Dr. L.A.P. (Laurens) Swinkels

Department of Business Economics

Erasmus School of Economics (ESE)

Erasmus University Rotterdam

Member ERIM

Field: Finance & Accounting

Affiliated since 2005

T: +31 10 4081507

E: lswinkels@ese.eur.nl

Research interests include all areas of asset pricing, investment management, and pension funds.

Publications

Article (71)

Academic (61)
- Swinkels, L. (2024). Trading carbon credit tokens on the blockchain. International Review of Economics and Finance, 91, 720-733. https://doi.org/10.2139/ssrn.4378871, https://doi.org/10.1016/j.iref.2024.01.012
- Jansen, M., Swinkels, L., & Zhou, W. (2024). More Powerful Tests for Anomalies in the China A-Share Market. Journal of Portfolio Management, 50(4), 186-202. https://doi.org/10.2139/ssrn.4308694, https://doi.org/10.3905/jpm.2023.1.573
- Markwat, TD., & Swinkels, L. (2024). Corporate Carbon Emissions Data for Equity and Bond Portfolios. Managerial Finance, 50(1), 118-139. https://doi.org/10.2139/ssrn.4346300, https://doi.org/10.1108/MF-02-2023-0077
- Carpena, F., Swinkels, L., & Zhang, D. (2024). The Effects of COVID-19 Policies on Consumer Spending in Norway. Contemporary Economic Policy, 42(1), 56-67. https://doi.org/10.2139/ssrn.4497685
- Beteta Vejarano, G., & Swinkels, L. (2024). Social, Sustainability, and Sustainability-Linked Bonds. Journal of Impact and ESG Investing, 4(4), 71-95. https://doi.org/10.2139/ssrn.4420618
- Hanauer, M. X., Jansen, M., Swinkels, L., & Zhou, W. (2024). Factor models for Chinese A-shares. International Review of Financial Analysis, 91, Article 102975. https://doi.org/10.1016/j.irfa.2023.102975
- Swade, A., Lohre, H., Nolte, S., Shackleton, M., & Swinkels, L. (2024). A Century of Macro Factor Investing: Diversified Multi-Asset Multi-Factor Strategies through the Cycles. Journal of Portfolio Management, 50(5), 37-56. https://doi.org/10.3905/jpm.2024.1.587
- Molenaar, R., Senechal, E., Swinkels, L., & Wang, Z. (2024). Empirical evidence on the stock-bond correlation. Financial Analysts Journal, 80(3), 17-36. https://doi.org/10.2139/ssrn.4514947, https://doi.org/10.1080/0015198X.2024.2317333
- Swinkels, L. (2023). Empirical evidence on the ownership and liquidity of real estate tokens. Financial Innovation, 9(1), Article 45. https://doi.org/10.1186/s40854-022-00427-5
- Blitz, D., & Swinkels, L. (2023). Does excluding sin stocks cost performance? Journal of Sustainable Finance and Investment, 13(4), 1693-1710. https://doi.org/10.1080/20430795.2021.1972789
- Swinkels, L., & Yang, J. (2023). Investing in Carbon Credits. Journal of Alternative Investments, 26(2), 28-59. https://doi.org/10.3905/jai.2023.1.195
- Baltussen, G., Swinkels, L., van Vliet, B., & van Vliet, P. (2023). Investing in Deflation, Inflation, and Stagflation Regimes. Financial Analysts Journal, 79(3), 5-32. https://doi.org/10.1080/0015198X.2023.2185066
- Blitz, D., Swinkels, L., Ūsaitė, K., & van Vliet, WN. (2022). Shrinking beta. Journal of Risk, 24(6), 25-40. https://doi.org/10.21314/jor.2022.037
- Swinkels, L. (2022). Allocating to green bonds. Journal of Alternative Investments, 25(1), 9-32. https://doi.org/10.3905/jai.2022.1.161
- De Jong, M., & Swinkels, L. (2022). The capital-protection capacity of emerging-markets inflation-linked bonds. Journal of Portfolio Management, 48(8), 127-138. https://doi.org/10.3905/jpm.2022.1.374
- Blitz, D., & Swinkels, L. (2021). Who owns tobacco stocks? Journal of Asset Management, 22, 311–325. https://doi.org/10.1057/s41260-021-00224-2
- Jansen, M., Swinkels, L., & Zhou, W. (2021). Anomalies in the China A-share market. Pacific Basin Finance Journal, 68, Article 101607. https://doi.org/10.1016/j.pacfin.2021.101607
- Dimic, N., Piljak, V., Swinkels, L., & Vulanovic, M. (2021). The structure and degree of dependence in government bond markets. Journal of International Financial Markets, Institutions and Money, 74, Article 101385. https://doi.org/10.1016/j.intfin.2021.101385
- Baltussen, G., Swinkels, L., & Van Vliet, P. (2021). Global factor premiums. Journal of Financial Economics, 142(3), 1128-1154. https://doi.org/10.1016/j.jfineco.2021.06.030
- Groot, W., Swinkels, L., & Zhou, W. (2021). China A-shares: Strategic allocation to market and factor premiums. The Journal of Portfolio Management, 47(7), 131-149. https://doi.org/10.3905/jpm.2021.1.245
- Blitz, D., Swinkels, L., & van Zanten, JAP. (2021). Does sustainable investing deprive unsustainable firms of fresh capital? Journal of Impact and ESG Investing, 1(3), 10-25. https://doi.org/10.3905/jesg.2021.1.012
- Blitz, D., & Swinkels, L. (2020). Is exclusion effective? The Journal of Portfolio Management, 46(3), 42-48. https://doi.org/10.3905/jpm.2020.46.3.042
- Doeswijk, RQ., Lam, TW., & Swinkels, L. (2020). Historical returns of the market portfolio. The Review of Asset Pricing Studies, 10(3), 521-567. https://doi.org/10.1093/rapstu/raz010
- Blitz, D., & Swinkels, L. (2020). Do tobacco share owners finance the tobacco business? Journal of Impact and ESG Investing, 1(2), 53-67. https://doi.org/10.3905/jesg.2020.1.004
- Blitz, D., Huisman, R., Swinkels, L., & van Vliet, WN. (2019). Media attention and the volatility effect. Finance Research Letters, 36, Article 101317. https://doi.org/10.1016/j.frl.2019.101317
- Alserda, G., Dellaert, B., Swinkels, L., & Lecq, F. (2019). Individual pension risk preference elicitation and collective asset allocation with heterogeneity. Journal of Banking and Finance, 101, 206-225. https://doi.org/10.1016/j.jbankfin.2019.02.014
- Swinkels, L. (2019). Treasury Bond Return Data Starting in 1962. Data, 4(3), Article 91. https://doi.org/10.3390/data4030091
- Houweling, P., & Swinkels, L. (2019). Pension and insurance solvency regulations and low-risk investing: A comparative analysis of the Nordic countries and the Netherlands. Nordic Journal of Business, 68(4), 25-39. http://hdl.handle.net/1765/123989
- Blitz, D., Hallerbach, WGPM., Swinkels, L., & van Vliet, WN. (2018). Equity Solvency Capital Requirements. The Geneva Papers on Risk and Insurance. Issues and Practice, 43(4), 633-652. https://doi.org/10.1057/s41288-018-0086-3
- Swinkels, L. (2018). Simulating historical inflation-linked bond returns. Journal of Empirical Finance, 48, 374-389. https://doi.org/10.1016/j.jempfin.2018.06.005
- Piljak, V., & Swinkels, L. (2017). Frontier and Emerging Government Bond Markets. Emerging Markets Review, 30, 232-255. https://doi.org/10.1016/j.ememar.2015.10.002
- Swinkels, L., & Xu, Y. (2017). Is the Equity Market Representative of the Real Economy? Economics, Management, and Financial Markets, 12(2), 51-66.
- Shi, LY., Swinkels, L., & Lecq, F. (2017). Board diversity and self-regulation in Dutch pension funds. Equality, Diversity and Inclusion, 36(2), 939-963. https://doi.org/10.1108/EDI-05-2016-0043
- Piljak, V., & Swinkels, L. (2017). Fundamental indexation for developed, emerging, and frontier government bond markets. Journal of Asset Management, 18(5), 405-420. https://doi.org/10.1057/s41260-017-0045-8
- Li, Y., Spigt, R., & Swinkels, L. (2017). The impact of FinTech start-ups on incumbent retail banks' share prices. Financial Innovation, 3(26), 1-16. https://doi.org/10.1186/s40854-017-0076-7
- Phoeng, JCS., & Swinkels, L. (2016). The Zodiac Calendar and Equity Factor Returns. China Accounting and Finance Review, 18(3), 114-130. https://doi.org/10.7603/s40570-016-0009-2
- Doskov, N., & Swinkels, L. (2015). Empirical evidence on the currency carry trade, 1900-2012. Journal of International Money and Finance, 51, 370-389. https://doi.org/10.1016/j.jimonfin.2014.12.001
- Egbers, T., & Swinkels, L. (2015). Can implied volatility predict returns on the currency carry trade? Journal of Banking and Finance, 59, 14-26. https://doi.org/10.1016/j.jbankfin.2015.04.026
- Helwig, LL., & Swinkels, L. (2015). Accounting for market risk in microfinance investments. International Journal of Sustainable Economy, 17(4), 262-279. https://doi.org/10.1504/IJSE.2015.072202
- Doeswijk, RQ., Lam, TW., & Swinkels, L. (2014). The Global Multi-Asset Market Portfolio 1959-2012. Financial Analysts Journal, 70(2), 26-41. https://doi.org/10.2469/faj.v70.n2.1
- Doeswijk, RQ., Lam, TW., & Swinkels, L. (2014). “The Global Multi-Asset Market Portfolio 1959-2012”: Author Response. Financial Analysts Journal, 70(4), 9-11. https://doi.org/10.2469/faj.v70.n4.10
- Andreu, L., Swinkels, L., & Tjong-A-Tjoe, L. (2013). Can exchange traded funds be used to exploit country and industry momentum? Finanzmarkt und Portfolio Managment, 27(2), 127-148. https://doi.org/10.1007/s11408-013-0207-8
- Blitz, D., Huij, J., & Swinkels, L. (2012). The Performance of European Index Funds and Exchange-Traded Funds. European Financial Management, 18(4), 649-662. https://doi.org/10.1111/j.1468-036X.2010.00550.x
- Andreu, L., & Swinkels, L. (2012). Performance Evaluation of Balanced Pension Plans. Quantitative Finance, 12(5), 819-830. https://doi.org/10.1080/14697681003762289
- Swinkels, L. (2012). Emerging markets inflation-linked bonds. Financial Analysts Journal, 68(5), 38-56. https://doi.org/10.2469/faj.v68.n5.2
- Swinkels, L., & Ziesemer, V. (2012). Diversity of Dutch Pension Fund Boards. Pensions, 17(3), 137-143. https://doi.org/10.1057/pm.2012.15
- Swinkels, L., & van Vliet, WN. (2012). An anatomy of calendar effects. Journal of Asset Management, 13(4), 271-286. https://doi.org/10.1057/jam.2012.9
- Swinkels, L., Groot, W., & Pang, J. (2012). The cross-section of stock returns in frontier emerging markets. Journal of Empirical Finance, 19(5), 796-818. https://doi.org/10.1016/j.jempfin.2012.08.007
- Poiesz, O., & Swinkels, L. (2012). Myth busting: Defined contribution. Pensions, 17(4), 260-269. https://doi.org/10.1057/pm.2012.30
- Crezee, DP., & Swinkels, L. (2011). High-conviction equity portfolio optimization. The Journal of Risk, 13(2), 57-70. https://doi.org/10.21314/JOR.2010.222
- Swinkels, L. (2011). The Case for Local Fair Value Discount Rates Under IFRS. Pensions, 16(2), 107-114. https://doi.org/10.1057/pm.2011.7
- Swinkels, L. (2011). Have pension plans changed after the introduction of IFRS? Pensions, 16(4), 244-255. https://doi.org/10.1057/pm.2011.20
- Swinkels, L., & Van Ommeren, S. (2010). Hoe waarderen we ons pensioen? MAB, 84(5), 245-253. https://doi.org/10.5117/mab.84.16931
- Rzezniczak, P., & Swinkels, L. (2009). Performance evaluation of Polish mutual fund managers. International Journal of Emerging Markets, 4(1), 26-42. https://doi.org/10.1108/17468800910931652
- de Zwart, GJ., Markwat, TD., Swinkels, L., & van Dijk, D. (2009). The economic value of fundamental and technical information in emerging currency markets. Journal of International Money and Finance, 28(4), 581-604. https://doi.org/10.1016/j.jimonfin.2009.01.004
- Groot, W., & Swinkels, L. (2008). Incorporating uncertainty about alternative assets in strategic pension fund asset allocation. Pensions, 13(1/2), 71-77. https://doi.org/10.1057/palgrave.pm.5950063
- Blitz, D., & Swinkels, L. (2008). Fundamental indexation: an active value strategy in disguise. Journal of Asset Management, 9(4), 264-269. https://doi.org/10.1057/jam.2008.23
- Swinkels, L., & Tjong-A-Tjoe, L. (2007). Can mutual funds time investment styles? Journal of Asset Management, 8(2), 123-132. https://doi.org/10.1057/palgrave.jam.2250066
- Swinkels, L., & van den Berg, R. (2007). Het effect van overnames op de aandelenrendementen van biedende ondernemingen. MAB, 81(6), 277-283. https://doi.org/10.5117/mab.81.17767
- Swinkels, L., & van der Sluis, PJ. (2006). Return-based style analysis with time-varying exposures. The European Journal of Finance, 12(6/7), 529-552. https://doi.org/10.1080/13518470500248508
- Swinkels, L. (2006). Zijn pensioenregelingen gewijzigd als gevolg van de introductie van IFRS? MAB, 80(11), 562-570. https://doi.org/10.5117/mab.80.12810
Professional (10)
- Speijer, R., & Swinkels, L. (2020). Diversiteit van pensioenfondsbesturen: Is het glas half vol of half leeg? VBA Journaal, 143, 13-18.
- Alserda, G., Dellaert, B., Swinkels, L., & Lecq, F. (2019). Pensioenfondsen kunnen welvaartswinst behalen door risicovoller te beleggen. Economisch-Statistische Berichten, 104(4777), 405-407. http://hdl.handle.net/1765/119677
- Hoek, J., & Swinkels, L. (2011). Gevolgen van mogelijke veranderingen in de rekenrente. Tijdschrift voor Pensioenvraagstukken, (2), 19-29. http://hdl.handle.net/1765/23940
- Blitz, D., Houweling, P., Huij, J., Rejeb, S., & Swinkels, L. (2010). Can theoretical risk premiums be captured by investing in passive funds? VBA Journaal, 26(4), 12-15.
- Swinkels, L. (2009). De echte gevolgen van de ontwikkelingen in de regelgeving voor pensioenfondsen. VBA Journaal, 25(4), 16-20.
- Groot, W., & Swinkels, L. (2008). Het onzekere voor het zekere nemen. VBA Journaal, 24(1), 42-49.
- Kerkhof, FLJ., & Swinkels, L. (2008). Inflatiederivaten voor pensioenfondsen. Actuaris, 15, 2-4.
- Swinkels, L. (2006). De opmars van beleggen in sectoren gestuit? Technische en Kwantitatieve Analyse, 12, 39-41.
- Swinkels, L., & van Vliet, WN. (2006). Risk budgeting under shortfall constraints. Investment & Pensions Europe, 2006(August), 7-7.
- Swinkels, L. (2005). Dutch insights for the Swedish traffic light system. Nordic Region Pension News, autumn(2005), 42-43.

Chapter (6)

Academic (4)
- Blitz, D., & Swinkels, L. (2016). Fundamental Indexation: An active value strategy in disguise. In S. Satchell (Ed.), Asset Management: Portfolio Construction, Performance and Returns (pp. 331-338). Springer-Verlag. https://doi.org/10.1007/978-3-319-30794-7_15
- Nijman, T. E., & Swinkels, L. A. P. (2011). Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes. In The Handbook of Commodity Investing (pp. 522-546). John Wiley & Sons Inc.. https://doi.org/10.1002/9781118267004.ch22
- Swinkels, L., & Groot, W. (2010). Pension Fund Asset Allocation under Uncertainty. In M. Micocci, G. N. Gregoriou, & G. B. Masala (Eds.), Pension Fund Risk Management: Financial and Actuarial Modeling Chapman & Hall/CRC.
- Nijman, E., & Swinkels, L. (2008). Stratetic and tactical allocation to commodities for retirment savings schemes. In F. Fabozzi, R. Fuss, & D. G. Kaiser (Eds.), Handbook of Commodity Investing (pp. 522-546). John Wiley & Sons Inc..
Professional (2)
- Swinkels, L., & Van der Maarel, E. (2011). Uitbesteding van vermogensbeheer. In F. Klopper, G. Krijnen, & C. Pedersen (Eds.), Gids voor uitbesteding (pp. 55-83). Pedersen Consult BV.
- Poiesz, O., & Swinkels, L. (2010). De toekomst met beschikbare premie. In F. Klopper, C. Petersen, & B. Van Popta (Eds.), De toekomst van ons pensioenstelsel (pp. 71-91). Petersen Consult BV.

Conference proceeding (1)

Academic (1)
- Hu, Q., Daza, D., Swinkels, L., Ūsaitė, K., 't Hoen, R.-J., & Groth, P. (2023). Harnessing the Web and Knowledge Graphs for Automated Impact Investing Scoring. In KDD 2023 Workshop Fragile Earth https://doi.org/10.48550/arXiv.2308.02622

Paper (2)

Academic (2)
- Alserda, G., Dellaert, B., Lecq, F., & Swinkels, L. (2016). Pension risk preferences: A personalized elicitation method and its impact on asset allocation.
- Swinkels, L., & Vilans, V. (2005). Why don't Latvian pension funds diversify more internationally?.

Report (1)

Academic (1)
- de Zwart, G., Markwat, TD., Swinkels, L., & van Dijk, D. (2009). The economic value of fundamental and technical information in emerging currency markets. (EI reprint reeks EI-1507 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1507

Events (3)

2014

November

Frontier Emerging Government Bond Markets

Research Seminar

As: Speaker

2010

June

The Cross-Section of Stock Returns in Frontier Markets

Research Seminar

As: Speaker

2009

September

"Dividend Withholding Taxes and the Performance of European Index Funds"

ERIM Conference Presentation

As: Speaker

Address

Visiting address

Office: Tinbergen Building H14-25
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Dr. L.A.P. (Laurens) Swinkels

Publications

Article (71)

Academic (61)

Professional (10)

Chapter (6)

Academic (4)

Professional (2)

Conference proceeding (1)

Academic (1)

Paper (2)

Academic (2)

Report (1)

Academic (1)

Events (3)

Address

Research Initiatives

Latest publication

Article