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F.A. de Roon

Hoogleraar Investment Theory

Tilburg School of Economics and Management
Department of Finance



Frans de Roon is doing research in financial markets, with a special emphasis on portfolio problems, risk management, empirical finance, performance management and alternative investments. He publishes in various academic journals, such as the Journal of Finance, the Journal of Financial Economics, the Journal of Empirical Finance and the Journal of Financial and Quantitative Analysis.

Working papers

  • The Stock Market Price of Commodity Risk, with Martijn Boons and Marta Szymanowska.
  • The Anatomy of Commodity Futures Risk Premia, with Marta Szymanowska, Rob van den Goorbergh and Theo Nijman
  • The Role of Currencies in International Investment Portfolios, with Esther Eiling, Bruno Gerard, and Pierre Hillion.
  • Being Locked up Hurts, with Jinqiang Guo and Jenke ter Horst

Key words


Most recent publications

Click here for the extended list of publications



  • Time-varying Market Integration and Expected Returns in Emerging Markets, Journal of Financial Economics, forthcoming, with Frank de Jong
  • Evaluating style analysis, Journal of Empirical Finance, 2004, Volume 11, No. 1, p. 29-53, with J.R. ter Horst and Th.E. Nijman
  • Currency hedging for international stock portfolios, Journal of Banking & Finance, 2002, 27, p.327-349, with Th.E. Nijman and B.J.M. Werker.
  • Testing for mean-variance spanning: a survey, Journal of Empirical Finance, 2001, 8, 2, p. 111-156, with Th.E. Nijman.
  • Testing for MV-Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets, Journal of Finance, 2001, 56, p. 723-744, with Th.E. Nijman and B.J.M. Werker
  • Hedging Pressure Effects in Futures Markets, Journal of Finance, 2000, 55, p.1437-1456, with Th.E. Nijman and C.H. Veld.
  • Pricing Term Structure Risk in Futures Markets, Journal of Financial and Quantitative Analysis, 1998, 33(1), p. 139-57, with Th.E. Nijman and C.H. Veld.
  • Announcement Effects of Convertible Bond Loans and Warrant-Bond Loans: An Empirical Analysis for the Dutch Market, Journal of Banking and Finance, 1998, 22(12), p. 1481-1506, 1998, with C.H. Veld.
  • A study on the efficiency of the market for Dutch long term call options, European Journal of Finance, 1998,4, p. 93-111, with C.H. Veld and J. Wei.
  • Out-of-Sample Hedging Effectiveness of Currency Futures for Different Models and Hedging Strategies, Journal of Futures Markets, 1998, 17(7), p.817-837, with A. de Jong and C.H. Veld.
  • Risk Premia in the Ruble/Dollar Futures Market, Journal of Futures Markets, 1997, 17(2), p.191-214, with A. Peresetsky.
  • Put-Call Parities and the Value of Early Exercise for Put Options on a Performance Index, Journal of Futures Markets, 1996, 16(1), p.71-80 with C.H. Veld.
  • An Empirical Investigation of the Factors that Determine the Pricing of Dutch Index Warrants, European Financial Management, 1996, 2(1), p.97-112 with C.H. Veld.
  • Commentary on: Closed Form Term Structure Derivatives in a Heath-Jarrow-Morton Model with Lognormal Compounded Interest Rates (by Klaus Sandmann, Dieter Sonder-mann and Kristian Miltersen), CBOT Research Symposium Proceedings (before: Review of Futures Markets), Summer 1995, p.165-167 with C.H. Veld.

Publications in Dutch:

  • Inzicht in Beleggingsfondsen, VBA Journaal, december 2002, with B. Jacobsen.
  • Markt, Rendement en Portefeuille, Inaugural address, september 2002.
  • Technische Analyse, Bootstrapping en Data-snooping" (transl. Technical Analysis, bootstrapping, and data-snooping), VBA Journaal, april 2001, forthcoming.
  • Risicomanagement bij FinanciŽle Ondernemingen (transl. Risk Management for Fiancial Corporations), Controllers Magazine 15, january/february 2001, p.22-25.
  • De Povere Prestaties van Beleggingsfondsen (transl. The poor performance of mutual funds), Economische en Statistische Berichten, 1999, p.144-148, with J.R. ter Horst and Th.E. Ni


Ph.D in Economics, 1997, Tilburg University, Cum laude
M.A. in Economics, 1993, Tilburg University, Cum laude
B.A. in Economics, 1991, Tilburg University, Cum laude
B.A. in Psychology, 1989, Tilburg University, Cum laude


2010 - heden: Vice Dean Research
2007 - 2010: Director Partner Contacts Netspar
2003 - 2007: Dean of Academic Affairs Tias/Nimbas Business School, Tilburg University
2002 - present: Member of Management Team of Tilburg Center of Finance
2000 - present: Professor of Finance (Investments), Tilburg University
1999 - present: Associated Scholar of the European Institute of Advanced Studies in Management (EIASM)
2001 - present: Professor of Finance, Tilburg University
1998 - 2000: Associate professor, Erasmus University Rotterdam
1998 - 2000: Director of the Rotterdam Institute of Financial Management
1996 - 1998: Assistant Professor, Erasmus University Rotterdam
1993 - 1997: Ph.D. Student, Tilburg University
1992 - 1993: Assistent Business Consultant, Inter Actus Consultants
1990 - 1992: Teaching Assistant, Tilburg University


Most recent publications

Click here for the extended list of publications


  • 2004-EFA, Maastricht (program committee)
  • 2003-EFA, Glasgow (program committee)
  • 2002-EFA, Berlin2002-Inquire Europe, Berlin
  • 2001-Inquire Europe, Sintra (Portugal)
  • 2001-European Finance Association, Barcelona
  • 2001-IIR, Geneva
  • 2000-European Finance Association, London
  • 1999-European Finance Association, Helsinki
  • 1998-European Finance Association, Fontainebleau
  • 1998-European Finance Association, Chicago
  • 1997-European Finance Association, Vienna
  • 1997-American Finance Association, New Orleans
  • 1996-Chicago Board of Trade Annual Research Symposium, Tilburg
  • 1996-European Finance Association, Oslo
  • 1996-European Financial Management Association, Innsbruck
  • 1996-French Finance Association, Geneva1995-Northern Finance Association, London (Ontario)



Previously, he taught courses in the area of Empirical Finance, Financial Innovations, International Corporate Finance (MBA, Executive and Undergraduate programs), Introductory Finance, Risk Management, Statistics.

He was a member of the MBA program committee at the Rotterdam School of Management and a member of the Undergraduate program committee at the Rotterdam School of Management/Faculteit Bedrijfskunde (1999-2000)

F.A. de Roon teaches the following subjects:

Contact details
Room T 111
PO Box 90153
5000 LE Tilburg 
Phone+31 13 466 3974
Secretary+31 13 466 8600
Fax +31 13 466 2875

Hoogleraar Investment Theory
Tilburg School of Economics and Management
Department of Finance

Last amended: 10 March 2014

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