Roy Kouwenberg, Ph.D., CFA
Specializations: Quantitative and empirical finance
Research Area: Finance
Dr. Roy’s research area is quantitative and empirical finance. His main focus is on behavioural portfolio choice, especially the impact of loss aversion and ambiguity aversion on stock market participation. He has also done extensive research on financial risk management, especially asset-liability management for pension funds and insurance firms. Since moving to Asia, Roy has also analyzed the corporate governance of listed firms in Asia.
Dr. Roy has published his work in the Journal of Financial Economics, Management Science, the Journal of Financial & Quantitative Analysis and the Review of Economics & Statistics, amongst others. He is an editor of the Journal of Pension Economics and Finance, published by Cambridge University Press. He has refereed articles for the Journal of Finance, Review of Financial Studies, American Economic Review, Econometrica, and many other leading academic journals.
Working papers: Available at SSRN: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=215893
- Roy Kouwenberg, Agnieszka Markiewicz, Ralph Verhoeks and Remco Zwinkels (2016), Model Uncertainty and Exchange Rate Forecasting, Journal of Financial and Quantitative Analysis, forthcoming.
- Roy Kouwenberg and Pipat Thontirawong (2016), Group affiliation and earnings management of Asian IPO issuers, Review of Quantitative Finance and Accounting, forthcoming.
- Stephen Dimmock, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg (2016), Ambiguity Aversion and Household Portfolio Choice Puzzles: Empirical Evidence, Journal of Financial Economics, vol. 119(3), p. 559-577.
- Stephen Dimmock, Roy Kouwenberg and Peter Wakker (2016), Ambiguity Attitudes in a Large Representative Sample, Management Science, vol. 62(5), 1363-1380.
- Stephen Dimmock, Roy Kouwenberg, Olivia S. Mitchell and Kim Peijnenburg (2015), Estimating Ambiguity Preferences and Perceptions in Multiple Prior Models: Evidence from the Field, Journal of Risk and Uncertainty, vol. 51(3), p. 219-244.
- Antonia Grohman, Roy Kouwenberg and Lukas Menkhoff (2015), Childhood Roots of Financial Literacy, Journal of Economic Psychology, vol. 51, 114-133.
- Roy Kouwenberg and Remco Zwinkels (2015), Endogenous Price Bubbles in a Multi-Agent System of the Housing Market, PLoS One, vol. 10(6): e0129070.
- Roy Kouwenberg and Remco Zwinkels (2014), Forecasting the U.S. Housing Market, International Journal of Forecasting, vol. 30(3), p. 415-425.
- Roy Kouwenberg, Roelof Salomons and Pipat Thontirawong (2013), Corporate Governance and Stock Returns in Asia, Quantitative Finance, vol. 14(6), p. 965-976.
- Phornchanok Cumperayot and Roy Kouwenberg (2013), Early Warning Systems for Currency Crises: A Multivariate Extreme Value Approach, Journal of International Money and Finance, vol. 36, p. 151-171.
- Roy Kouwenberg and Visit Phunnarungsi (2013), Corporate Governance, Violations and Market Reactions, Pacific Basin Finance Journal, vol. 21(1), p. 881-898.
- Stephen Dimmock and Roy Kouwenberg (2010), Loss-Aversion and Household Portfolio Choice, Journal of Empirical Finance, vol. 17(3), p. 441-459.
- Nasha Ananchotikul, Roy Kouwenberg and Visit Phunnarungsi (2010), Do Firms Decouple Corporate Governance Policy and Practice?, European Financial Management, vol. 16(5), p. 712-737.
- Arjan Berkelaar and Roy Kouwenberg (2010), A Liability-Relative Drawdown Approach to Pension Asset Liability Management, Journal of Asset Management, vol. 11, p. 194-217.
- Arjan Berkelaar and Roy Kouwenberg (2009), From Boom ‘til Bust: How Loss Aversion Affects Asset Prices, Journal of Banking and Finance, vol. 33, 1005-1013.
- Roy Kouwenberg and Bill Ziemba (2007), Incentives and Risk Taking in Hedge Funds, Journal of Banking and Finance, vol. 31, 3291-3310.
- Phornchanok Cumperayot, Tjeert Keijzer and Roy Kouwenberg (2006), Linkages between Extreme Stock Market and Currency Returns, Journal of International Money & Finance, vol. 84, 973-987.
- Arjan Berkelaar, Roy Kouwenberg and Thierry Post (2004), Optimal Portfolio Choice under Loss Aversion, Review of Economics & Statistics, vol. 84, 973-987.
- Roy Kouwenberg (2003), Do Hedge Funds Add Value to a Passive Portfolio: Correcting for Non-Normal Returns and Disappearing Funds, Journal of Asset Management, vol 3/4, 361-382.
- Arjan Berkelaar and Roy Kouwenberg (2003), Retirement Saving with Contribution Payments and Labor Income as a Benchmark for Investments, Journal of Economic Dynamics & Control, vol. 27/6, 1069-1097.
- Jacek Gondzio, Roy Kouwenberg and Ton Vorst (2003), Hedging Options under Transaction Costs and Stochastic Volatility, Journal of Economic Dynamics & Control, vol. 27/6, 1045-1068.
- Arjan Berkelaar, Phornchanok Cumperayot and Roy Kouwenberg (2002), The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile, European Financial Management, vol. 8, 139-164. Reprinted in the proceedings of the Third Joint Central Bank Research Conference on Risk, Bank for International Settlements (BIS)
- Jacek Gondzio and Roy Kouwenberg (2001), High Performance Computing for Asset Liability Management, Operations Research, vol. 49, 879-891.
- Roy Kouwenberg (2001), Scenario Generation and Stochastic Programming Models for Asset Liability Management, European Journal of Operational Research, vol. 134, 51-64.
- Monique Donders, Roy Kouwenberg and Ton Vorst (2000), Options and Earnings Announcements: an Empirical Study of Volatility, Trading Volume, Open Interest and Liquidity, European Financial Management, vol. 6 (2), 149-171.
- Mark Schouten, Roy Kouwenberg and Albert Mentink (2009), Hedging Inflation-Linked Pension Liabilities under Solvency II, in Marcelo Cruz (ed.), The Solvency II Handbook: Developing Enterprise Risk Management Frameworks in Insurance and Reinsurance Companies, Risk Books, ISBN: 978-1-906348-19-9, 579-603.
- Roy Kouwenberg, Albert Mentink, Mark Schouten and Robin Sonnenberg (2009), Estimating Value-at-Risk of Institutional Portfolios with Alternative Asset Classes, in Greg N. Gregoriou (ed.), The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management, McGraw Hill, 3-31.
- Arjan Berkelaar, Adam Kobor and Roy Kouwenberg (2009), Asset Allocation For Hedge Fund Strategies, in Greg N. Gregoriou (ed.), The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management, McGraw Hill, 33-54.
- Roy Kouwenberg and Stavros Zenios (2006), Stochastic Programming Models for Asset Liability Management, in Stavros Zenios and Bill Ziemba (ed.),Handbook of Asset and Liability Management, in the series Handbooks in Finance, Elsevier Publishers, 253-303.
- Arjan Berkelaar, Adam Kobor and Roy Kouwenberg (2006), Advanced Risk Budgeting Techniques, in Michael Ong (ed.), Risk Management: A Modern Perspective, Elsevier Publishers, 89-111.
- Roy Kouwenberg and Albert Mentink (2006), Links between West, Central and East European Security Markets, in Jonathan A. Batten and Colm Kearney (ed.), Emerging European Financial Markets, volume 6 in the series International Finance Review, Elsevier Publishers, 353-381.
- Roy Kouwenberg (1997), Asset Liability Management for Pension Funds: Elements of Dert's Model, in C. Zopounidis (ed.), New Operational Approaches for Financial Modelling, Springer Verlag: Heidelberg, 37-48
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