Roy Kouwenberg, Ph.D., CFA
Prof.

Specializations: Investment, Asset pricing and international finance

Dr. Roy Kouwenberg, CFA, received his doctorate in Finance from Erasmus University Rotterdam in the Netherlands in 2000. After completing his dissertation he worked at the University of British Columbia in Vancouver, Canada, for one year as a postdoctoral fellow. In 2001 he joined AEGON Asset Management in The Hague, the Netherlands, as a quantitative researcher in the equity department. In 2003 Dr. Roy continued his academic career at the Asian Institute of Technology in Bangkok, Thailand. Since July-2006, Dr. Kouwenberg is affiliated with Mahidol University, College of Management, as Chair of the Ph.D. Program. In addition, every year he visits Erasmus University Rotterdam to work on joint research projects.

Dr. Roy’s main area of academic research is in the area of investment, focusing on portfolio choice in a behavioral framework. Further, he has done extensive research on risk management for financial institutions, especially asset-liability management for pension funds and insurance firms. Since moving to Thailand, Dr. Roy has started a third line of research on corporate governance of firms in emerging markets, as this subject is especially relevant for the local market and of great interest to students.

Dr. Kouwenberg has published his work in the Review of Economics & Statistics, the Journal of Banking and Finance, the Journal of Empirical Finance and Operations Research, amongst others. He has refereed articles for the Journal of Finance, Review of Financial Studies, Journal and Banking and Finance, and various other journals in the areas of finance and operations research.

  

Kouwenberg, Roy

 Research Area: Finance
 Phone: 022062000 #2017
 Location: MU Building 14th Floor

Publications

    Article

  • Cox, R., Kamolsareeratana, A. & Kouwenberg, R. (2020). Compulsive gambling in the financial markets: Evidence from two investor surveys. Journal of Banking and Finance, 111, 105709.[More]
  • Zheng, C. & Kouwenberg, R. (2019). A Bibliometric Review of Global Research on Corporate Governance and Board Attributes. Sustainability (Switzerland), 11(12), Article number 3428.[More]
  • Kouwenberg, R. (2018). Strategic asset allocation for insurers under Solvency II. Journal of Asset Management, 19(7), 447-459.[More]
  • Kouwenberg, R. (2018). Inverse s-shaped probability weighting and its impact on investment. Mathematical Control and Related Fields, 8(3-4), 679-706.[More]
  • Kouwenberg, R., Markiewicz, A., Verhoeks, R. & Zwinkels, R. C. (2017). Model Uncertainty and Exchange Rate Forecasting. Journal of Financial and Quantitative Analysis, 52(1), 341-363.[More]
  • He, X., Kouwenberg, R. & Zhou, X. (2017). Rank-Dependent Utility and Risk Taking in Complete Markets. SIAM Journal of Financial Mathematics, 8(1), 214-239.[More]
  • Kouwenberg, R. & Thontirawong, P. (2016). Group Affiliation and Earnings Management of Asian IPO Issuers. Review of Quantitative Finance and Accounting, 47(4), 897-917.[More]
  • Dimmock, S. G., Kouwenberg, R. & Wakker, P. P. (2016). Ambiguity attitudes in a large representative sample. Management Science, 62(5), 1363-1380.[More]
  • Dimmock, S. G., Kouwenberg, R., Mitchell, O. S. & Peijenburg, K. (2016). Ambiguity aversion and household portfolio choice puzzles: Empirical evidence. Journal of Financial Economics, 119(3), 559-577.[More]
  • Grohmann, A., Kouwenberg, R. & Menkhoff, L. (2015). Childhood roots of financial literacy. Journal of Economic Psychology, 51, 114–133.[More]
  • Dimmock, S. G., Kouwenberg, R., Mitchell, O. S. & Peijnenburg, K. (2015). Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field. Journal of Risk and Uncertainty, 51(3), 219-244.[More]
  • Kouwenberg, R. & Zwinkels, R. C. (2015). Endogenous Price Bubbles in a Multi-Agent System of the Housing Market. PLoS One, 1-10.[More]
  • Kouwenberg, R. & Zwinkels, R. C. (2014). Forecasting the US housing market. International Journal of Forecasting, 30(3), 415-425.[More]
  • Kouwenberg, R., Salomons, R. & Thontirawong, P. (2014). Corporate governance and stock returns in Asia. Quantitative Finance, 14(6), 965-976.[More]
  • Cumperayot, P. & Kouwenberg, R. (2013). Early warning systems for currency crises: A multivariate extreme value approach. Journal of International Money and Finance, 36(TBA), 151-171.[More]
  • Kouwenberg, R. & Phunnarungsi, V. (2013). Corporate governance, violations and market reactions. Pacific Basin Finance Journal, 21(1), 881-898.[More]
  • Ananchotikul, N., Kouwenberg, R. & Phunnarungsi, V. (2010). Do Firm Decouple Corporate Governance Policy And Practice?. European Financial Management, 16(5), 712-737.[More]
  • Kouwenberg, R. & Dimmock, S. G. (2010). Loss-Aversion And Household Potfolio Choice. Journal of Empirical Finance, 17(3), 441-459.[More]
  • Berkelaar, A. & Kouwenberg, R. (2010). A Liability-Relative Drawdown Approach To Pension Asset Liability Management. Journal of Asset Management, 11(2-3), 194-217.[More]
  • Berkelaar, A. & Kouwenberg, R. (2009). From Boom 'Til Bust: How Loss Aversion Affects Asset Prices. Journal of Banking and Finance, 33(6), 1005-1013.[More]
  • Kouwenberg, R. & Ziemba, W. (2007). Incentives And Risk Taking In Hedge Funds. Journal of Banking and Finance, 31, 3291-3310.[More]
  • Cumperayot, P., Keijzer, T. & Kouwenberg, R. (2006). Linkages Between Extreme Stock Market And Currency Returns. Journal of International Money & Finance, 25, 528-550.[More]

    • Book

  • Kouwenberg, R. (2016). Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds. Palgrave Macmillan.[More]

    • Proceedings

  • Dimmock, S., Kouwenberg, R., Mitchell, O. & Piejnenburg, K. (2018). Household Portpolio Underdiversification and Probability Weighting: Evidence from the Field, Amsterdam, Natherlands, Research in Behavioral Finance conference 2018.[More]
  • He, X. D., Kouwenberg, R. & Zhou, X. Y. (2016). Risk-Dependent utility and Risk Taking in Complete Market, Amsterdam, Netherlands, The Research in Behavioral Finance Conference 2016.[More]
  • Dimmock, S. G., Kouwenberg, R., Mitchell, O. S. & Peijnenburg, K. (2015). Estimating Ambiguity Preferences and Perceptions in Multiple Prior Models, Nijmegen, Netherlands, Experimental Finance 2015.[More]
  • Dimmock, S. G., Kouwenberg, R., Mitchell, O. S. & Peijnenburg, K. (2015). Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence, Venice, Italy, 2015 Financial Management Assocation (FMA) European Conference, 19th Annual Meeting.[More]
  • Kouwenberg, R. & Thontirawong, P. (2014). Group Affiliation and Earnings Management of Asian IPO Issuers, Hanoi, Vietnam, 1st Vietnam International Conference in Finance.[More]
  • He, X. D., Kouwenberg, R. & Zhou, X. Y. (2014). Rank Dependent Utility and Risk Taking in Complete Markets, Toulouse, France, the 68th European Meeting of the Econometric Society.[More]
  • Dimmock, S. G., Kouwenberg, R., Mitchell, O. S. & Peijnenburg, K. (2014). Estimating Preferences and Perceptions in Multiple Prior Models of Ambiguity: Evidence from the Field, Rotterdam, Netherlands, 16th Conference on the Foundations of Utility and Risk (FUR XVI).[More]
  • Dimmock, S. G., Kouwenberg, R. & Wakker, P. P. (2014). Ambiguity attitudes in a large representative sample, Vietri Sul Mare, Italy, the 6th International conference on Mathematical & Statistical Methods for Actuarial Sciences and Finance.[More]
  • Dimmock, S. G., Mitchell, O. S., Kouwenberg, R. & Peijnenburg, K. (2013). Ambiguity attitudes and economic behavior, Gothenburg, Sweden, 28th Annual Congress of the European Economic Association.[More]
  • Cumperayot, P. & Kouwenberg, R. (2012). Early warning systems for currency crises: A multivariate extreme value approach, Auckland, New Zealand, 2012 Auckland Finance Meeting.[More]
  • Dimmock, S. G., Kouwenberg, R. & Wakker, P. P. (2012). Ambiguity attitudes and portfolio choice: Evidence from a large representative survey, Amsterdam, the Netherlands, 2012 Netspar International Pension Workshop.[More]
  • Cumperayot, P. & Kouwenberg, R. (2011). Early Warning Systems For Currency Crises: A Multivariate Extreme Value Approach, London, UK, Cass Business School, The 3rd EMG conference on Emerging Markets Finance.[More]
  • Ananchotikul, N., Kouwenberg, R. & Phunnarungsi, V. (2008). Do Firm Decouple Corporate Governance Policy And Practice?, Athens Greece, 2008 Annual Meeting, European Financial Management Association.[More]