Details about Bart Frijns

Access statistics for papers by Bart Frijns.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: pfr176

Working Papers

2024

1. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Working Papers, Lund University, Department of Economics (2021)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   Post-Print, HAL (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2022

2. Cultural diversity among directors and corporate social responsibility
   Post-Print, HAL View citations (6)
   See also Journal Article Cultural diversity among directors and corporate social responsibility, International Review of Financial Analysis, Elsevier (2022) View citations (4) (2022)
3. Who buys Bitcoin? The cultural determinants of Bitcoin activity
   Post-Print, HAL View citations (3)
   See also Journal Article Who buys Bitcoin? The cultural determinants of Bitcoin activity, International Review of Financial Analysis, Elsevier (2022) View citations (3) (2022)

2021

4. The effect of cultural distance between an analyst and a CEO on analysts’ earnings forecast performance
   Post-Print, HAL View citations (2)
   See also Journal Article The effect of cultural distance between an analyst and a CEO on analysts’ earnings forecast performance, Economics Letters, Elsevier (2021) View citations (2) (2021)

2019

5. Noise trading and informational efficiency
   EconStor Preprints, ZBW - Leibniz Information Centre for Economics

2018

6. The skewness of commodity futures returns
   Post-Print, HAL View citations (72)
   See also Journal Article The skewness of commodity futures returns, Journal of Banking & Finance, Elsevier (2018) View citations (71) (2018)

2017

7. Surprise and Dispersion: Informational Impact of USDA Announcements
   2017 Annual Meeting, July 30-August 1, Chicago, Illinois, Agricultural and Applied Economics Association
   See also Journal Article Surprise and dispersion: informational impact of USDA announcements, Agricultural Economics, International Association of Agricultural Economists (2019) View citations (8) (2019)

2012

8. Sentiment Trades and Option Prices
   LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
9. Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
   See also Journal Article Speed, algorithmic trading, and market quality around macroeconomic news announcements, Journal of Banking & Finance, Elsevier (2014) View citations (41) (2014)

2011

10. Cultural Values, CEO Risk Aversion and Corporate Takeovers
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg View citations (3)

2010

11. Behavioral heterogeneity in the option market
    Post-Print, HAL View citations (61)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2009) View citations (1)
    See also Journal Article Behavioral heterogeneity in the option market, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (61) (2010)
12. Modelling structural changes in the volatility process
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg
    See also Journal Article Modeling structural changes in the volatility process, Journal of Empirical Finance, Elsevier (2011) View citations (7) (2011)

2009

13. A Volatility Targeting GARCH model with Time-Varying Coefficients
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg

2007

14. Elements of Effective Insider Trading Laws
    Working Paper Series, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation
15. Insider trading laws what works and what doesn't
    Competition & Regulation Times, New Zealand Institute for the Study of Competition and Regulation

2005

16. Nonlinear dynamics in Nasdaq dealer quotes
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
    See also Journal Article Nonlinear dynamics in Nasdaq dealer quotes, Computational Statistics & Data Analysis, Elsevier (2006) View citations (5) (2006)

2004

17. Price Discovery in Tick Time
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    See also Journal Article Price discovery in tick time, Journal of Empirical Finance, Elsevier (2009) View citations (13) (2009)

2002

18. The Dynamics of Dealer Quoting Behavior
    Computing in Economics and Finance 2002, Society for Computational Economics

Journal Articles

2024

1. Board cultural diversity and firm performance under competitive pressures
   The Financial Review, 2024, 59, (1), 89-111 View citations (1)
2. Effects of option incentive compensation on corporate innovation: The case of China
   Economic Systems, 2024, 48, (1)
3. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)
4. On practitioners closed-form GARCH option pricing
   International Review of Financial Analysis, 2024, 94, (C)
5. Trade openness and income inequality: The moderating role of institutional quality
   Global Finance Journal, 2024, 60, (C) View citations (3)

2023

6. The effect of equity market uncertainty on informational efficiency: Cross-sectional evidence
   Global Finance Journal, 2023, 57, (C) View citations (1)
7. US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks
   Journal of Empirical Finance, 2023, 72, (C), 301-320 View citations (1)

2022

8. Cultural diversity among directors and corporate social responsibility
   International Review of Financial Analysis, 2022, 83, (C) View citations (4)
   See also Working Paper Cultural diversity among directors and corporate social responsibility, Post-Print (2022) View citations (6) (2022)
9. Editor's Note
   Journal of Futures Markets, 2022, 42, (1), 3-3
10. National culture and corporate risk-taking around the world
    Global Finance Journal, 2022, 52, (C) View citations (7)
11. Profit margin hedging in the New Zealand dairy farming industry
    Journal of Commodity Markets, 2022, 26, (C) View citations (3)
12. Who buys Bitcoin? The cultural determinants of Bitcoin activity
    International Review of Financial Analysis, 2022, 84, (C) View citations (3)
    See also Working Paper Who buys Bitcoin? The cultural determinants of Bitcoin activity, Post-Print (2022) View citations (3) (2022)

2021

13. Quote dynamics of cross‐listed stocks
    International Review of Finance, 2021, 21, (2), 497-522
14. The effect of cultural distance between an analyst and a CEO on analysts’ earnings forecast performance
    Economics Letters, 2021, 205, (C) View citations (2)
    See also Working Paper The effect of cultural distance between an analyst and a CEO on analysts’ earnings forecast performance, Post-Print (2021) View citations (2) (2021)

2020

15. Absence of speculation in the European sovereign debt markets
    Journal of Economic Behavior & Organization, 2020, 169, (C), 245-265 View citations (2)
16. Pairs trading of Chinese and international commodities
    Applied Economics, 2020, 52, (48), 5203-5217 View citations (1)
17. The determinants of price discovery on bitcoin markets
    Journal of Futures Markets, 2020, 40, (5), 816-837 View citations (35)

2019

18. Behavioural heterogeneity in wine investments
    Applied Economics, 2019, 51, (30), 3236-3255 View citations (7)
19. Does increased hedging lead to decreased price efficiency? The case of VIX ETPs and VIX futures
    The Financial Review, 2019, 54, (3), 477-500 View citations (7)
20. Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets
    International Review of Finance, 2019, 19, (3), 575-612
21. Properties and the predictive power of implied volatility in the New Zealand dairy market
    Journal of Futures Markets, 2019, 39, (5), 612-631 View citations (3)
22. Surprise and dispersion: informational impact of USDA announcements
    Agricultural Economics, 2019, 50, (1), 113-126 View citations (8)
    See also Working Paper Surprise and Dispersion: Informational Impact of USDA Announcements, 2017 Annual Meeting, July 30-August 1, Chicago, Illinois (2017) (2017)
23. The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks
    International Review of Economics & Finance, 2019, 60, (C), 176-187 View citations (1)
24. Time-varying contemporaneous spillovers during the European Debt Crisis
    Empirical Economics, 2019, 57, (2), 423-448 View citations (1)
25. Turn of the Month effect in the New Zealand stock market
    New Zealand Economic Papers, 2019, 53, (3), 288-306 View citations (4)
26. Volatility spillovers among oil and stock markets in the US and Saudi Arabia
    Applied Economics, 2019, 51, (4), 329-345 View citations (9)

2018

27. A comprehensive look at the return predictability of variance risk premia
    Journal of Futures Markets, 2018, 38, (4), 425-445 View citations (11)
28. Behavioural heterogeneity in the New Zealand stock market
    New Zealand Economic Papers, 2018, 52, (1), 53-71
29. Determinants of intraday price discovery in VIX exchange traded notes
    Journal of Futures Markets, 2018, 38, (5), 535-548 View citations (6)
30. Herding in analysts’ recommendations: The role of media
    Journal of Banking & Finance, 2018, 91, (C), 1-18 View citations (29)
31. Institutional trading and asset pricing
    Journal of Banking & Finance, 2018, 89, (C), 59-77 View citations (6)
32. NYSE closure and global equity trading: The case of cross-listed stocks
    International Review of Financial Analysis, 2018, 60, (C), 138-150 View citations (4)
33. On the ability of New Zealand actively managed funds to generate outperformance in their domestic equity allocations
    Pacific Accounting Review, 2018, 30, (4), 463-481
34. The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares
    International Review of Financial Analysis, 2018, 56, (C), 136-152 View citations (14)
35. The skewness of commodity futures returns
    Journal of Banking & Finance, 2018, 86, (C), 143-158 View citations (71)
    See also Working Paper The skewness of commodity futures returns, Post-Print (2018) View citations (72) (2018)
36. Time-varying arbitrage and dynamic price discovery
    Journal of Economic Dynamics and Control, 2018, 91, (C), 485-502 View citations (8)
37. Volatility discovery and volatility quoting on markets for options and warrants
    Journal of Futures Markets, 2018, 38, (7), 758-774 View citations (3)

2017

38. Contemporaneous Spillover Effects between the U.S. and the U.K. Equity Markets
    The Financial Review, 2017, 52, (1), 145-166 View citations (10)
39. Evaluating the tracking performance and tracking error of New Zealand exchange traded funds
    Pacific Accounting Review, 2017, 29, (3), 443-462 View citations (2)
40. Excess stock return comovements and the role of investor sentiment
    Journal of International Financial Markets, Institutions and Money, 2017, 49, (C), 74-87 View citations (22)
41. Precious metals, oil and the exchange rate: contemporaneous spillovers
    Applied Economics, 2017, 49, (38), 3863-3879 View citations (7)
42. When no news is good news – The decrease in investor fear after the FOMC announcement
    Journal of Empirical Finance, 2017, 41, (C), 187-199 View citations (31)

2016

43. Asymmetries of the intraday return-volatility relation
    International Review of Financial Analysis, 2016, 48, (C), 182-192 View citations (16)
44. Contemporaneous interactions among fuel, biofuel and agricultural commodities
    Energy Economics, 2016, 58, (C), 1-10 View citations (43)
45. On the Intraday Relation Between the VIX and its Futures
    Journal of Futures Markets, 2016, 36, (9), 870-886 View citations (27)
46. On the Style-Based Feedback Trading of Mutual Fund Managers
    Journal of Financial and Quantitative Analysis, 2016, 51, (3), 771-800 View citations (13)
47. The impact of cultural diversity in corporate boards on firm performance
    Journal of Corporate Finance, 2016, 41, (C), 521-541 View citations (69)
48. The long-run performance of the New Zealand stock markets: 1899-2013
    Pacific Accounting Review, 2016, 28, (1), 59-70

2015

49. Cross-listing decisions and the foreign bias of investors
    Finance Research Letters, 2015, 15, (C), 160-166 View citations (4)
50. Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms
    Journal of Empirical Finance, 2015, 32, (C), 35-48 View citations (26)
51. On the Role of Cultural Distance in the Decision to Cross†List
    European Financial Management, 2015, 21, (4), 706-741 View citations (8)
52. On the performance of KiwiSaver funds
    Pacific Accounting Review, 2015, 27, (3), 266-281
53. The Informativeness of Trades and Quotes in the FTSE 100 Index Futures Market
    Journal of Futures Markets, 2015, 35, (2), 105-126 View citations (3)
54. The determinants of price discovery: Evidence from US-Canadian cross-listed shares
    Journal of Banking & Finance, 2015, 59, (C), 457-468 View citations (20)

2014

55. Crossing the Tasman
    Pacific Accounting Review, 2014, 26, (3), 177-195
56. Institutional Trading and Stock Returns: Evidence from China
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2014, 17, (01), 1-26 View citations (5)
57. Learning by doing: the role of financial experience in financial literacy
    Journal of Public Policy, 2014, 34, (1), 123-154 View citations (20)
58. Speed, algorithmic trading, and market quality around macroeconomic news announcements
    Journal of Banking & Finance, 2014, 38, (C), 89-105 View citations (41)
    See also Working Paper Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements, Tinbergen Institute Discussion Papers (2012) View citations (3) (2012)

2013

59. Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices
    Journal of Futures Markets, 2013, 33, (6), 555-572 View citations (19)
60. Do Criminal Sanctions Deter Insider Trading?
    The Financial Review, 2013, 48, (2), 205-232 View citations (3)
61. Market timing ability and mutual funds: a heterogeneous agent approach
    Quantitative Finance, 2013, 13, (10), 1613-1620 View citations (10)
62. Uncertainty avoidance, risk tolerance and corporate takeover decisions
    Journal of Banking & Finance, 2013, 37, (7), 2457-2471 View citations (65)

2012

63. Firm efficiency and stock returns
    Journal of Productivity Analysis, 2012, 37, (3), 295-306 View citations (17)
64. Political crises and the stock market integration of emerging markets
    Journal of Banking & Finance, 2012, 36, (3), 644-653 View citations (26)

2011

65. Heterogeneity and sentiment in the stock market
    International Journal of Behavioural Accounting and Finance, 2011, 2, (2), 140-151
66. Modeling structural changes in the volatility process
    Journal of Empirical Finance, 2011, 18, (3), 522-532 View citations (7)
    See also Working Paper Modelling structural changes in the volatility process, LSF Research Working Paper Series (2010) (2010)

2010

67. A cultural explanation of the foreign bias in international asset allocation
    Journal of Banking & Finance, 2010, 34, (9), 2121-2131 View citations (129)
68. Behavioral heterogeneity in the option market
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2273-2287 View citations (61)
    See also Working Paper Behavioral heterogeneity in the option market, Post-Print (2010) View citations (61) (2010)
69. The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand
    Journal of Banking & Finance, 2010, 34, (3), 498-508 View citations (43)
70. The information content of implied volatility: Evidence from Australia
    Journal of Futures Markets, 2010, 30, (2), 134-155 View citations (47)

2009

71. Price discovery in tick time
    Journal of Empirical Finance, 2009, 16, (5), 759-776 View citations (13)
    See also Working Paper Price Discovery in Tick Time, CEPR Discussion Papers (2004) View citations (5) (2004)

2008

72. Forecasting daily volatility with intraday data
    The European Journal of Finance, 2008, 14, (6), 523-540 View citations (7)
73. INSIDER TRADING, REGULATION, AND THE COMPONENTS OF THE BID–ASK SPREAD
    Journal of Financial Research, 2008, 31, (3), 225-246 View citations (17)
74. On the determinants of portfolio choice
    Journal of Economic Behavior & Organization, 2008, 66, (2), 373-386 View citations (28)
75. The New Zealand implied volatility index
    New Zealand Economic Papers, 2008, 42, (1), 103-125 View citations (2)
76. The impact of corporate governance on corporate performance: Evidence from Japan
    Pacific-Basin Finance Journal, 2008, 16, (3), 236-251 View citations (35)

2006

77. Inferring Public and Private Information from Trades and Quotes
    The Financial Review, 2006, 41, (1), 95-117 View citations (2)
78. Nonlinear dynamics in Nasdaq dealer quotes
    Computational Statistics & Data Analysis, 2006, 51, (4), 2246-2266 View citations (5)
    See also Working Paper Nonlinear dynamics in Nasdaq dealer quotes, Research Memorandum (2005) (2005)

Chapters

2010

1. INSIDER TRADING REGULATIONS: A THEORETICAL AND EMPIRICAL REVIEW
   Chapter 5 in Handbook On Emerging Issues In Corporate Governance, 2010, pp 55-69