Prof. Marno Verbeek

Professor of Finance

Rotterdam School of Management (RSM)

Erasmus University Rotterdam

Connected with

Erasmus Finance Group

Profile

Marno Verbeek is a Professor of Finance at Rotterdam School of Management, Erasmus University (RSM). 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), 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.

Professional experience

Full Professor

Erasmus University Rotterdam
RSM - Rotterdam School of Management
Department of Finance

Full Professor

Erasmus University Rotterdam
RSM - Rotterdam School of Management
Department of Finance

Publications

Key Publications (35)

G.P. Baquero & M.J.C.M. Verbeek (2021). Hedge Fund Flows and Performance Streaks: How Investors Weigh Information. Management Science, accepted.
T.C. Dyakov, H. Jiang & M.J.C.M. Verbeek (2020). Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds. Review of Finance, 24 (3), 677-731. doi: 10.1093/rof/rfz014 [go to publisher's site]
T.C. Dyakov & M.J.C.M. Verbeek (2019). Can Mutual Fund Investors Distinguish Good from Bad Managers? International Review of Finance, 19 (3), 505-540. doi: 10.1111/irfi.12187
W.J. Armstrong, E. Genc & M.J.C.M. Verbeek (2019). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, 65 (5), 2310-2327. doi: 10.1287/mnsc.2017.2884
M.J.C.M. Verbeek (2017). A Guide to Modern Econometrics, 5th edition. Hoboken, NJ: John Wiley and Sons
H. Jiang, M.J.C.M. Verbeek & Y. Wang (2014). Information Content when Mutual Funds Deviate from Benchmarks. Management Science, 60 (8), 2038-2053. doi: 10.1287/mnsc.2013.1847
M.J.C.M. Verbeek & Y. Wang (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, 37 (9), 3454-3471. doi: 10.1016/j.jbankfin.2013.04.024
D. Blitz, J.J. Huij, S.D. Lansdorp & M.J.C.M. Verbeek (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16 (3), 477-504. doi: 10.1016/j.finmar.2012.10.005
T. Dyakov & M.J.C.M. Verbeek (2013). Front-Running of Mutual Fund Fire-Sales. Journal of Banking and Finance, 37 (12), 4931-4942. doi: 10.1016/j.jbankfin.2013.08.013
A. de Jong, M.J.C.M. Verbeek & P. Verwijmeren (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35 (2), 243-259. doi: 10.1111/j.1475-6803.2012.01316.x
M.J.C.M. Verbeek (2012). A Guide to Modern Econometrics, 4th edition. Chichester: John Wiley and Sons
A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (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. doi: 10.1016/j.jbankfin.2010.10.006
A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management - FM, 39 (2), 733-756. doi: 10.1111/j.1755-053X.2010.01090.x
J.V.K. Rombouts & M.J.C.M. Verbeek (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9 (6), 737-745. doi: 10.1080/14697680902785284
J.J. Huij & M.J.C.M. Verbeek (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38 (1), 75-102. doi: 10.1111/j.1755-053X.2009.01029.x
J.R. ter Horst & M.J.C.M. Verbeek (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11 (4), 605-632. doi: 10.1093/rof/rfm012 [go to publisher's site]
J.J. Huij & M.J.C.M. Verbeek (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31 (3), 973-997. doi: 10.1016/j.jbankfin.2006.08.002
H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31 (8), 2405-2423. doi: 10.1016/j.jbankfin.2006.09.010
H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30 (8), 2347-2369. doi: 10.1016/j.jbankfin.2005.08.006
M.J.C.M. Verbeek & F. Vella (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127 (1), 83-102. doi: 10.1016/j.jeconom.2004.06.004
G.P. Baquero, J.R. ter Horst & M.J.C.M. Verbeek (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40 (3), 493-517. [go to publisher's site]
W.A. Marquering & M.J.C.M. Verbeek (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39 (2), 407-429. doi: 10.1017/S0022109000003136
Th.E. Nijman, L.M. Swinkels & M.J.C.M. Verbeek (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11 (4), 461-481. doi: 10.1016/j.jempfin.2004.02.001
J.R. ter Horst & M.J.C.M. Verbeek (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82 (4), 646-655. doi: 10.1162/003465300558984
W.A. Marquering & M.J.C.M. Verbeek (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6 (3), 243-265. doi: 10.1016/S0927-5398(99)00003-1
M.J.C.M. Verbeek & F. Vella (1999). Estimating and Interpreting Models with Endogenous Treatment Effects. Journal of Business and Economic Statistics, 17 (4), 473-478. doi: 10.2307/1392404
F. Vella & M.J.C.M. Verbeek (1999). Two-step estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90 (2), 239-263. doi: 10.1016/S0304-4076(98)00043-8
F. Vella & M.J.C.M. Verbeek (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. doi: 10.1002/(SICI)1099-1255(199803/04)13:23.0.CO;2-Y
M.J.C.M. Verbeek & Th.E. Nijman (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.
Th.E. Nijman & M.J.C.M. Verbeek (1992). Can Cohort Data Be Treated as Genuine Panel Data? Empirical Economics (Heidelberg), 17, 9-24. doi: 10.1007/BF01192471
M.J.C.M. Verbeek & Th.E. Nijman (1992). Testing for Selectivity Bias in Panel Data Models. International Economic Review, 33 (3), 681-703.
Th.E. Nijman & M.J.C.M. Verbeek (1992). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51 (1-2), 183-189.
Th.E. Nijman & M.J.C.M. Verbeek (1992). Nonresponse in panel data: The impact on estimates of a life cycle consumption function. Journal of Applied Econometrics, 7 (3), 243-257. doi: 10.1002/jae.3950070303
Th.E. Nijman, M.J.C.M. Verbeek & A.H.O. van Soest (1991). The Efficiency of Rotating-Panel Designs in an Analysis-of-Variance Model. Journal of Econometrics, 49 (3), 373-399. doi: 10.1016/0304-4076(91)90003-V
Th.E. Nijman & M.J.C.M. Verbeek (1990). Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both. Journal of Econometrics, 46 (3), 333-346.

Professional Publications (3)

E. Genc & M.J.C.M. Verbeek (2018). How independent research can improve investment decisions. RSM Discovery - Management Knowledge, 33 (1), 14-16.
A. De Jong, P.G.J. Roosenboom, M.J.C.M. Verbeek & P. Verwijmeren (2007). Hedgefondsen en private equity in Nederland. (Extern rapport). Den Haag: Ministerie van Financien
W.A. Marquering & M.J.C.M. Verbeek (2004). De Wet van Murphy in de Aandelenmarkt. VBA Journaal, 19 (4), 24-29.

Scholarly Publications (59)

G.P. Baquero & M.J.C.M. Verbeek (2021). Hedge Fund Flows and Performance Streaks: How Investors Weigh Information. Management Science, accepted.
T.C. Dyakov, H. Jiang & M.J.C.M. Verbeek (2020). Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds. Review of Finance, 24 (3), 677-731. doi: 10.1093/rof/rfz014 [go to publisher's site]
T.C. Dyakov & M.J.C.M. Verbeek (2019). Can Mutual Fund Investors Distinguish Good from Bad Managers? International Review of Finance, 19 (3), 505-540. doi: 10.1111/irfi.12187
W.J. Armstrong, E. Genc & M.J.C.M. Verbeek (2019). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, 65 (5), 2310-2327. doi: 10.1287/mnsc.2017.2884
T.C. Dyakov, H. Jiang & M.J.C.M. Verbeek (2019). Trading is Hazardous to Your Wealth: Evidence from Mutual Funds around the World. (Preprints). Rotterdam: Rotterdam doi: 10.2139/ssrn.2687169
M.J.C.M. Verbeek (2017). Using linear regression to establish empirical relationships. In IZA World of Labour. Bonn: Institute of Labor Economics (IZA) doi: 10.15185/izawol.336
M.J.C.M. Verbeek (2017). A Guide to Modern Econometrics, 5th edition. Hoboken, NJ: John Wiley and Sons
H. Jiang, M.J.C.M. Verbeek & Y. Wang (2014). Information Content when Mutual Funds Deviate from Benchmarks. Management Science, 60 (8), 2038-2053. doi: 10.1287/mnsc.2013.1847
M.J.C.M. Verbeek (2014). Moderne Oekonometrie. Weinheim: Wiley-VCH
M.J.C.M. Verbeek & Y. Wang (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, 37 (9), 3454-3471. doi: 10.1016/j.jbankfin.2013.04.024
D. Blitz, J.J. Huij, S.D. Lansdorp & M.J.C.M. Verbeek (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16 (3), 477-504. doi: 10.1016/j.finmar.2012.10.005
T. Dyakov & M.J.C.M. Verbeek (2013). Front-Running of Mutual Fund Fire-Sales. Journal of Banking and Finance, 37 (12), 4931-4942. doi: 10.1016/j.jbankfin.2013.08.013
J.J. Huij, S.D. Lansdorp & M.J.C.M. Verbeek (2012). Managerial Turnover and the Behavior of Mutual Fund Investors. (Preprints). : http://ssrn.com/abstract=2166826
A. de Jong, M.J.C.M. Verbeek & P. Verwijmeren (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35 (2), 243-259. doi: 10.1111/j.1475-6803.2012.01316.x
M.J.C.M. Verbeek (2012). A Guide to Modern Econometrics, 4th edition. Chichester: John Wiley and Sons
A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (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. doi: 10.1016/j.jbankfin.2010.10.006
A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management - FM, 39 (2), 733-756. doi: 10.1111/j.1755-053X.2010.01090.x
D. Brounen, M. Porras Prado & M.J.C.M. Verbeek (2010). Real Estate in an ALM Framework: The Case of Fair Value Accounting. Real Estate Economics, 38 (4), 775-804. doi: 10.1111/j.1540-6229.2010.00283.x
L.F. Hoogerheide, R. Kleijn, F. Ravazzolo, H.K. van Dijk & M.J.C.M. Verbeek (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Journal of Forecasting, 29 (1/2), 251-269. doi: 10.1002/for.1145
L.F. Hoogerheide, R.H. Kleijn, F. Ravazzolo, H.K. van Dijk & M.J.C.M. Verbeek (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. (Preprints, EI reprint reeks, no EI-1538). 3000 DR Rotterdam: Econometric Institute
M.J.C.M. Verbeek (2009). Modified Sharpe Ratio. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 303-304). Boca Raton, FL: Chapman and Hall / CRC
J.V.K. Rombouts & M.J.C.M. Verbeek (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9 (6), 737-745. doi: 10.1080/14697680902785284
M.J.C.M. Verbeek (2009). Alternative Asset Class. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 16-16). Boca Raton, FL: Chapman and Hall / CRC
M.J.C.M. Verbeek (2009). Nondirectional. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 319-319). Boca Raton, FL: Chapman and Hall / CRC
M.J.C.M. Verbeek (2009). Redemption Period. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 392-392). Boca Raton, FL: Chapman and Hall / CRC
J.J. Huij & M.J.C.M. Verbeek (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38 (1), 75-102. doi: 10.1111/j.1755-053X.2009.01029.x
M.J.C.M. Verbeek (2008). A Guide to Modern Econometrics, 3rd edition. Chichester: John Wiley and Sons
M.J.C.M. Verbeek (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). Berlin: Springer Verlag
B. Honoré, F. Vella & M.J.C.M. Verbeek (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). Berlin: Springer
J.R. ter Horst & M.J.C.M. Verbeek (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11 (4), 605-632. doi: 10.1093/rof/rfm012 [go to publisher's site]
J.J. Huij & M.J.C.M. Verbeek (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31 (3), 973-997. doi: 10.1016/j.jbankfin.2006.08.002
H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31 (8), 2405-2423. doi: 10.1016/j.jbankfin.2006.09.010
H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30 (8), 2347-2369. doi: 10.1016/j.jbankfin.2005.08.006
M.J.C.M. Verbeek & F. Vella (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127 (1), 83-102. doi: 10.1016/j.jeconom.2004.06.004
J.R. ter Horst & M.J.C.M. Verbeek (2005). Hedgefondsen: Prestaties uit het verleden bieden verwachtingen voor de toekomst. MAB, 79 (4), 168-173.
G.P. Baquero, J.R. ter Horst & M.J.C.M. Verbeek (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40 (3), 493-517. [go to publisher's site]
M.J.C.M. Verbeek (2004). A Guide to Modern Econometrics, 2nd edition. Chichester: John Wiley and Sons [go to publisher's site]
W.A. Marquering & M.J.C.M. Verbeek (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39 (2), 407-429. doi: 10.1017/S0022109000003136
Th.E. Nijman, L.M. Swinkels & M.J.C.M. Verbeek (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11 (4), 461-481. doi: 10.1016/j.jempfin.2004.02.001
W.A. Marquering & M.J.C.M. Verbeek (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1 (3), 250-260. doi: 10.1016/j.frl.2004.07.002
M.J.C.M. Verbeek (2002). Onweerlegbaar bewijs? Over het belang en de waarde van empirisch onderzoek voor financierings- en beleggingsvraagstukken. (2002, juni 21). Rotterdam: Erasmus Research Institute of Management
J.R. ter Horst, Th.E. Nijman & M.J.C.M. Verbeek (2001). Eliminating look-ahead bias in evaluating persistence in mutual fund performance. Journal of Empirical Finance, 8 (4), 345-373. doi: 10.1016/S0927-5398(01)00032-9
M.J.C.M. Verbeek & P.C. de Goeij (2000). An Empirical Analysis of Affine Term Structure Models using the Generalized Method of Moments. (Intern rapport, december). :
J.R. ter Horst & M.J.C.M. Verbeek (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82 (4), 646-655. doi: 10.1162/003465300558984
M.J.C.M. Verbeek (2000). A guide to modern econometrics. Chichester, England: John Wiley & Sons, Ltd.
S. Rummery, F. Vella & M.J.C.M. Verbeek (1999). Estimating the returns to education for Australian youth via rank-order instrumental variables. Labour Economics, 6 (4), 491-507. doi: 10.1016/S0927-5371(98)00016-5
W.A. Marquering & M.J.C.M. Verbeek (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6 (3), 243-265. doi: 10.1016/S0927-5398(99)00003-1
M.J.C.M. Verbeek & F. Vella (1999). Estimating and Interpreting Models with Endogenous Treatment Effects. Journal of Business and Economic Statistics, 17 (4), 473-478. doi: 10.2307/1392404
F. Vella & M.J.C.M. Verbeek (1999). Two-step estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90 (2), 239-263. doi: 10.1016/S0304-4076(98)00043-8
F. Vella & M.J.C.M. Verbeek (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. doi: 10.1002/(SICI)1099-1255(199803/04)13:23.0.CO;2-Y
M.J.C.M. Verbeek & Th.E. Nijman (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.
M.J.C.M. Verbeek (1993). Missing measurements in econometric models with no auxiliary relations. Economics Letters, 43 (2), 125-128. doi: 10.1016/0165-1765(93)90024-7
Th.E. Nijman & M.J.C.M. Verbeek (1992). Can Cohort Data Be Treated as Genuine Panel Data? Empirical Economics (Heidelberg), 17, 9-24. doi: 10.1007/BF01192471
M.J.C.M. Verbeek & Th.E. Nijman (1992). Testing for Selectivity Bias in Panel Data Models. International Economic Review, 33 (3), 681-703.
Th.E. Nijman & M.J.C.M. Verbeek (1992). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51 (1-2), 183-189.
Th.E. Nijman & M.J.C.M. Verbeek (1992). Nonresponse in panel data: The impact on estimates of a life cycle consumption function. Journal of Applied Econometrics, 7 (3), 243-257. doi: 10.1002/jae.3950070303
Th.E. Nijman, M.J.C.M. Verbeek & A.H.O. van Soest (1991). The Efficiency of Rotating-Panel Designs in an Analysis-of-Variance Model. Journal of Econometrics, 49 (3), 373-399. doi: 10.1016/0304-4076(91)90003-V
Th.E. Nijman & M.J.C.M. Verbeek (1990). Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both. Journal of Econometrics, 46 (3), 333-346.
M.J.C.M. Verbeek (1990). On the estimation of a fixed effects model with selectivity bias. Economics Letters, 34 (3), 267-270. doi: 10.1016/0165-1765(90)90129-O

Semi Scientific Publications

H. Jiang, M.J.C.M. Verbeek & Y. Wang (2013). Information Content when Mutual Funds Deviate from Benchmarks. SPIVA Award 2012: New York (2013, maart 20).

Recognitions

Editorial positions

De Economist

Associate Editor

Side positions

Netspar

Research Coordinator

Media

Media item

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

Discovery item

How independent research can improve investment decisions

Investment fund ratings are often based on the past. But a popular analytics firm rates expected future performances. Does that work well?

Courses

Applied Econometrics

Study year: 2020/2021, 2019/2020, 2018/2019, 2017/2018, 2016/2017, 2015/2016, 2014/2015, 2013/2014, 2012/2013, 2011/2012
Code: BERMMC005
ECTS: 5 Level: Master, PhD