Jenke Ter Horst

Jenke Ter Horst
Tilburg University | UVT · Tias Business School

Professor in Finance

About

61
Publications
32,433
Reads
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3,129
Citations
Citations since 2016
1 Research Item
1699 Citations
2016201720182019202020212022050100150200250
2016201720182019202020212022050100150200250
2016201720182019202020212022050100150200250
2016201720182019202020212022050100150200250
Additional affiliations
September 2013 - present
Tilburg University
Position
  • Vice Dean of Education
January 2010 - June 2013
Tilburg University
Position
  • Vice Dean of Education

Publications

Publications (61)
Article
We study the economic significance of social dimensions in investment decisions by analyzing the holdings of U.S. equity mutual funds over the period 2004-2012. Using these holdings, we measure funds' exposures to socially sensitive stocks in order to answer two questions. What explains cross-sectional variation in mutual funds' exposure to controv...
Article
A significant number of institutional investors publicly state the belief that corporate stakeholder relations are associated with firm value in a manner that the financial market fails to understand. We investigate whether stakeholder information predicted risk-adjusted returns due to errors in investors’ expectations and ultimately ceased to do s...
Article
Little is known about how different bonus schemes affect traders’ propensity to trade and which bonus schemes improve traders’ performance. We study the effects of linear versus threshold (convex) bonus schemes on traders’ behavior. Traders purchase and sell shares in an experimental stock market on the basis of fundamental and technical informatio...
Article
A positive relation between confidence and effort/investment provision has been theoretically justified and practically assumed in the literature, but has not been thoroughly investigated. We test and confirm this positive relation between direct measures of confidence and choice of effort or investment. More precisely, strong overconfidence result...
Article
: Little is known about how different bonus schemes affect traders’ propensity to trade and which bonus schemes improve traders’ performance. We study the effects of linear versus threshold (convex) bonus schemes on traders’ behavior. Traders purchase and sell shares in an experimental stock market on the basis of fundamental and technical informat...
Article
This chapter studies the money flows into and out of socially responsible investment (SRI) funds around the world. In their investment decisions, investors in SRI funds may be more concerned with ethical or social issues than with fund performance. Therefore, SRI money flows are less related to past fund returns. Ethical money is less sensitive to...
Article
We study market timing and pecking order in a sample of debt and equity issues and share repurchases of Canadian firms from 1998 to 2007. We find that only when firms are not financially constrained is there evidence that firms issue (repurchase) equity when their shares are overvalued (undervalued) and evidence that overvalued issuers earn lower p...
Article
This paper examines whether investors chase hedge fund investment styles. We find that better-performing and more popular styles are rewarded with higher inflows in subsequent periods. This indicates that investors compare hedge fund styles in terms of recent performance and popularity, and they subsequently reallocate funds from less successful to...
Article
This paper examines whether investors chase hedge fund investment styles. We find that better-performing and more popular styles are rewarded with higher inflows in subsequent periods. This indicates that investors compare hedge fund styles in terms of recent performance and popularity, and they subsequently reallocate funds from less successful to...
Article
A significant number of institutional investors publicly state the belief that corporate stakeholder relations are associated with firm value in a manner that the financial market fails to understand. We investigate whether stakeholder information predicted risk-adjusted returns due to errors in investors’ expectations and ultimately ceased to do s...
Article
(January 2004), and seminar and workshop participants at Tilburg University for helpful comments The question regarding the deviation of the values of assets from their fundamental levels has gained a lot of interest in the financial literature. The recent increase in the global demand for derivatives has shifted the attention from common stocks to...
Article
In this paper we analyze the performance of internationally investing U.S.based mutual funds, correcting for market frictions such as short sell constraints and transaction costs using a variety of performance measures. We …rst of all show that for a number of funds Jensen’s®is signi…cantly positive if market frictions are ignored. Subsequently we...
Article
We study the money flows into and out of socially responsible investment (SRI) funds around the world. In their investment decisions, investors in SRI funds may be more concerned with ethical or social issues than with fund performance. Therefore, SRI money flows are less related to past fund returns. Ethical money is less sensitive to past negativ...
Article
The segmentation of the socially responsible investing (SRI) movement with a values-versus-profit orientation solves the puzzling evidence that both socially responsible and controversial stocks produce superior returns. We derive that the segment of values-driven investors primarily uses “negative” screens to avoid controversial stocks, while the...
Article
We study the interaction between market timing and pecking order in the financing decision of firms. Using a sample of debt and equity issues and share repurchases of Canadian firms during 1998-2007, we find that only when firms are not financially constrained, they are more likely to issue (repurchase) equity when their shares are overvalued (unde...
Article
This paper investigates whether hedge fund of funds managers invest in single-strategy hedge funds in a random fashion. By examining the underlying single-strategy hedge funds from which a fund of funds can select, we find that single-strategy hedge funds added to the portfolio of funds of funds display some distinct characteristics: (1) they tend...
Article
A lockup period for hedge funds restricts a multi-period investor’s ability to rebalance his portfolio and has non-trivial effects on the allocation decision and portfolio efficiency. Investors compensate for a hedge fund lockup period by making adjustments to their equity and bond holdings. Adding hedge funds with a lockup period to the portfolio...
Article
A lockup period for hedge funds restricts a multi-period investor’s ability to rebalance his portfolio and has non-trivial effects on the allocation decision and portfolio efficiency. Investors compensate for a hedge fund lockup period by making adjustments to their equity and bond holdings. Adding hedge funds with a lockup period to the portfolio...
Article
Full-text available
This paper analyzes convertible arbitrage, one of the most successful hedge fund strategies. The aim of the strategy is to exploit underpricing of convertible bonds by taking a long position in a convertible and a short position in the underlying asset. The authors find that convertible bonds are underpriced at the issuance dates; at the same time,...
Article
We study the pricing of reverse convertible (RC) bonds. These are bonds that carry high coupon payments. In exchange, the issuer has an option at the maturity date to either redeem the bonds in cash, or to deliver a pre-specified number of shares. We find that Dutch plain vanilla and knock-in reverse convertible bonds are, on average, overpriced by...
Article
Little is known about how the decisions of mutual fund investors are influenced by investment attributes unrelated to financial performance. Therefore, this paper studies the money-flows into and out of SRI funds around the world. Investors in socially responsible investment (SRI) funds may care more about social or ethical issues in their investme...
Article
This paper provides a critical review of the literature on socially responsible investments (SRI). Particular to SRI is that both financial goals and social objectives are pursued. Over the past decade, SRI has experienced an explosive growth around the world reflecting the increasing awareness of investors to social, environmental, ethical and cor...
Article
To identify issuer motives, we study the determinants of announcement effects of convertible debt issues in the Canadian market. Classified into equity- and debt-like, wealth effects are significantly more negative for equity-like convertible bond issuers. Equity-like convertibles are significantly negatively affected by agency costs of equity. How...
Article
Since 1998, large investment banks have become active as issuers of options, generally referred to as call warrants or bank-issued options. This has led to an interesting situation in the Netherlands, where simultaneously call warrants are traded on the stock exchange, and long-term call options are traded on the options exchange. Both entitle thei...
Article
Do investors pay a price for investing in socially responsible investments (SRI) funds, or do they obtain superior returns? This paper investigates these under- and overperformance hypotheses for all SRI funds across the world. Consistent with investors paying a price for ethics, SRI funds in the US, the UK, and in many continental European and Asi...
Article
This paper surveys the literature on socially responsible investments (SRI). Over the past decade, SRI has experienced an explosive growth around the world. Particular to the SRI funds is that both financial goals and social objectives are pursued. While corporate social responsibility (CSR) - defined as good corporate governance, sound environment...
Article
Assessing the price evolution of houses on the basis of average sales prices, as is current practice in Belgium, might be misleading due to changing characteristics of the houses sold in the periods observed. A hedonic index which takes into account changes in characteristics is more appropriate. We use the budget surveys of the Belgian Statistical...
Article
This paper estimates the price of ethics by studying the risk-return relation in socially responsible investment (SRI) funds. Consistent with investors paying a price for ethics, SRI funds in many European and Asia-Pacific countries strongly underperform domestic benchmark portfolios by about 5% per annum, although UK and US SRI funds do not signif...
Article
Full-text available
In dit artikel wordt ingegaan op een aantal belangrijke internationale aspecten van goed ondernemingsbestuur. Voor acht onderwerpen die de kern van de corporate governance discussie vormen, wordt – aan de hand van corporate governance indices en jaarverslagenonderzoek – de Nederlandse corporate governance vergeleken met die van vier landen met grot...
Article
This paper studies the economic effects of ethics by focusing on socially responsible investment (SRI) funds. Consistent with investors paying a price for ethics, SRI funds in many European and Asia-Pacific countries strongly underperform domestic benchmark portfolios by about 5% per annum. SRI investors are unable to identify the funds that will o...
Article
Full-text available
This paper analyzes convertible bond arbitrage on the Canadian market for the period 1998 to 2004. Convertible bond arbitrage is the combination of a long position in convertible bonds and a short position in the underlying stocks. Convertible arbitrage has been one of the most successful strategies of hedge funds. This paper shows that the convert...
Article
Little is known about how investors select socially responsible investment (SRI) funds. Investors in SRI funds may care more about social or ethical issues in their investment decisions than about fund performance. This paper studies the money-flows into and out of the SRI funds around the world. We find that ethical money chases past returns. In c...
Article
We examine the wealth effects associated with the announcements of convertible debt offerings in the Canadian market for the period between 1991 and 2004. The average wealth effect for the three day event window is a significantly negative -2.7%. This result is in line with previous studies on other Anglo-Saxon markets, but it is different from oth...
Article
Full-text available
We study convertible bond arbitrage for the Canadian market. Convertible bond arbitrage is the combination of a long position in underpriced convertible bonds and a short position in the underlying stock. First, we find a downward pressure on cumulative average abnormal returns of the underlying stocks between the announcement and the issuance date...
Article
The literature on the motives for the issuance of convertible debt is reviewed. This literature shows a large discrepancy between theory and practice. Surveys show that managers base their motives for the use of convertible debt on factors that are irrational according to the theoretical literature. This theoretical literature in turn offers a numb...
Article
We study the pricing of reverse convertible bonds. These are bonds that carry high coupon payments. In exchange, the issuer has an option at the maturity date to either redeem the bonds in cash, or to deliver a pre-specified number of shares. We find, on average, a significant overpricing of 23%. This overpricing is confirmed in a model-free analys...
Article
Full-text available
De populariteit van hedgefondsen is aan het einde van de jaren negentig sterk toegenomen. De voornaamste reden hiervoor is dat hedgefondsen zowel in stijgende als dalende markten een positief rendement proberen te realiseren. Dit geeft interessante diversificatiemogelijkheden voor bijvoorbeeld pensioenfondsen, die het risico van hun bestaande beleg...
Article
Full-text available
A wide range of empirical biases hampers hedge fund databases. In this paper we focus upon survival-related biases and disentangle look-ahead biases due to self-selection of funds and due to fund termination. Self-selection arises because funds voluntarily report their information to data vendors and may decide to stop doing so. By extending existi...
Article
In this paper we analyze the use and implications of (return-based) style analysis. First, style analysis may be used to estimate the relevant factor exposures of a fund. We use a simple simulation experiment to show that imposing portfolio and positivity constraints in style analysis leads to significant efficiency gains if the factor loadings are...
Article
We propose a new adjustment in mean-variance portfolio weights to incorporate the uncertainty caused by the fact that, in general, one has to use estimated expected returns when determining optimal portfolios. The adjustment amounts to using a higher pseudo risk-aversion rather than the actual risk-aversion and has a straightforward interpretation....
Article
Full-text available
Hedge funds databases are typically subject to high attrition rates because of fund termination and self-selection. Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases a.ect standard estimates of performance persistence. In this paper we analyze the persistence in the performance o...
Article
Full-text available
Performance persistence studies typically suffer from selection biases. As recently shown by Carhart [1997b] and Carpenter and Lynch [1998], standard methods of analysis on a survivorship free dataset still suffer from look-ahead bias. In this paper we show how one can easily correct for look-ahead bias using weights based on probit regx'essions.
Article
Hedge funds databases are typically subject to high attrition rates because of fund termination and self-selection. Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases affect standard estimates of performance persistence. In this paper we analyze the persistence in the performance...
Article
Since 1998, large investment banks have flooded the European capital markets with issues of call warrants. This has led to a unique situation in the Netherlands, where now call warrants, traded on the stock exchange, and long-term call options, traded on the options exchange, exist. Both entitle their holders to buy shares of common stock. We use t...
Article
Performance persistence studies typically suffer from ex-post conditioning biases. As stressed by Carhart [Carhart, M.M., 1997. Mutual Fund Survivorship, Working Paper, Marshall School of Business, U.S.C.] and Carpenter and Lynch [J. Financ. Econ. 54 (1999) 337.], standard methods of analysis on a survivorship free sample are subject to look-ahead...
Article
Full-text available
We propose an adjustement in mean-variance portfolio weights to incorporate uncertainty caused by the fact that we have to esti-mate expected returns. The adjustment amounts to using a higher pseudo risk-aversion rather than the actual risk-aversion. The dif-ference between the actual and the pseudo risk-aversion depends on the sample size, the num...
Article
This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and t...
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Full-text available
The paper decomposes GDP both in terms of level per capita and growth rate, so as to identify the sources of income differences and of economic growth for all EU27 member states. This accounting approach has multiple advantages, although a number of substantial caveats should be borne in mind when interpreting the results. In particular, the detail...
Article
Full-text available
De povere prestaties van beleggingsfondsen De prestaties van beleggingsfondsen kunnen niet simpel worden afgelezen aan hun rendementen. Er moet rekening gehouden worden met de bewuste keuze van een beleggingsstijl. Als dit gebeurt, blijken de rendementen van tien grote fondsen zoals ABN Amro Aandelen, ING Dutch en Robeco de particuliere belegger ge...
Article
Full-text available
In this paper we show how style analysis of mutual funds can be used to circumvent the problem of self-reported investment styles, and to improve relative performance evaluation. Subsequently, we relate style analysis to performance evaluation and present results on the performance of Dutch mutual funds. Most strinkingly, Dutch mutual funds that ma...
Article
Full-text available
Poor performing mutual funds are less likely to be observed in the data sets that are typically available. This so-called survivor problem can induce a substantial bias in measures of the performance of the funds and the persistence of this performance. Many studies have recently argued that survivorship bias can be avoided by analyzing a sample th...
Article
Many different motivations for investing in mutual funds have been provided in the literature, including the claim that managers of mutual funds have special abilities that can be used to outperform the market. Testing of the validity of these claims is complicated by two facts. First, the expected returns on mutual funds show cross-sectional as we...
Article
We propose an adjustment in choosing efficient mean-variance portfolio weights that incorporates uncertainty caused by the fact that one has to rely on estimated expected returns instead of actual ones. Our adjustment follows from a classical decision theoretic argument and amounts to using a pseudo risk-aversion parameter which is higher than the...

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