prof.dr. M.J.C.M. (Marno) Verbeek

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Marno Verbeek is a Professor of Finance at Rotterdam School of Management, Erasmus University (RSM). He is currently Head of Department. Previously, he was Dean of Research of RSM and Academic Director of the Erasmus Research Institute of Management (ERIM) from 1 July 2011 until 15 July 2017. His recent research is largely in the area of empirical finance with a particular focus on mutual funds, hedge funds, asset pricing, investment strategies, survival bias and performance evaluation. He is the author of the textbook A Guide to Modern Econometrics (5th ed, 2017), the textbook Panel Methods for Finance (2022), and has published articles in international scholarly journals including the Journal of Financial and Quantitative Analysis, Management Science, the Review of Finance, the Journal of Banking and Finance, the Journal of Empirical Finance, Financial Management, the Journal of Financial Markets, the Journal of Business and Economic Statistics, Review of Economics and Statistics, the Journal of Econometrics and the International Economic Review. He received his PhD from Tilburg University in 1991.

Publications

Highlighted (5)

Baquero, G., & Verbeek, M. (2022). Hedge Fund Flows and Performance Streaks: How Investors Weigh Information. Management Science, 68(6), 4151-4172. https://doi.org/10.1287/mnsc.2021.4067, https://doi.org/10.1287/mnsc.2021.4067
Verbeek, M. (2021). Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications. De Gruyter. De Gruyter Studies in the Practice of Econometrics Vol. 1 https://doi.org/10.1515/9783110660739
Dyakov, T., Jiang, H., & Verbeek, M. (2020). Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds. Review of Finance, 24(3), 677-731. https://doi.org/10.1093/rof/rfz014
Armstrong, WJ., Genc, E., & Verbeek, M. (2017). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, 65(5), 2310-2327. https://doi.org/10.1287/mnsc.2017.2884
Verbeek, M. (2017). A Guide to Modern Econometrics, 5th edition. John Wiley & Sons Inc. https://www.wiley.com/en-cn/A+Guide+to+Modern+Econometrics%2C+5th+Edition-p-9781119401117

Article (44)

Academic (42)

Baquero, G., & Verbeek, M. (2022). Hedge Fund Flows and Performance Streaks: How Investors Weigh Information. Management Science, 68(6), 4151-4172. https://doi.org/10.1287/mnsc.2021.4067, https://doi.org/10.1287/mnsc.2021.4067
Dyakov, T., Jiang, H., & Verbeek, M. (2020). Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds. Review of Finance, 24(3), 677-731. https://doi.org/10.1093/rof/rfz014
Dyakov, T., & Verbeek, M. (2018). Can Mutual Fund Investors Distinguish Good from Bad Managers? International Review of Finance, 19(3), 505-540. https://doi.org/10.1111/irfi.12187
Armstrong, WJ., Genc, E., & Verbeek, M. (2017). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, 65(5), 2310-2327. https://doi.org/10.1287/mnsc.2017.2884
Jiang, H., Verbeek, M., & Wang, Y. (2014). Information Content when Mutual Funds Deviate from Benchmarks. Management Science, 60(8), 2038-2053. https://doi.org/10.1287/mnsc.2013.1847
Verbeek, M., & Wang, Y. (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, 37(9), 3454-3471. https://doi.org/10.1016/j.jbankfin.2013.04.024
Blitz, D., Huij, J., Lansdorp, SD., & Verbeek, M. (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16(3), 477-504. https://doi.org/10.1016/j.finmar.2012.10.005
Dyakov, T., & Verbeek, M. (2013). Front-Running of Mutual Fund Fire-Sales. Journal of Banking and Finance, 37(12), 4931-4942. https://doi.org/10.1016/j.jbankfin.2013.08.013
de Jong, A., Verbeek, M., & Verwijmeren, P. (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35(2), 243-259. https://doi.org/10.1111/j.1475-6803.2012.01316.x
de Jong, A., Verbeek, M., & Verwijmeren, P. (2011). Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree. Journal of Banking and Finance, 35(5), 1303-1314. https://doi.org/10.1016/j.jbankfin.2010.10.006
de Jong, A., Verbeek, M., & Verwijmeren, P. (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management - FM, 39(2), 733-756. https://doi.org/10.1111/j.1755-053X.2010.01090.x
Brounen, D., Porras Prado, M., & Verbeek, M. (2010). Real Estate in an ALM Framework: The Case of Fair Value Accounting. Real Estate Economics, 38(4), 775-804. https://doi.org/10.1111/j.1540-6229.2010.00283.x
Hoogerheide, LF., Kleijn, R., Ravazzolo, F., van Dijk, HK., & Verbeek, M. (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Journal of Forecasting, 29(1/2), 251-269. https://doi.org/10.1002/for.1145
Rombouts, JVK., & Verbeek, M. (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9(6), 737-745. https://doi.org/10.1080/14697680902785284
Huij, J., & Verbeek, M. (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38(1), 75-102. https://doi.org/10.1111/j.1755-053X.2009.01029.x
Huij, J., & Verbeek, M. (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31(3), 973-997. https://doi.org/10.1016/j.jbankfin.2006.08.002
ter Horst, JR., & Verbeek, M. (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11(4), 605-632. https://doi.org/10.1093/rof/rfm012
Kole, E., Koedijk, CG., & Verbeek, M. (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31(8), 2405-2423. https://doi.org/10.1016/j.jbankfin.2006.09.010
Kole, E., Koedijk, CG., & Verbeek, M. (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30(8), 2347-2369. https://doi.org/10.1016/j.jbankfin.2005.08.006
Verbeek, M., & Vella, F. (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127(1), 83-102. https://doi.org/10.1016/j.jeconom.2004.06.004
Baquero, GP., ter Horst, JR., & Verbeek, M. (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40(3), 493-517. http://hdl.handle.net/1765/12614
ter Horst, JR., & Verbeek, M. (2005). Hedgefondsen: Prestaties uit het verleden bieden verwachtingen voor de toekomst. MAB, 79(4), 168-173.
Nijman, T., Swinkels, LM., & Verbeek, M. (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11(4), 461-481. https://doi.org/10.1016/j.jempfin.2004.02.001
Marquering, WA., & Verbeek, M. (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39(2), 407-429. https://doi.org/10.1017/S0022109000003136
Marquering, WA., & Verbeek, M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1(3), 250-260. https://doi.org/10.1016/j.frl.2004.07.002
ter Horst, JR., Nijman, T., & Verbeek, M. (2001). Eliminating look-ahead bias in evaluating persistence in mutual fund performance. Journal of Empirical Finance, 8(4), 345-373. https://doi.org/10.1016/S0927-5398(01)00032-9
ter Horst, JR., & Verbeek, M. (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82(4), 646-655. https://doi.org/10.1162/003465300558984
Marquering, WA., & Verbeek, M. (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6(3), 243-265. https://doi.org/10.1016/S0927-5398(99)00003-1
Vella, F., & Verbeek, M. (1999). Two-step estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90(2), 239-263. https://doi.org/10.1016/S0304-4076(98)00043-8
Verbeek, M., & Vella, F. (1999). Estimating and Interpreting Models with Endogenous Treatment Effects. Journal of Business and Economic Statistics, 17(4), 473-478. https://doi.org/10.2307/1392404
Rummery, S., Vella, F., & Verbeek, M. (1999). Estimating the returns to education for Australian youth via rank-order instrumental variables. Labour Economics, 6(4), 491-507. https://doi.org/10.1016/S0927-5371(98)00016-5
Vella, F., & Verbeek, M. (1998). Whose wages do unions raise? A dynamic model of unionism and wage rate determination for young men. Journal of Applied Econometrics, 13(2), 163-183. https://doi.org/10.1002/(SICI)1099-1255(199803/04)13:2<163::AID-JAE460>3.0.CO;2-Y
Verbeek, MJCM. (1995). Alternative transformations to eliminate fixed effects. Econometric Reviews, 14(2), 205-211. https://doi.org/10.1080/07474939508800315
Verbeek, M., & Nijman, T. (1993). Minimum MSE Estimation of a Regression Model with Fixed Effects from a Series of Cross-Sections. Journal of Econometrics, 59(1-2), 125-136.
Verbeek, M. (1993). Missing measurements in econometric models with no auxiliary relations. Economics Letters, 43(2), 125-128. https://doi.org/10.1016/0165-1765(93)90024-7
Verbeek, M., & Nijman, T. (1992). Testing for Selectivity Bias in Panel Data Models. International Economic Review, 33(3), 681-703.
Nijman, T., & Verbeek, M. (1992). Can Cohort Data Be Treated as Genuine Panel Data? Empirical Economics (Heidelberg), 17, 9-24. https://doi.org/10.1007/BF01192471
Nijman, T., & Verbeek, M. (1992). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51(1-2), 183-189.
Nijman, T., & Verbeek, M. (1992). Nonresponse in panel data: The impact on estimates of a life cycle consumption function. Journal of Applied Econometrics, 7(3), 243-257. https://doi.org/10.1002/jae.3950070303
Nijman, T., Verbeek, M., & van Soest, AHO. (1991). The Efficiency of Rotating-Panel Designs in an Analysis-of-Variance Model. Journal of Econometrics, 49(3), 373-399. https://doi.org/10.1016/0304-4076(91)90003-V
Nijman, T., & Verbeek, M. (1990). Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both. Journal of Econometrics, 46(3), 333-346.
Verbeek, M. (1990). On the estimation of a fixed effects model with selectivity bias. Economics Letters, 34(3), 267-270. https://doi.org/10.1016/0165-1765(90)90129-O

Professional (2)

Genc, E., & Verbeek, M. (2018). How independent research can improve investment decisions. RSM Discovery - Management Knowledge, 33(1), 14-16. http://hdl.handle.net/1765/105617
Marquering, WA., & Verbeek, M. (2004). De Wet van Murphy in de Aandelenmarkt. VBA Journaal, 19(4), 24-29.

Book (7)

Academic (7)

Verbeek, M. (2021). Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications. De Gruyter. De Gruyter Studies in the Practice of Econometrics Vol. 1 https://doi.org/10.1515/9783110660739
Verbeek, M. (2017). A Guide to Modern Econometrics, 5th edition. John Wiley & Sons Inc. https://www.wiley.com/en-cn/A+Guide+to+Modern+Econometrics%2C+5th+Edition-p-9781119401117
Verbeek, M. (2014). Moderne Oekonometrie. Wiley-VCH.
Verbeek, M. (2012). A Guide to Modern Econometrics, 4th edition. John Wiley & Sons Inc.
Verbeek, M. (2008). A Guide to Modern Econometrics, 3rd edition. John Wiley & Sons Inc.
Verbeek, M. (2004). A Guide to Modern Econometrics, 2nd edition. John Wiley & Sons Inc. http://hdl.handle.net/1765/12611
Verbeek, M. (2000). A guide to modern econometrics. John Wiley & Sons Ltd.

Chapter (7)

Academic (7)

Baquero, GP., & Verbeek, M. (2021). Hedge Fund Flows. In D. Cumming, S. Johan, & G. Wood (Eds.), The Oxford Handbook of Hedge Funds (pp. 64-86). Oxford University Press.
Verbeek, M. (2009). Alternative Asset Class. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 16-16). Chapman & Hall/CRC.
Verbeek, M. (2009). Nondirectional. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 319-319). Chapman & Hall/CRC.
Verbeek, M. (2009). Modified Sharpe Ratio. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 303-304). Chapman & Hall/CRC.
Verbeek, M. (2009). Redemption Period. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 392-392). Chapman & Hall/CRC.
Verbeek, M. (2008). Pseudo Panels and Repeated Cross-Sections. In L. Matyas, & P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice (pp. 369-383). Springer-Verlag.
Honoré, B., Vella, F., & Verbeek, M. (2008). Attrition, Selection Bias and Censored Regressions. In L. Matyas, & P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice (pp. 385-418). Springer-Verlag. https://doi.org/10.1007/978-3-540-75892-1_12

Conference proceeding (1)

Academic (1)

Verbeek, M. (2017). Using linear regression to establish empirical relationships. In - Institute of Labor Economics (IZA). https://doi.org/10.15185/izawol.336

Inaugural speech (1)

Popular (1)

Verbeek, M. (2002). Onweerlegbaar bewijs? Over het belang en de waarde van empirisch onderzoek voor financierings- en beleggingsvraagstukken. Erasmus Research Institute of Management (ERIM). http://hdl.handle.net/1765/343

Report (8)

Academic (7)

Ravazzolo, F., van Dijk, H., & Verbeek, M. (2007). Predictive gains from forecast combinations using time-varying model weights. (Econometric Institute Report EI 2007-26 ed.) Econometrics. Econometric Institute Report Vol. EI 2007-26
Kole, E., Koedijk, CG., & Verbeek, M. (2004). The effects of systemic crises when investors can be crisis ignorant. (Report Series in Management 2004-027FA ed.) Erasmus Research Institute of Management (ERIM). Report Series in Management Vol. 2004-027FA
Swinkels, LM., van der Sluis, PJ., & Verbeek, M. (2003). Market timing: a decomposition of mutual fund returns. (ERIM Report Series Research in Management 2003 074-F&A ed.) Erasmus Research Institute of Management (ERIM). ERIM Report Series Research in Management 2003 Vol. 074-F&A
Kole, E., Koedijk, CG., & Verbeek, M. (2003). Stress testing with Student's t dependence. (Report Series in Management 2003-056FA ed.) Erasmus Research Institute of Management (ERIM). Report Series in Management Vol. 2003-056FA
Verbeek, M., & Vella, F. (2002). Estimating dynamic models from repeated cross-sections. (Econometric Institute EI 2002-05 ed.) Econometric Institute Vol. EI 2002-05
Verbeek, M., Nijman, T., & Swinkels, LM. (2002). Do countries or industries explain momentum in Europe. (ERIM Report Series 2002 91-F&A ed.) Erasmus Research Institute of Management (ERIM). ERIM Report Series 2002 Vol. 91-F&A
Verbeek, M., & de Goeij, PC. (2000). An Empirical Analysis of Affine Term Structure Models using the Generalized Method of Moments. december

Professional (1)

de Jong, A., Roosenboom, P., Verbeek, M., & Verwijmeren, P. (2007). Hedgefondsen en private equity in Nederland. Ministerie van Financiën.

Working paper (3)

Academic (3)

Dyakov, T., Jiang, H., & Verbeek, M. (2019). Trading is Hazardous to Your Wealth: Evidence from Mutual Funds around the World. Rotterdam. https://doi.org/10.2139/ssrn.2687169
Huij, J., Lansdorp, SD., & Verbeek, M. (2012). Managerial Turnover and the Behavior of Mutual Fund Investors. ssrn.com/abstract=2166826.
Hoogerheide, LF., Kleijn, RH., Ravazzolo, F., van Dijk, H., & Verbeek, M. (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Econometric Institute. EI reprint reeks Vol. EI-1538

Activities

Additional activities (1)

De Economist (Journal)

Marno Verbeek (Editor)
01 May 2011
Activity: Editorial work (Academic)

Courses

Alternative Investments: beyond stocks and bonds

Study year: 2024/2025, 2023/2024, 2022/2023, 2021/2022
Code: B3MIN1009
Level: Bachelor, Bachelor 3, Bachelor 3

Applied Econometrics

Study year: 2024/2025, 2023/2024, 2022/2023, 2021/2022, 2020/2021, 2019/2020, 2018/2019, 2017/2018, 2016/2017, 2015/2016
Code: BERMMC005
Level: PhD

Research Skills

Study year: 2024/2025, 2023/2024, 2022/2023, 2021/2022, 2020/2021, 2019/2020, 2018/2019
Code: BMRMFI
Level: Master

Past courses

FI master thesis

Study year: 2023/2024, 2022/2023, 2021/2022, 2020/2021, 2018/2019
Code: BMMTFI
Level: Master

Introduction to Econometrics

Study year: 2023/2024, 2022/2023
Code: BPTPHD1203
ECTS: 2

Finance & Investments Honours Class

Study year: 2021/2022, 2020/2021, 2019/2020
Code: BMHON1FI
Level: Master

Introduction Week

Study year: 2021/2022, 2020/2021
Code: BMIWFI
Level: Master

Panel Data Econometrics: Theory and Practice

Study year: 2021/2022, 2019/2020, 2017/2018, 2015/2016
Code: BERMSS004
ECTS: 3 Level: Master, PhD

Alternative investments: beyond stocks and bonds

Study year: 2020/2021, 2019/2020, 2018/2019
Code: BKBMIN009
Level: Bachelor, Bachelor 3, Bachelor 3

Portfolio management

Study year: 2020/2021, 2019/2020, 2018/2019
Code: BMME020
ECTS: 6 Level: Master, Master, Master, Master

Investments

Study year: 2019/2020
Code: BM01FI
ECTS: 5 Level: Master, Master, Master, Master

Living Management

Study year: 2018/2019, 2017/2018
Code: BM20FI-A
ECTS: 8 Level: Master

Professional Asset Management

Study year: 2018/2019, 2017/2018, 2016/2017
Code: BM07FI-A
ECTS: 6 Level: Master

Publishing Strategy

Study year: 2018/2019, 2017/2018, 2016/2017
Code: BERMSKL010
ECTS: 1 Level: Master

Seminar Asset Pricing 1

Study year: 2016/2017
Code: BERMAMC007
ECTS: 5 Level: Master

Seminar Asset Pricing 2

Study year: 2016/2017
Code: BERMASC032
ECTS: 5 Level: Master

Media

Featured in the media

No proof that technical analysis works, but that doesn't bother users

Technical analysis to determine whether a share is worth buying. Major parties such as banks and asset managers have mixed feelings about the methodology. Can you predict prices based on past price movements, or is this…
fd.nl Monday, 19 August 2024
Nieuwe wetenschappelijke directeur ERIM

Professor Pursey Heugens succeeds Professor Marno Verbeek as Scientific Director of the Erasmus Research Institute of Management (ERIM), the joint research institute of Rotterdam School of Management and Erasmus School of…
Erasmus Universiteit Rotterdam Tuesday, 27 June 2017

Contact information

Visiting address

Office: Mandeville Building T08-29

Burgemeester Oudlaan 50

3062 PA Rotterdam

Netherlands

Postal address

Postbus 1738

3000 DR Rotterdam

Netherlands

+31 (0) 10 408 2727

mverbeek@rsm.nl

prof.dr. M.J.C.M. (Marno) Verbeek

Profile

Publications

Academic (42)

Professional (2)

Academic (7)

Academic (7)

Academic (1)

Popular (1)

Academic (7)

Professional (1)

Academic (3)

Activities

Courses

Past courses

FI master thesis

Introduction to Econometrics

Finance & Investments Honours Class

Introduction Week

Panel Data Econometrics: Theory and Practice

Alternative investments: beyond stocks and bonds

Portfolio management

Investments

Living Management

Professional Asset Management

Publishing Strategy

Seminar Asset Pricing 1

Seminar Asset Pricing 2

Featured in the media

Contact information

Visiting address

Postal address