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Spierdijk, Prof. Laura

Laura Spierdijk
Laura Spierdijk

Laura Spierdijk (1976) is Professor of The Econometrics of Pensions, Insurance and Finance at the Faculty of Economics and Business. She specializes in particular in the analysis of the investment policies of institutional investors by means of econometric models. She has conducted research in cooperation with the Dutch ABP pension fund for civil servants into the transaction costs involved in buying and selling shares and developed methods to help pension funds lower these costs.

Spierdijk graduated with distinction in both Econometrics and Mathematics at VU University Amsterdam and gained her PhD at Tilburg in 2003 with a thesis on share transactions at the New York Stock Exchange. She discovered that large share transactions have a greater effect on the price of the share in question if they are conducted at times when a lot of trade is going on rather than at quiet times. Institutional investors and traders can use these findings to split up and plan their large transactions in the best possible way. After she gained her PhD, Spierdijk went on to work for the Pensions and Insurance Supervisory Authority of the Netherlands, De Nederlandsche Bank and the University of Twente, until she was appointed as a Rosalind Franklin Fellow at the Econometrics Department of the University of Groningen in 2006. In 2012, Spierdijk was awarded a Vidi grant by the Netherlands Organisation for Scientific Research (NWO). Since then, she has been working on research into measuring competition in banking and its effect on economic growth and financial stability. Spierdijk regularly publishes opinion articles on the ESB website, for example about sustainability and banks.

Spierdijk has been appointed the NIAS Fellow of the year 2017/2018. After the summer, she will be in residence at the NIAS, het Nederlands Institute for Advanced Study in the Humanities and Social Sciences. Spierdijk will focus her research on the relationship between the size and vitality of banks in the United States.

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Publications

2018

Spierdijk, L., & Bikker, J. A. (2018). Mean reversion in stock prices: Implications for long-term investors. In J. A. Bikker (Ed.), Pension Fund Economics and Finance: Efficiency, investments and risk-taking (pp. 119-139). (Routledge International Studies in Money and Banking). Routledge.
Spierdijk, L., & Umar, Z. (2018). The eligibility of emerging market bonds for pension fund portfolios. In J. A. Bikker (Ed.), Pension fund economics and finance: efficiency, investments and risk-taking (pp. 91-117). (Routledge International Studies in Money and Banking). Routledge.
Spierdijk, L., & Scholtens, B. (2018). We krijgen de banken die we verdienen. Economisch Statistische Berichten, 103(4766S), 94-94.

2017

Spierdijk, L., & Zaouras, M. (2018). Measuring banks’ market power in the presence of economies of scale: A scale-corrected Lerner index. Journal of Banking & Finance, 87, 40-48. https://doi.org/10.1016/j.jbankfin.2017.09.022
Spierdijk, L., Shaffer, S., & Considine, T. (2017). How do banks adjust to changing input prices? A dynamic analysis of U.S. commercial banks before and after the crisis. Journal of Banking & Finance, 85, 1-14. https://doi.org/10.1016/j.jbankfin.2017.07.012
IJtsma, P., & Spierdijk, L. (2017). Systemic risk with endogenous loss given default. Journal of Empirical Finance, 44, 145-157. https://doi.org/10.1016/j.jempfin.2017.09.012
IJtsma, P., Spierdijk, L., & Shaffer, S. (2017). The concentration-stability controversy in banking: New evidence from the EU-25. Journal of Financial Stability, 33, 273-284. https://doi.org/10.1016/j.jfs.2017.06.003
Meijer, E., Spierdijk, L., & Wansbeek, T. (2017). Consistent estimation of linear panel data models with measurement error. Journal of Econometrics, 200(2), 169-180. https://doi.org/10.1016/j.jeconom.2017.06.003
Spierdijk, L., & Zaouras, M. (2017). Bank Risk and Competition: The Other Side of the Story. In J. A. Bikker, & L. Spierdijk (Eds.), Handbook of Competition in Banking and Finance (pp. 52-57). Edward Elgar Publishing.
Bikker, J. A., & Spierdijk, L. (2017). Introduction. In J. A. Bikker, & L. Spierdijk (Eds.), Handbook of Competition in Banking and Finance (pp. 1-7). Edward Elgar Publishing.
Shaffer, S., & Spierdijk, L. (2017). Market power: Competition among measures. In J. A. Bikker, & L. Spierdijk (Eds.), Handbook of Competition in Banking and Finance (pp. 11-26). Edward Elgar Publishing.
Spierdijk, L., & Zaouras, M. (2017). The Lerner Index and Revenue Maximization. Applied Economics Letters, 24(15), 1075-1079. https://doi.org/10.1080/13504851.2016.1254333
Shaffer, S., & Spierdijk, L. (2017). The Panzar-Rosse Revenue Test and Market Power in Banking: An Empirical Illustration. In J. A. Bikker, & L. Spierdijk (Eds.), Handbook of Competition in Banking and Finance (pp. 27-45). Edward Elgar Publishing.

2016

Spierdijk, L. (2016). Confidence intervals for ARMA-GARCH Value-at-Risk: The case of heavy tails and skewness. Computational Statistics & Data Analysis, 100, 545-559. https://doi.org/10.1016/j.csda.2014.08.011

2015

Shaffer, S., & Spierdijk, L. (2015). The Panzar-Rosse Revenue Test and Market Power in Banking. Journal of Banking & Finance, 61, 340–347. https://doi.org/10.1016/j.jbankfin.2015.09.019
Spierdijk, L., & Umar, Z. (2015). Stocks, Bonds, T-bills, and Inflation Hedging: From Great Moderation to Great Recession. Journal of Economics and Business, 79, 1-37. https://doi.org/10.1016/j.jeconbus.2014.12.002

2014

Spierdijk, L., & Koning, R. H. (2014). Estimating Outstanding Claim Liabilities: The Role of Unobserved Risk Factors. Journal of risk and insurance, 81(4), 803-830. https://doi.org/10.1111/j.1539-6975.2013.01518.x
Spierdijk, L., & Umar, Z. (2014). Stocks for the long run? Evidence from emerging markets. Journal of International Money and Finance, 47, 217-238. https://doi.org/10.1016/j.jimonfin.2014.06.003
Spierdijk, L., & Umar, Z. (2014). Are commodity futures a good hedge against inflation? Journal of Investment Strategies, 3(2), 35-57.
Meijer, E., Spierdijk, L., & Wansbeek, T. (2014). Measurement error in panel data. In B. H. Baltagi (Ed.), The Oxford Handbook of Panel Data Econometrics Oxford University Press.

2013

Zandberg, E., & Spierdijk, L. (2013). Funding of pensions and economic growth: Are they really related? Journal of Pension Economics & Finance, 12(2), 151-167. https://doi.org/10.1017/S1474747212000224
Meijer, E., Spierdijk, L., & Wansbeek, T. J. (2013). Measurement error in linear dynamic panel data model. In B. C. Sutradhar (Ed.), Longitudinal data analysis subject to measurement error, missing values and/or outliers (pp. 77-92). (Springer Lecture Note Series). Heidelberg: Springer.
Katzur, T., & Spierdijk, L. (2013). Stock returns and inflation risk: Economic vs. statistical evidence. Applied Financial Economics, 23, 1123-1136.

2012

Bikker, J. A., Shaffer, S., & Spierdijk, L. (2012). Assessing competition with the Panzar-Rosse model: the role of scale, costs, and equilibrium. Review of Economics and Statistics, 94(4), 1025-1044.
Koetter, M., Kolari, J. W., & Spierdijk, L. (2012). ENJOYING THE QUIET LIFE UNDER DEREGULATION? EVIDENCE FROM ADJUSTED LERNER INDICES FOR U.S. BANKS. Review of Economics and Statistics, 94(2), 462-480.
Spierdijk, L., Bikker, J. A., & van den Hoek, P. (2012). Mean reversion in international stock markets: An empirical analysis of the 20th century. Journal of International Money and Finance, 31(2), 228-249. https://doi.org/10.1016/j.jimonfin.2011.11.008
Spierdijk, L., & Bikker, J. A. (2012). Mean reversion in stock prices: Implications for long-term investors. Journal of Investment Strategies, 2, 1-12.

2011

Galema, R., Lensink, R., & Spierdijk, L. (2011). International diversification and Microfinance. Journal of International Money and Finance, 30(3), 507-515. https://doi.org/10.1016/j.jimonfin.2011.01.009
Spierdijk, L. (2011). Reactie op: Invloed concurrentie op hypotheekrente. ESB Economisch Statistische Berichten, 4621.

2010

Scholtens, B., & Spierdijk, L. (2010). Does Money Grow on Trees? The Diversification Properties of US Timberland Investments. Land Economics, 86(3), 514-529. https://doi.org/10.3368/le.86.3.514
Spierdijk, L., Bikker, J. A., & van den Hoek, P. (2010). Herstel aandelenmarkten niet vanzelfsprekend. ESB Economisch Statistische Berichten, 4588.
Bouma, G., & Spierdijk, L. (2010). Solvabiliteitseisen bieden onvoldoende zekerheid. ESB Economisch Statistische Berichten, 4585.
Bikker, J. A., Spierdijk, L., & van der Sluis, P-J. (2010). What factors increase the risk of incurring high market impact costs? Applied Economics, 42(3), 369-387. https://doi.org/10.1080/00036840701604461

2009

Spierdijk, L., van Lomwel, G., & Peppelman, W. (2009). The determinants of sick leave durations of Dutch self-employed. Journal of Health Economics, 28(6), 1185-1196. https://doi.org/10.1016/j.jhealeco.2009.07.003
Spierdijk, L., & Voorneveld, M. (2009). Superstars without talent? The Yule distribution controversy. Review of Economics and Statistics, 91(3), 648-652.
Spierdijk, L., & Vellekoop, M. (2009). The structure of bias in peer voting systems: lessons from the Eurovision Song Contest. Empirical Economics, 36(2), 403-425. https://doi.org/10.1007/s00181-008-0202-5
Scholtens, B., & Spierdijk, L. (2009). Lemons and timber. The case of tropical timber investment funds in the Netherlands. Philosophica, 80, 105 - 119.
Bikker, J. A., Spierdijk, L., & van der Sluis, P. J. (2009). What factors increase the risk of incurring high market impact costs? Applied Economics, 42, 369 - 387.

2008

Spierdijk, L. (2008). Nonparametric conditional hazard rate estimation: A local linear approach. Computational Statistics and Data Analysis, 52(5), 2419-2434. https://doi.org/10.1016/j.csda.2007.08.007
Bikker, J. A., Spierdijk, L., Hoevenaars, R. P. M. M., & Van der Sluis, P. J. (2008). Forecasting market impact costs and identifying expensive trades. Journal of Forecasting, 27(1), 21-39. https://doi.org/10.1002/for.1052
Bikker, J. A., & Spierdijk, L. (2008). Determinanten van bancaire concurrentie. Economische Statistische Berichten, 4530.

2007

Bikker, J. A., Spierdijk, L., & van der Sluis, P. J. (2007). Market impact costs of institutional equity trades. Journal of International Money and Finance, 26(6), 974-1000. https://doi.org/10.1016/j.jimonfin.2007.01.007
Bikker, J. A., & Spierdijk, L. (2007). De marktmacht van grote banken. ESB Economisch Statistische Berichten, 4507.

2005

Spierdijk, L. (2005). Pensioenen nu en in de toekomst. ESB Economisch Statistische Berichten, 4474.

2004

Spierdijk, L. (2004). An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE. Journal of Empirical Finance, 11, 163-184.

2000

Nijkamp, P., Rietveld, P., & Spierdijk, L. (2000). A Meta-Analytic Comparison of Determinants of Public Transport Use: Methodology and Application. Environment and planning b-Planning & design, 27, 893-903.
Nijkamp, P., Rietveld, P., & Spierdijk, L. (2000). Classification Techniques in Comparative Research: A Comparison. In A. Reggiani (Ed.), Advances in Spatial Research Springer.
Last modified:26 March 2020 12.14 p.m.
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