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Research Papers

Carry
(with Ralph S.J. Koijen, Tobias J. Moskowitz and Lasse H. Pedersen)
November 2013
AFA 2012 and 2012 NBER SI (Asset Pricing)

Equity Yields
(with Jules H. van Binsbergen, Wouter H. Hueskes and Ralph S.J. Koijen)
Journal of Financial Economics 110, p. 503 - 519 lead article
Bloomberg writes about Equity Yields

Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle
(with Roman Kräussl, André Lucas, David Rijsbergen en Pieter Jelle van der Sluis)
AEA 2010, Journal of International Money and Finance 43, 2014, p. 50-69.
AFA/AEA presentation (PDF)

Estimating Implied Default Probabilities and Recovery Values from Sovereign Bond Prices
Journal of Fixed Income, Fall 2011, p. 5 - 14 [lead article]

Asymmetries in the Reaction of Treasury Bond Futures Returns to Macroeconomic Announcements.
October 2010.

It's Not Only U.S. News that Matters: International Macroeconomic News and Exchange Rates
July 2010.

Treasury Bond Volatility and Uncertainty about Monetary Policy (with Ivo Arnold)
The Financial Review 45, p. 707 - 728

U.S. and Japanese Macroeconomic News and Stock Market Volatility in Asia-Pacific
Pacific-Basin Finance Journal 17, p. 611-627.

Fundamental Uncertainty and Stock Market Volatility (with Ivo Arnold)
Applied Financial Economics 18, p. 1425 - 1440

The Return, Volatility and Interaction of Stock and Bond Markets around Macroeconomic Announcements.
April 2009.

Dutch publications

Waarom ABP in grondstoffen belegt
VBA Journaal, winter 2006.

Grondstoffenaandelen: grondstoffen of aandelen?
VBA Journaal, najaar 2005.



Expertise: Quant Trading and Research, Trend-Following, CTA, Statistical Arbitrage, Value, Momentum, Carry.

resarch papers evert vrugt