CURRICULUM VITAE Marno Verbeek

CURRICULUM VITAE Marno Verbeek 1 February 2013 Professor of Finance Rotterdam School of Management Erasmus University Department of Finance Burgemeester Oudlaan 50 P.O. Box 1738 3000 DR ROTTERDAM The Netherlands phone: +31 (0) 10 40 82 727 (office) phone: +31 (0) 10 40 82 790 (secretary) fax: +31 (0) 10 40 89 017 e-mail: mverbeek@rsm.nl twitter: @marnoverbeek websites: www.rsm.nl/mverbeek www.erim.nl/people/marno-verbeek publications: http://ssrn.com/author=246019 PROFESSIONAL EXPERIENCE 2011- Scientific Director Erasmus Research Institute of Management (ERIM), Rotterdam (www.erim.eur.nl) 2011- Dean of Research, Rotterdam School of Management, Erasmus University (www.rsm.nl) 2009- Research Coordinator, Netspar (Network for Studies on Pensions, Savings and Retirement, www.netspar.nl) 2007-2010 Head, Department of Finance, Rotterdam School of Management, Erasmus University (RSM Finance group). 2000- Professor of Finance, Erasmus University Rotterdam. 2003-2006 Director of Doctoral Education, Erasmus Research Institute of Management, Rotterdam 2002-2003 Visiting Professor, Dept of Economics, K.U. Leuven, Belgium. 2002 Visiting Professor, ERMES, University Panthéon-Assas Paris II 2001 Visiting Professor, Dept. of Economics, Trinity College Dublin 1995-2001 (Associate/Full) Professor of Econometrics at K.U. Leuven. Belgium. 1990-2000 Assistant Professor of Econometrics at Tilburg University, Tilburg. 1

November 1991 June 1987 EDUCATION Ph.D. "The Design of Panel Surveys and the Treatment of Missing Observations ; supervised by Theo Nijman and Arie Kapteyn, Tilburg University (summa cum laude) M.Sc Econometrics, Tilburg University. TEACHING I taught a variety of courses in Tilburg, Leuven and Rotterdam, both at the undergraduate and graduate level. Just to give you an impression, these courses include: Introductory Econometrics, Intermediate Econometrics, Applied Econometrics, Time Series Modeling, Limited Dependent Variable Models, Econometrics of Panel Data, Advanced Econometrics, Empirical Finance, Empirics of Financial Markets, Financial Econometrics, Empirical Research Methods, Investment Strategies, and Professional Asset Management. RESEARCH INTERESTS Empirical finance: hedge funds, mutual funds, asset pricing, predictability, performance evaluation, survivorship bias, market timing, momentum strategies, risk management, capital structure, Econometrics: panel data, sample selection, endogenous regressors, wage determination, repeated crosssections, incomplete panels,... GRANTS AND AWARDS 2011: Research Grant Inquire Europe, Information Content when Mutual Funds Deviate from Benchmarks (with H. Jiang and Y.Wang). 2006: MAN Investments Best Paper Prize, EFA 2006 Conference, Zürich, A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money (with G. Baquero). 2005: Research Grant Inquire Europe, Fund Liquidation, Self-selection and look-ahead bias in the hedge fund industry (with J.R. ter Horst). 2003: Fauchier Partners Prize: 2 nd Best Paper in Hedge Funds, EFA 2003 Conference, London, Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance (with G. Baquero and J.R. ter Horst). EDITORIAL POSITIONS AND REVIEWING De Economist, Associate Editor (May 2011 - present) (http://www.springer.com/economics/journal/10645) 2

Applied Econometrics, Editorial Board Member (March 2012 - present) (in Russian/English) (http://ideas.repec.org/s/ris/apltrx.html) Journal of Financial Perspectives, Editorial Board Member (November 2012 - present) Every now and then I referee papers for the following journals: American Journal of Agricultural Economics, Annales d'économie et de Statistique, Applied Stochastic Models for Business and Industry, Econometrics Journal, Econometric Reviews, Économie et Prévision, Empirical Economics, European Financial Management, The Financial Review, International Economic Review, International Journal of Industrial Organization, International Review of Economics and Finance, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Empirical Finance, Journal of Finance, Journal of International Financial Markets, Journal of International Money and Finance, Institutions & Money, The Journal of Finance, Journal of Financial Research, Journal of Financial and Quantitative Analysis, Journal of Productivity Analysis, Statistica Neerlandica, Management Science, Structural Change and Economic Dynamics, and Tijdschrift voor Economie en Management PUBLICATIONS IN PROGRESS (more at: http://ssrn.com/author=246019) Better than the Original? The Relative Success of Copycat Funds (with Y. Wang), 2013, http://ssrn.com/abstract=1566794. Information Content when Mutual Funds Deviate from Benchmarks (with H. Jiang and Y. Wang), 2013, presented at the 2011 Utah Winter Finance Conference & AFA 2012 Chicago meetings, http://ssrn.com/abstract=1782692. Front-Running of Mutual Fund Fire Sales (with T. Dyakov), 2013, http://ssrn.com/abstract=2170660. INTERNATIONAL JOURNAL PUBLICATIONS Short-Term Residual Reversal (with D. Blitz, J.J. Huij and S.D. Lansdorp), 2013, Journal of Financial Markets, forthcoming. Does Financial Flexibility Reduce Investment Distortions (with A. de Jong and P. Verwijmeren), 2012, The Journal of Financial Research, Vol. 35, pp. 243-259. Firms' debt-equity decisions when the static tradeoff theory and the pecking order theory disagree (with A. de Jong and P. Verwijmeren), 2011, Journal of Banking and Finance, Vol. 35, pp. 1303-1314. 3

Real Estate in an ALM Framework: The Case of Fair Value Accounting (with M. Porras Prado and D. Brounen), 2010, Real Estate Economics, Vol. 38, pp. 775-804. Testing the Pecking Order Theory: The Impact of Financing Surpluses and Large Financing Deficits (with A. de Jong and P. Verwijmeren), 2010, Financial Management, Vol. 39, pp. 733-756,. Forecast Accuracy and Economic Gains from Bayesian Model Averaging Using Time-Varying Weights (with L. Hoogerheide, R. Kleijn, F. Ravazzolo, H.K. van Dijk), 2010, Journal of Forecasting, Vol. 29, pp. 251-269. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models (with J. Rombouts), 2009, Quantitative Finance, Vol. 9, pp. 737-745. On the Use of Multi-Factor Models to Evaluate Mutual Fund Performance (with J. Huij), 2009, Financial Management, Vol. 38, pp. 75-102. Fund Liquidation, Self-selection, and Look-ahead Bias in the Hedge Fund Industry (with J.R. ter Horst), 2007, Review of Finance, Vol. 11, pp. 605 632. Selecting Copulas for Risk Management (with E. Kole and C. Koedijk), 2007, Journal of Banking and Finance, Vol. 31, pp. 2405 2423. Cross-sectional Learning and Short-run Persistence in Mutual Fund Performance (with J. Huij), 2007, Journal of Banking and Finance, Vol. 31, pp. 973-997. Portfolio Implications of Systemic Crises (with E. Kole and C. Koedijk), 2006, Journal of Banking and Finance, Vol. 30, pp. 2347-2369. Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance (with G. Baquero and J.R. ter Horst), 2005, Journal of Financial and Quantitative Analysis, Vol. 40, pp. 493-518.. Estimating Dynamic Models from Repeated Cross-Sections (with F. Vella), 2005, Journal of Econometrics, Vol. 127, pp. 83-102. Hedgefondsen: Prestaties uit het verleden bieden verwachtingen voor de toekomst (with J.R. ter Horst), 2005, Maandblad voor Accountancy en Bedrijfseconomie, april, p. 168-173. A Multivariate Nonparametric Test for Return and Volatility Timing (with W. Marquering), 2004, Finance Research Letters, Vol. 1, pp. 250-260.. The Economic Value of Predicting Stock Index Returns and Volatility (with W. Marquering), 2004, Journal of Financial and Quantitative Analysis, Vol. 39, pp. 407-429 Do Countries or Industries Explain Momentum in Europe? (with Th. Nijman and L. Swinkels), 2004, Journal of Empirical Finance, Vol. 11, pp. 461-481 4

Eliminating Look-Ahead Bias in Evaluating Persistence in Mutual Fund Performance (with J.R. ter Horst and Th.E. Nijman), 2001, Journal of Empirical Finance, Vol. 8, pp. 345-373. Estimating Short-Run Persistence in Mutual Fund Performance (with J.R. ter Horst), 2000, Review of Economics and Statistics, Vol. 82, pp. 646-655 Estimating and Interpreting Models with Endogenous Treatment Effects (with F. Vella), 1999, Journal of Business and Economic Statistics, Vol. 17, pp. 473-478. Estimating the Returns to Education for Australian Youth via Rank-Order Instrumental Variables (with S. Rummery and F. Vella), 1999, Labour Economics, Vol. 6, pp. 491-507 An Empirical Analysis of Intertemporal Asset Pricing Models with Transactions Costs and Habit Persistence (with W. Marquering), 1999, Journal of Empirical Finance, Vol. 6, pp. 243-265. Two-Step Estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias (with F. Vella), 1999, Journal of Econometrics, Vol. 90, pp. 239-263. Whose Wages Do Unions Raise? A Dynamic Model of Unionism and Wage Rate Determination for Young Men (with F. Vella), 1998, Journal of Applied Econometrics, Vol. 13, pp. 163-183. Alternative Transformations to Eliminate Fixed Effects, 1995, Econometric Reviews, Vol. 14, pp. 205-211. Missing Measurements in Econometric Models with No Auxiliary Relations, 1993, Economics Letters, Vol. 43, pp. 125-128. Minimum MSE Estimation of a Regression Model with Fixed Effects from a Series of Cross Sections, (with Th.E. Nijman), 1993, Journal of Econometrics, Vol. 59, pp. 125-136. The Optimal Choice of Controls and Pre-Experimental Observations, Journal of Econometrics (with Th.E. Nijman), 1992, Vol. 51, pp. 183-189. Testing for Selectivity Bias in Panel Data Models (with Th.E. Nijman), 1992, International Economic Review, Vol. 33, pp. 681-703. Can Cohort Data Be Treated as Genuine Panel Data? (with Th.E. Nijman), 1992, Empirical Economics, Vol. 17, pp. 9-23. Nonresponse in Panel Data: The Impact on Estimates of a Life Cycle Consumption Function (with Th.E. Nijman), 1992, Journal of Applied Econometrics, Vol. 7, pp. 243-257. The Efficiency of Rotating Panel Designs in an Analysis of Variance Models (with Th.E. Nijman and A.H.O. van Soest), 1991, Journal of Econometrics, Vol. 49, pp. 373-399. 5

On the Estimation of a Fixed Effects Model with Selectivity Bias, 1990, Economics Letters, Vol. 34, pp. 267-270. Estimation of Time Dependent Parameters in Linear Models Using Cross Sections (with Th.E. Nijman), 1990, Panels or Both, Journal of Econometrics, Vol. 46, pp. 333-346. BOOKS AND BOOK CONTRIBUTIONS A Guide to Modern Econometrics, 4 th edition, John Wiley and Sons, xii+497 pages, Pb., ISBN 978-1-119-95167-4, March 2012. A Guide to Modern Econometrics, 3rd edition, John Wiley and Sons, xii+472 pages, Pb., ISBN 978-0- 470-51769-7, March 2008. Modified Sharpe Ratio; Nondirectional; Redemption Period; Alternative Asset Class; contributions in G.N. Gregoriou (Ed.), Encyclopedia of Alternative Investments, 2008, Boca Raton, FL: Chapman and Hall / CRC. Pseudo Panel Data, in: L. Matyas and P. Sevestre, 2008, The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice, Springer, ISBN: 978-3-540-75889-1, pp. 371-385. [click here for more info] Attriton, Selection Bias and Censored Regressions (with B. Honoré and F. Vella), in: L. Matyas and P. Sevestre, 2008, The Econometrics of Panel Data: Fundamentals and Recent Developments in Theory and Practice, Springer, ISBN: 978-3-540-75889-1, pp. 387-420. [click here for more info] Econometria (in Italian), Zanichelli, Bologna, x + 382 pages, ISBN 88-08-17054-3, January 2006. A Guide to Modern Econometrics, 2nd edition, John Wiley and Sons, xii+429 pages, Pb., ISBN 978-0- 470-85773-1, April 2004 [click here for more info]. A Guide to Modern Econometrics, John Wiley and Sons, xii+386 pages, Pb., ISBN 0-471-89982-8, March 2000 [click here for more info] Pseudo Panel Data, in: L. Mátyás and P. Sevestre, eds. (1996), The Econometrics of Panel Data: Handbook of Theory and Applications, Second Revised Edition, Kluwer Academic Publishers, Dordrecht, pp. 280-292. Incomplete Panels and Selection Bias (with Th.E. Nijman)., in: L. Mátyás and P. Sevestre, eds. (1996), The Econometrics of Panel Data: Handbook of Theory and Applications, Second Revised Edition, Kluwer Academic Publishers, Dordrecht, pp. 449-490. Pseudo Panel Data, in: L. Mátyás and P. Sevestre, eds. (1992), The Econometrics of Panel Data: 6

Handbook of Theory and Applications, Kluwer Academic Publishers, Dordrecht, pp. 303-315. Incomplete Panels and Selection Bias (with Th.E. Nijman), in: L. Mátyás and P. Sevestre, eds. (1992), The Econometrics of Panel Data: Handbook of Theory and Applications, Kluwer Academic Publishers, Dordrecht, pp. 262-302. Can Cohort Data Be Treated as Genuine Panel Data? (with Th.E. Nijman), in: B. Raj and B.H. Baltagi, eds.(1992), Panel Data Analysis, Physica-Verlag Heidelberg, pp. 9-23. The Design of Panel Surveys and the Treatment of Missing Observations, unpublished Ph.D. thesis, Tilburg University, 220 pages, 1991 (available upon request) OTHER PUBLICATIONS Hedgefondsen en private equity in Nederland, 2007, Den Haag: Ministerie van Financien (with A. de Jong, P. Roosenboom and P. Verwijmeren). Hedgefondsen: Prestaties uit het verleden bieden verwachtingen voor de toekomst. MAB, 79(4), 168-173, 2005 (with J.R. ter Horst). Money Flows and Performance of Hedge Funds, Aenorm, Vol. 11 (43), pp. 37-42, 2004 (with G. Baquero). De Wet van Murphy in de Aandelenmarkt, VBA Journaal, Vol. 20 (Winter 2004), pp. 24-29 (with W. Marquering). Over de Performance van Beleggingsfondsen, Medium Econometrische Toepassingen, Vol. 9 (3), pp. 6-10, 2001. Onweerlegbaar Bewijs? Over het Belang en de Waarde van Empirisch Onderzoek voor Financierings- en Beleggingsvraagstukken, Oratie Erasmus Universiteit Rotterdam, 21 June 2002. Random Effects and Random Coefficients in Econometrics, in: T.A.B. Snijders et al., eds., Symposium Statistische Software 7, 9 November 1995, iec ProGAMMA, Groningen, pp. 153-165, 1995 Financiële Instrumenten ter Reductie van het Mestoverschot in de Varkenshouderij (in dutch), Economisch Instituut Tilburg (with J.P. Elhorst, J.R. Magnus en G.J. Thijssen), 1990 Selective Nonresponse in Panel Data, Tinbergen Institute Research Bulletin, Vol. 1, pp. 149-159, 1989 the Netherlands (2000) PhD SUPERVISION 7

[20] Teodor Dyakov, 2013, planned. [19] Simon Lansdorp, 2012, On Risks and Opportunities in Financial Markets (Erasmus University Rotterdam) [18] Melissa Porras Prado, 2012, The Long and Short Side of Real Estate, Real Estate Stocks, and Equity (Erasmus University Rotterdam) [17] Yu Wang, 2011, Information Content of Mutual Fund Portfolio Disclosure (Erasmus University Rotterdam) [16] Ying Xu, 2010, Empirical Essays on the Stock Returns, Risk Management, and Liquidity Creation of Banks (Erasmus University Rotterdam) [15] Xiaohong Huang, 2010, An Analysis of Occupational Pension Provision: From Evaluation to Redesign (Erasmus University Rotterdam) [14] Diana Budiono, 2010, The Analysis of Mutual Fund Performance: Evidence from U.S. Equity Mutual Funds (Erasmus University Rotterdam) [13] Patrick Verwijmeren, 2008, Empirical Essays on Debt, Equity, and Convertible Securities (Erasmus University Rotterdam) [12] Gerben de Zwart, 2008, Empirical Studies on Financial Markets: Private Equity, Corporate Bonds and Emerging Markets (Erasmus University Rotterdam) [11] Ronald Doeswijk, 2008, Ape or Art Investment Strategies (Erasmus University Rotterdam) [10] Francisco Ravazzolo, 2007, Forecasting Financial Time Series using Model Averaging (Erasmus University Rotterdam) [9] Joop Huij, 2007, New Insights into Mutual Funds: Performance and Family Strategies (Erasmus University Rotterdam) [8] Guillermo Baquero, 2006, On Hedge Fund Performance, Capital Flows and Investor Psychology (Erasmus University Rotterdam) [7] Erik Kole, 2006, On Crises, Crashes and Comovements (Erasmus University Rotterdam) [6] Rembert De Blander, 2006, Essays on Endogeneity and Parameter Heterogeneity in Cross-Section and Panel Data (KU Leuven) [5] Wim Koevoets, 2004, Essays on Unions, Wages and Employment (KU Leuven) [4] Peter de Goeij, 2003, Modeling Time-Varying Volatility and Interest Rates (KU Leuven) [3] Laurens Swinkels, 2003, Empirical Analysis of Investment Strategies for Institutional Investors (Tilburg University) [2] Wessel Marquering, 2001, Modeling and Forecasting Stock Market Returns and Volatility (KU Leuven) [1] Jenke ter Horst, 1998, Longitudinal Analysis of Mutual Fund Performance (Tilburg University) 8