Prof.dr. Frans de Roon

Prof.dr. Frans de Roon

Full Professor
Expert areas: Finance (Asset Pricing, Capital Markets, Corporate Finance, Finance Theory, Financial Analysis, Financial Derivatives, Financial Engineering, Financial Institutions, Financial Management, Financial Planning, International Finance, Investment Management, Investments, Personal Financial Planning, Risk Management)

Biography

https://www.youtube.com/watch?v=sfZZWyvT4Ao

Frans de Roon is a recognized researcher in investment analysis. He holds a PhD from Tilburg University (1997) on portfolio choice and asset pricing, for which he received the SNS Bank best-thesis award.

Currently Frans is director of the Finance Lab at TIAS Business School, where he is also the academic director of the Executive Master in Finance and Master of Business Valuation programs. Previously he held various positions, among which vice dean research at Tilburg School of Economics and Management, and member of the board of Netspar, as director partner contacts, in which role he was working closely with professionals from the pension and insurance industry.

Frans de Roon is doing research in financial markets, with a special emphasis on portfolio problems, empirical finance, commodities, emerging markets and currency markets. His research is published in leading academic journals, such as the Journal of Finance, the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis and Management Science.

He is teaching many different courses in Finance, for Ph.D-students, MBA students and executives. Apart from his teaching and research experience, Frans has broad experience in applied research projects and consultancy, in particular in Asset & Liability Management, Investments and Valuation.

Publications

  • Roon, F.A. de, & Szymanowska, M. (2012). Asset Pricing Restrictions on Predictability: Industry Returns: Frictions Matter. Management Science, (Articles in Advance, April 27 2012), 1-17.
  • Eiling, E., Gerard, B., Hillion, P, & de Roon, F.A. (2012). International Portfolio Diversifaction: Currency, Industry and Country Effects Revisited. Journal of International Money and Finance, 31(5), 1249-1278.
  • Eiling, E., Gerard, B., & Roon, F.A. (2012). Euro-zone Equity Return: Country versus Industry Effects. Review of Finance, 16(3),755-798.
  • De Jong, F., & de Roon, F.A. (2005). Time-varying Market Integration and Expected Returns in Emerging Markets. Journal of Financial Economics, 78(3), 583-613.
  • Nijman, T.E., de Roon, F.A., & Werker, B.J.M. (2001). Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets. Journal of Finance, 56, 723-744.
  • “An Anatomy of Commodity Futures Risk Premia”, The Journal of Finance, 2014, 69(1), p.453-482, with Marta Szymanowska, Theo Nijman, and Rob van den Goorbergh.
ARTICLES