prof.dr. (Marno) MJCM Verbeek

All publications (95)

• Key publication (34)

  • T.C. Dyakov, H. Jiang & M.J.C.M. Verbeek (2020). Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds. Review of Finance, 24 (3), 677-731. doi: 10.1093/rof/rfz014 [go to publisher's site]
  • T.C. Dyakov & M.J.C.M. Verbeek (2019). Can Mutual Fund Investors Distinguish Good from Bad Managers? International Review of Finance, 19 (3), 505-540. doi: 10.1111/irfi.12187
  • W.J. Armstrong, E. Genc & M.J.C.M. Verbeek (2019). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, 65 (5), 2310-2327. doi: 10.1287/mnsc.2017.2884
  • M.J.C.M. Verbeek (2017). A Guide to Modern Econometrics, 5th edition. Hoboken, NJ: John Wiley and Sons
  • H. Jiang, M.J.C.M. Verbeek & Y. Wang (2014). Information Content when Mutual Funds Deviate from Benchmarks. Management Science, 60 (8), 2038-2053. doi: 10.1287/mnsc.2013.1847
  • D. Blitz, J.J. Huij, S.D. Lansdorp & M.J.C.M. Verbeek (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16 (3), 477-504. doi: 10.1016/j.finmar.2012.10.005
  • T. Dyakov & M.J.C.M. Verbeek (2013). Front-Running of Mutual Fund Fire-Sales. Journal of Banking and Finance, 37 (12), 4931-4942. doi: 10.1016/j.jbankfin.2013.08.013
  • M.J.C.M. Verbeek & Y. Wang (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, 37 (9), 3454-3471. doi: 10.1016/j.jbankfin.2013.04.024
  • M.J.C.M. Verbeek (2012). A Guide to Modern Econometrics, 4th edition. Chichester: John Wiley and Sons
  • A. de Jong, M.J.C.M. Verbeek & P. Verwijmeren (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35 (2), 243-259. doi: 10.1111/j.1475-6803.2012.01316.x
  • A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (2011). Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree. Journal of Banking and Finance, 35 (5), 1303-1314. doi: 10.1016/j.jbankfin.2010.10.006
  • A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management - FM, 39 (2), 733-756. doi: 10.1111/j.1755-053X.2010.01090.x
  • J.V.K. Rombouts & M.J.C.M. Verbeek (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9 (6), 737-745. doi: 10.1080/14697680902785284
  • J.J. Huij & M.J.C.M. Verbeek (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38 (1), 75-102. doi: 10.1111/j.1755-053X.2009.01029.x
  • J.R. ter Horst & M.J.C.M. Verbeek (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11 (4), 605-632. doi: 10.1093/rof/rfm012 [go to publisher's site]
  • J.J. Huij & M.J.C.M. Verbeek (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31 (3), 973-997. doi: 10.1016/j.jbankfin.2006.08.002
  • H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31 (8), 2405-2423. doi: 10.1016/j.jbankfin.2006.09.010
  • H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30 (8), 2347-2369. doi: 10.1016/j.jbankfin.2005.08.006
  • M.J.C.M. Verbeek & F. Vella (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127 (1), 83-102. doi: 10.1016/j.jeconom.2004.06.004
  • G.P. Baquero, J.R. ter Horst & M.J.C.M. Verbeek (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40 (3), 493-517. [go to publisher's site]
  • W.A. Marquering & M.J.C.M. Verbeek (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39 (2), 407-429. doi: 10.1017/S0022109000003136
  • Th.E. Nijman, L.M. Swinkels & M.J.C.M. Verbeek (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11 (4), 461-481. doi: 10.1016/j.jempfin.2004.02.001
  • J.R. ter Horst & M.J.C.M. Verbeek (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82 (4), 646-655. doi: 10.1162/003465300558984
  • W.A. Marquering & M.J.C.M. Verbeek (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6 (3), 243-265. doi: 10.1016/S0927-5398(99)00003-1
  • M.J.C.M. Verbeek & F. Vella (1999). Estimating and Interpreting Models with Endogenous Treatment Effects. Journal of Business and Economic Statistics, 17 (4), 473-478. doi: 10.2307/1392404
  • F. Vella & M.J.C.M. Verbeek (1999). Two-step estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90 (2), 239-263. doi: 10.1016/S0304-4076(98)00043-8
  • F. Vella & M.J.C.M. Verbeek (1998). Whose wages do unions raise? A dynamic model of unionism and wage rate determination for young men. Journal of Applied Econometrics, 13 (2), 163-183. doi: 10.1002/(SICI)1099-1255(199803/04)13:2<163::AID-JAE460>3.0.CO;2-Y
  • M.J.C.M. Verbeek & Th.E. Nijman (1993). Minimum MSE Estimation of a Regression Model with Fixed Effects from a Series of Cross-Sections. Journal of Econometrics, 59 (1-2), 125-136.
  • Th.E. Nijman & M.J.C.M. Verbeek (1992). Can Cohort Data Be Treated as Genuine Panel Data? Empirical Economics (Heidelberg), 17, 9-24. doi: 10.1007/BF01192471
  • M.J.C.M. Verbeek & Th.E. Nijman (1992). Testing for Selectivity Bias in Panel Data Models. International Economic Review, 33 (3), 681-703.
  • Th.E. Nijman & M.J.C.M. Verbeek (1992). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51 (1-2), 183-189.
  • Th.E. Nijman & M.J.C.M. Verbeek (1992). Nonresponse in panel data: The impact on estimates of a life cycle consumption function. Journal of Applied Econometrics, 7 (3), 243-257. doi: 10.1002/jae.3950070303
  • Th.E. Nijman, M.J.C.M. Verbeek & A.H.O. van Soest (1991). The Efficiency of Rotating-Panel Designs in an Analysis-of-Variance Model. Journal of Econometrics, 49 (3), 373-399. doi: 10.1016/0304-4076(91)90003-V
  • Th.E. Nijman & M.J.C.M. Verbeek (1990). Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both. Journal of Econometrics, 46 (3), 333-346.

• Article (42)

  • Scholarly Publication (40)

    • T.C. Dyakov, H. Jiang & M.J.C.M. Verbeek (2020). Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds. Review of Finance, 24 (3), 677-731. doi: 10.1093/rof/rfz014 [go to publisher's site]
    • T.C. Dyakov & M.J.C.M. Verbeek (2019). Can Mutual Fund Investors Distinguish Good from Bad Managers? International Review of Finance, 19 (3), 505-540. doi: 10.1111/irfi.12187
    • W.J. Armstrong, E. Genc & M.J.C.M. Verbeek (2019). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, 65 (5), 2310-2327. doi: 10.1287/mnsc.2017.2884
    • H. Jiang, M.J.C.M. Verbeek & Y. Wang (2014). Information Content when Mutual Funds Deviate from Benchmarks. Management Science, 60 (8), 2038-2053. doi: 10.1287/mnsc.2013.1847
    • D. Blitz, J.J. Huij, S.D. Lansdorp & M.J.C.M. Verbeek (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16 (3), 477-504. doi: 10.1016/j.finmar.2012.10.005
    • T. Dyakov & M.J.C.M. Verbeek (2013). Front-Running of Mutual Fund Fire-Sales. Journal of Banking and Finance, 37 (12), 4931-4942. doi: 10.1016/j.jbankfin.2013.08.013
    • M.J.C.M. Verbeek & Y. Wang (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, 37 (9), 3454-3471. doi: 10.1016/j.jbankfin.2013.04.024
    • A. de Jong, M.J.C.M. Verbeek & P. Verwijmeren (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35 (2), 243-259. doi: 10.1111/j.1475-6803.2012.01316.x
    • A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (2011). Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree. Journal of Banking and Finance, 35 (5), 1303-1314. doi: 10.1016/j.jbankfin.2010.10.006
    • A. De Jong, M.J.C.M. Verbeek & P. Verwijmeren (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management - FM, 39 (2), 733-756. doi: 10.1111/j.1755-053X.2010.01090.x
    • D. Brounen, M. Porras Prado & M.J.C.M. Verbeek (2010). Real Estate in an ALM Framework: The Case of Fair Value Accounting. Real Estate Economics, 38 (4), 775-804. doi: 10.1111/j.1540-6229.2010.00283.x
    • L.F. Hoogerheide, R. Kleijn, F. Ravazzolo, H.K. van Dijk & M.J.C.M. Verbeek (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Journal of Forecasting, 29 (1/2), 251-269. doi: 10.1002/for.1145
    • J.V.K. Rombouts & M.J.C.M. Verbeek (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9 (6), 737-745. doi: 10.1080/14697680902785284
    • J.J. Huij & M.J.C.M. Verbeek (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38 (1), 75-102. doi: 10.1111/j.1755-053X.2009.01029.x
    • J.R. ter Horst & M.J.C.M. Verbeek (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11 (4), 605-632. doi: 10.1093/rof/rfm012 [go to publisher's site]
    • J.J. Huij & M.J.C.M. Verbeek (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31 (3), 973-997. doi: 10.1016/j.jbankfin.2006.08.002
    • H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31 (8), 2405-2423. doi: 10.1016/j.jbankfin.2006.09.010
    • H.J.W.G. Kole, C.G. Koedijk & M.J.C.M. Verbeek (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30 (8), 2347-2369. doi: 10.1016/j.jbankfin.2005.08.006
    • G.P. Baquero, J.R. ter Horst & M.J.C.M. Verbeek (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40 (3), 493-517. [go to publisher's site]
    • J.R. ter Horst & M.J.C.M. Verbeek (2005). Hedgefondsen: Prestaties uit het verleden bieden verwachtingen voor de toekomst. MAB, 79 (4), 168-173.
    • M.J.C.M. Verbeek & F. Vella (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127 (1), 83-102. doi: 10.1016/j.jeconom.2004.06.004
    • W.A. Marquering & M.J.C.M. Verbeek (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39 (2), 407-429. doi: 10.1017/S0022109000003136
    • Th.E. Nijman, L.M. Swinkels & M.J.C.M. Verbeek (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11 (4), 461-481. doi: 10.1016/j.jempfin.2004.02.001
    • W.A. Marquering & M.J.C.M. Verbeek (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1 (3), 250-260. doi: 10.1016/j.frl.2004.07.002
    • J.R. ter Horst, Th.E. Nijman & M.J.C.M. Verbeek (2001). Eliminating look-ahead bias in evaluating persistence in mutual fund performance. Journal of Empirical Finance, 8 (4), 345-373. doi: 10.1016/S0927-5398(01)00032-9
    • J.R. ter Horst & M.J.C.M. Verbeek (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82 (4), 646-655. doi: 10.1162/003465300558984
    • M.J.C.M. Verbeek & F. Vella (1999). Estimating and Interpreting Models with Endogenous Treatment Effects. Journal of Business and Economic Statistics, 17 (4), 473-478. doi: 10.2307/1392404
    • F. Vella & M.J.C.M. Verbeek (1999). Two-step estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90 (2), 239-263. doi: 10.1016/S0304-4076(98)00043-8
    • W.A. Marquering & M.J.C.M. Verbeek (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6 (3), 243-265. doi: 10.1016/S0927-5398(99)00003-1
    • S. Rummery, F. Vella & M.J.C.M. Verbeek (1999). Estimating the returns to education for Australian youth via rank-order instrumental variables. Labour Economics, 6 (4), 491-507. doi: 10.1016/S0927-5371(98)00016-5
    • F. Vella & M.J.C.M. Verbeek (1998). Whose wages do unions raise? A dynamic model of unionism and wage rate determination for young men. Journal of Applied Econometrics, 13 (2), 163-183. doi: 10.1002/(SICI)1099-1255(199803/04)13:2<163::AID-JAE460>3.0.CO;2-Y
    • M.J.C.M. Verbeek & Th.E. Nijman (1993). Minimum MSE Estimation of a Regression Model with Fixed Effects from a Series of Cross-Sections. Journal of Econometrics, 59 (1-2), 125-136.
    • M.J.C.M. Verbeek (1993). Missing measurements in econometric models with no auxiliary relations. Economics Letters, 43 (2), 125-128. doi: 10.1016/0165-1765(93)90024-7
    • Th.E. Nijman & M.J.C.M. Verbeek (1992). Can Cohort Data Be Treated as Genuine Panel Data? Empirical Economics (Heidelberg), 17, 9-24. doi: 10.1007/BF01192471
    • M.J.C.M. Verbeek & Th.E. Nijman (1992). Testing for Selectivity Bias in Panel Data Models. International Economic Review, 33 (3), 681-703.
    • Th.E. Nijman & M.J.C.M. Verbeek (1992). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51 (1-2), 183-189.
    • Th.E. Nijman & M.J.C.M. Verbeek (1992). Nonresponse in panel data: The impact on estimates of a life cycle consumption function. Journal of Applied Econometrics, 7 (3), 243-257. doi: 10.1002/jae.3950070303
    • Th.E. Nijman, M.J.C.M. Verbeek & A.H.O. van Soest (1991). The Efficiency of Rotating-Panel Designs in an Analysis-of-Variance Model. Journal of Econometrics, 49 (3), 373-399. doi: 10.1016/0304-4076(91)90003-V
    • Th.E. Nijman & M.J.C.M. Verbeek (1990). Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both. Journal of Econometrics, 46 (3), 333-346.
    • M.J.C.M. Verbeek (1990). On the estimation of a fixed effects model with selectivity bias. Economics Letters, 34 (3), 267-270. doi: 10.1016/0165-1765(90)90129-O

  • Professional Publication (2)

    • E. Genc & M.J.C.M. Verbeek (2018). How independent research can improve investment decisions. RSM Discovery - Management Knowledge, 33 (1), 14-16.
    • W.A. Marquering & M.J.C.M. Verbeek (2004). De Wet van Murphy in de Aandelenmarkt. VBA Journaal, 19 (4), 24-29.

• Book / Monograph / Book editorial (6)

  • M.J.C.M. Verbeek (2017). A Guide to Modern Econometrics, 5th edition. Hoboken, NJ: John Wiley and Sons
  • M.J.C.M. Verbeek (2014). Moderne Oekonometrie. Weinheim: Wiley-VCH
  • M.J.C.M. Verbeek (2012). A Guide to Modern Econometrics, 4th edition. Chichester: John Wiley and Sons
  • M.J.C.M. Verbeek (2008). A Guide to Modern Econometrics, 3rd edition. Chichester: John Wiley and Sons
  • M.J.C.M. Verbeek (2004). A Guide to Modern Econometrics, 2nd edition. Chichester: John Wiley and Sons [go to publisher's site]
  • M.J.C.M. Verbeek (2000). A guide to modern econometrics. Chichester, England: John Wiley & Sons, Ltd.

• Part of book - Chapter (6)

  • M.J.C.M. Verbeek (2009). Modified Sharpe Ratio. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 303-304). Boca Raton, FL: Chapman and Hall / CRC
  • M.J.C.M. Verbeek (2009). Alternative Asset Class. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 16-16). Boca Raton, FL: Chapman and Hall / CRC
  • M.J.C.M. Verbeek (2009). Nondirectional. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 319-319). Boca Raton, FL: Chapman and Hall / CRC
  • M.J.C.M. Verbeek (2009). Redemption Period. In G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 392-392). Boca Raton, FL: Chapman and Hall / CRC
  • M.J.C.M. Verbeek (2008). Pseudo Panels and Repeated Cross-Sections. In L. Matyas & P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice (pp. 369-383). Berlin: Springer Verlag
  • B. Honoré, F. Vella & M.J.C.M. Verbeek (2008). Attrition, Selection Bias and Censored Regressions. In L. Matyas & P. Sevestre (Eds.), The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice (pp. 385-418). Berlin: Springer

• Report (4)

  • Scholarly Publication (3)

    • J.J. Huij, S.D. Lansdorp & M.J.C.M. Verbeek (2012). Managerial Turnover and the Behavior of Mutual Fund Investors. (Preprints). : http://ssrn.com/abstract=2166826
    • L.F. Hoogerheide, R.H. Kleijn, F. Ravazzolo, H.K. van Dijk & M.J.C.M. Verbeek (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. (Preprints, EI reprint reeks, no EI-1538). 3000 DR Rotterdam: Econometric Institute
    • M.J.C.M. Verbeek & P.C. de Goeij (2000). An Empirical Analysis of Affine Term Structure Models using the Generalized Method of Moments. (Intern rapport, december). :

  • Professional Publication (1)

    • A. De Jong, P.G.J. Roosenboom, M.J.C.M. Verbeek & P. Verwijmeren (2007). Hedgefondsen en private equity in Nederland. (Extern rapport). Den Haag: Ministerie van Financien

• Article in volume (1)

  • M.J.C.M. Verbeek (2017). Using linear regression to establish empirical relationships. In IZA World of Labour. Bonn: Institute of Labor Economics (IZA) doi: 10.15185/izawol.336

• Inaugural speech (1)

  • M.J.C.M. Verbeek (2002). Onweerlegbaar bewijs? Over het belang en de waarde van empirisch onderzoek voor financierings- en beleggingsvraagstukken. (2002, juni 21). Rotterdam: Erasmus Research Institute of Management

• Award (1)

  • H. Jiang, M.J.C.M. Verbeek & Y. Wang (2013). Information Content when Mutual Funds Deviate from Benchmarks. SPIVA Award 2012: New York (2013, maart 20). Populariserende publicatie.

Teaching (6)

PhD list (34)

Editorial positions (1)

Present position

Other positions (1)