Martijn Boons

Tilburg University

P.O. Box 90153

Tilburg, DC Noord-Brabant 5000 LE

Netherlands

SCHOLARLY PAPERS

10

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8,319

SSRN CITATIONS
Rank 15,351

SSRN RANKINGS

Top 15,351

in Total Papers Citations

54

CROSSREF CITATIONS

21

Scholarly Papers (10)

1.

Basis-momentum

Journal of Finance, Forthcoming
Number of pages: 82 Posted: 02 Apr 2015 Last Revised: 12 Dec 2017
Martijn Boons and Melissa Porras Prado
Tilburg University and Nova School of Business and Economics
Downloads 2,377 (7,448)
Citation 16

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Basis-momentum, term structure of commodity futures returns, maturity-specific price pressure, commodity factor pricing model, volatility risk

2.

The Price of Commodity Risk in Stock and Futures Markets

AFA 2012 Chicago Meetings Paper
Number of pages: 54 Posted: 18 Mar 2011 Last Revised: 11 May 2014
Martijn Boons, Frans de Roon and Marta Szymanowska
Tilburg University, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 1,427 (16,825)
Citation 9

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Asset pricing, Commodity futures markets, Commodity index investment, Commodity risk premium, Hedging

3.

Value Return Predictability Across Asset Classes and Commonalities in Risk Premia

Number of pages: 82 Posted: 17 Oct 2017 Last Revised: 21 Nov 2019
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
Indiana University - Kelley School of Business, Tilburg University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,256 (20,367)
Citation 4

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Value Premium, Value Spread, Global Asset Pricing, Return Predictability, Alternative Assets, Common and Asset-Class-Specific Value

4.
Downloads 730 ( 43,953)
Citation 10

Time-Varying Inflation Risk and Stock Returns

FRB of New York Staff Report No. 621
Number of pages: 104 Posted: 04 Jun 2013 Last Revised: 29 Aug 2019
Tilburg University, Federal Reserve Bank of New York, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 515 (68,120)
Citation 5

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inflation, time-varying inflation risk premium, inflation hedging, individual stock returns, cross-sectional asset pricing, nominal-real covariance

The Stock Market Price of Inflation Risk and Its Variation over Time

Number of pages: 60 Posted: 14 Mar 2012 Last Revised: 19 Nov 2014
Martijn Boons, Frans de Roon and Marta Szymanowska
Tilburg University, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 215 (178,108)
Citation 1

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Inflation, (Time-Varying) Inflation Risk Premium, Inflation Hedging, Cross-Sectional Asset-Pricing, TIPS, Nominal-Real Covariance

5.

Horizon-Specific Macroeconomic Risks and the Cross-Section of Expected Returns

Number of pages: 62 Posted: 30 Oct 2014 Last Revised: 23 Sep 2017
Martijn Boons and Andrea Tamoni
Tilburg University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 725 (44,429)
Citation 13

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Cross-sectional tests, firm-level stock returns, long horizons, macroeconomic risks, consumption, linear multifactor models

6.

State Variables, Macroeconomic Activity and the Cross-Section of Individual Stocks

Number of pages: 64 Posted: 10 Nov 2012 Last Revised: 09 Jun 2015
Martijn Boons
Tilburg University
Downloads 517 (68,533)
Citation 11

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State variables, Macroeconomic Risk, Linear Asset Pricing Models, Individual Stock Returns, Time-series and Cross-Sectional Consistency

7.

Time-Varying State Variable Risk Premia in an ICAPM

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 17 Mar 2017 Last Revised: 01 Feb 2020
Pedro Barroso, Martijn Boons and Paul Karehnke
CATÓLICA-LISBON School of Business & Economics, Tilburg University and ESCP Business School
Downloads 371 (101,475)
Citation 8

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Conditional Asset Pricing Models, State Variable Risk Premiums, Intertemporal CAPM, Time-Varying Consumption Predictability

Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies

Number of pages: 69 Posted: 18 Feb 2021 Last Revised: 25 Jun 2021
University of Pennsylvania - The Wharton School, Tilburg University, University of Rochester - Simon Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 342 (110,397)

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Dynamic Price Wedges, Build-up, Resolution, Alphas, Persistence

Dynamic Asset (Mis)Pricing: Build-Up vs. Resolution Anomalies

CEPR Discussion Paper No. DP16353
Number of pages: 72 Posted: 14 Jul 2021
University of Pennsylvania - The Wharton School, Tilburg University, University of Rochester and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
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9.

New and Old Sorts: Implications for Asset Pricing

Number of pages: 81 Posted: 06 Mar 2020 Last Revised: 01 Jul 2021
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
Indiana University - Kelley School of Business, Tilburg University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 336 (113,350)
Citation 3

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Characteristics, Persistence, Cross-Sectional Return Predictability, Test Assets, Factor Models

10.

Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality

Number of pages: 84 Posted: 08 Oct 2020 Last Revised: 26 Mar 2021
Tilburg University, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 238 (161,884)

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Credit Spreads, Time-Varying Risk Premia, Macroeconomic Risk, Shocks, Return Predictability