Curriculum Vitae Laura Spierdijk

Curriculum Vitae Laura Spierdijk

Date of birth: December 16, 1976

Place of birth: Heemstede, The Netherlands Nationality: Dutch

Working address: University of Groningen, Faculty of Economics and Business, Department of Economics, Econometrics and Finance, P.O. Box 800, NL-9700 AV, Groningen, The Netherlands.

Phone: +31 50 363 5929; Fax: +31 50 363 3720. E-mail: [email protected]

Education

• Ph.D. in Financial Econometrics (2003), Tilburg University, Netherlands. • M.Sc. Mathematics (2000), Free University Amsterdam (cum laude). • M.A. Econometrics (1999), Free University Amsterdam (cum laude). • Pre-university education (‘VWO’, 1995), College Hageveld, Heemstede.

Other professional qualifications

• Course ‘Supervision of PhD students’, University of Groningen (2008). • Academic teaching qualification University of Twente (2005).

• Course ‘Principles of teaching in English: intercultural differences in an ed-ucational setting’, University of Twente (2005).

Working experience

• Rosalind Franklin Fellow, University of Groningen, Faculty of Economics and Business, Department of Economics, Econometrics and Finance, 2006 – present.

• Assistant Professor, Department of Applied Mathematics & FELab, Univer-sity of Twente, 2004 – 2006.

• Researcher at the Pensioen- en Verzekeringskamer (Dutch Pension and In-surance Supervisory Authority) and De Nederlandsche Bank, 2003 – 2004.

• Assistant Professor of SEQF (Statistics, Econometrics, and Quantitative Fi-nance), Tilburg University, Faculty of Economics and Business Administra-tion, Department of Econometrics and Operations Research, 2003 – 2004. • PhD student, Tilburg University, Faculty of Economics and Business

Ad-ministration, Department of Econometrics and Operations Research, 1999 – 2003.

• Research Assistant prof. dr. P. Nijkamp (MASTER-POINT, Department of Spatial Economics, Faculty of Economics and Business Administration, Free University of Amsterdam), 1998 – 1999.

• Research Assistant prof. dr. H.C. Tijms (Department of Econometrics and Operations Research, Faculty of Economics and Business Administration, Free University of Amsterdam), 1997 – 1998.

Other professional activities

• Co-organizer of the IEE seminar at University of Groningen, 2006 – present. • Organizer of FELab seminar at University of Twente, 2005 – 2006.

• Member Educational Board, Department of Applied Mathematics, Univer-sity of Twente, 2005 – 2006.

• Board member W.S.G. Abacus (‘studievereniging wiskunde’), University of Twente, 2005 – 2006.

• Member Educational Board, Division of Mathematics and Computer Sci-ence, Faculty of SciSci-ence, Free University Amsterdam, 1997 – 1999.

Teaching and thesis supervision

• Risk Insurance (University of Groningen, 2009 – 2011), Risk Management for MFIs (course taught at the Central Bank of Rwanda, 2009), Enterprise Risk Management (Master of Actuarial Finance, Imperial College London, 2008), Applied Statistics for Econometrics (University of Groningen, 2006 – 2011), Modelling (University of Groningen, 2006 – 2008), Introduction to Actuarial Science (University of Groningen, 2007 – 2011), Medical Statis-tics & Epidemiology (University of Twente, 2005 & 2006), Financial Econo-metrics (University of Twente, 2005 & 2006), Generalized Linear Mod-els (University of Twente, 2004 & 2005), Statistics and Probability Theory (Tilburg University, 2000 – 2005), Introductory Econometrics (Tilburg Uni-versity, 2002).

• Supervision of ‘Multidisciplinary Consultancy Assignment’ in cooperation with Interpolis (2005).

• Bachelor thesis supervision (2005 – present).

• Master thesis supervision in cooperation with e.g. De Nederlandsche Bank, Interpolis, ABP, ABN Amro, Rabobank, Aegon, Achmea, Towers Watson, and Deloitte (2000 – present).

• PhD thesis supervision: Rients Galema (jointly with Robert Lensink), Tomek Katzur (jointly with Robert Lensink), Eelco Zandberg (Netspar funded), and Zaghum Umar (Netspar funded).

Refereeing

Journal of Econometrics; Journal of International Money and Finance; Journal of Money, Credit and Banking; Journal of Applied Econometrics; Journal of Em-pirical Finance; Applied Economics; The Econometrics Journal; Statistica Neer-landica; Journal of Financial Econometrics; The Financial Review; Journal of Pen-sion Fund Economics and Finance; Econometric Reviews; Empirical Economics; Contemporary Economic Policy; Emerging Markets Finance and Trade; Land Eco-nomics; Journal of Financial Stability; Computational Statistics and Data Analysis; Statistical Methodology.

Recent conference participation

Netspar International Pension Workshop (2011), CIBIF Workshop on Financial Systems and Macroeconomics (2010), Australasian Banking and Finance Confer-ence (2009).

Visiting positions

• Visit Tanaka Business School at Imperial College, United Kingdom, to teach Enterprise Risk Management in the Master of Actuarial Finance and to co-operate with Karim Abadir (June–July 2008).

• Research visit Stockholm School of Economics, Sweden (guest of Mark Voorneveld in 2008).

• Research visit Tanaka Business School at Imperial College, United Kingdom (guest of prof. K.M. Abadir in 2006, 2007, 2011).

• Research visit University of York, United Kingdom (guest of prof. K.M. Abadir in 2003 and 2005).

• Visiting Scholar, New York University, Department of Finance, Stern School of Business, New York, USA (2002).

Main research interests

Applied econometrics in the area of pensions, insurance, and finance.

Research grants

Netspar theme grant of 250,000 euro (2009 – 2012) for the project ‘The Influence of Market Imperfections on the Recovery Strategies for Pension Funds’ (including two PhD-students).

Recent publications

• Bikker, J.A., S. Shaffer, and L. Spierdijk (2011). Assessing Competition with the Panzar-Rosse Model: The Role of Scale, Costs, and Equilibrium. ForthcomingReview of Economics and Statistics.

• Koetter, M., J. Kolari and L. Spierdijk (2011). Enjoying the Quiet Life un-der Deregulation? Evidence from Adjusted Lerner Indices for U.S. Banks. ForthcomingReview of Economics and Statistics.

• Galema, R., B.W. Lensink, and L. Spierdijk (2011). International Diversi-fication and Microfinance,Journal of International Money and Finance30, 507-515.

• Scholtens, L.J.R. and L. Spierdijk (2010). Does Money Grow on Trees? The Diversification Properties of US Timberland Investments. Land Economics 86, 514-529.

• Bikker, J.A, L. Spierdijk, and P.J. van der Sluis (2010). What Factors In-crease the Risk of Incurring High Market Impact Costs?Applied Economics 42, 369-387.

• Spierdijk, L., A.G.C. van Lomwel and W. Peppelman (2009). The Determi-nants of Sick Leave Durations of Dutch Self-Employed. Journal of Health Economics28, 1185-1196.

• Spierdijk, L. and M. Voorneveld (2009). Superstars without talent? The Yule distribution controversy.Review of Economics and Statistics91, 648-652. • Spierdijk, L. and M.H. Vellekoop (2009). The Structure of Bias in Peer

Vot-ing Systems: Lessons from the Eurovision Song Contest. Empirical Eco-nomics36, 403-425.

Media exposure

Main topics: timberland investment funds and the voting behavior during the Eu-rovision Song Contest.

• TV:Netwerk (2007) and Kassa (2007) about timberland investment funds. • Newspapers: Cited in many Dutch newspapers, among which Het

Finan-cieele Dagblad (front page, August 2008). I also published two columns in the newspaper Trouw.

• Radio: Several interviews, among which an interview on Radio 2 (about timberland investment funds).

References

• Ruud H. Koning, professor of sports economics, Department of Economics, Econometrics and Finance, University of Groningen, The Netherlands.

• Karim M. Abadir, professor of financial econometrics, Tanaka Business School, Imperial College London, United Kingdom.

Languages

Dutch (native language), English (fluent), French (fluent), German (fluent).

Computer and programming skills

Complete list of publications and working papers

Bikker, J.A., S. Shaffer, and L. Spierdijk (2011). Assessing Competition with the Panzar-Rosse Model: The Role of Scale, Costs, and Equilibrium. Forthcoming Review of Economics and Statistics.

Koetter, M., J. Kolari and L. Spierdijk (2011). Enjoying the Quiet Life under Deregulation? Evidence from Adjusted Lerner Indices for U.S. Banks. Forthcom-ingReview of Economics and Statistics.

Galema, R., B.W. Lensink, and L. Spierdijk (2011). International Diversification and Microfinance.Journal of International Money and Finance30, 507-515. Scholtens, L.J.R. and L. Spierdijk (2010). Does Money Grow on Trees? The Diver-sification Properties of US Timberland Investments.Land Economics86, 514-529. Bikker, J.A, L. Spierdijk, and P.J. van der Sluis (2010). What Factors Increase the Risk of Incurring High Market Impact Costs?Applied Economics42, 369-387. Spierdijk, L., A.G.C. van Lomwel and W. Peppelman (2009). The Determinants of Sick Leave Durations of Dutch Self-Employed. Journal of Health Economics28, 1185-1196.

Spierdijk, L. and M. Voorneveld (2009). Superstars without talent? The Yule dis-tribution controversy.Review of Economics and Statistics91, 648-652.

Spierdijk, L. and M.H. Vellekoop (2009). The Structure of Bias in Peer Voting Systems: Lessons from the Eurovision Song Contest. Empirical Economics36, 403-425.

Spierdijk, L. (2008). Nonparametric Conditional Hazard Rate Estimation: A Local Linear Approach.Computational Statistics and Data Analysis52, 2419-2434. Bikker, J.A., L. Spierdijk, R.P.M.M. Hoevenaars, and P.J. van der Sluis (2008). Forecasting Market Impact Costs and Identifying Expensive Trades. Journal of Forecasting27, 21-39.

Bikker, J.A, L. Spierdijk, and P.J. van der Sluis (2007). Market Impact Costs of Institutional Equity Trades.Journal of International Money and Finance26, 974-1000.

Scholtens, L.J.R. and L. Spierdijk (2007). Lemons and Timber. The Case of Trop-ical Timber Investment Funds in the Netherlands.Philosophica80.

Spierdijk, L. (2004). An Empirical Analysis of the Role of the Trading Intensity in Information Dissemination on the NYSE.Journal of Empirical Finance11, 163-184.

Nijkamp, P., P. Rietveld and L. Spierdijk (2000). A Meta-Analytic Comparison of Determinants of Public Transport Use: Methodology and Application. Environ-ment and Planning B: Planning and Design, 27, 893-903.

Nijkamp, P., P. Rietveld and L. Spierdijk (2000).Classification Techniques in Com-parative Research: A Comparison. Advances in Spatial Research, Ed. A. Reggiani, Berlin, Springer Verlag.

Other publications

Spierdijk, L. (2011). Does Money Grow on Trees? AElementair 10, 2-5.

Spierdijk, L., J.A. Bikker and P. van den Hoek (2010). Herstel aandelenmarkten niet vanzelfsprekend.ESB4588.

Bouma, G. and L. Spierdijk (2010). Solvabiliteitseisen bieden onvoldoende zeker-heid.ESB4585.

Bikker, J.A. and L.Spierdijk (2008). Determinanten van bancaire concurrentie. ESB4530.

Scholtens, L.J.R. and L. Spierdijk (2007). Teak, tranen en toezicht.Trouw, August 1, 2007.

Spierdijk, L. (2007). ‘Geef toe, Nederland had afgezaagd liedje. Was bij het songfestival sprake van vriendjespolitiek? Wellicht. Het liedje kan ook echt de beste zijn geweest’.Trouw, 16 mei 2007.

Bikker, J.A. and L. Spierdijk (2007). De marktmacht van grote banken.ESB4507. Spierdijk, L. and M.H. Vellekoop (2006). Politiek, cultuur, taal en religie. Een analyse van het stemgedrag tijdens het Eurovisie Songfestival.STAtOR1, 24-31. Spierdijk, L. (2005). Pensioenen nu en in de toekomst,ESB4474, 478-480. Bikker, J.A. and L. Spierdijk (2004). Invloed Institutionele Beleggers op Beursko-ersen.Bank- en Effectenbedrijf 6, 12-15.

Spierdijk, L. (2004). Book Review of ‘On Global Aging, Old-Age Income Systems in the EU and other major Parts of the World’ by Jan B. Kun´e, In: De Economist 152, 310-312.

Spierdijk, L. (2001). High-Frequency Data: Ontwikkelingen en Toepassingen. STAtOR2, 8-10.

Working papers

Spierdijk, L. and R.H. Koning (2011). Claim Reserving in a Multi-State Model. A Simulation Approach.

Katzur, T.M. and L. Spierdijk (2011). Are Stocks Exposed to Inflation Risk? A Bayesian Approach.

Umar, Z. and L. Spierdijk (2011). Are Commodities a Good Hedge Against Infla-tion? A Comparative Approach.

Zandberg, E.D. and L. Spierdijk (2011). Funding of Pensions and Economic growth: Are They Really Related?

Shaffer, S. and L. Spierdijk (2011). Further Properties of the Panzar Rosse Test for Competition.

Spierdijk, L., Bikker, J.A. and P. van den Hoek (2010). Mean Reversion in Inter-national Stock Markets: An Empirical Analysis of the 20th Century.

Complete list of conference participation

Market Microstructure and High-Frequency Data Conference, Center of Analytical Finance, University of Arhus, Denmark (2001, presenter).

15-th Australasian Finance and Banking Conference, University of New South Wales, Sydney, Australia, (2001, presenter).

Les Journ´ees de Statistique, Universit´e Libre de Bruxelles, Universit´e Catholique de Louvain-la-Neuve, Belgium (2002, invited speaker).

Market Microstructure Conference, International Center for Finance, Yale School of Management, USA (2002, presenter).

Econometric Society European Meeting (ESEM), Venice, Italy (2002, presenter). Northern Finance Association, University of Alberta School of Business, Banff, Canada (2002, presenter & discussant).

De Nederlandsche Bank, Amsterdam, The Netherlands (2003, discussant). Young Financial Researchers Day, Leuven, Belgium (2003, presenter).

The Econometrics of Market Microstructure, Tilburg University, Tilburg, The Nether-lands (2004, presenter).

ERIM Symposium ‘Trading in Financial Markets’, Erasmus University, Rotter-dam, The Netherlands (2004, invited speaker).

Annual Meeting of the European Finance Association (EFA), Maastricht (2004, paper presented by co-author).

European University Viadrina, Frankfurt an der Oder, Germany (2004, presenter). Finance Day, Erasmus University, Rotterdam (2004, presenter).

Symposium ‘Tijd voor tijd’, University of Twente (2005, invited speaker).

‘Pensioendag’, Erasmus Center for Financial Research and Netspar (2005, co-organizer).

World Conference Computational Statistics and Data Analysis, Limassol, Cyprus (2005, presenter).

Dauphine Workshop on Market Microstructure, Paris, France (2006, presenter & discussant).

INQUIRE Europe and INQUIRE UK Joint Automn Seminar, Germany, Hamburg (2006, invited speaker).

SWX Conference, Switzerland, Zurich (2006, presenter & discussant).

EFMA Conference on Behavioral Finance, United Kingdom, Durham (2006, pre-senter).

Mathematical PhD Day, Utrecht University, Utrecht (2006, invited speaker). Econometric Society European Meeting (ESEM), Vienna, Austria (2006, presen-ter).

Finance day, Erasmus University Rotterdam (2007, invited speaker)

Western Economic Association International, Seattle, United States (2007, presen-ter).

Econometric Society European Meeting (ESEM), Budapest, Hungary (2007, pre-senter).

European Economic Association (EEA), Budapest, Hungary (2007, presenter). Centre for International Banking, Insurance and Finance, ‘Integrating Micro- and Macroeconomic Perspectives on Financial Stability’, University of Groningen, The Netherlands (2008, co-organizer).

Australasian Banking and Finance Conference, Sydney, Australia (2009, presenter & discussant).

Netspar Pension Workshop, Amsterdam, The Netherlands (2010, discussant). Centre for International Banking, Insurance and Finance, ‘CIBIF Workshop on Fi-nancial Systems and Macroeconomics’, University of Groningen, The Netherlands (2010, presenter).