prof. dr. Lieven Baele

Bio

Lieven Baele is an Associate Professor of Finance at Tilburg University. His research interests cover various fields as Empirical Asset pricing and International Finance. He has a special interest in linking macro and financial models, in (measuring) financial integration, international diversification strategies, time-varying volatility and correlation models, and the interaction between bank strategy and risk. His articles have been published in the Review of Financial Studies and the Journal of Financial and Quantitative Analysis, amongst others.

Please visit my personal website for the most up-to-date information.

Courses

• International Finance
• Asset Allocation & Sustainable Investing
• Finance Applications in Data Science

Recent publications

1. Flights to safety

   Baele, L., Bekaert, G. R. J., Inghelbrecht, K., & Wei, M. (2020). Flights to safety. Review of Financial Studies, 33(2), 689-746.

2. Cumulative prospect theory, option returns and the variance premium

   Baele, L., Driessen, J., Ebert, S., Londono Yarce, J. M., & Spalt, O. (2019). Cumulative prospect theory, option returns and the variance premium. Review of Financial Studies, 32(9), 3667-3723.

3. Cumulative Prospect Theory, Option Returns, and the Variance Premium

   Baele, L., Driessen, J., Ebert, S., Londono Yarce, J. M., & Spalt, O. (2017). Cumulative Prospect Theory, Option Returns, and the Variance Premium. SSRN.

4. Macroeconomic regimes

   Baele, L. T. M., Bekaert, G. R. J., Cho, S., Inghelbrecht, K., & Moreno, A. (2015). Macroeconomic regimes. Journal of Monetary Economics, 70, 51-71.

5. Model uncertainty and systematic risk in US banking

   Baele, L. T. M., De Bruyckere, V., De Jonghe, O. G., & Vander Vennet, R. (2015). Model uncertainty and systematic risk in US banking. Journal of Banking & Finance, 53, 49-66.