Joost Driessen

25 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0001-6722-8710

Tilburg University

Publications

• Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets — The Review of Financial Studies 2025
• Horizon Effects in the Pricing Kernel: How Investors Price Short-Term Versus Long-Term Risks — Journal of Financial and Quantitative Analysis 2025
• Pricing Liquidity Risk with Heterogeneous Investment Horizons — Journal of Financial and Quantitative Analysis 2021
• Can unpredictable risk exposure be priced? — Journal of Financial Economics 2021
• The Dividend Term Structure — Journal of Financial and Quantitative Analysis 2020
• Cumulative Prospect Theory, Option Returns, and the Variance Premium — The Review of Financial Studies 2019
• An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets — The Review of Financial Studies 2017
• Distilling the macroeconomic news flow — Journal of Financial Economics 2015 (name-matched, not ORCID-linked)
• Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis — The Journal of Finance 2013 (name-matched, not ORCID-linked)
• How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments — Review of Finance 2013
• Pricing of commercial real estate securities during the 2007–2009 financial crisis — Journal of Financial Economics 2012
• A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds — Journal of Financial and Quantitative Analysis 2012
• What Does Equity Sector Orderflow Tell Us About the Economy? — The Review of Financial Studies 2011 (name-matched, not ORCID-linked)
• Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market — The Journal of Finance 2011
• When It Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News on Bond Returns in Expansions and Recessions — Review of Finance 2010 (name-matched, not ORCID-linked)
• Differences in beliefs and currency risk premiums — Journal of Financial Economics 2010 (name-matched, not ORCID-linked)
• Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market — The Review of Financial Studies 2009 (name-matched, not ORCID-linked)
• The Price of Correlation Risk: Evidence from Equity Options — The Journal of Finance 2009
• Resolving Macroeconomic Uncertainty in Stock and Bond Markets — Review of Finance 2009 (name-matched, not ORCID-linked)
• Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry — Journal of Financial and Quantitative Analysis 2009
• Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model — The Review of Financial Studies 2008
• An Empirical Portfolio Perspective on Option Pricing Anomalies — Review of Finance 2007
• Is Default Event Risk Priced in Corporate Bonds? — The Review of Financial Studies 2005
• The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions — Journal of Financial and Quantitative Analysis 2003
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis — Review of Finance 2001