
Laurens SwinkelsErasmus University Rotterdam | EUR · Erasmus School of Economics
Laurens Swinkels
PhD
About
120
Publications
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Introduction
My research is mainly in the area of pensions and investing
Additional affiliations
October 2005 - present
Publications
Publications (120)
We investigate the added value of inflation-linked bonds in an investment portfolio. Recently, several studies questioned the added value of inflation-linked bonds based on empirical analyses on developed markets. We extend the cross-section of countries with a set of nine emerging markets and conclude that for many of these countries the inclusion...
We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1,400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier emerging markets. The major benefit of using individual s...
Most of the currency literature investigates the risk and return characteristics of the currency carry trade after the collapse of the Bretton Woods system. In order to gauge the long-term currency carry premium, we extend the sample to 20 currencies over the period 1900 to 2012. We find modest Sharpe ratios in the range of 0.2-0.4 for carry tradin...
Currency carry strategies have long positions in currencies with a high interest rate and short positions in currencies with a low interest rate. Currency carry strategies have generated about 5.4 percent return per annum (Sharpe ratio: 0.57) over the period December 1996 to May 2014. However, during the recent financial crisis, the carry strategy...
The market portfolio contains important information for purposes of strategic asset allocation. One could consider it a natural benchmark for investors. The authors composed the invested global multi-asset market portfolio for 1990-2012 by estimating the market capitalization for equities, private equity, real estate, high-yield bonds, emerging-mar...
We examine the effect of COVID‐19 policies on consumer spending using bankcard transactions from Norway. Exploiting variation in COVID‐19 policies over time and across space in the four largest municipalities, we investigate the heterogeneity of policy effects in their number and type . First, we document that the number of restrictions is negative...
Purpose
To better understand the impact of choosing a carbon data provider for the estimated portfolio emissions across four asset classes. This is important, as prior literature has suggested that Environmental, Social and Governance scores across providers have low correlation.
Design/methodology/approach
The authors compare carbon data from fou...
The Sustainable Development Goals (SDGs) were introduced by the United Nations in order to encourage policies and activities that help guarantee human prosperity and sustainability. SDG frameworks produced in the finance industry are designed to provide scores that indicate how well a company aligns with each of the 17 SDGs. This scoring enables a...
To better understand the potential and limitations of the tokenization of real asset markets, empirical studies need to examine this radically new organization of financial markets. In our study, we examine the financial and economic consequences of tokenizing 58 residential rental properties in the US, particularly those in Detroit. Tokenization a...
This paper investigates how investors can integrate the Sustainable Development Goals (SDG) into government bond portfolios. First, we develop a framework that assesses if countries: (i) have good policies for the SDGs; (ii) need better access to capital in order to finance sustainable development; and (iii) respect key sustainability principles. W...
We examine the impact of excluding sin stocks on expected portfolio risk and return. Exclusions involve risk relative to the market and peers. We show how this tracking error can be translated into an equivalent loss in expected return, which is negligible at low tracking error levels, but not at higher levels. However, even modest ex ante tracking...
We compare the ownership characteristics of tobacco stocks with their peers in the same country and industry group. We find lower reported ownership for stocks in the tobacco industry, which suggests that anonymous investors are larger owners of these sin stocks. Compared to peer stocks, US and UK asset managers collectively overweight tobacco stoc...
Our study provides new evidence on asymmetric dependencies in international government bond markets, by examining bonds from developed, emerging, and frontier countries, using a quantile regression methodology. We find that the dependence structure for emerging and frontier markets significantly changes during financial crisis periods, which we sho...
We examine 24 global factor premiums across equity, bond, commodity, and currency markets via replication and out-of-sample evidence between 1800 and 2016. Replication yields ambiguous evidence within a unified testing framework that accounts for p-hacking. Out-of-sample tests reveal strong and robust presence of the large majority of global factor...
This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000–2019. We find that value, risk, and trading anomalies carry over to China A-shares. Evidence for an...
We create an annual return index for the invested global multiasset market portfolio. We use a newly constructed unique data set covering the entire market of financial investors. We analyze returns and risk from 1960 to 2017, a period during which the market portfolio realized a compounded real return in U.S. dollars of 4.45%, with a standard devi...
This paper examines the degree and structure of dependence in international government bond markets. We analyze three categories of government bond markets (developed, emerging, and frontier) in the period from 2002-2017 and test whether the structure of dependence on the global bond market is affected by the 2007-2008 global financial crisis and t...
Stocks with low return volatility have high risk-adjusted returns, which might be driven by low media attention for such stocks. Using news coverage data we formally test whether the ‘attention-grabbing’ hypothesis can explain the volatility effect for a sample of international stocks over the period 2001 to 2018. A low-volatility effect is still p...
Academics and research analysts in financial economics frequently use returns on government bonds for their empirical analyses. In the United States, government bonds are also called Treasury bonds. The Federal Reserve publishes the yield-to-maturity of Treasury bonds. However, the Treasury bond returns earned by investors are not publicly availabl...
Collectively organized pension plans must increasingly demonstrate that the risk preferences of their members are adequately reflected in the plans’ asset allocations. However, whether funds should elicit individual members’ risk preferences to achieve this goal, or whether they can rely on other indicators, such as socio-demographics, remains uncl...
Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual in...
Solvency II has one standard equity solvency capital requirement for type 1 or developed market stocks (39 per cent) and one for type 2 or emerging market stocks (49 per cent). As such, differences in financial economic risk of stock portfolios within developed or emerging markets do not influence solvency requirements. This encourages risk-seeking...
This study aims to clarify the role of FinTech digital banking start-ups in the financial industry. We examine the impact of the funding of such start-ups on the stock returns of 47 incumbent US retail banks for 2010 to 2016. To capture the importance of FinTech start-ups, we use data on both the dollar-volume of funding and number of deals. We rel...
We examine the risk and return characteristics of fundamental weighting schemes for developed, emerging, and frontier government bond markets and compare these to market-capitalization-weighted indexes. We document positive excess returns for the investment grade sample only when currency risks are not hedged, suggesting that fundamentals might be...
Purpose
The purpose of this paper is to examine the change in pension fund board diversity after self-regulation was introduced, and investigate which pension fund characteristics influence compliance with self-regulation. In addition, the authors analyze whether compliance might be achieved by tokenism.
Design/methodology/approach
The authors h...
We calculate the returns for four well-known equity return factors—market, size, value, and momentum—for each zodiac calendar year from 1927 to 2015. We find that the point estimates of average returns for each zodiac sign can be substantially different. However, when we employ statistical tests, we do not find enough evidence to reject the null hy...
Arnott et al. (2005) propose a novel investment approach, which they call fundamental indexation. The main idea behind fundamental indexation, or fundamental indexing, is to create an index in which stocks are weighted by economic fundamentals, such as book value, sales and/or earnings, instead of by market capitalisation. An important argument put...
We calculate the returns for four well-known equity factor returns, the market, size, value, and momentum, for each Zodiac calendar year from 1926 to 2015. We find that point estimates of average returns for each Zodiac sign can be substantially different. However, when we employ statistical tests, we do not find enough evidence to reject the null...
We investigate correlation dynamics and diversification properties of US dollar-denominated debt issued by governments of frontier markets. Our analysis is on the aggregate, regional, and country level, with a sample covering 29 countries over the period 2001–2013. We show that the correlation between the returns of frontier government bond markets...
Microfinance is primarily designed to have social impact. However, little is known about the financial attractiveness of investing in microfinance. Most microfinance institutions are private instead of publicly listed on a stock exchange. Hence, existing research relies on accounting-based returns to determine the diversification characteristics of...
We evaluate to what extent the geographical and industry composition of the global real economy corresponds to that of public equity markets. We find that there are substantial differences between both regional and industrial composition of the real economy and equity markets. For example, the US is relatively overrepresented when the value of publ...
The portfolio of the average investor contains important information for strategic asset allocation purposes. This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark or the optimal portfolio for the average investor. We determine the market values of equities, private equity, rea...
Many factors play a part when comparing different pension schemes. Myths and misperceptions cloud the discussion whether employers or employees are better off with a defined benefit (DB), defined contribution (DC) or a hybrid scheme. We notice that, especially among proponents of DB schemes, some persistent misconceptions about DC schemes persist....
There is overwhelming empirical evidence on the existence of country and industry momentum effects. This line of research suggests that investors who buy countries and industries with relatively high past returns and sell countries and industries with relatively low past returns will earn positive risk-adjusted returns. These studies focus on count...
In this article, we investigate the level of diversity of the largest 100 pension funds in the Netherlands. Our results indicate that pension fund boards mainly consist of males close to retirement. We compare pension fund board diversity in the Netherlands with diversity in (inter)national corporations and find similar levels of diversity. This hi...
In this article, we provide empirical evidence of an important economic consequence after major changes in accounting standards. More precisely, we document that several companies have switched their pension scheme from a traditional defined benefit (db) scheme to a defined contribution (dc) scheme. In many cases, the annual reports of the pension...
In the Netherlands, listed companies and their pension funds have to apply the principle of fair value accounting with respect to valuation of pension liabilities for their financial statements. Both entities have to implement fair value accounting somewhat differently, as companies have to apply IFRS (IAS 19) and pension funds are required to foll...
We investigate the construction of well-diversified high-conviction equity portfolios using the Portfolio Diversification Index (PDI). This paper is the first to investigate the out-of-sample properties of the PDI. Our research applies a novel portfolio selection algorithm to maximize the PDI of a portfolio of stocks in the S&P 500 Index over the p...
Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once transaction costs are taken into account. We show that the impact of transaction costs on the strategies' profitability can largely be attributed to excessively trading in small cap stocks. Limiting the stock universe to large cap st...
This paper studies the interaction of the five most well-established calendar effects: the Halloween effect, January effect, turn-of-the-month effect, weekend effect and holiday effect. We find that Halloween and turn-of-the month (TOM) are the strongest effects fully diminishing the other three effects to zero. The equity premium over the sample 1...
Previous published studies document price differences between principal and coupon strips although both securities promise identical cash flows at maturity. This paper gauges the economic significance of this apparent anomaly and investigates if holders of the higher-priced strips can exploit the observed price differences by switching to lower-pri...
Het principe fair value met betrekking tot de waardering van pensioenverplichtingen is hetzelfde in de verslaggevingsstandaarden voor ondernemingen en die voor pensioenfondsen. De uitwerking van dit principe verschilt echter door de gemaakte keuze van de rekenrente die de doelstellingen van beide jaarverslagen dient te weerspiegelen. Tot vorig jaar...
We investigate the construction of well-diversified high-conviction equity portfolios, building on Rudin and Morgan (2006) who introduced the Portfolio Diversification Index (PDI) as a new measure of portfolio diversification applied to long/short equity hedge funds in an in-sample period. We are the first to investigate the out-of-sample propertie...
This paper examines the ability of balanced pension plan managers to successfully time the equity and bond market and select the appropriate assets within these markets. In order to evaluate both market timing abilities in these balanced pension plans, we extend the traditional equity market timing models to also account for bond market timing. As...
European index funds and exchange-traded funds underperform their benchmarks by 50 to 150 basis points per annum. The explanatory power of dividend withholding taxes as a determinant of this underperformance is at least at par with fund expenses. Dividend taxes also explain performance differences between funds that track different benchmarks and t...
Purpose – The purpose of this paper is to empirically assess the investment performance of mutual fund managers who operate in the Polish market. Design/methodology/approach – The paper uses monthly mutual fund returns over the period 20002007 to investigate the manager's selectivity and market timing skills. It analyzes three investment mutual fu...
We investigate the ability of mutual fund managers to successfully rotate between investment styles based on characteristics such as market capitalization, valuation ratios, and price momentum. We find evidence in favor of market timing among a group of 153 US-based mutual funds with a Morningstar Midcap/Blend investments style. We also find eviden...
In this paper we critically examine the novel concept of fundamental indexation. We argue that fundamental indexation is by definition nothing more than an (elegant) value strategy, because the weights of stocks in a fundamental index and a market capitalization-weighted index only differ as a result of differences in valuation ratios. Moreover, fu...
We present an asset allocation framework for pension funds in which they can take pension liability risk and uncertainty about future expected asset returns explicitly into account. This framework recognised the liability hedging properties of assets that correlate positively with changes in the market value of pension liabilities. In addition, unc...
Purpose
The purpose of this paper is to empirically assess the investment performance of mutual fund managers who operate in the Polish market.
Design/methodology/approach
The paper uses monthly mutual fund returns over the period 2000‐2007 to investigate the manager's selectivity and market timing skills. It analyzes three investment mutual fund...