Martijn Boons

New University of Lisbon - Nova School of Business and Economics

Assistant Professor

Campus de Campolide

Lisbon, 1099-032

Portugal

SCHOLARLY PAPERS

6

DOWNLOADS
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CITATIONS

1

Scholarly Papers (6)

1.

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
New University of Lisbon - Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 957 (13,911)

Abstract:

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

2.

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

Number of pages: 70 Posted: 30 Oct 2014 Last Revised: 14 Apr 2016
Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics and London School of Economics & Political Science (LSE)
Downloads 492 (46,432)

Abstract:

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

Time-Varying Inflation Risk and the Cross Section of Stock Returns

FRB of New York Staff Report No. 621
Number of pages: 61 Posted: 04 Jun 2013
New University of Lisbon - Nova School of Business and Economics, Federal Reserve Bank of New York, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 255 (99,369)

Abstract:

inflation, time-varying inflation risk premium, inflation hedging, 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
New University of Lisbon - Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 182 (138,957)

Abstract:

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

4.

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
New University of Lisbon - Nova School of Business and Economics
Downloads 177 (77,518)
Citation 1

Abstract:

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

5.

Basis-Momentum in the Futures Curve and Volatility Risk

Number of pages: 79 Posted: 02 Apr 2015 Last Revised: 20 Dec 2016
Martijn Boons and Melissa Porras Prado
New University of Lisbon - Nova School of Business and Economics and Nova School of Business and Economics
Downloads 165 (15,318)

Abstract:

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

6.

Time-Varying Predictability of Consumption Growth, Macro-Uncertainty, and Risk Premiums

Number of pages: 51 Posted: 17 Mar 2017 Last Revised: 18 Aug 2017
Pedro Barroso, Martijn Boons and Paul Karehnke
UNSW Australia Business School, School of Banking and Finance, New University of Lisbon - Nova School of Business and Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 0 (275,350)

Abstract:

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