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Performance analysis of international mutual funds incorporating market frictions

ter Horst, Jenke; Nijman, Theo; de Roon, F.A. - Tilburg University, Center for Economic Research - 1998

Persistent link: https://www.econbiz.de/10011090489

Announcement effects of convertible bond loans versus warrant-bond loans : An empirical analysis for the Dutch market

de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1995

This study investigates the announcement effects of offerings of convertible bond loans and warrant-bond loans using data for the Dutch market. Using standard event study methodology it is found that on average stock prices show a positive but insignificant abnormal return for the announcement...

Persistent link: https://www.econbiz.de/10011092869

An empirical investigation of the factors that determine the pricing of Dutch index warrants

de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1994

This paper investigates the pricing of Dutch index warrants. It is found that when using the historical standard … used the model prices the index warrants fairly well. When the historical standard deviation is used the mispricing of the … of put index warrants depends in a strong way on the moneyness, the volatility, the dividend yield and the remaining time …

Persistent link: https://www.econbiz.de/10011091206

Evaluating Style Analysis

Nijman, Theo; ter Horst, Jenke; de Roon, F.A. - Tilburg University, Center for Economic Research - 2000

In this paper we evaluate applications of (return based) style analysis.The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without short positions.Such mimicking portfolios can be used, e.g., to construct efficient portfolios of...

Persistent link: https://www.econbiz.de/10011090409

Asset Allocation in the Euro-Zone : Industry or Country Based?

Eiling, E.; Gerard, B.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2005

We investigate the relative importance of country and industry factors as determinants of international equity returns in the Euro-zone over the period 1990 to 2003.We conduct our analysis from a portfolio performance perspective, using mean-variance spanning and efficiency tests as well as...

Persistent link: https://www.econbiz.de/10011090511

Style Analysis and Performance Evaluation of Dutch Mutual Funds

ter Horst, Jenke; Nijman, Theo; de Roon, F.A. - Tilburg University, Center for Economic Research - 1998

In this paper we show how style analysis of mutual funds can be used to circumvent the problem of self-reported investment styles, and to improve relative performance evaluation. Subsequently, we relate style analysis to performance evaluation and present results on the performance of Dutch...

Persistent link: https://www.econbiz.de/10011091144

Economic Hedging Portfolios

Werker, Bas J.M.; van den Goorbergh, R.W.J.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2003

In this paper we study portfolios that investors hold to hedge economic risks.Using a model of state-dependent utility, we show that agents economic hedging portfolios can be obtained by an intuitively appealing, risk aversion-weighted approximate replication of the economic risk variables using...

Persistent link: https://www.econbiz.de/10011091561

On the Estimation Error in Mean-Variance Efficient Portfolio Weights

de Roon, F.A. - Tilburg University, Center for Economic Research - 2004

Persistent link: https://www.econbiz.de/10011092128