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

Academic (42)

• Baquero, G., & Verbeek, M. (2022). Hedge Fund Flows and Performance Streaks: How Investors Weigh Information. Management Science, 68(6), 4151-4172. Advance online publication. 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

• 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

• 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

• 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

• 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. (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

• 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.

• 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

• 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

• 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

• 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

• 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. (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. (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.

• 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

• 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). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51(1-2), 183-189.

• 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., & 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.

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

• Verbeek, M. (2017). A Guide to Modern Econometrics, 5th edition. John Wiley & Sons Inc.

• 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.

Academic (8)

• 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). 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). Alternative Asset Class. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 16-16). Chapman & Hall/CRC.

• Verbeek, M. (2009). Redemption Period. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 392-392). Chapman & Hall/CRC.

• 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.

• Honoré, B., Vella, F., & Verbeek, M. (2008). Attrition, Selection Bias and Censored Regressions. In Advanced Studies in Theoretical and Applied Econometrics (pp. 385-418). Kluwer/Springer. https://doi.org/10.1007/978-3-540-75892-1_12

• 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.

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

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

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.

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