Guido Baltussen

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

Robeco Quantitative Investments

Weena 850

Rotterdam, 3011 AG

Netherlands

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 359

SSRN RANKINGS

Top 359

in Total Papers Downloads

64,758

SSRN CITATIONS
Rank 7,293

SSRN RANKINGS

Top 7,293

in Total Papers Citations

85

CROSSREF CITATIONS

96

Ideas:
“  Behavioral Finance, Asset pricing, Factor Premiums, Quantitative Investing  ”

Scholarly Papers (21)

1.

Deal or No Deal? Decision Making under Risk in a Large-Payoff Game Show

American Economic Review, Vol. 98, No. 1, pp. 38-71, March 2008
Number of pages: 50 Posted: 16 Dec 2004 Last Revised: 21 Feb 2012
Graduate School of Business of Nazarbayev University, Vrije Universiteit Amsterdam, Erasmus University Rotterdam (EUR) and University of Chicago - Booth School of Business
Downloads 20,169 (158)
Citation 10

Abstract:

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Decision making under risk, Expected utility theory, Prospect theory

2.

Global Factor Premiums

Journal of Financial Economics (JFE), Volume 142, Issue 3, December 2021, Pages 1128-1154
Number of pages: 69 Posted: 06 Feb 2019 Last Revised: 24 Nov 2021
Guido Baltussen, Laurens Swinkels and Pim van Vliet
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 12,062 (460)
Citation 14

Abstract:

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Factor premium, Multiple hypothesis testing, P-hacking, Return anomalies, Predictability, Stocks, Bonds, Currencies, Commodities, Value, Momentum, Trend, Carry, Betting-against-beta, Seasonality

3.

Behavioral Finance: An Introduction

Number of pages: 43 Posted: 18 Oct 2009 Last Revised: 16 Dec 2011
Guido Baltussen
Erasmus University Rotterdam (EUR)
Downloads 9,776 (666)
Citation 7

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behavioral finance, investor psychology, investor behavior, financial markets, market efficiency, individual decision making

4.

When Equity Factors Drop Their Shorts

Financial Analysts Journal, 2020, 76(4): 73–99.
Number of pages: 42 Posted: 26 Nov 2019 Last Revised: 23 Nov 2021
David Blitz, Guido Baltussen and Pim van Vliet
Robeco Quantitative Investments, Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 3,329 (4,347)
Citation 7

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asset pricing, factor premiums, factor investing, short selling, limits to arbitrage, low volatility, size, value, momentum, profitability, investment, quality

5.

Unknown Unknowns: Uncertainty About Risk and Stock Returns

Journal of Financial and Quantitative Analysis, 53(4), p.1615-1651, 2018. , Journal of Financial and Quantitative Analysis, 53(4), p.1615-1651, 2018.
Number of pages: 76 Posted: 20 Mar 2012 Last Revised: 29 Nov 2021
Guido Baltussen, Sjoerd van Bekkum and Bart van der Grient
Erasmus University Rotterdam (EUR), Erasmus University and Robeco Asset Management - Quantitative Strategies
Downloads 2,746 (6,016)
Citation 24

Abstract:

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asset pricing, stock returns, uncertainty

6.

The Volatility Effect Revisited

Number of pages: 27 Posted: 26 Aug 2019
David Blitz, Pim van Vliet and Guido Baltussen
Robeco Quantitative Investments, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 2,446 (7,255)
Citation 15

Abstract:

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low risk, low volatility, low beta, minimum variance, anomaly, factor investing, smart beta, low-volatility investing

7.

Equity Styles and the Spanish Flu

Number of pages: 5 Posted: 27 Apr 2020
Guido Baltussen and Pim van Vliet
Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 2,277 (8,130)

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equity styles, equity factors, low volatility, value, size, momentum, crises, pandemics

8.

Hedging Demand and Market Intraday Momentum

Journal of Financial Economics (JFE), Volume 142, Issue 1, October 2021, Pages 377-403
Number of pages: 60 Posted: 26 Jan 2021 Last Revised: 24 Nov 2021
Guido Baltussen, Zhi Da, Sten Lammers and Martin Martens
Erasmus University Rotterdam (EUR), University of Notre Dame - Mendoza College of Business, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam
Downloads 2,118 (9,120)

Abstract:

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Return momentum, Futures trading, Hedging demand, Return Predictability, Indexing

9.

Exploiting Option Information in the Equity Market

Financial Analyst Journal 68(4), p. 56–72, 2012.
Number of pages: 39 Posted: 08 Feb 2012 Last Revised: 29 Nov 2021
Erasmus University Rotterdam (EUR), Robeco Asset Management - Quantitative Strategies, Robeco Asset Management, Robeco Asset Management and Rabobank International, Netherlands
Downloads 1,966 (10,317)

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stock selection, behavioral finance, alpha strategies, equity returns, option markets, stock markets, information spillover, asset pricing

10.

Predicting Bond Returns: 70 Years of International Evidence

Financial Analysts Journal, 2021, 77(3): 133-155.
Number of pages: 40 Posted: 24 Jun 2020 Last Revised: 23 Nov 2021
Guido Baltussen, Martin Martens and Olaf Penninga
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 1,825 (11,624)
Citation 2

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return predictability, asset pricing, market efficiency, bond risk premia, momentum, value, carry.

11.

The Cross-Section of Stock Returns before 1926 (And Beyond)

Number of pages: 84 Posted: 24 Nov 2021
Guido Baltussen, Bart van Vliet and Pim van Vliet
Erasmus University Rotterdam (EUR), Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 1,516 (15,917)

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empirical asset pricing, return anomalies, machine learning, factor premiums, p-hacking, momentum, value, beta, low volatility, size

12.

Risky Choice and the Relative Size of Stakes

Number of pages: 31 Posted: 29 May 2007 Last Revised: 06 May 2008
Guido Baltussen, Thierry Post and Martijn J. van den Assem
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Vrije Universiteit Amsterdam
Downloads 918 (32,673)
Citation 8

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Decision making under risk, Framing, Expected utility theory, Prospect theory

13.

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence

Journal of Portfolio Management, forthcoming
Number of pages: 24 Posted: 25 Jun 2021 Last Revised: 24 Nov 2021
Guido Baltussen, Martin Martens and Olaf Penninga
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 744 (43,712)

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factor investing, bond risk premia, asset pricing, market efficiency, momentum, value, carry, low-risk

14.

Downside Risk Aversion, Fixed Income Exposure, and the Value Premium Puzzle

Journal of Banking and Finance, Vol. 36, No. 12, 2012
Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 22 Jun 2013
Guido Baltussen, Thierry Post and Pim van Vliet
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 561 (62,877)
Citation 1

Abstract:

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downside risk, semi-variance, interest rates, fixed income, value premium, asset pricing, behavioral finance, bond returns

15.

Indexing and Stock Market Serial Dependence Around the World

Journal of Financial Economics (JFE), 132(1), p. 26-48, 2019.
Number of pages: 49 Posted: 30 May 2016 Last Revised: 29 Nov 2021
Guido Baltussen, Sjoerd van Bekkum and Zhi Da
Erasmus University Rotterdam (EUR), Erasmus University and University of Notre Dame - Mendoza College of Business
Downloads 467 (78,827)
Citation 12

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Return autocorrelation, Stock market indexing, Arbitrage

16.

Irrational Diversification; An Examination of Individual Portfolio Choice

Journal of Financial and Quantitative Analysis 46(5), p. 1463-1491, 2011.
Number of pages: 49 Posted: 22 Apr 2008 Last Revised: 29 Nov 2021
Guido Baltussen and Thierry Post
Erasmus University Rotterdam (EUR) and Graduate School of Business of Nazarbayev University
Downloads 392 (96,740)
Citation 11

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Diversification, behavioral finance, bounded rationality, diversification, framing, portfolio choice, heuristics

17.

Irrational Diversification: An Examination of the Portfolio Construction Decision

Journal of Financial and Quantitative Analysis (JFQA), Vol. 46, No. 5, 2011
Number of pages: 49 Posted: 14 Feb 2009 Last Revised: 16 Dec 2011
Guido Baltussen and Thierry Post
Erasmus University Rotterdam (EUR) and Graduate School of Business of Nazarbayev University
Downloads 323 (120,141)
Citation 3

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diversification, framing, financial economics, naive diversification, 1/n heuristic, behavioral finance, bounded rationality

18.

Random Incentive Systems in a Dynamic Choice Experiment

Experimental Economics, Vol. 15, No. 3, pp. 418-443, September 2012
Number of pages: 32 Posted: 09 Apr 2008 Last Revised: 27 Jul 2012
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University, Vrije Universiteit Amsterdam and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 322 (120,556)
Citation 2

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random incentive system, incentives, experimental measurement, risky choice, risk aversion, dynamic choice, tremble, within-subjects design, between-subjects design

19.

Path Dependence in Risky Choice: Affective and Deliberative Processes in Brain and Behavior

Journal of Economic Behavior and Organization, Vol. 107 (Part B), pp. 566-581, November 2014
Number of pages: 40 Posted: 28 Jan 2014 Last Revised: 06 Dec 2014
Laurea University of Applied Sciences, Erasmus University Rotterdam (EUR), Vrije Universiteit Amsterdam, Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM), University of Arizona and Erasmus Research Institute of Management (ERIM)
Downloads 276 (141,858)
Citation 2

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house money effect, break even effect, neuroeconomics, functional magnetic resonance imaging (fMRI), brain imaging, risky choice

20.

Violations of Cpt in Mixed Gambles

Management Science, Vol. 52, No. 8, pp. 1288-1290
Number of pages: 17 Posted: 27 Feb 2004
Guido Baltussen, Thierry Post and Pim van Vliet
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 267 (146,751)

Abstract:

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Cumulative prospect theory, expected utility, mixed gambles, probability weighting, stochastic dominance

21.

Risky Choice in the Limelight

Review of Economics and Statistics, Vol. 98, No. 2, pp. 318-332, May 2016
Number of pages: 33 Posted: 14 May 2012 Last Revised: 01 May 2016
Erasmus University Rotterdam (EUR), Vrije Universiteit Amsterdam and University of Essex - Department of Economics
Downloads 258 (151,879)
Citation 2

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decision making under risk, risky choice, risk preferences, risk aversion, ambiguity aversion, limelight, accountability, public scrutiny, experience, game show, natural experiment, laboratory experiment, expected utility theory, prospect theory