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1

An Anatomy of Commodity Futures Risk Premia

SZYMANOWSKA, MARTA, DE ROON, FRANS, NIJMAN, THEO, VAN DEN GOORBERGH, ROB

Journal:

The Journal of Finance

Year:

2014

Language:

english

File:

PDF, 474 KB

english, 2014

2

Time-Varying Inflation Risk and Stock Returns

Boons, Martijn, Duarte, Fernando, de Roon, Frans, Szymanowska, Marta

Journal:

Journal of Financial Economics

Year:

2019

Language:

english

File:

PDF, 3.31 MB

english, 2019

3

Put-call parities and the value of early exercise for put options on a performance index

De Roon, Frans, Veld, Chris

Journal:

Journal of Futures Markets

Year:

1996

Language:

english

File:

PDF, 433 KB

english, 1996

4

Hedging Pressure Effects in Futures Markets

Frans A. De Roon, Theo E. Nijman, Chris Veld

Journal:

The Journal of Finance

Year:

2000

Language:

english

File:

PDF, 113 KB

english, 2000

5

Risk premia in the ruble/dollar futures market

Peresetsky, Anatoly, de Roon, Frans

Journal:

Journal of Futures Markets

Year:

1997

Language:

english

File:

PDF, 284 KB

english, 1997

6

Time-varying market integration and expected returns in emerging markets

Frank de Jong, Frans A. de Roon

Journal:

Journal of Financial Economics

Year:

2005

Language:

english

File:

PDF, 305 KB

english, 2005

7

Currency hedging for international stock portfolios: The usefulness of mean–variance analysis

Frans A. de Roon, Theo E. Nijman, Bas J.M. Werker

Journal:

Journal of Banking & Finance

Year:

2003

Language:

english

File:

PDF, 180 KB

english, 2003

8

Announcement effects of convertible bond loans and warrant-bond loans: An empirical analysis for the Dutch market

Frans de Roon, Chris Veld

Journal:

Journal of Banking & Finance

Year:

1998

Language:

english

File:

PDF, 168 KB

english, 1998

9

Out-of-sample hedging effectiveness of currency futures for alternative models and hedging strategies

De Jong, Abe, De Roon, Frans, Veld, Chris

Journal:

Journal of Futures Markets

Year:

1997

Language:

english

File:

PDF, 203 KB

english, 1997

10

Hedging long-term commodity risk

Yulia V. Veld-Merkoulova, Frans A. de Roon

Journal:

Journal of Futures Markets

Year:

2003

Language:

english

File:

PDF, 177 KB

english, 2003

11

Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets

Frans A. De Roon, Theo E. Nijman, Bas J. M. Werker

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 267 KB

english, 2001

12

International portfolio diversification: Currency, industry and country effects revisited

Esther Eiling, Bruno Gerard, Pierre Hillion, Frans A. de Roon

Journal:

Journal of International Money and Finance

Year:

2012

Language:

english

File:

PDF, 341 KB

english, 2012

13

Hedging Pressure Effects in Futures Markets

Frans A. de Roon, Theo E. Nijman and Chris Veld

Journal:

The Journal of Finance

Year:

2000

Language:

english

File:

PDF, 406 KB

english, 2000

14

Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets

Frans A. De Roon, Theo E. Nijman and Bas J. M. Werker

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 438 KB

english, 2001

15

International Diversification with Factor Funds

Eun, Cheol S., Lai, Sandy, Roon, Frans A. de, Zhang, Zhe

Journal:

Management Science

Year:

2010

Language:

english

File:

PDF, 271 KB

english, 2010

16

Pricing Term Structure Risk in Futures Markets

Frans A. De Roon, Theo E. Nijman and Chris Veld

Journal:

Journal of Financial and Quantitative Analysis

Year:

1998

Language:

english

File:

PDF, 2.49 MB

english, 1998

17

Asset Pricing Restrictions on Predictability: Frictions Matter

de Roon, Frans, Szymanowska, Marta

Journal:

Management Science

Year:

2012

Language:

english

File:

PDF, 941 KB

english, 2012

18

An Anatomy of Commodity Futures Risk Premia

Szymanowska, Marta, de Roon, Frans A., Nijman, Theo E., van den Goorbergh, Rob

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 490 KB

english, 2011

19

The Cross-Section of Commodity Futures Returns

de Roon, Frans A., Szymanowska, Marta

Journal:

SSRN Electronic Journal

Year:

2010

File:

PDF, 202 KB

2010

20

Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds

Karehnke, Paul, de Roon, Frans

Journal:

Management Science

Year:

2020

File:

PDF, 910 KB

2020

21

Comparing alternative assumptions on the term structure of futures prices: Reply

Frans A. De Roon, Yulia V. Veld-Merkoulova

Journal:

Journal of Futures Markets

Year:

2004

Language:

english

File:

PDF, 63 KB

english, 2004

22

An empirical investigation of the factors that determine the pricing of Dutch index warrants

Frans De Roon, Chris Veld

Journal:

European Financial Management

Year:

1996

Language:

english

File:

PDF, 917 KB

english, 1996

23

Evaluating style analysis

Jenke R. ter Horst, Theo E. Nijman, Frans A. de Roon

Journal:

Journal of Empirical Finance

Year:

2004

Language:

english

File:

PDF, 196 KB

english, 2004

24

A Simple Skewed Distribution with Asset Pricing Applications

de Roon, Frans, Karehnke, Paul

Journal:

Review of Finance

Year:

2016

Language:

english

File:

PDF, 861 KB

english, 2016

25

Addendum: A Simple Skewed Distribution with Asset Pricing Applications

de Roon, Frans, Karehnke, Paul

Journal:

Review of Finance

Year:

2017

Language:

english

File:

PDF, 54 KB

english, 2017

26

A Study on the Efficiency of the Market for Dutch Long Term Call Options

de Roon, Frans A., Veld, Chris H., Wei, Jason Zhanshun

Journal:

SSRN Electronic Journal

Year:

1996

Language:

english

File:

PDF, 149 KB

english, 1996

27

Understanding Skewness

de Roon, Frans, Karehnke, Paul

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 1.11 MB

english, 2015

28

Currency Risk Hedging: No Free Lunch

de Roon, Frans A., Eiling, Esther, Gerard, Bruno, Hillion, Pierre

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 341 KB

english, 2012

29

Being Locked Up Hurts

de Roon, Frans A., Guo, Jinqiang, ter Horst, Jenke R.

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 207 KB

english, 2009

30

Economic Hedging Portfolios

van den Goorbergh, Rob W.J., de Roon, Frans A., Werker, Bas J. M.

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 242 KB

english, 2003

31

Any Role for Mean Reversion in Short Term Asset Allocation?

Caporin, Massimiliano, de Roon, Frans A., Pelizzon, Loriana

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 440 KB

english, 2009

32

The Stock Market Price of Commodity Risk

Boons, Martijn, de Roon, Frans A., Szymanowska, Marta

Journal:

SSRN Electronic Journal

Year:

2012

File:

PDF, 457 KB

2012

33

The Cross-Section of Commodity Futures Returns

de Roon, Frans A., Szymanowska, Marta

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 202 KB

english, 2010

34

On the Estimation Error in Mean-Variance Efficient Portfolio Weights

de Roon, Frans A.

Journal:

SSRN Electronic Journal

Year:

2004

File:

PDF, 166 KB

2004

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