Marta Szymanowska

Erasmus University Rotterdam (EUR) - Department of Finance

P.O. Box 1738

3000 DR Rotterdam

Netherlands

http://www.rsm.nl/mszymanowska

Erasmus Research Institute of Management (ERIM)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

9

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8,762

SSRN CITATIONS
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SSRN RANKINGS

Top 13,817

in Total Papers Citations

49

CROSSREF CITATIONS

35

Scholarly Papers (9)

1.

An Anatomy of Commodity Futures Risk Premia

AFA 2010 Atlanta Meetings Paper, Journal of Finance, Vol. 69, No. 1, pp. 453-482, 2014
Number of pages: 73 Posted: 17 Feb 2009 Last Revised: 11 May 2014
Erasmus University Rotterdam (EUR) - Department of Finance, Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management and APG Asset Management
Downloads 2,697 (6,986)
Citation 34

Abstract:

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Futures contracts, Commodities, Risk premia, Portfolio sorts

2.

Reverse Convertible Bonds Analyzed

Journal of Futures Markets, Vol. 29, No. 10, pp. 895-919, 2009
Number of pages: 31 Posted: 07 Sep 2006 Last Revised: 28 Mar 2012
Marta Szymanowska, Jenke ter Horst and Chris Veld
Erasmus University Rotterdam (EUR) - Department of Finance, TIAS School for Business and Society and Monash University
Downloads 2,457 (8,089)
Citation 2

Abstract:

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reverse convertible bonds, reverse exchangeable securities, structured products

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
Tilburg University, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 1,494 (17,841)
Citation 9

Abstract:

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

4.
Downloads 787 ( 44,850)
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
Martijn Boons, Fernando Duarte, Frans de Roon and Marta Szymanowska
Tilburg University, Brown University, Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 564 (68,314)
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 223 (190,971)
Citation 1

Abstract:

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

5.

The Information Content of Commodity Futures Markets

Number of pages: 65 Posted: 05 Apr 2019 Last Revised: 31 Dec 2019
Romulo Alves and Marta Szymanowska
SKEMA Business School and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 477 (84,913)
Citation 2

Abstract:

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commodity futures markets, time-series predictability, informativeness of prices, macroeconomic fundamentals

6.

The Cross-Section of Commodity Futures Returns

Number of pages: 40 Posted: 15 Nov 2006 Last Revised: 13 Mar 2010
Frans de Roon and Marta Szymanowska
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 477 (84,913)
Citation 7

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futures, consumption-based model, ultimate consumption risk, production-based model

7.

Asset Pricing Restrictions on Predictability: Frictions Matter

Management Science, Vol. 58, No. 10, pp. 1916-1932, 2012
Number of pages: 32 Posted: 04 Mar 2005 Last Revised: 10 May 2014
Frans de Roon and Marta Szymanowska
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 256 (167,669)
Citation 1

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time-series predictability, cross-sectional predictability, asset pricing tests, market frictions

8.

Persistent Expected Returns and the Cross-Section of Stock Returns

Number of pages: 65 Posted: 05 Sep 2019 Last Revised: 08 Apr 2022
Devraj Basu and Marta Szymanowska
SKEMA Business School - Lille Campus and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 74 (434,417)

Abstract:

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persistent expected returns, stochastic discount factor bounds, asset pricing tests, conditioning information

9.

Supplementary Material for 'Asset Pricing Restrictions on Predictability: Frictions Matter'

Number of pages: 8 Posted: 20 Feb 2011 Last Revised: 19 Nov 2011
Frans de Roon and Marta Szymanowska
Tilburg University - Department of Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 43 (557,824)

Abstract:

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Out-of-Sample Predictability, Asset Pricing Tests, Market Frictions