
Koen InghelbrechtGhent University | UGhent · Department of Financial Economics
Koen Inghelbrecht
PhD in Economics
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46
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Introduction
I am Assistant Professor at the Faculty of Economics and Business Administration, Department of Financial Economics, Ghent University.
My research interests are: Empirical Asset Pricing, Time-varying Volatility and Correlation Modelling, Global Asset Allocation, International Diversification Strategies, Investment Performance Evaluation (Stock Picking), Behaviour of Individual Investors, Linking Macro and Financial Models
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Publications
Publications (46)
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On average, FTS days comprise less than 5% of the sample, and bo...
We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and 1990, respectively. However, we also identify multiple...
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aver...
Bekaert et al. (2005) define contagion as “correlation over and above what one would expect from economic fundamentals”. Based on a two-factor asset pricing specification to model fundamentally-driven linkages between markets, they define contagion as correlation among the model residuals, and develop a corresponding test procedure. In this paper,...
This paper investigates the impact of globalization and integration on the relative benefits of country and industry diversification. Unlike previous models, our factor model allows asset exposures and volatilities to vary with both structural changes and temporary fluctuations in the economic and financial environment. First, we find that globaliz...
We document the asset-pricing implications of the model-free option-implied dependence (MFID), a measure that exhibits information on linear and non-linear dependence between random variables. We show that stocks with high exposure to MFID generate significantly higher risk-adjusted returns in bad times. This finding is robust when we condition on...
We empirically test the prediction of Pástor et al. (2021) that green firms outperform brown firms when concerns about climate change increase unexpectedly, using data for S&P 500 companies from January 2010 to June 2018. To capture unexpected increases in climate change concerns, we construct a daily Media Climate Change Concerns index using news...
We empirically test the prediction of Pastor, Stambaugh, and Taylor (2021) that green firms outperform brown firms when concerns about climate change increase unexpectedly, using data for S&P 500 companies from January 2010 to June 2018. To capture unexpected increases in climate change concerns, we construct a daily Media Climate Change Concerns i...
Hoe eigenaar blijven van de eigen woning en toch de waarde van de woning gebruiken om grote kosten te financieren, een aanvullend pensioeninkomen te genieten of een schenking te doen aan de (klein)kinderen? Dat kan via het omgekeerd hypothecair krediet, op voorwaarde dat de Belgische wetgever werk maakt van een wettelijk kader. Via een omgekeerd hy...
We document the asset-pricing implications of the model-free option-implied dependence (MFID), a measure that exhibits information on linear and non-linear dependence between random variables. We show that stocks with high exposure to MFID generate significantly higher risk-adjusted returns in bad times. This finding is robust when we condition on...
We identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample and are associated with a 2.7% average bond-equity return differential and significant flows out of equity funds and into government bond and money market funds. FTS repres...
Applying event study methodology on the US stock market, we show that investors rely more on credit ratings for banks relative to non-financials and attribute this to bank opacity. This effect is even reinforced during the financial crisis as bank opacity generally increases during stress periods. Next, we show that the stress tests introduced by t...
Using a novel brokerage dataset covering individual investors’ login and stock trading behavior, we investigate the severity of the disposition effect as a function of attention. Our results show that more attentive investors trade less in line with the disposition effect, suggesting a comparative advantage in incorporating information into financi...
We provide evidence on a new anomaly in the stock market. We show that stock prices are very robustly correlated to firm value in a cross-sectional framework. We interpret this result as evidence that investors' valuations are biased by a specific version of the availability heuristic, by which investors wrongly interpret the easily available infor...
Using a novel brokerage dataset covering individual investors’ login and stock trading behavior, we investigate the severity of the disposition effect as a function of attention. Our results show that more attentive investors trade less in line with the disposition effect, suggesting a comparative advantage in incorporating information into financi...
Islamic equity index investors are relatively under-diversified since they are subject to religious constraints. From this perspective, it is important to verify whether alternative markets could reduce their market exposure to risk and provide diversification opportunities. The commodity market is a natural choice since spot trading is permissible...
This paper investigates whether commodities offer potential diversification benefits for Islamic equity index investors in light of possible financialization of commodity markets. Using MGARCH-DCC and Wavelet Coherence analyses, our findings reveal that correlations between commodity markets and the Dow Jones Islamic Market World Index are time-var...
We introduce a novel method (based on Illing et al. (2006) and popularized by Hollo et al. (2012) through the CISS measure) to aggregate different groups of liquidity measures (percent-cost proxies, cost-per-volume proxies, etc.), in order to accommodate for the ‘different dimensions of liquidity’ (Amihud et al., 2005) through a single ‘unified’ ma...
Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not global. FTS episodes coincide with increases in the VIX and...
We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and 1990, respectively. However, we also identify multiple...
The literature examining mutual fund performance is vast and researchers have studied the performance of professional money managers extensively, but there is still an ongoing debate whether or not mutual fund managers have stock picking skills. This article investigates the profitability of institutional trades using a unique dataset comprising th...
Literature reveals that many investors rely on technical trading rules when making investment decisions. If stock markets are efficient, one cannot achieve superior results by using these trading rules. However, if market inefficiencies are present, profitable opportunities may arise. The aim of this study is to investigate the effectiveness of tec...
We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. We identify accommodating monetary policy before 1980, with activist monetary policy prevailing most but not 100% of the time thereaf...
We investigate the valuation and the pricing of initial public offerings (IPOs) by investment banks for a unique dataset of 49 IPOs on Euronext Brussels in the 1993–2001 period. We find that for each IPO several valuation methods are used, of which Discounted Free Cash Flow (DFCF) is the most popular. The offer price is mainly based on DFCF valuati...
This paper investigates the impact of globalization and integration on the relative benefits of country and industry diversification. Unlike previous models, our factor model allows asset exposures to vary with both structural changes and temporary fluctuations in the economic and financial environment. First, we find that globalization and integra...
This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of financial activities and their ability to withstand a banking sector crash. We first generate market-based measures of banks’ systemic risk exposures using extreme value analysis. Systemic banking risk is measured as the tail be...
As the saying goes: "Never put all your eggs in one basket". This old adage has become one of the cornerstones of modern portfolio theory, where it is expressed by one single word: Diversify! Indeed, investors can greatly reduce the riskiness of their portfolios by diversifying their holdings across poorly correlated assets. As a consequence, the d...
Recent evidence suggests that the gains from industry diversification may now be at the same or even at higher level than from country diversi-fication. We first investigate whether this conclusion still holds when the dummy variable model of Heston and Rouwenhorst (1994) and Campbell et al. (2001) is extended as to allow for time-varying sensitivi...
The US economy is arguably following an unsustainable trajectory. The main indicators of this are a large current account deficit, a large federal budget deficit and trend-wise increasing costs of Social Security and Medicare. In this chapter, we will discuss these observations and to what extent the financial and economic crisis may have changed t...
In this paper, pre-IPO value estimations by the lead underwriting investment bank of Belgian IPO stocks are compared to the offer price and the stock price in the first month of listing. The valuation methods used by the lead underwriter and the estimated values are often discussed in Belgian IPO-prospectuses. For 33 IPOs in the 1993-2000 period, w...