewijs? Over het Belang en de Waarde van empirisch Onderzoek voor Financierings- en Beleggingsvraagstukken
    ERIM Inaugural Address 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.
17. Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance
    Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
    Also in 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 (2)
    See also Journal Article Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance, Journal of Financial and Quantitative Analysis, Cambridge University Press (2005) View citations (74) (2005)

2001

18. Eliminating look-ahead bias in evaluating persistence in mutual fund performance
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (20)
    See also Journal Article Eliminating look-ahead bias in evaluating persistence in mutual fund performance, Journal of Empirical Finance, Elsevier (2001) View citations (20) (2001)
19. The Economic Value of Predicting Stock Index Returns and Volatility
    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)
    Also in Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2000)
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2000)
    Discussion Paper, Tilburg University, Center for Economic Research (2000) View citations (3)
    See also Journal Article The Economic Value of Predicting Stock Index Returns and Volatility, Journal of Financial and Quantitative Analysis, Cambridge University Press (2004) View citations (177) (2004)

1999

20. Two-step estimation of panel data models with censored endogenous variables and selection bias
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (122)
    See also Journal Article Two-step estimation of panel data models with censored endogenous variables and selection bias, Journal of Econometrics, Elsevier (1999) View citations (124) (1999)

1998

21. An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
    Also in Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (1998)
    See also Journal Article An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence, Journal of Empirical Finance, Elsevier (1999) View citations (6) (1999)
22. Eliminating Biases in Evaluating Mutual Fund Performance from a Survivorship Free Sample
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1998)

1997

23. Estimating short-run persistence in mutual fund performance
    Discussion Paper, Tilburg University, Center for Economic Research
    See also Journal Article Estimating Short-Run Persistence In Mutual Fund Performance, The Review of Economics and Statistics, MIT Press (2000) View citations (3) (2000)

1994

24. Two-step estimation of simultaneous equation panel data models with censored endogenous variables
    Discussion Paper, Tilburg University, Center for Economic Research View citations (8)

1993

25. Estimating and interpreting models with endogenous treatment effects: The relationship between competing estimators of the union impact on wages
    Discussion Paper, Tilburg University, Center for Economic Research
    Also in Working Papers, Tilburg - Center for Economic Research (1993)
26. Estimating and testing Simultaneous Equation Panel Data Models with Censored Endogenous Variables
    Working Papers, Tilburg - Center for Economic Research View citations (3)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (12)
27. Minimum MSE estimation of a regression model with fixed effects from a series of cross sections
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (69)
    Also in Working Papers, Tilburg - Center for Economic Research (1992) View citations (1)
    See also Journal Article Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections, Journal of Econometrics, Elsevier (1993) View citations (76) (1993)

1992

28. Can cohort data be treated as genuine panal data?
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (181)
    Also in Working Papers, Tilburg - Center for Economic Research (1990) View citations (3)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (1)
    See also Journal Article Can Cohort Data Be Treated as Genuine Panel Data?, Empirical Economics, Springer (1992) View citations (199) (1992)
29. Estimating the Impact of Endogenous Unions Choice on Wages Using Panel Data
    Working Papers, Tilburg - Center for Economic Research View citations (1)
30. Estimating the impact of endogenous union choice on wages using panel data (Revised version)
    Discussion Paper, Tilburg University, Center for Economic Research
31. Incomplete Panels and Selection Bias: A Survey
    Working Papers, Tilburg - Center for Economic Research View citations (39)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1992) View citations (14)
32. Minimum MSE estimation of a regression model with fixed effects from a series of cross sections (Revised version)
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
33. Non-response in panel data: The impact on estimates of a life cycle consumption function
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (118)
    See also Journal Article Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1992) View citations (127) (1992)
34. Testing for selectivity in panel data models
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (306)
35. The optimal choice of controls and pre-experimental observations
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (4)
    See also Journal Article The optimal choice of controls and pre-experimental observations, Journal of Econometrics, Elsevier (1992) View citations (4) (1992)

1991

36. The efficiency of rotating panel designs in an analysis of variance model
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (14)
    See also Journal Article The efficiency of rotating-panel designs in an analysis-of-variance model, Journal of Econometrics, Elsevier (1991) View citations (12) (1991)

1990

37. TESTING FOR SELECTIVITY BIAS IN PANEL DATA MODELS
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990)
    See also Journal Article Testing for Selectivity Bias in Panel Data Models, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1992) View citations (373) (1992)

1989

38. On the estimation of a fixed effects model with selective non-response
    Research Memorandum, Tilburg University, School of Economics and Management View citations (1)
39. THE NONRESPONSE BIAS IN THE ANALYSIS OF THE DETERMINANTS OF TOTAL EXPENDITURES OF HOUSEHOLDS BASED ON PANEL DATA
    Working Papers, Tilburg - Center for Economic Research View citations (5)
40. The nonresponse bias in the analysis of the determinants of total annual expenditures of households based on panel data
    Discussion Paper, Tilburg University, Center for Economic Research View citations (5)

1988

41. Estimation of time dependent parameters in linear models using cross sections, panels or both
    Research Memorandum, Tilburg University, School of Economics and Management
    See also Journal Article Estimation of time-dependent parameters in linear models using cross-sections, panels, or both, Journal of Econometrics, Elsevier (1990) View citations (21) (1990)
42. The optimal design of rotating panels in a simple analysis of variance model
    Research Memorandum, Tilburg University, School of Economics and Management

Journal Articles

2022

1. Hedge Fund Flows and Performance Streaks: How Investors Weigh Information
   Management Science, 2022, 68, (6), 4151-4172 View citations (1)
   See also Working Paper Hedge fund flows and performance streaks: How investors weigh information, ESMT Research Working Papers (2015) (2015)

2020

2. Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds*
   Review of Finance, 2020, 24, (3), 677-731 View citations (7)

2019

3. Can Mutual Fund Investors Distinguish Good from Bad Managers?
   International Review of Finance, 2019, 19, (3), 505-540 View citations (1)

2017

4. Using linear regression to establish empirical relationships
   IZA World of Labor, 2017, 336 View citations (3)

2014

5. Information Content When Mutual Funds Deviate from Benchmarks
   Management Science, 2014, 60, (8), 2038-2053 View citations (19)

2013

6. Better than the original? The relative success of copycat funds
   Journal of Banking & Finance, 2013, 37, (9), 3454-3471 View citations (20)
7. Front-running of mutual fund fire-sales
   Journal of Banking & Finance, 2013, 37, (12), 4931-4942 View citations (6)
8. Short-term residual reversal
   Journal of Financial Markets, 2013, 16, (3), 477-504 View citations (24)

2012

9. DOES FINANCIAL FLEXIBILITY REDUCE INVESTMENT DISTORTIONS?
   Journal of Financial Research, 2012, 35, (2), 243-259 View citations (33)

2011

10. Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree
    Journal of Banking & Finance, 2011, 35, (5), 1303-1314 View citations (41)

2010

11. Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
    Journal of Forecasting, 2010, 29, (1-2), 251-269 View citations (42)
    See also Working Paper Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights, Tinbergen Institute Discussion Papers (2009) View citations (8) (2009)
12. Real Estate in an ALM Framework: The Case of Fair Value Accounting
    Real Estate Economics, 2010, 38, (4), 775-804 View citations (3)
13. The Impact of Financing Surpluses and Large Financing Deficits on Tests of the Pecking Order Theory
    Financial Management, 2010, 39, (2), 733-756 View citations (15)

2009

14. Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
    Quantitative Finance, 2009, 9, (6), 737-745 View citations (9)
    See also Working Paper Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models, ERIM Report Series Research in Management (2009) View citations (9) (2009)
15. On the Use of Multifactor Models to Evaluate Mutual Fund Performance
    Financial Management, 2009, 38, (1), 75-102 View citations (20)

2007

16. A Guide to Modern Econometrics
    Applied Econometrics, 2007, 8, (4), 125-132 View citations (17)
17. Cross-sectional learning and short-run persistence in mutual fund performance
    Journal of Banking & Finance, 2007, 31, (3), 973-997 View citations (41)
18. Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry
    Review of Finance, 2007, 11, (4), 605-632 View citations (15)
    See also Working Paper Fund liquidation, self-selection and look-ahead bias in the hedge fund industry, ERIM Report Series Research in Management (2004) (2004)
19. Selecting copulas for risk management
    Journal of Banking & Finance, 2007, 31, (8), 2405-2423 View citations (113)
    See also Working Paper Selecting Copulas for Risk Management, CEPR Discussion Papers (2006) View citations (12) (2006)

2006

20. Panel Data Models
    Applied Econometrics, 2006, 1, (1), 94-135
21. Portfolio implications of systemic crises
    Journal of Banking & Finance, 2006, 30, (8), 2347-2369 View citations (20)

2005

22. Estimating dynamic models from repeated cross-sections
    Journal of Econometrics, 2005, 127, (1), 83-102 View citations (96)
    See also Working Paper Estimating dynamic models from repeated cross-sections, Econometric Institute Research Papers (2002) View citations (10) (2002)
23. Survival, Look-Ahead Bias, and Persistence in Hedge Fund Performance
    Journal of Financial and Quantitative Analysis, 2005, 40, (3), 493-517 View citations (74)
    See also Working Paper Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance, Discussion Paper (2002) View citations (3) (2002)

2004

24. A multivariate nonparametric test for return and volatility timing
    Finance Research Letters, 2004, 1, (4), 250-260 View citations (3)
25. 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)
26. The Economic Value of Predicting Stock Index Returns and Volatility
    Journal of Financial and Quantitative Analysis, 2004, 39, (2), 407-429 View citations (177)
    See also Working Paper The Economic Value of Predicting Stock Index Returns and Volatility, ERIM Report Series Research in Management (2001) View citations (1) (2001)

2001

27. Eliminating look-ahead bias in evaluating persistence in mutual fund performance
    Journal of Empirical Finance, 2001, 8, (4), 345-373 View citations (20)
    See also Working Paper Eliminating look-ahead bias in evaluating persistence in mutual fund performance, Other publications TiSEM (2001) View citations (20) (2001)

2000

28. Estimating Short-Run Persistence In Mutual Fund Performance
    The Review of Economics and Statistics, 2000, 82, (4), 646-655 View citations (3)
    See also Working Paper Estimating short-run persistence in mutual fund performance, Discussion Paper (1997) (1997)

1999

29. An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence
    Journal of Empirical Finance, 1999, 6, (3), 243-265 View citations (6)
    See also Working Paper An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence, Working Papers of Department of Economics, Leuven (1998) (1998)
30. Estimating and Interpreting Models with Endogenous Treatment Effects
    Journal of Business & Economic Statistics, 1999, 17, (4), 473-78 View citations (144)
31. Estimating the returns to education for Australian youth via rank-order instrumental variables
    Labour Economics, 1999, 6, (4), 491-507 View citations (21)
32. Two-step estimation of panel data models with censored endogenous variables and selection bias
    Journal of Econometrics, 1999, 90, (2), 239-263 View citations (124)
    See also Working Paper Two-step estimation of panel data models with censored endogenous variables and selection bias, Other publications TiSEM (1999) View citations (122) (1999)

1998

33. Whose wages do unions raise? A dynamic model of unionism and wage rate determination for young men
    Journal of Applied Econometrics, 1998, 13, (2), 163-183 View citations (72)

1993

34. Minimum MSE estimation of a regression model with fixed effects from a series of cross-sections
    Journal of Econometrics, 1993, 59, (1-2), 125-136 View citations (76)
    See also Working Paper Minimum MSE estimation of a regression model with fixed effects from a series of cross sections, Other publications TiSEM (1993) View citations (69) (1993)
35. Missing measurements in econometric models with no auxiliary relations
    Economics Letters, 1993, 43, (2), 125-128

1992

36. Can Cohort Data Be Treated as Genuine Panel Data?
    Empirical Economics, 1992, 17, (1), 9-23 View citations (199)
    See also Working Paper Can cohort data be treated as genuine panal data?, Other publications TiSEM (1992) View citations (181) (1992)
37. Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function
    Journal of Applied Econometrics, 1992, 7, (3), 243-57 View citations (127)
    See also Working Paper Non-response in panel data: The impact on estimates of a life cycle consumption function, Other publications TiSEM (1992) View citations (118) (1992)
38. Testing for Selectivity Bias in Panel Data Models
    International Economic Review, 1992, 33, (3), 681-703 View citations (373)
    See also Working Paper TESTING FOR SELECTIVITY BIAS IN PANEL DATA MODELS, Working Papers (1990) (1990)
39. The optimal choice of controls and pre-experimental observations
    Journal of Econometrics, 1992, 51, (1-2), 183-189 View citations (4)
    See also Working Paper The optimal choice of controls and pre-experimental observations, Other publications TiSEM (1992) View citations (4) (1992)

1991

40. The efficiency of rotating-panel designs in an analysis-of-variance model
    Journal of Econometrics, 1991, 49, (3), 373-399 View citations (12)
    See also Working Paper The efficiency of rotating panel designs in an analysis of variance model, Other publications TiSEM (1991) View citations (14) (1991)

1990

41. Estimation of time-dependent parameters in linear models using cross-sections, panels, or both
    Journal of Econometrics, 1990, 46, (3), 333-346 View citations (21)
    See also Working Paper Estimation of time dependent parameters in linear models using cross sections, panels or both, Research Memorandum (1988) (1988)
42. On the estimation of a fixed effects model with selectivity bias
    Economics Letters, 1990, 34, (3), 267-270 View citations (22)