PhD defence of Johan Duyvesteyn on Friday 20 November 2015

On Friday 20 November 2015 Johan Duyvesteyn will defend his PhD thesis entitled 'Empirical Studies on Sovereign Fixed Income Markets'. Supervisor is Professor Patrick Verwijmeren and co-supervisor is Dr. Martin Martens (both from Erasmus School of Economics). Other members of the Doctoral Committee are Professor Dick van Dijk, Professor Onno Steenbeek (Erasmus School of Economics) and Professor Mathijs van Dijk (Rotterdam School of Management - Erasmus University Rotterdam).

Time and location

The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam and will start at 09.30 hrs.

About Johan Duyvesteyn

Johan Duyvesteyn was born on June 11, 1977 in Delft, the Netherlands. He studied econometrics at the Erasmus University Rotterdam from 1995 – 2000. He wrote his master thesis on basis of a six month internship at Robeco’s quantitative research department on the topic of country allocation in emerging equity markets. After the internship he started to work as a fixed income researcher at Robeco in June 2000. In June 2005 he completed the CFA study and was awarded with the CFA charter. He organized various training and teaching activities for the academic programme of the Kuwait Investment Authority and the master of financial management programme of the Rotterdam School of Management from
2005 – 2007.
In 2008 he started writing academic articles based on the work at Robeco. Supervising multiple internships of master students he worked on several innovative and new research topics. He has published his work in the Journal of Fixed Income (2010, 2014 and 2015) and the Journal of Banking and Finance (2015). Currently he works as a senior quantitative researcher and portfolio manager with Robeco. He is responsible for the so called quant duration capability that encompasses the prediction of sovereign bond returns for both developed and emerging government bond markets. His academic research findings are partly incorporated in the quant duration capability of Robeco. The capability is available to clients of Robeco via the investment funds Lux-o-rente, Flex-o-rente and Emerging lux-orente that currently have a joint fund size of more than EUR 2.5 billion.

Abstract of 'Empirical Studies on Sovereign Fixed Income Markets'

The sovereign fixed income market covers more than a third of the total capital market and is important for many market participants. Governments need the market to finance their debt, central banks for their monetary policy, pension funds and insurance companies for liability management and asset managers and investors to achieve positive returns. This dissertation presents five studies showing that sovereign fixed income markets are not always price efficient. This evidence is relevant for the market participants because it can influence their decisions and goals. We summarize the most important insights from the five studies:

The emerging local currency debt market has grown to a large size of more than 1.5 trillion
U.S. Dollars at the end of 2012. The factors that can predict developed market government bond returns can also predict emerging market government bond returns. We have further applied the famous Merton model for corporate bonds on government bonds of emerging markets. Changes in the Merton model spread can predict country credit default swap returns.

The euro crisis and the October 2013 debate between the Republicans and Democrats on the U.S. debt-ceiling highlight the importance of political risk in government bond markets. Changes in political risk can predict future government bond returns. Market participants should avoid bond markets with higher political risk and rather invest in bond markets with lower political risk.

Government bond returns are 3.8 percentage points higher in the second half of the calendar year than in the first half of the calendar year. This seasonal pattern is largely explained by an opposite pattern in the not seasonally adjusted U.S. inflation rate, which is 3.0 percentage points lower in the second half of the calendar year. Market participants can benefit from this seasonal pattern by structurally buying bonds at the end of June and selling bonds at the end of December.

Swaptions are options on interest rate swaps. The swaption market has become the largest non-cleared interest rate derivative market with a (notional) size of 30 trillion USD as of April 2014. Although swaption models are different from equity options models, the swaption market contains volatility risk and jump risk premiums consistent with equity options. Combining the two risk premiums provides a strong diversification. By “riding the swaption curve” the market participants can gain positive returns from these two risk premiums.

More information

Duyvesteyn’s PhD research project is conducted within the Erasmus Doctoral Programme organized by Erasmus Research Institute of Management (ERIM), the joint research institute of Rotterdam School of Management (RSM) and Erasmus School of Economics (ESE) of the Erasmus University Rotterdam (EUR).

For more information about this ceremony, please contact Ronald de Groot, Communication Officer of the Erasmus School of Economics phone +31 10 408 1762 or by e-mail:

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