prof.dr. M.J.C.M. (Marno) Verbeek

Marno Verbeek
Rotterdam School of Management (RSM)
Erasmus University Rotterdam
Fellow ERIM
Field: Finance & Accounting
Affiliated since 2001

Marno Verbeek is a Professor of Finance at  Rotterdam School of Management, Erasmus University (RSM). He is currently Head of Department. Previously, he was Dean of Research of RSM and Academic Director of the Erasmus Research Institute of Management (ERIM) from 1 July 2011 until 15 July 2017.  His recent research is largely in the area of empirical finance with a particular focus on mutual funds, hedge funds, asset pricing, investment strategies, survival bias and performance evaluation. He is the author of the textbook A Guide to Modern Econometrics (5th ed, 2017), the textbook Panel Methods for Finance (2022), and has published articles in international scholarly journals including the Journal of Financial and Quantitative Analysis, Management Science, the Review of Finance, the Journal of Banking and Finance, the Journal of Empirical Finance, Financial Management, the Journal of Financial Markets, the Journal of Business and Economic Statistics, Review of Economics and Statistics, the Journal of Econometrics and the International Economic Review. He received his PhD from Tilburg University in 1991.

Publications

Article (44)

  • Academic (42)

    • Baquero, G., & Verbeek, M. (2022). Hedge Fund Flows and Performance Streaks: How Investors Weigh Information. Management Science, 68(6), 4151-4172. https://doi.org/10.1287/mnsc.2021.4067, https://doi.org/10.1287/mnsc.2021.4067

    • Dyakov, T., Jiang, H., & Verbeek, M. (2020). Trade Less and Exit Overcrowded Markets: Lessons from International Mutual Funds. Review of Finance, 24(3), 677-731. https://doi.org/10.1093/rof/rfz014

    • Dyakov, T., & Verbeek, M. (2018). Can Mutual Fund Investors Distinguish Good from Bad Managers? International Review of Finance, 19(3), 505-540. https://doi.org/10.1111/irfi.12187

    • Armstrong, WJ., Genc, E., & Verbeek, M. (2017). Going for Gold: An Analysis of Morningstar Analyst Ratings. Management Science, 65(5), 2310-2327. https://doi.org/10.1287/mnsc.2017.2884

    • Jiang, H., Verbeek, M., & Wang, Y. (2014). Information Content when Mutual Funds Deviate from Benchmarks. Management Science, 60(8), 2038-2053. https://doi.org/10.1287/mnsc.2013.1847

    • Verbeek, M., & Wang, Y. (2013). Better than the Original? The Relative Success of Copycat Funds. Journal of Banking and Finance, 37(9), 3454-3471. https://doi.org/10.1016/j.jbankfin.2013.04.024

    • Blitz, D., Huij, J., Lansdorp, SD., & Verbeek, M. (2013). Short-Term Residual Reversal. Journal of Financial Markets, 16(3), 477-504. https://doi.org/10.1016/j.finmar.2012.10.005

    • Dyakov, T., & Verbeek, M. (2013). Front-Running of Mutual Fund Fire-Sales. Journal of Banking and Finance, 37(12), 4931-4942. https://doi.org/10.1016/j.jbankfin.2013.08.013

    • de Jong, A., Verbeek, M., & Verwijmeren, P. (2012). Does financial flexibility reduce investment distortions? The Journal of Financial Research, 35(2), 243-259. https://doi.org/10.1111/j.1475-6803.2012.01316.x

    • de Jong, A., Verbeek, M., & Verwijmeren, P. (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. https://doi.org/10.1016/j.jbankfin.2010.10.006

    • de Jong, A., Verbeek, M., & Verwijmeren, P. (2010). The impact of financing surpluses and large financing deficits on tests of the pecking order theory. Financial Management - FM, 39(2), 733-756. https://doi.org/10.1111/j.1755-053X.2010.01090.x

    • Brounen, D., Porras Prado, M., & Verbeek, M. (2010). Real Estate in an ALM Framework: The Case of Fair Value Accounting. Real Estate Economics, 38(4), 775-804. https://doi.org/10.1111/j.1540-6229.2010.00283.x

    • Hoogerheide, LF., Kleijn, R., Ravazzolo, F., van Dijk, HK., & Verbeek, M. (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Journal of Forecasting, 29(1/2), 251-269. https://doi.org/10.1002/for.1145

    • Rombouts, JVK., & Verbeek, M. (2009). Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. Quantitative Finance, 9(6), 737-745. https://doi.org/10.1080/14697680902785284

    • Huij, J., & Verbeek, M. (2009). On the Use of Multifactor Models to Evaluate Mutual Fund Performance. Financial Management - FM, 38(1), 75-102. https://doi.org/10.1111/j.1755-053X.2009.01029.x

    • Huij, J., & Verbeek, M. (2007). Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance. Journal of Banking and Finance, 31(3), 973-997. https://doi.org/10.1016/j.jbankfin.2006.08.002

    • ter Horst, JR., & Verbeek, M. (2007). Fund Liquidation, Self-Selection and Look-Ahead Bias in the Hedge Fund Industry. Review of Finance, 11(4), 605-632. https://doi.org/10.1093/rof/rfm012

    • Kole, E., Koedijk, CG., & Verbeek, M. (2007). Selecting copulas for risk management. Journal of Banking and Finance, 31(8), 2405-2423. https://doi.org/10.1016/j.jbankfin.2006.09.010

    • Kole, E., Koedijk, CG., & Verbeek, M. (2006). Portfolio Implications of Systemic Crises. Journal of Banking and Finance, 30(8), 2347-2369. https://doi.org/10.1016/j.jbankfin.2005.08.006

    • Verbeek, M., & Vella, F. (2005). Estimating Dynamic Models from Repeated Cross-Sections. Journal of Econometrics, 127(1), 83-102. https://doi.org/10.1016/j.jeconom.2004.06.004

    • Baquero, GP., ter Horst, JR., & Verbeek, M. (2005). Survival, Look-Ahead Bias and Persistence in Hedge Fund Performance. Journal of Financial and Quantitative Analysis, 40(3), 493-517. http://hdl.handle.net/1765/12614

    • ter Horst, JR., & Verbeek, M. (2005). Hedgefondsen: Prestaties uit het verleden bieden verwachtingen voor de toekomst. MAB, 79(4), 168-173.

    • Nijman, T., Swinkels, LM., & Verbeek, M. (2004). Do countries or industries explain momentum in Europe? Journal of Empirical Finance, 11(4), 461-481. https://doi.org/10.1016/j.jempfin.2004.02.001

    • Marquering, WA., & Verbeek, M. (2004). The Economic Value of Predicting Stock Index Returns and Volatility. Journal of Financial and Quantitative Analysis, 39(2), 407-429. https://doi.org/10.1017/S0022109000003136

    • Marquering, WA., & Verbeek, M. (2004). A Multivariate Nonparametric Test for Return and Volatility Timing. Finance Research Letters, 1(3), 250-260. https://doi.org/10.1016/j.frl.2004.07.002

    • ter Horst, JR., Nijman, T., & Verbeek, M. (2001). Eliminating look-ahead bias in evaluating persistence in mutual fund performance. Journal of Empirical Finance, 8(4), 345-373. https://doi.org/10.1016/S0927-5398(01)00032-9

    • ter Horst, JR., & Verbeek, M. (2000). Estimating Short-Run Persistence in Mutual Fund Performance. The Review of Economics and Statistics, 82(4), 646-655. https://doi.org/10.1162/003465300558984

    • Marquering, WA., & Verbeek, M. (1999). An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence. Journal of Empirical Finance, 6(3), 243-265. https://doi.org/10.1016/S0927-5398(99)00003-1

    • Vella, F., & Verbeek, M. (1999). Two-step estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90(2), 239-263. https://doi.org/10.1016/S0304-4076(98)00043-8

    • Verbeek, M., & Vella, F. (1999). Estimating and Interpreting Models with Endogenous Treatment Effects. Journal of Business and Economic Statistics, 17(4), 473-478. https://doi.org/10.2307/1392404

    • Rummery, S., Vella, F., & Verbeek, M. (1999). Estimating the returns to education for Australian youth via rank-order instrumental variables. Labour Economics, 6(4), 491-507. https://doi.org/10.1016/S0927-5371(98)00016-5

    • Vella, F., & Verbeek, M. (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. https://doi.org/10.1002/(SICI)1099-1255(199803/04)13:2<163::AID-JAE460>3.0.CO;2-Y

    • Verbeek, MJCM. (1995). Alternative transformations to eliminate fixed effects. Econometric Reviews, 14(2), 205-211. https://doi.org/10.1080/07474939508800315

    • Verbeek, M., & Nijman, T. (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.

    • Verbeek, M. (1993). Missing measurements in econometric models with no auxiliary relations. Economics Letters, 43(2), 125-128. https://doi.org/10.1016/0165-1765(93)90024-7

    • Verbeek, M., & Nijman, T. (1992). Testing for Selectivity Bias in Panel Data Models. International Economic Review, 33(3), 681-703.

    • Nijman, T., & Verbeek, M. (1992). Can Cohort Data Be Treated as Genuine Panel Data? Empirical Economics (Heidelberg), 17, 9-24. https://doi.org/10.1007/BF01192471

    • Nijman, T., & Verbeek, M. (1992). The Optimal Choice of Controls and Pre-Experimental Observations. Journal of Econometrics, 51(1-2), 183-189.

    • Nijman, T., & Verbeek, M. (1992). Nonresponse in panel data: The impact on estimates of a life cycle consumption function. Journal of Applied Econometrics, 7(3), 243-257. https://doi.org/10.1002/jae.3950070303

    • Nijman, T., Verbeek, M., & van Soest, AHO. (1991). The Efficiency of Rotating-Panel Designs in an Analysis-of-Variance Model. Journal of Econometrics, 49(3), 373-399. https://doi.org/10.1016/0304-4076(91)90003-V

    • Nijman, T., & Verbeek, M. (1990). Estimation of Time Dependent Parameters in Linear Models Using Cross Sections, Panels or Both. Journal of Econometrics, 46(3), 333-346.

    • Verbeek, M. (1990). On the estimation of a fixed effects model with selectivity bias. Economics Letters, 34(3), 267-270. https://doi.org/10.1016/0165-1765(90)90129-O

  • Professional (2)

    • Genc, E., & Verbeek, M. (2018). How independent research can improve investment decisions. RSM Discovery - Management Knowledge, 33(1), 14-16. http://hdl.handle.net/1765/105617

    • Marquering, WA., & Verbeek, M. (2004). De Wet van Murphy in de Aandelenmarkt. VBA Journaal, 19(4), 24-29.

Book (7)

  • Academic (7)

    • Verbeek, M. (2021). Panel Methods for Finance: A Guide to Panel Data Econometrics for Financial Applications. De Gruyter. De Gruyter Studies in the Practice of Econometrics Vol. 1 https://doi.org/10.1515/9783110660739

    • Verbeek, M. (2017). A Guide to Modern Econometrics, 5th edition. John Wiley & Sons Inc. https://www.wiley.com/en-cn/A+Guide+to+Modern+Econometrics%2C+5th+Edition-p-9781119401117

    • Verbeek, M. (2014). Moderne Oekonometrie. Wiley-VCH.

    • Verbeek, M. (2012). A Guide to Modern Econometrics, 4th edition. John Wiley & Sons Inc.

    • Verbeek, M. (2008). A Guide to Modern Econometrics, 3rd edition. John Wiley & Sons Inc.

    • Verbeek, M. (2004). A Guide to Modern Econometrics, 2nd edition. John Wiley & Sons Inc. http://hdl.handle.net/1765/12611

    • Verbeek, M. (2000). A guide to modern econometrics. John Wiley & Sons Ltd.

Chapter (8)

  • Academic (8)

    • Baquero, GP., & Verbeek, M. (2021). Hedge Fund Flows. In D. Cumming, S. Johan, & G. Wood (Eds.), The Oxford Handbook of Hedge Funds (pp. 64-86). Oxford University Press.

    • Verbeek, M. (2009). Alternative Asset Class. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 16-16). Chapman & Hall/CRC.

    • Verbeek, M. (2009). Nondirectional. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 319-319). Chapman & Hall/CRC.

    • Verbeek, M. (2009). Modified Sharpe Ratio. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 303-304). Chapman & Hall/CRC.

    • Verbeek, M. (2009). Redemption Period. In G. N. Gregoriou (Ed.), Encyclopedia of Alternative Investments (pp. 392-392). Chapman & Hall/CRC.

    • Verbeek, M. (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). Springer-Verlag.

    • Honoré, B., Vella, F., & Verbeek, M. (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). Springer-Verlag.

    • Honoré, B., Vella, F., & Verbeek, M. (2008). Attrition, Selection Bias and Censored Regressions. In Advanced Studies in Theoretical and Applied Econometrics (pp. 385-418). Kluwer/Springer. https://doi.org/10.1007/978-3-540-75892-1_12

Conference proceeding (1)

Inaugural speech (1)

  • Popular (1)

    • Verbeek, M. (2002). Onweerlegbaar bewijs? Over het belang en de waarde van empirisch onderzoek voor financierings- en beleggingsvraagstukken. Erasmus Research Institute of Management (ERIM). http://hdl.handle.net/1765/343

Report (8)

  • Academic (7)

    • Ravazzolo, F., van Dijk, H., & Verbeek, M. (2007). Predictive gains from forecast combinations using time-varying model weights. (Econometric Institute Report EI 2007-26 ed.) Econometrics. Econometric Institute Report Vol. EI 2007-26

    • Kole, E., Koedijk, CG., & Verbeek, M. (2004). The effects of systemic crises when investors can be crisis ignorant. (Report Series in Management 2004-027FA ed.) Erasmus Research Institute of Management (ERIM). Report Series in Management Vol. 2004-027FA

    • Swinkels, LM., van der Sluis, PJ., & Verbeek, M. (2003). Market timing: a decomposition of mutual fund returns. (ERIM Report Series Research in Management 2003 074-F&A ed.) Erasmus Research Institute of Management (ERIM). ERIM Report Series Research in Management 2003 Vol. 074-F&A

    • Kole, E., Koedijk, CG., & Verbeek, M. (2003). Stress testing with Student's t dependence. (Report Series in Management 2003-056FA ed.) Erasmus Research Institute of Management (ERIM). Report Series in Management Vol. 2003-056FA

    • Verbeek, M., & Vella, F. (2002). Estimating dynamic models from repeated cross-sections. (Econometric Institute EI 2002-05 ed.) Econometric Institute Vol. EI 2002-05

    • Verbeek, M., Nijman, T., & Swinkels, LM. (2002). Do countries or industries explain momentum in Europe. (ERIM Report Series 2002 91-F&A ed.) Erasmus Research Institute of Management (ERIM). ERIM Report Series 2002 Vol. 91-F&A

    • Verbeek, M., & de Goeij, PC. (2000). An Empirical Analysis of Affine Term Structure Models using the Generalized Method of Moments. december

  • Professional (1)

    • de Jong, A., Roosenboom, P., Verbeek, M., & Verwijmeren, P. (2007). Hedgefondsen en private equity in Nederland. Ministerie van Financiën.

Working paper (3)

  • Academic (3)

    • Dyakov, T., Jiang, H., & Verbeek, M. (2019). Trading is Hazardous to Your Wealth: Evidence from Mutual Funds around the World. Rotterdam. https://doi.org/10.2139/ssrn.2687169

    • Huij, J., Lansdorp, SD., & Verbeek, M. (2012). Managerial Turnover and the Behavior of Mutual Fund Investors

      . ssrn.com/abstract=2166826.

    • Hoogerheide, LF., Kleijn, RH., Ravazzolo, F., van Dijk, H., & Verbeek, M. (2010). Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights. Econometric Institute. EI reprint reeks Vol. EI-1538

Additional activities (1)

  • De Economist (Journal)

    Editorial work (Academic)

PhD Tracks (34)

Behavioral Finance and Agent-Based Artificial Markets
  • Role: Member Doctoral Committee
  • PhD Candidate: Milan Lovric
  • Time frame: 2005 - 2011
An Analysis of Occupational Pension Provision: From Evaluation to Redesign
  • Role: Promotor
  • PhD Candidate: Xiaohong Huang
  • Time frame: 2005 - 2010
Empirical Essays on Debt, Equity, and Convertible Securities
  • Role: Promotor
  • PhD Candidate: Patrick Verwijmeren
  • Time frame: 2005 - 2008
The Analysis of Mutual Fund Performance: Evidence from U.S. Equity Mutual Funds
  • Role: Promotor
  • PhD Candidate: Diana Budiono
  • Time frame: 2005 - 2010
Empirical Essays on Office Market Dynamics
  • Role: Member Doctoral Committee
  • PhD Candidate: Maarten Jennen
  • Time frame: 2004 - 2008
Capital Structure, Strategic Competition, and Governance
  • Role: Member Doctoral Committee
  • PhD Candidate: Thuy Nguyen
  • Time frame: 2005 - 2008
The Long and Short Side of Real Estate, Real Estate Stocks, and Equity
  • Role: Promotor
  • PhD Candidate: Melissa Porras Prado
  • Time frame: 2006 - 2012
Investment Strategies based on Social Responsibility and Bubbles
  • Role: Member Doctoral Committee
  • PhD Candidate: Nadja Günster
  • Time frame: 2003 - 2009
Hierarchical Portfolio Management: Theory and Applications
  • Role: Member Doctoral Committee
  • PhD Candidate: Haikun Ning
  • Time frame: 2003 - 2007
Corporate Bond Issuers
  • Role: Member Doctoral Committee
  • PhD Candidate: Willem Schramade
  • Time frame: 2002 - 2006
Innovation in the Pharmaceutical Industry: Evidence from Drug Introductions in the U.S.
  • Role: Member Doctoral Committee
  • PhD Candidate: Lenny Pattikawa
  • Time frame: 2002 - 2007
New Insights into Mutual Funds: Performance and Family Strategies
  • Role: Promotor
  • PhD Candidate: Joop Huij
  • Time frame: 2002 - 2007
On Hedge Fund Performance, Capital Flows and Investor Psychology
  • Role: Promotor
  • PhD Candidate: Guillermo Baquero
  • Time frame: 2001 - 2006
On Crises, Crashes and Comovements
  • Role: Promotor
  • PhD Candidate: Erik Kole
  • Time frame: 2001 - 2006
Empirical Studies on Exchange Rate Puzzles and Volatility
  • Role: Member Doctoral Committee
  • PhD Candidate: Ben Tims
  • Time frame: 1999 - 2006
Empirical Essays on the Stock Returns, Risk Management, and Liquidity Creation of Banks
  • Role: Promotor
  • PhD Candidate: Ying Xu
  • Time frame: 2006 - 2010
  • Role: Promotor
Information Content of Mutual Fund Portfolio Disclosure
  • Role: Promotor
  • PhD Candidate: Yu Wang
  • Time frame: 2008 - 2011
Liquidity, Investors, and International Capital Markets
  • Role: Member Doctoral Committee
  • PhD Candidate: Dimitrios Vagias
  • Time frame: 2008 - 2013
  • Role: Promotor
Empirical Studies on Actively Managed Mutual Funds: New Insights into the Costs and Benefits of Portfolio Disclosure
  • Role: Promotor
  • PhD Candidate: Teodor Dyakov
  • Time frame: 2010 - 2014
Market Efficiency and Liquidity
  • Role: Member Doctoral Committee
  • PhD Candidate: Dominik Rösch
  • Time frame: 2010 - 2015
Essays in Banking and Corporate Finance
  • Role: Member Doctoral Committee
  • PhD Candidate: Teng Wang
  • Time frame: 2011 - 2015
Price Discovery, Liquidity Provision, and Low-Latency Trading
  • Role: Member Doctoral Committee
  • PhD Candidate: Darya Yuferova
  • Time frame: 2011 - 2016
  • Role: Promotor, Daily Supervisor
Essays on Financial Coordination
  • Role: Promotor
  • PhD Candidate: Lingtian Kong
  • Time frame: 2012 - 2019
Essays on Factor Investing
  • Role: Promotor
  • PhD Candidate: Georgi Kyosev
  • Time frame: 2014 - 2019
Agency Problems in the Mutual Fund Industry
  • Role: Promotor
  • PhD Candidate: Gelly Fu
  • Time frame: 2016 - 2022
International Mutual Funds
  • Role: Promotor
  • PhD Candidate: Lennard Böckenförde
  • Time frame: 2018 -
PhD in Finance
  • Role: Promotor
  • PhD Candidate: Yifan Ma
  • Time frame: 2020 -
PhD in Finance
  • Role: Promotor
  • PhD Candidate: Francesca Caucci
  • Time frame: 2022 -
Values in Finance
  • Role: Promotor
  • PhD Candidate: Koen-Jan Leendert van den Bosch
  • Time frame: 2022 -
Publicising the private partnership – which characteristics matter for private equity performance?
Publicising the private partnership – which characteristics matter for private equity performance?
  • Role: Promotor
  • PhD Candidate: Leon Luepertz
  • Time frame: 2022 -
PhD in Finance
  • Role: Promotor
  • PhD Candidate: Vaibhav Grewal
  • Time frame: 2023 -

Course (1)

Past
  • Applied Econometrics (2023/2024, 2022/2023)

Events (16)

2016
June
13
8th Conference on Professional Asset Management
Conference
As: Coordinator
2013
June
06
Sixth Conference on Professional Asset Management
Conference
As: Coordinator
2013
April
17
The Convexity and Concavity of the Flow-Performance Relationship for Hedge Funds
Research Seminar
As: Speaker
2012
July
05
Fifth Erasmus Liquidity Conference
Conference
As: Coordinator
2011
June
30
Fourth Erasmus Liquidity Conference
Conference
As: Co-organizer
2011
May
12
Fifth Conference on Professional Asset Management
Conference
As: Coordinator
2010
July
07
Third Erasmus Liquidity Conference
Conference
As: Coordinator
2010
March
19
Fourth One-Day Conference on Professional Asset Management
Conference
As: Speaker, Coordinator
2009
June
26
Second Erasmus Liquidity Conference
Conference
As: Coordinator
2009
March
20
3rd One-Day Conference on Professional Asset Management
Conference
As: Coordinator
2008
June
27
Liquidity Conference 2008
Conference
As: Speaker
2008
March
20
Workshop 3M in Finance and Macroeconomics: Model Averaging, Model Specification and Model Risk
Research Workshop
As: Coordinator
2008
March
14
2nd One-day Conference on Professional Asset Management
Conference
As: Coordinator
2007
November
22
Workshop "Modeling and Managing Risk"
Research Workshop
As: Speaker, Coordinator
2007
March
09
One-day Conference on Professional Asset Management
Conference
As: Speaker
2006
October
24
Workshop "Current Developments in Hedge Fund Research"
Research Workshop
As: Speaker, Coordinator

Address

Visiting address

Office: Mandeville Building T08-29
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Latest publication

Article

Baquero, G., & Verbeek, M. (2022). Hedge Fund Flows and Performance Streaks: How Investors Weigh Information. Management Science, 68(6), 4151-4172. https://doi.org/10.1287/mnsc.2021.4067, https://doi.org/10.1287/mnsc.2021.4067