Mathijs Cosemans

Mathijs Cosemans

Associate Professor of Finance

Rotterdam School of Management, Erasmus University

About me

I am an Associate Professor of Finance at the Rotterdam School of Management, Erasmus University. Prior to joining RSM, I was a postdoctoral research fellow at the University of Amsterdam and a visiting research fellow at Harvard Business School and Columbia Business School. I received my PhD in Financial Economics from Maastricht University.

My research focuses on empirical asset pricing, behavioral finance, climate finance, and financial econometrics and has been published in the Journal of Financial Economics, the Review of Financial Studies, and the Journal of Banking and Finance.


  • Empirical Asset Pricing
  • Behavioral Finance
  • Climate Finance
  • Financial Econometrics
  • Asset Management


  • PhD in Financial Economics, 2010

    Maastricht University

  • MSc in Econometrics and Operations Research, 2005

    Maastricht University

  • MSc in Financial Economics, 2005

    Maastricht University

  • BSc in Business Economics, 2003

    Maastricht University


Salience Theory and Stock Prices: Empirical Evidence

We present evidence on the asset pricing implications of salience theory. In our model, investors overweight salient past returns when forming expectations about future returns. Consequently, investors are attracted to stocks with salient upsides, which are overvalued and earn low subsequent returns. Conversely, stocks with salient downsides are undervalued and yield high future returns. We find empirical support for these predictions in the cross section of U.S. stocks. The salience effect is stronger among stocks with greater limits to arbitrage and during high-sentiment periods. Our results are not explained by common risk factors, return reversals, lottery demand, and attention-grabbing news events.

Estimating Security Betas using Prior Information Based on Firm Fundamentals

We propose a hybrid approach for estimating beta that shrinks rolling window estimates towards firm-specific priors motivated by economic theory. Our method yields superior forecasts of beta that have important practical implications. First, hybrid betas carry a significant price of risk in the cross-section even after controlling for characteristics, unlike standard rolling window betas. Second, the hybrid approach offers statistically and economically significant out-of-sample benefits for investors who use factor models to construct optimal portfolios. We show that the hybrid estimator outperforms existing estimators because shrinkage towards a fundamentals-based prior is effective in reducing measurement noise in extreme beta estimates.

Conditional Asset Pricing and Stock Market Anomalies in Europe

This study provides European evidence on the ability of static and dynamic specifications of the Fama and French (1993) three-factor model to price 25 size-B/M portfolios. In contrast to US evidence, we detect a small-growth premium and find that the size effect is still present in Europe. Furthermore, we document strong time variation in factor risk loadings. Incorporating these risk fluctuations in conditional specifications of the three-factor model clearly improves its ability to explain time variation in expected returns. However, the model still fails to completely capture cross-sectional variation in returns as it is unable to explain the momentum effect.

Option Trading and Individual Investor Performance

This paper examines the impact of option trading on individual investor performance. The results show that most investors incur substantial losses on their option investments, which are much larger than the losses from equity trading. We attribute the detrimental impact of option trading on investor performance to poor market timing that results from overreaction to past stock market returns. High trading costs further contribute to the poor returns on option investments. Gambling and entertainment appear to be the most important motivations for trading options while hedging motives only play a minor role. We also provide strong evidence of performance persistence among option traders.

Working Papers

Climate Change and Long-Horizon Portfolio Choice: Combining Theory and Empirics

We propose a novel approach for measuring the impact of climate change on long-horizon equity risk and optimal portfolio choice. Our method combines historical data about the impact of climate change on return dynamics with prior beliefs elicited from the temperature long-run risk (LRR-T) model of Bansal, Kiku, and Ochoa (2019). Our Bayesian framework incorporates this prior information to obtain more precise estimates of long-term climate risks than existing methods that solely rely on historical data. Compared to the benchmark investor without climate change, we document that the LRR-T Bayesian investor predicts higher equity premia for all investment horizons, with per period variance increasing considerably over the horizon. This results in relatively (high) low allocations to equities in the (short) long run. Investors that optimize between portfolios that are vulnerable and non-vulnerable to climate change only diversify in the long run.

How Harmful Is Insider Trading for Outsiders? Evidence from the Eighteenth Century

AFA 2022, 2019 Federal Reserve Board Workshop on Monetary and Financial History, 2018 ESSFM Gerzensee

Ownership Crowded with Style: Institutional Investors and Liquidity Risk

Best Paper Award, FMA Consortium on Hedge Fund Research

Causes and Consequences of Horizon Effects in Correlations

Presented at Annual Meetings of the Econometric Society (ES) and Society for Financial Econometrics (SoFiE)


Derivatives (MSc Finance and Investments)

Financial Modelling (MSc Finance and Investments)