Laurens A. P. Swinkels : Citation Profile


Are you Laurens A. P. Swinkels?

Erasmus Universiteit Rotterdam (50% share)
Erasmus Universiteit Rotterdam (50% share)

7

H index

6

i10 index

143

Citations

RESEARCH PRODUCTION:

16

Articles

16

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 8
   Journals where Laurens A. P. Swinkels has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 4 (2.72 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psw2
   Updated: 2020-05-23    RAS profile: 2020-02-06    
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Relations with other researchers


Works with:

Piljak, Vanja (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Laurens A. P. Swinkels.

Is cited by:

Li, Youwei (5)

Marcellino, Massimiliano (5)

Carriero, Andrea (5)

faff, robert (3)

Schröder, Michael (3)

Kuang, Pei (3)

lucey, brian (3)

Wang, Qingwei (3)

Moore, Michael (3)

Neely, Christopher (2)

Zwinkels, Remco (2)

Cites to:

French, Kenneth (13)

Fama, Eugene (13)

Bekaert, Geert (8)

Viceira, Luis (8)

Campbell, John (7)

Rouwenhorst, K. (6)

Poterba, James (6)

Harvey, Campbell (6)

Titman, Sheridan (6)

Shiller, Robert (5)

Sarno, Lucio (5)

Main data


Where Laurens A. P. Swinkels has published?


Journals with more than one article published# docs
Journal of Empirical Finance3
Journal of International Money and Finance2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
ERIM Report Series Research in Management / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam8

Recent works citing Laurens A. P. Swinkels (2019 and 2018)


YearTitle of citing document
2019Detailed study of a moving average trading rule. (2019). Yen, Ju-Yi ; Silva, Christian A ; Ferreira, Fernando F. In: Papers. RePEc:arx:papers:1907.00212.

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2018Nominal exchange rate dynamics and monetary policy: uncovered interest rate parity and purchasing power parity revisited. (2018). Saadon, Yossi ; Sussman, Nathan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13235.

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2018Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries. (2018). Mikhaylov, Alexey Yurievich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-39.

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2020The devil in the style: Mutual fund style drift, performance and common risk factors. (2020). Sha, Yezhou. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:264-273.

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2018Financial connectedness of BRICS and global sovereign bond markets. (2018). Ahmad, Wasim ; Daly, Kevin J ; Mishra, Anil V. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16.

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2019The cross-section of returns in frontier equity markets: Integrated or segmented pricing?. (2019). Maydybura, Alina ; Zaremba, Adam. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:219-238.

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2019The cross-section of emerging market stock returns. (2019). Lauterbach, Jochim G ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:265-286.

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2019Alpha momentum and alpha reversal in country and industry equity indexes. (2019). Karathanasopoulos, Andreas ; Umutlu, Mehmet ; Zaremba, Adam. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:144-161.

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2019The role of technical indicators in exchange rate forecasting. (2019). Panopoulou, Ekaterini ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:197-221.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; Kearney, Fearghal ; Fernandez, Viviana ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Yarovaya, Larisa ; Vigne, Samuel A ; Neville, Conor ; Helbing, Pia ; Wolfe, Simon ; Lucey, Brian M ; McGroarty, Frank ; Goodell, John W ; Vu, Anh N ; McGee, Richard J ; Gonzalez-Urteaga, Ana ; Marin, Matej . In: International Review of Financial Analysis. RePEc:eee:finana:v:55
2018Paper profits or real money? Trading costs and stock market anomalies in country ETFs. (2018). Zaremba, Adam ; Andreu, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:181-192.

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2019Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Xiong, Xiong ; Han, Xing ; Gao, YA. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741.

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2017Emerging markets: Is the trend still your friend?. (2017). Conover, Mitchell C ; Szakmary, Andrew C ; Johnson, Robert R ; Jensen, Gerald R. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:128-148.

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2017Herding in frontier markets: Evidence from African stock exchanges. (2017). Guney, Yilmaz ; Komba, Gabriel ; Kallinterakis, Vasileios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:152-175.

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2017Psychological price barriers in frontier equities. (2017). Berk, Ales S ; Lucey, Brian M ; Dowling, Michael ; Cummins, Mark. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:1-14.

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2019Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis. (2019). Yamani, Ehab ; Jamali, Ibrahim. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:241-263.

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2019Financial development, government bond returns, and stability: International evidence. (2019). Piljak, Vanja ; Nguyen, Duc Khuong ; Boubaker, Sabri ; Savvides, Andreas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:81-96.

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2018Conditioning carry trades: Less risk, more return. (2018). Mulder, Arjen ; Tims, Ben . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:1-19.

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2020Whose Algorithm Says So: The Relationships Between Type of Firm, Perceptions of Trust and Expertise, and the Acceptance of Financial Robo-Advice. (2020). Donkers, Bas ; dellaert, benedict ; Carlos , . In: Journal of Interactive Marketing. RePEc:eee:joinma:v:49:y:2020:i:c:p:107-124.

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2017Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131.

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2019Diversification role of currency momentum for carry trade: Evidence from financial crises. (2019). Yamani, Ehab. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:49:y:2019:i:c:p:1-19.

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2018Forecasting the CNY-CNH pricing differential: The role of investor attention. (2018). Yin, Libo ; Han, Liyan ; Xu, Yang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:232-247.

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2019Financial contagion analysis in frontier markets: Evidence from the US subprime and the Eurozone debt crises. (2019). Vieira, Isabel ; Ferreira, Paulo ; Mohti, Wahbeeah ; Dionisio, Andreia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1388-1398.

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2019Predicting foreign investors’ carry trade activity in the Israeli FX market using a time-varying currency risk premium approach. (2019). Mantzura, Ariel ; Schreiber, Ben Z. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:438-457.

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2017Dynamic herding analysis in a frontier market. (2017). Arjoon, Vaalmikki ; Bhatnagar, Chandra Shekhar . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:496-508.

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2018Is there momentum in factor premia? Evidence from international equity markets. (2018). Zaremba, Adam ; Shemer, Jacob. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:120-130.

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2020Feedback trading and the ramadan effect in frontier markets. (2020). Andrikopoulos, Panagiotis ; Kallinterakis, Vasileios ; Gad, Samar ; Cui, Yueting. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919306294.

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2017Portfolio diversification with ETFs. (2017). Popa, Mirel Flavius. In: Scientific Papers. RePEc:fst:wpaper:0006.

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2020Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram. (2020). GUPTA, RANGAN ; Demirer, Riza ; Hassani, Hossein ; Huang, XU. In: Economies. RePEc:gam:jecomi:v:8:y:2020:i:1:p:18-:d:329010.

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2018Alpha Momentum and Price Momentum. (2018). Huhn, Hannah Lea ; Scholz, Hendrik. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:49-:d:145216.

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2017Exchange-traded Funds as an Alternative Investment Option: a Case Study. (2017). Cardoso, Pedro ; Afonso, Antonio. In: Working Papers REM. RePEc:ise:remwps:wp0222017.

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2017A Comparative Analysis of Four-Factor Model and Three-Factor Model in the Nigerian Stock Market. (2017). Evbayiro-Osagie, Esther Ikavbo ; Osamwonyi, Ifuero Osad . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:8:y:2017:i:4:p:38-52.

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2017Does Foreign Information Predict the Returns of Multinational Firms Worldwide?. (2017). Finke, Christian ; Weigert, Florian. In: Review of Finance. RePEc:oup:revfin:v:21:y:2017:i:6:p:2199-2248..

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2019The relationship between carry trade and asset markets in South Africa. (2019). Bonga-Bonga, Lumengo ; Maake, Tebogo. In: MPRA Paper. RePEc:pra:mprapa:96667.

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2019Overnight Momentum, Informational Shocks, and Late-Informed Trading in China. (2019). Li, Youwei ; Gao, YA ; Xiong, Xiong ; Han, Xing . In: MPRA Paper. RePEc:pra:mprapa:96784.

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2019Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram. (2019). GUPTA, RANGAN ; Demirer, Riza ; Huang, XU ; Hassani, Hossein. In: Working Papers. RePEc:pre:wpaper:201979.

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2018Impact of global financial crunch on financially innovative microfinance institutions in South Asia. (2018). Mustafa, Faisal ; Fatima, Maham ; Khursheed, Ambreen. In: Financial Innovation. RePEc:spr:fininn:v:4:y:2018:i:1:d:10.1186_s40854-018-0099-8.

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2019Industry- and liquidity-based momentum in Australian equities. (2019). Cheng, Fan Fah ; Tan, Yeng May. In: Financial Innovation. RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0155-z.

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2020Development of E-banking channels and market share in developing countries. (2020). Mashali, Behzad ; Nazaritehrani, Ali. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-0171-z.

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2019Will History Repeat Itself? Empirical Research on A-Share Candlesticks in China Based on Matching Method. (2019). An, Guozhi ; Chang, Huadong. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:9:y:2019:i:5:f:9_5_8.

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2018Risk Factor Exposure Variation and Mutual Fund Performance. (2018). Weigert, Florian ; Fischer, Sebastian ; Ammann, Manuel. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:17.

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2018Improving portfolio diversification: Identifying the right baskets for putting your eggs. (2018). , Vipul ; Vipul, ; Sharma, Prateek. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:39:y:2018:i:6:p:698-711.

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2020Testing for Structural Breaks in Return-Based Style Regression Models. (2020). Kim, Tae-Hwan ; Stone, Douglas . In: Working papers. RePEc:yon:wpaper:2020rwp-165.

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Works by Laurens A. P. Swinkels:


YearTitleTypeCited
2012The Performance of European Index Funds and Exchange†Traded Funds In: European Financial Management.
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article5
2017Frontier and emerging government bond markets In: Emerging Markets Review.
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article3
2004Do countries or industries explain momentum in Europe? In: Journal of Empirical Finance.
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article18
2002Do Countries or Industries Explain Momentum in Europe?.(2002) In: ERIM Report Series Research in Management.
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This paper has another version. Agregated cites: 18
paper
2002Do Countries or Industries Explain Momentum in Europe?.(2002) In: Discussion Paper.
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This paper has another version. Agregated cites: 18
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2004Do countries or industries explain momentum in Europe?.(2004) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 18
paper
2012The cross-section of stock returns in frontier emerging markets In: Journal of Empirical Finance.
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article19
2012The Cross-Section of Stock Returns in Frontier Emerging Markets.(2012) In: ERIM Report Series Research in Management.
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This paper has another version. Agregated cites: 19
paper
2018Simulating historical inflation-linked bond returns In: Journal of Empirical Finance.
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article0
2019Individual pension risk preference elicitation and collective asset allocation with heterogeneity In: Journal of Banking & Finance.
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article1
2015Can implied volatility predict returns on the currency carry trade? In: Journal of Banking & Finance.
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article7
2009The economic value of fundamental and technical information in emerging currency markets In: Journal of International Money and Finance.
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article33
2007The Economic Value of Fundamental and Technical Information in Emerging Currency Markets.(2007) In: ERIM Report Series Research in Management.
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This paper has another version. Agregated cites: 33
paper
2015Empirical evidence on the currency carry trade, 1900–2012 In: Journal of International Money and Finance.
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article10
2009Performance Evaluation of Balanced Pension Plans In: ERIM Report Series Research in Management.
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paper0
2012Performance evaluation of balanced pension plans.(2012) In: Quantitative Finance.
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2010Create Better Diversified High-Conviction Equity Portfolios using the Portfolio Diversification Index In: ERIM Report Series Research in Management.
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2012Emerging Markets Inflation-Linked Bonds In: ERIM Report Series Research in Management.
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paper2
2005Why don’t Latvian pension funds diversify more internationally? In: ERIM Report Series Research in Management.
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paper1
2003Market timing: A decomposition of mutual fund returns In: ERIM Report Series Research in Management.
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paper0
2003Market Timing : A Decomposition of Mutual Fund Returns.(2003) In: Discussion Paper.
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2015Accounting for market risk in microfinance investments In: International Journal of Sustainable Economy.
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article1
2013Can exchange traded funds be used to exploit industry and country momentum? In: Financial Markets and Portfolio Management.
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article8
2017Fundamental indexation for developed, emerging, and frontier government bond markets In: Journal of Asset Management.
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article0
2018Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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article0
2001Return-based Style Analysis with Time-varying Exposures In: Computing in Economics and Finance 2001.
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paper19
2006Return-based style analysis with time-varying exposures.(2006) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 19
article
2001Return-Based Style Analysis with Time-Varying Exposures.(2001) In: Discussion Paper.
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This paper has another version. Agregated cites: 19
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2017The impact of FinTech start-ups on incumbent retail banks’ share prices In: Financial Innovation.
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article1
2003Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes In: Discussion Paper.
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paper12
2003Empirical analysis of investment strategies for institutional investors In: Other publications TiSEM.
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paper3
2003De gevolgen van de ontwikkelingen in de regelgeving voor de beleggingsmix van pensioenfondsen In: Other publications TiSEM.
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paper0

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