Joost Driessen

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Frank de JongProfessor of FinanceVerified email at tilburguniversity.edu
Pascal MaenhoutINSEADVerified email at insead.edu
Tse-Chun LinUniversity of Hong KongVerified email at hku.hk
K. J. Martijn CremersProfessor of Finance, University of Notre DameVerified email at nd.edu
Dion BongaertsAssociate professor of Finance, RSM, Erasmus UniversityVerified email at rsm.nl
Ludovic PhalippouUniversity of Oxford Said Business SchoolVerified email at sbs.ox.ac.uk
Bertrand MelenbergTilburg UniversityVerified email at tilburguniversity.edu
Luc LaevenEuropean Central BankVerified email at ecb.europa.eu
Antoon PelsserProfessor of Finance and Actuarial Science, Maastricht UniversityVerified email at maastrichtuniversity.nl
Grigory VilkovFrankfurt School of Finance and ManagementVerified email at vilkov.net
David WeinbaumSyracuse UniversityVerified email at syr.edu
Lieven BaeleProfessor of Finance, Tilburg UniversityVerified email at tilburguniversity.edu
Sebastian EbertProfessor of Economics, University of HeidelbergVerified email at awi.uni-heidelberg.de
Patrick TuijpHead of Global Clients Scenarios & Asset Valuation, Ortec FinanceVerified email at uva.nl
enrico perottiAmsterdamVerified email at uva.nl
Ole WilmsUniversität HamburgVerified email at uni-hamburg.de
Anthony NeubergerProfessor of Finance, Cass Business School, City University of LondonVerified email at city.ac.uk
Rik FrehenTilburg UniversityVerified email at uvt.nl
Ricardo BarahonaBanco de EspañaVerified email at bde.es
Jeroen van ZundertCubist Systematic StrategiesVerified email at jeroenvanzundert.nl

Joost Driessen

Professor of Finance, Tilburg University

Verified email at uvt.nl - Homepage

finance - asset pricing - credit risk - derivatives


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Is default event risk priced in corporate bonds? J Driessen Review of Financial Studies 18 (1), 165-195, 2005	816	2005
The price of correlation risk: Evidence from equity options J Driessen, PJ Maenhout, G Vilkov The Journal of Finance 64 (3), 1377-1406, 2009	515	2009
Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market D Bongaerts, F De Jong, J Driessen The Journal of Finance 66 (1), 203-240, 2011	447	2011
International portfolio diversification benefits: Cross-country evidence from a local perspective J Driessen, L Laeven Journal of Banking & Finance 31 (6), 1693-1712, 2007	443	2007
Individual stock-option prices and credit spreads M Cremers, J Driessen, P Maenhout, D Weinbaum Journal of Banking & Finance 32 (12), 2706-2715, 2008	372	2008
Liquidity risk premia in corporate bond markets F De Jong, J Driessen The Quarterly Journal of Finance 2 (02), 2012	350*	2012
Explaining the level of credit spreads: Option-implied jump risk premia in a firm value model KJM Cremers, J Driessen, P Maenhout Review of Financial Studies 21 (5), 2209-2242, 2008	297	2008
A new method to estimate risk and return of nontraded assets from cash flows: the case of private equity funds J Driessen, TC Lin, L Phalippou Journal of Financial and Quantitative Analysis 47 (03), 511-535, 2012	285	2012
An empirical portfolio perspective on option pricing anomalies J Driessen, P Maenhout Review of Finance 11 (4), 561-603, 2007	209*	2007
Option-implied correlations and the price of correlation risk J Driessen, P Maenhout, G Vilkov EFA 2005 Moscow Meetings, December, 2006	174*	2006
Does skin in the game matter? Director incentives and governance in the mutual fund industry M Cremers, J Driessen, P Maenhout, D Weinbaum Journal of Financial and Quantitative Analysis 44 (6), 1345, 2009	171	2009
Common factors in international bond returns J Driessen, B Melenberg, T Nijman Journal of International Money and Finance 22 (5), 629-656, 2003	156	2003
An asset pricing approach to liquidity effects in corporate bond markets D Bongaerts, F de Jong, J Driessen The Review of Financial Studies 30 (4), 1229-1269, 2017	147*	2017
The performance of multi-factor term structure models for pricing and hedging caps and swaptions J Driessen, P Klaassen, B Melenberg Journal of Financial and Quantitative Analysis 38 (3), 635-672, 2003	138	2003
Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis F De Jong, J Driessen, A Pelsser European Finance Review 5 (3), 201-237, 2001	91*	2001
How the 52-week high and low affect option-implied volatilities and stock return moments J Driessen, TC Lin, O Van Hemert Review of Finance 17 (1), 369-401, 2013	77	2013
Cumulative prospect theory, option returns, and the variance premium L Baele, J Driessen, S Ebert, JM Londono, OG Spalt The Review of Financial Studies 32 (9), 3667-3723, 2019	73*	2019
The world price of jump and volatility risk J Driessen, P Maenhout Journal of Banking & Finance, 2012	69*	2012
Pricing liquidity risk with heterogeneous investment horizons A Beber, J Driessen, A Neuberger, P Tuijp Journal of Financial and Quantitative Analysis 56 (2), 373-408, 2021	53*	2021
Hedging house price risk: Portfolio choice with housing futures F De Jong, J Driessen, O Van Hemert Available at SSRN 740364, 2008	53	2008

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