Martijn Boons

Nova School of Business and Economics

Assistant Professor

Campus de Carcavelos

Rua da Holanda, 1

Carcavelos, 2775-405

Portugal

SCHOLARLY PAPERS

14

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14,453

SSRN CITATIONS
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Top 8,212

in Total Papers Citations

188

CROSSREF CITATIONS

21

Scholarly Papers (14)

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
Nova School of Business and Economics and Nova School of Business and Economics
Downloads 4,222 (4,624)
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.

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, Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,777 (18,477)
Citation 4

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

3.

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
Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 1,588 (21,924)
Citation 9

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

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 44 Posted: 18 Feb 2021 Last Revised: 21 Nov 2022
University of Pennsylvania - The Wharton School, Nova School of Business and Economics, University of Rochester - Simon Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,299 (29,149)
Citation 4

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Mispricing, Price Wedges, Tobin’s q, Real Misallocation

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, Nova School of Business and Economics, University of Rochester and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 0
Citation 6
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5.

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

Journal of Finance, Forthcoming
Number of pages: 113 Posted: 08 Oct 2020 Last Revised: 16 Jul 2023
Nova School of Business and Economics, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,003 (43,000)
Citation 6

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

6.
Downloads 916 (48,753)
Citation 35

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
Nova School of Business and Economics, Brown University, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 658 (74,624)
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
Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 258 (219,402)
Citation 1

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

7.

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
Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 864 (52,814)
Citation 13

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

8.

Persistent and Transitory Components of Characteristics: Implications for Asset Pricing

Number of pages: 87 Posted: 06 Mar 2020 Last Revised: 14 Feb 2023
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
Indiana University - Kelley School of Business, Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 842 (54,709)
Citation 3

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Characteristics, Persistent-Transitory Decomposition, Cross-Sectional Return Predictability, Discount Rates, Asset Pricing Tests

9.

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
Nova School of Business and Economics
Downloads 681 (72,430)
Citation 11

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

10.

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, Nova School of Business and Economics and ESCP Business School
Downloads 506 (105,026)
Citation 8

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

11.

Macroeconomic Announcements and the News that Matters Most to Investors

Number of pages: 70 Posted: 09 Nov 2022 Last Revised: 30 Apr 2024
Samia Badidi, Martijn Boons and Rik Frehen
Tilburg University - Department of Finance, Nova School of Business and Economics and Tilburg University - Department of Finance
Downloads 318 (177,888)

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Macroeconomic Announcements, News, Price Impact, Discount Rate and Cash Flow Components, Risk Premia

12.

Excess Volatility in Professional Stock Return Forecasts

Number of pages: 82 Posted: 14 Aug 2023 Last Revised: 29 Feb 2024
Nova School of Business and Economics, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 218 (259,557)

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Macroeconomic Shocks, Stock Return Forecasts, Time-Varying Discount Rates, Real Uncertainty, Excess Volatility

13.

The Response of Equity Yields to a Long-Run Shock

Number of pages: 70 Posted: 11 May 2023 Last Revised: 17 Jan 2024
Nova School of Business and Economics, Board of Governors of the Federal Reserve System, University of Iowa - Department of Finance and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 178 (311,935)

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Equity term structure, TFP news shock, equity yields, dividend growth, discount rate

14.

When do Investors Care About Fund Performance?

Number of pages: 54 Posted: 10 Apr 2024 Last Revised: 11 Apr 2024
Samia Badidi, Martijn Boons and Rafael Zambrana
Tilburg University - Department of Finance, Nova School of Business and Economics and University of Notre Dame - Mendoza College of Business
Downloads 41 (775,054)

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Daily fund flows, performance, mutual funds, smart money, flow-performance sensitivity, loss-aversion, market returns