Martin Martens

Erasmus University Rotterdam

Dr.ir.

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

  • Erasmus University Rotterdam

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    • Tel: (+31)10-4088929
SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

Hedging Demand and Market Intraday Momentum

Journal of Financial Economics (JFE), Volume 142, Issue 1, October 2021, Pages 377-403
Number of pages: 60 Posted: 26 Jan 2021 Last Revised: 24 Nov 2021
Guido Baltussen, Zhi Da, Sten Lammers and Martin Martens
Erasmus University Rotterdam (EUR), University of Notre Dame - Mendoza College of Business, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam
Downloads 7,259 (1,518)

Abstract:

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Return momentum, Futures trading, Hedging demand, Return Predictability, Indexing

2.

Predicting Bond Returns: 70 Years of International Evidence

Financial Analysts Journal, 2021, 77(3): 133-155.
Number of pages: 40 Posted: 24 Jun 2020 Last Revised: 23 Nov 2021
Guido Baltussen, Martin Martens and Olaf Penninga
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 2,988 (6,867)
Citation 2

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return predictability, asset pricing, market efficiency, bond risk premia, momentum, value, carry.

3.

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence

Journal of Portfolio Management, forthcoming
Number of pages: 24 Posted: 25 Jun 2021 Last Revised: 24 Nov 2021
Guido Baltussen, Martin Martens and Olaf Penninga
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Robeco Asset Management
Downloads 1,233 (27,268)

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factor investing, bond risk premia, asset pricing, market efficiency, momentum, value, carry, low-risk

4.

Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range

Journal of Financial Econometrics, Vol. 7, Issue 4, pp. 341-372, 2009
Posted: 09 Oct 2009
Karim Bannouh, Dick J. C. van Dijk and Martin Martens
NN Investment Partners, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam

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bias-correction, high-frequency data, market microstructure noise, realized co-range, realized covariance