Martijn Boons

New University of Lisbon - Nova School of Business and Economics

Assistant Professor

Campus de Campolide

Lisbon, 1099-032

Portugal

  • New University of Lisbon - Nova School of Business and Economics

SCHOLARLY PAPERS

9

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6,603

SSRN CITATIONS
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SSRN RANKINGS

Top 20,504

in Total Papers Citations

29

CROSSREF CITATIONS

17

Scholarly Papers (9)

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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
New University of Lisbon - Nova School of Business and Economics and Nova School of Business and Economics
Downloads 1,993 (8,478)
Citation 10

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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
New University of Lisbon - Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 1,361 (15,546)
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
New University of Lisbon - Nova School of Business and Economics, New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 957 (26,254)
Citation 2

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

4.

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
New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 684 (41,845)
Citation 12

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

5.

Time-Varying Inflation Risk and Stock Returns

Downloads 667 ( 43,300)
Citation 4

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
Martijn Boons, Fernando Duarte, Frans de Roon and Marta Szymanowska
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 460 (68,790)
Citation 4

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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
New University of Lisbon - Nova School of Business and Economics, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 207 (164,074)
Citation 1

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

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
New University of Lisbon - Nova School of Business and Economics
Downloads 464 (68,757)
Citation 10

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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, New University of Lisbon - Nova School of Business and Economics and ESCP Europe - Department of Finance
Downloads 314 (108,013)
Citation 2

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

8.

New and Old Sorts: Implications for Asset Pricing

Number of pages: 73 Posted: 06 Mar 2020 Last Revised: 27 Oct 2020
Fahiz Baba Yara, Martijn Boons and Andrea Tamoni
New University of Lisbon - Nova School of Business and Economics, New University of Lisbon - Nova School of Business and Economics and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 108 (279,901)

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Characteristic-Based Return Predictability, Horizon, Pricing Errors, Tests of Asset Pricing Models, Factors

9.

From Macroeconomic Shocks to Credit Spreads

Number of pages: 75 Posted: 08 Oct 2020
Martijn Boons, Giorgio Ottonello and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 55 (412,977)

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