Prof. Mathijs van Dijk

Endowed Professor of Business Administration, with particular reference to Financial Markets

Rotterdam School of Management (RSM)

Erasmus University Rotterdam

Connected with

Profile

Mathijs A. van Dijk (personal website for recent working papers, data, etc.) is professor of finance at Rotterdam School of Management, Erasmus University (RSM).

His research focus is international finance and investments. He has published in leading academic journals such as the Journal of Financial Economics, the Journal of Accounting and Economics, and the Review of Finance.

In 2008, he received a 600,000 euro Vidi-grant from the Netherlands Organisation for Scientific Research (NWO) for a five-year research program on 'liquidity black holes.'

Professor van Dijk has presented his work extensively at international conferences and seminars at academic institutions including, among others, Boston College, Dartmouth, Duke, Harvard, HEC Paris, INSEAD, and UCLA.

He is also a frequent speaker at industry events and has written for practitioner-oriented journals such as the Financial Analysts Journal.

Professor van Dijk has been a visiting graduate student at Warwick Business School and Princeton University and a visiting research scholar at the Ohio State University, Duke University, and UCLA.

He obtained his MSc in Econometrics (cum laude) from Erasmus University and his PhD in Finance from Maastricht University.

Professional experience

Full Professor

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

Endowed Professor

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

Publications

Key Publications (16)

R.M. Hanselaar, R.M. Stulz & M.A. van Dijk (2018). Do Firms Issue More Equity When Markets Become More Liquid? Journal of Financial Economics, Accepted. doi: 10.2139/ssrn.2291647
C.K.W. Dreu & M.A. van Dijk (2018). Climatic Shocks Associate with Innovation in Science and Technology. PLoS One (online), 13 (1). doi: 10.1371/journal.pone.0190122
K. Hou & M.A. van Dijk (2018). Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns. The Review of Financial Studies, Accepted.
D.M. Rosch, A. Subrahmanyam & M.A. van Dijk (2017). The dynamics of market efficiency. The Review of Financial Studies, 30 (4), 1151-1187. doi: http://dx.doi.org/10.1093/rfs/hhw085
G.A. Karolyi, K. Lee & M.A. van Dijk (2012). Understanding Commonality in Liquidity Around the World. Journal of Financial Economics, 105 (1), 82-112. doi: http://dx.doi.org/10.1016/j.jfineco.2011.12.008[go to publisher's site]
K. Hou & M.A. van Dijk (2012). The Implied Cost of Capital: A New Approach. Journal of Accounting and Economics, 53 (3), 504-526. doi: http://dx.doi.org/10.1016/j.jacceco.2011.12.001[go to publisher's site]
C.G. Koedijk, B. Tims & M.A. van Dijk (2011). Why Panel Tests of Purchasing Power Parity Should Allow for Heterogeneous Mean Reversion. Journal of International Money and Finance, 30 (1), 246-267. doi: http://dx.doi.org/10.1016/j.jimonfin.2010.10.004[go to publisher's site]
M.A. van Dijk (2011). Is Size Dead? A Review of the Size Effect in Equity Returns. Journal of Banking and Finance, 35 (12), 3263-3274. doi: http://dx.doi.org/10.1016/j.jbankfin.2011.05.009[go to publisher's site]
G.A. Moerman & M.A. van Dijk (2010). Inflation Risk and International Asset Returns. Journal of Banking and Finance, 34 (4), 840-855. doi: http://dx.doi.org/10.1016/j.jbankfin.2009.09.014[go to publisher's site]
A. de Jong, L. Rosenthal & M.A. van Dijk (2009). The risk and return of arbitrage in dual-listed companies. Review of Finance, 13 (3), 495-520. doi: http://dx.doi.org/10.1093/rof/rfn031[go to publisher's site]
M.A. van Dijk & P.G.J. Roosenboom (2009). The market reaction to cross-listings: Does the destination market matter? Journal of Banking and Finance, 33 (10), 1898-1908. doi: http://dx.doi.org/10.1016/j.jbankfin.2009.04.010[go to publisher's site]
C.G. Koedijk, J.R. Lothian & M.A. van Dijk (2006). Foreign Exchange Markets. Journal of International Money and Finance, 25 (1), 1-6. doi: http://dx.doi.org/10.1016/j.jimonfin.2005.10.001[go to publisher's site]
C.G. Koedijk, B. Tims & M.A. van Dijk (2004). Purchasing Power Parity and the Euro Area. Journal of International Money and Finance, 23 (7/8), 1081-1107. doi: http://dx.doi.org/10.1016/j.jimonfin.2004.08.005[go to publisher's site]
C.G. Koedijk & M.A. van Dijk (2004). Global Risk Factors and the Cost of Capital. Financial Analysts Journal, 60 (2), 32-38.
C.G. Koedijk, C. Kool, P. Schotman & M.A. van Dijk (2002). The cost of capital in international financial markets: local or global? Journal of International Money and Finance, 21 (6), 905-930. doi: http://dx.doi.org/10.1016/S0261-5606(02)00028-1[go to publisher's site]
C.G. Koedijk, P.C. Schotman & M.A. van Dijk (1998). The Re-emergence of PPP in the 1990s. Journal of International Money and Finance, 17 (1), 51-61. doi: http://dx.doi.org/10.1016/S0261-5606(97)98051-7

Professional Publications

M.A. van Dijk, J. Dul & J.A. Albuquerque de Sousa (2017). What makes new stock markets succesful?

Scholarly Publications (28)

R.M. Hanselaar, R.M. Stulz & M.A. van Dijk (2018). Do Firms Issue More Equity When Markets Become More Liquid? Journal of Financial Economics, Accepted. doi: 10.2139/ssrn.2291647
C.K.W. Dreu & M.A. van Dijk (2018). Climatic Shocks Associate with Innovation in Science and Technology. PLoS One (online), 13 (1). doi: 10.1371/journal.pone.0190122
K. Hou & M.A. van Dijk (2018). Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns. The Review of Financial Studies, Accepted.
T. Beck, J.A. Albuquerque de Sousa, P.A.G. van Bergeijk & M.A. van Dijk (2017). Nascent stock exchanges — tales of success and failure. (blog). World Bank. (available: 18 Apr 2017).
J.A. Albuquerque de Sousa, T. Beck, P.A.G. van Bergeijk & M.A. van Dijk (2017). Wat verklaart het succes en falen van prille aandelenbeurzen? (blog). (available: 20 Mar 2017).
D.M. Rosch, A. Subrahmanyam & M.A. van Dijk (2017). The dynamics of market efficiency. The Review of Financial Studies, 30 (4), 1151-1187. doi: http://dx.doi.org/10.1093/rfs/hhw085
A. Guenster & M.A. van Dijk (2016). The impact of European antitrust policy: Evidence from the stock market. International Review of Law and Economics, 46, 20-33. doi: http://dx.doi.org/http://dx.doi.org/10.1016/j.irle.2015.12.001
J.A. Albuquerque de Sousa, T. Beck, P.A.G. van Bergeijk & M.A. van Dijk (2016). Nascent markets: Understanding the success and failure of new stock markets. (Preprints, ISS working papers. General series, no 623). The Hague: International Institute of Social Studies
J.A. Albuquerque de Sousa, T. Beck, P.A.G. van Bergeijk & M.A. van Dijk (2016). Nascent stock exchanges: Explaining success and failure. (blog). London: Vox.eu CEPR. (available: 17 Nov 2016).
G.A. Karolyi, K. Lee & M.A. van Dijk (2012). Understanding Commonality in Liquidity Around the World. Journal of Financial Economics, 105 (1), 82-112. doi: http://dx.doi.org/10.1016/j.jfineco.2011.12.008[go to publisher's site]
T.T. Nguyen & M.A. van Dijk (2012). Corruption, Growth, and Governance: Private vs. State-owned Firms in Vietnam. Journal of Banking and Finance, 36 (11), 2935-2948. doi: http://dx.doi.org/10.1016/j.jbankfin.2012.03.027[go to publisher's site]
K. Hou & M.A. van Dijk (2012). The Implied Cost of Capital: A New Approach. Journal of Accounting and Economics, 53 (3), 504-526. doi: http://dx.doi.org/10.1016/j.jacceco.2011.12.001[go to publisher's site]
C.G. Koedijk, B. Tims & M.A. van Dijk (2011). Why Panel Tests of Purchasing Power Parity Should Allow for Heterogeneous Mean Reversion. Journal of International Money and Finance, 30 (1), 246-267. doi: http://dx.doi.org/10.1016/j.jimonfin.2010.10.004[go to publisher's site]
M.A. van Dijk (2011). Is Size Dead? A Review of the Size Effect in Equity Returns. Journal of Banking and Finance, 35 (12), 3263-3274. doi: http://dx.doi.org/10.1016/j.jbankfin.2011.05.009[go to publisher's site]
M.D. Flood, C.G. Koedijk, M.A. van Dijk & I.W. van Leeuwen (2010). Securities Trading, Asymmetric Information, and Market Transparency. In G.N. Gregoriou (Ed.), The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets (pp. 317-341). McGraw-Hill
G.A. Moerman & M.A. van Dijk (2010). Inflation Risk and International Asset Returns. Journal of Banking and Finance, 34 (4), 840-855. doi: http://dx.doi.org/10.1016/j.jbankfin.2009.09.014[go to publisher's site]
T.T. Nguyen & M.A. van Dijk (2009). Corruption and Public Governance: Evidence from Vietnam. In G.N. Gregoriou (Ed.), Emerging Markets: Performance, Analysis and Innovation (Boca Raton) (pp. 693-713). CRC press: Chapman-Hall/Taylor and Francis London, UK
A. de Jong, L. Rosenthal & M.A. van Dijk (2009). The risk and return of arbitrage in dual-listed companies. Review of Finance, 13 (3), 495-520. doi: http://dx.doi.org/10.1093/rof/rfn031[go to publisher's site]
M.A. van Dijk & P.G.J. Roosenboom (2009). The market reaction to cross-listings: Does the destination market matter? Journal of Banking and Finance, 33 (10), 1898-1908. doi: http://dx.doi.org/10.1016/j.jbankfin.2009.04.010[go to publisher's site]
C.G. Koedijk, M.A. van Dijk & I.W. van Leeuwen (2008). The Impact of Inter-Dealer Trading on Market Liquidity Under Asymmetric Information. In Francois-Serge.Lhabitant Greg N. Gregoriou (Ed.), Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing (pp. 267-285). Hoboken: John Wiley & Sons
D. Brounen, M.A. van Dijk & P.M.A. Eichholtz (2008). Corporate Real Estate and Corporate Takeovers: International Evidence. Journal of Real Estate Research, 30 (3), 293-314.
C.G. Koedijk, J.R. Lothian & M.A. van Dijk (2006). Foreign Exchange Markets. Journal of International Money and Finance, 25 (1), 1-6. doi: http://dx.doi.org/10.1016/j.jimonfin.2005.10.001[go to publisher's site]
C.G. Koedijk, B. Tims & M.A. van Dijk (2004). Purchasing Power Parity and the Euro Area. Journal of International Money and Finance, 23 (7/8), 1081-1107. doi: http://dx.doi.org/10.1016/j.jimonfin.2004.08.005[go to publisher's site]
C.G. Koedijk & M.A. van Dijk (2004). Global Risk Factors and the Cost of Capital. Financial Analysts Journal, 60 (2), 32-38.
C.G. Koedijk & M.A. van Dijk (2004). The Cost of Capital of Cross-Listed Firms. European Financial Management, 10 (3), 465-486.
C.G. Koedijk, C. Kool, P. Schotman & M.A. van Dijk (2002). The cost of capital in international financial markets: local or global? Journal of International Money and Finance, 21 (6), 905-930. doi: http://dx.doi.org/10.1016/S0261-5606(02)00028-1[go to publisher's site]
C.G. Koedijk, P.C. Schotman & M.A. van Dijk (1998). The Re-emergence of PPP in the 1990s. Journal of International Money and Finance, 17 (1), 51-61. doi: http://dx.doi.org/10.1016/S0261-5606(97)98051-7
M.A. van Dijk & P.A.G. van Bergeijk (1997). Resource Misallocation and Mark-ups: An Alternative Estimation Technique for Harberger Triangles. Economics Letters, 54, 165-167. doi: http://dx.doi.org/10.1016/S0165-1765(97)00021-9

Work in Progress

T. Beck, J.A. Albuquerque de Sousa, P.A.G. van Bergeijk & M.A. van Dijk (2017). Understanding the Success and Failure of Nascent Stock Exchanges. (blog). University of Oxford Business Law Blog. (available: 18 Apr 2017).