In the Netherlands, listed companies and their pension funds have to apply the principle of fair value accounting with respect to valuation of pension liabilities for their financial statements. Both entities have to implement fair value accounting somewhat differently, as companies have to...

We investigate the construction of well-diversified high-conviction equity portfolios using the Portfolio Diversification Index (PDI). This paper is the first to investigate the out-of-sample properties of the PDI. Our research applies a novel portfolio selection algorithm to maximize the PDI of...

We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1,400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier...

This paper studies the interaction of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month effect, weekend effect and holiday effect. We find that Halloween and turn-of-the month (TOM) are the strongest effects fully diminishing the other three...

In this article, we provide empirical evidence of an important economic consequence after major changes in accounting standards. More precisely, we document that several companies have switched their pension scheme from a traditional defined benefit (db) scheme to a defined contribution (dc)...

In the Netherlands, listed companies and their pension funds have to apply the principle of fair value accounting with respect to valuation of pension liabilities for their financial statements. Both entities have to implement fair value accounting somewhat differently, as companies have to...