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

  • Erasmus University Rotterdam (EUR) - Department of Finance

    • Email
    • Tel: +31104089607

  • Erasmus Research Institute of Management (ERIM)

SCHOLARLY PAPERS

12

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9,865

SSRN CITATIONS
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Top 10,535

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107

CROSSREF CITATIONS

36

Scholarly Papers (12)

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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
Marta Szymanowska, Frans de Roon, Theo Nijman and Rob van den Goorbergh
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 3,062 (7,251)
Citation 54

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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: 17 Apr 2023
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 2,659 (8,954)
Citation 2

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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 1,561 (20,800)
Citation 9

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

4.

Time-Varying Inflation Risk and Stock Returns

Downloads 889 (47,071)
Citation 27

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 644 (71,191)
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 245 (215,282)
Citation 1

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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: 63 Posted: 05 Apr 2019 Last Revised: 20 Mar 2023
Romulo Alves and Marta Szymanowska
SKEMA Business School and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 583 (81,554)
Citation 4

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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 516 (94,997)
Citation 8

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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 272 (194,130)
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: 07 Dec 2022
Devraj Basu and Marta Szymanowska
University of Strathclyde - Department of Accounting and Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 118 (404,510)

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

9.

Hedging Macro Risks of Commodity-Dependent Economies

Number of pages: 64 Posted: 05 Dec 2022 Last Revised: 09 Feb 2023
Yifan Ma and Marta Szymanowska
Erasmus University Rotterdam (EUR) - Finance and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 79 (528,419)

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Hedging, Macro risk, Mimicking portfolios, Commodity-dependent economies

10.

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 56 (628,363)

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

11.

Describing Model Relations: The Case of the Capital Asset Pricing Model (CAPM) Family in Financial Economics

Studies in History and Philosophy of Science 97, pg. 91-100, 2023
Number of pages: 10 Posted: 03 Feb 2023 Last Revised: 20 Mar 2023
Melissa Vergara-Fernández, Conrad Heilmann and Marta Szymanowska
Erasmus University Rotterdam (EUR) - Erasmus Institute for Philosophy and Economics (EIPE), Erasmus University Rotterdam (EUR) - Erasmus Institute for Philosophy and Economics (EIPE) and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 47 (697,683)

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Models, Families of models, Robustness, Explanation, Finance, Economics

12.

Contextualist model evaluation: models in financial economics and index funds

European Journal for Philosophy of Science, 13: 6, 2023
Number of pages: 24 Posted: 08 Feb 2023 Last Revised: 20 Mar 2023
Melissa Vergara-Fernández, Conrad Heilmann and Marta Szymanowska
Erasmus University Rotterdam (EUR) - Erasmus Institute for Philosophy and Economics (EIPE), Erasmus University Rotterdam (EUR) - Erasmus Institute for Philosophy and Economics (EIPE) and Erasmus University Rotterdam (EUR) - Department of Finance
Downloads 23 (866,427)

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Models, Model evaluation, Performativity, Reactivity, Finance, CAPM