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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SSRN CITATIONS
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Top 17,506

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25

CROSSREF CITATIONS

32

Scholarly Papers (9)

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 2,396 (6,200)

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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 - Tilburg University School of Economics and Management and APG Asset Management
Downloads 2,368 (6,316)
Citation 23

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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 1,360 (15,535)
Citation 9

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

4.
Downloads 667 ( 43,235)
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 (68,697)
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 (163,872)
Citation 1

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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 446 (72,040)
Citation 6

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

6.

The Information Content of Commodity Futures Markets

Number of pages: 65 Posted: 05 Apr 2019 Last Revised: 31 Dec 2019
Rómulo Alves and Marta Szymanowska
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM) and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 358 (93,069)
Citation 1

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

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 245 (139,882)

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

8.

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 39 (474,622)

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

9.

Persistent Predictors and the Cross-Section of Stock Returns

Number of pages: 70 Posted: 05 Sep 2019 Last Revised: 04 May 2020
Devraj Basu and Marta Szymanowska
SKEMA Business School - Lille Campus and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 37 (483,607)

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