Understanding the subprime mortgage crisis

Y Demyanyk, O Van Hemert - The review of financial studies, 2011 - academic.oup.com
Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their
performance for differences in borrower characteristics, loan characteristics, and …

Mortgage timing

…, O Van Hemert, S Van Nieuwerburgh - Journal of Financial …, 2009 - Elsevier
We study how the term structure of interest rates relates to mortgage choice at both household
and aggregate levels. A simple utility framework of mortgage choice points to the long-…

The impact of volatility targeting

…, S Rattray, M Sargaison, O Van Hemert - Available at SSRN …, 2018 - papers.ssrn.com
Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios
than portfolios with a constant notional exposure. We show that this result only holds for “risk …

The best strategies for inflationary times

…, B Funnell, CR Harvey, O Van Hemert - Available at SSRN …, 2021 - papers.ssrn.com
… Next, we follow the methodology of Hamill, Rattray, and Van Hemert (2016) and Harvey,
Rattray, and Van Hemert (2021) and construct a time-series momentum (trend) strategy applied …

How the 52-week high and low affect option-implied volatilities and stock return moments

J Driessen, TC Lin, O Van Hemert - Review of Finance, 2013 - academic.oup.com
We provide a new perspective on option and stock price behavior around 52-week highs
and lows. We analyze whether option-implied volatilities (IVs) change when stock prices …

Household interest rate risk management

O Van Hemert - Real Estate Economics, 2010 - Wiley Online Library
I investigate household interest rate risk management by solving a life‐cycle asset allocation
model that includes mortgage and bond portfolio choice. I find that most investors prefer an …

Man vs. machine: Comparing discretionary and systematic hedge fund performance

…, S Rattray, A Sinclair, O Van Hemert - Duke I&E Research …, 2017 - papers.ssrn.com
We analyse and contrast the performance of discretionary and systematic hedge funds.
Systematic funds use strategies that are rules-based, with little or no daily intervention by humans…

An investor's guide to crypto

…, H Neville, A Rzym, O Van Hemert - The Journal of …, 2022 - jpm.pm-research.com
The authors provide practical insights for investors seeking exposure to the growing cryptocurrency
space. Today, crypto is much more than just bitcoin, which historically dominated the …

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed?

…, M Sargaison, D Taylor, O Van Hemert - Available at SSRN …, 2019 - papers.ssrn.com
… In order to prevent the strategy from increasing overall portfolio equity beta, we follow Hamill,
Rattray, and Van Hemert (2016, henceforth HRV) and consider an extension of the strategy…

Pricing of commercial real estate securities during the 2007–2009 financial crisis

J Driessen, O Van Hemert - Journal of Financial Economics, 2012 - Elsevier
We study the relative and absolute pricing of CMBX contracts (commercial real estate
derivatives) during the recent financial crisis. Using a structural CMBX pricing model, we find little …