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

8

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CITATIONS
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22

Scholarly Papers (8)

1.

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 2,114 (4,439)
Citation 10

Abstract:

reverse convertible bonds, reverse exchangeable securities, structured products

2.

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 - Center and Faculty of Economics and Business Administration and APG Asset Management
Downloads 1,566 (5,730)
Citation 9

Abstract:

Futures contracts, Commodities, Risk premia, Portfolio sorts

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
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 (13,929)

Abstract:

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

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
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 228 (108,986)

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 179 (137,178)

Abstract:

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

5.

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 319 (65,177)
Citation 2

Abstract:

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

6.

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 225 (110,396)
Citation 1

Abstract:

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

7.

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 24 (394,297)

Abstract:

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

8.

Disentangling Persistence from Predictability in Asset Pricing

Posted: 15 Feb 2011 Last Revised: 03 Feb 2015
Devraj Basu and Marta Szymanowska
SKEMA Business School - Lille Campus and Erasmus University Rotterdam (EUR) - Department of Finance

Abstract:

asset pricing, persistent predictors, stochastic discount factor bounds, conditioning information