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Performance analysis of international mutual funds incorporating market frictions

Horst, Jenke R. ter; Nijman, Theodore E.; Roon, Frans de - 1998

Persistent link: https://www.econbiz.de/10000988104

Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1998

Persistent link: https://www.econbiz.de/10000978825

Testing for mean-variance spanning : a survey

Roon, Frans de; Nijman, Theodore E. - In: Journal of empirical finance 8 (2001) 2, pp. 111-155

Persistent link: https://www.econbiz.de/10001575265

Testing for mean-variance spanning : a survey

Roon, Frans de; Nijman, Theodore E. - 1998

Persistent link: https://www.econbiz.de/10000997542

Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1997

Persistent link: https://www.econbiz.de/10000969024

Analyzing specification errors in models for future risk premia with hedging pressures

Roon, Frans de; Nijman, Theodore E.; Veld, Chris H. - 1997

Persistent link: https://www.econbiz.de/10000969027

Time-varying market iIntegration and expected returns in emerging markets

Jong, Frank de; Roon, Frans de - 2001

We use a simple model in which the expected returns in emerging markets depend on their systematicrisk as measured by their beta relative to the world portfolio as well as on the level ofintegration in that market. The level of integration is a time-varying variable that depends on themarket...

Persistent link: https://www.econbiz.de/10011325667

Asset pricing restrictions on predictability : frictions matter

Roon, Frans de; Szymanowska, Marta - In: Management science : journal of the Institute for … 58 (2012) 10, pp. 1916-1932

Persistent link: https://www.econbiz.de/10009664642

Time-varying market integration and expected returns in emerging markets

Jong, Frank de; Roon, Frans de - In: Journal of financial economics 78 (2005) 3, pp. 583-613

Persistent link: https://www.econbiz.de/10003228838

Time-varying market integration and expected returns in emerging markets

Jong, Frank de (contributor); Roon, Frans de (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001623216