Martin Martens

Erasmus University Rotterdam (EUR)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

Robeco Asset Management

Rotterdam, 3011 AG

Netherlands

SCHOLARLY PAPERS

29

DOWNLOADS
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11,446

CITATIONS
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SSRN RANKINGS

Top 3,432

in Total Papers Citations

159

Scholarly Papers (29)

1.
Downloads 1,675 ( 7,940)
Citation 3

Residual Momentum

Number of pages: 60 Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
Downloads 1,675 (7,791)
Citation 3

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momentum, time-varying risk, stock-specific returns, residual returns

Residual Momentum

Journal of Empirical Finance, Vol. 18, 2011
Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Asset Management - Quantitative Strategies, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

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momentum, time-varying risk, stock-specific returns, residual returns

2.

The Vanishing Abnormal Returns of Momentum Strategies and 'Front-Running' Momentum Strategies

Number of pages: 66 Posted: 18 Aug 2006 Last Revised: 12 May 2009
Thomas Henker, Martin Martens and Robert Huynh
Bond University, Erasmus University Rotterdam (EUR) and UNSW Australia Business School, School of Banking and Finance
Downloads 1,153 (12,598)
Citation 2

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Momentum portfolio, front-running, abnormal return, portfolio selection

3.

Predicting Financial Volatility: High-Frequency Time-Series Forecasts Vis-a-Vis Implied Volatility

Number of pages: 25 Posted: 01 Mar 2002
Martin Martens and Jason Zein
Erasmus University Rotterdam (EUR) and UNSW Business School
Downloads 962 (16,564)
Citation 29

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Implied volatility, long memory, high-frequency data

4.

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Tinbergen Institute Discussion Paper No. 04-067/4
Number of pages: 43 Posted: 24 Jun 2004
Erasmus University Rotterdam (EUR), Board of Governors of the Federal Reserve System and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 834 (20,990)
Citation 16

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Realized volatility, high-frequency data, long memory, day-of-the-week effect, leverage effect, volatility forecasting, smooth transition

5.

Returns Synchronization and Daily Correlation Dynamics between International Stock Markets

Lancaster University, Accounting & Finance Department Working Paper No. 99/011
Number of pages: 34 Posted: 21 Oct 1999
Martin Martens and Ser-Huang Poon
Erasmus University Rotterdam (EUR) and University of Manchester - Manchester Business School
Downloads 571 (37,385)
Citation 25

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A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

Number of pages: 26 Posted: 11 Sep 2001
Martin Martens, Yuan-Chen Chang and Stephen J. Taylor
Erasmus University Rotterdam (EUR), National Chung Hsing University and Lancaster University - Department of Accounting and Finance
Downloads 452 (52,681)
Citation 16

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A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

Forthcoming in Journal of Financial Research
Posted: 12 Apr 2001
Martin Martens, Yuan-Chen Chang and Stephen J. Taylor
Erasmus University Rotterdam (EUR), National Chung Hsing University and Lancaster University - Department of Accounting and Finance

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7.

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

Tinbergen Institute Discussion Paper No. 05-089/4
Number of pages: 29 Posted: 02 Nov 2005
Board of Governors of the Federal Reserve System, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 451 (49,434)
Citation 18

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realized volatility, high-frequency data, volatility timing, mean-variance analysis, tracking error

8.

The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations

ERIM Report Series Reference No. ERS-2007-066-F&A
Number of pages: 50 Posted: 27 Nov 2007
Helena Chuliá, Dick J. C. van Dijk and Martin Martens
University of Barcelona - Faculty of Economic Science and Business Studies, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR)
Downloads 445 (54,247)
Citation 4

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realized volatility, monetary policy announcements, high-frequency data, interest rate surprises

9.

Index-Futures Arbitrage Before and after the Introduction of Sixteenths on the NYSE

Number of pages: 36 Posted: 27 Jan 2001
Thomas Henker and Martin Martens
Bond University and Erasmus University Rotterdam (EUR)
Downloads 417 (56,094)
Citation 6

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Index-futures arbitrage, program trading

10.

Spread Decomposition and Commonality in Liquidity

U of New South Wales School of Banking and Finance Working Paper No. 12-2002
Number of pages: 40 Posted: 21 Jan 2003
Thomas Henker and Martin Martens
Bond University and Erasmus University Rotterdam (EUR)
Downloads 385 (61,962)
Citation 3

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spread component, spread decomposition, commonality, microstructure

11.

Robust Optimization of the Equity Momentum Strategy

Tinbergen Institute Discussion Paper No. 09-011/4
Number of pages: 17 Posted: 14 Feb 2009
Arco van Oord, Martin Martens and H. K. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 348 (68,371)

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quadratic optimization, momentum strategy, robust optimization

12.

Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds

ERIM Report Series
Number of pages: 38 Posted: 06 Mar 2007 Last Revised: 29 Apr 2008
Martin Martens, Thierry Post and Joop Huij
Erasmus University Rotterdam (EUR), Graduate School of Business of Nazarbayev University and Erasmus University - Rotterdam School of Management
Downloads 332 (76,831)
Citation 2

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mutual funds, performance persistence, momentum, time-varying risk exposures

13.

Forecasting Bond Returns Using Jumps in Intraday Prices

Journal of Fixed Income, Vol. 20, No. 4, 2011
Number of pages: 19 Posted: 01 Dec 2010 Last Revised: 05 Apr 2013
Robeco Asset Management, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 320 (69,017)

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Bond return predictability, mean-reversion, realized jumps

14.

The Fading Abnormal Returns of Momentum Strategies

UNSW Australian School of Business Research Paper No. 1401727
Number of pages: 31 Posted: 19 May 2009
Thomas Henker, Martin Martens and Robert Huynh
Bond University, Erasmus University Rotterdam (EUR) and UNSW Australia Business School, School of Banking and Finance
Downloads 294 (83,937)
Citation 2

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Momentum portfolio, front-running, abnormal return, portfolio selection

15.

Hedging the Time-Varying Risk Exposures of Momentum Returns

Number of pages: 26 Posted: 06 Mar 2008 Last Revised: 12 Oct 2012
Martin Martens and Arco van Oord
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 292 (73,767)
Citation 2

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Momentum, hedging, conditional factor model

16.

Testing the Mixture of Distributions Hypothesis Using "Realized" Volatility

Number of pages: 24 Posted: 28 Feb 2002
James C. Luu and Martin Martens
UNSW Australia Business School, School of Banking and Finance and Erasmus University Rotterdam (EUR)
Downloads 271 (89,444)
Citation 2

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Mixture of Distributions Hypothesis, high-frequency data

17.

Political Risk and Expected Government Bond Returns

Journal of Empirical Finance, Forthcoming
Number of pages: 29 Posted: 26 Jul 2014 Last Revised: 25 Jan 2016
Robeco Asset Management, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 224 (117,155)

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political risk, government bond debt, credit rating, emerging debt

18.

Estimating Unbiased and Precise Realized Covariances

EFA 2004 Maastricht Meetings Paper No. 4299
Number of pages: 35 Posted: 09 Jun 2004
Martin Martens
Erasmus University Rotterdam (EUR)
Downloads 222 (101,849)
Citation 20

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Realized volatility, covariance, beta, subsampling

19.

Persistence in Mutual Fund Performance and Time-Varying Risk Exposures

Number of pages: 38 Posted: 22 Sep 2009
Diana Budiono and Martin Martens
Syntrus Achmea Asset Management and Erasmus University Rotterdam (EUR)
Downloads 166 (145,534)
Citation 1

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mutual funds, performance persistence, time-varying risk exposures

20.

Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation

ERIM Report Series Reference No. ERS-2012-017-F&A
Number of pages: 45 Posted: 24 Oct 2012
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR), Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 153 (123,176)
Citation 4

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factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading

21.

The Dynamics of Average Mutual Fund Alphas

Number of pages: 31 Posted: 16 Dec 2009
Diana Budiono, Martin Martens and Marno Verbeek
Syntrus Achmea Asset Management, Erasmus University Rotterdam (EUR) and Erasmus University - Rotterdam School of Management
Downloads 138 (171,728)

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mutual funds, risk-adjusted returns, dynamics of alphas

22.

Mutual Fund Style Timing Skills and Alpha

Number of pages: 35 Posted: 12 Feb 2009 Last Revised: 17 Dec 2009
Diana Budiono and Martin Martens
Syntrus Achmea Asset Management and Erasmus University Rotterdam (EUR)
Downloads 130 (169,882)
Citation 2

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mutual funds, style timing skill, alpha

23.

Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading

ERIM Report Series Reference No. ERS-2012-018-F&A
Number of pages: 27 Posted: 26 Oct 2012
Karim Bannouh, Martin Martens and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 80 (227,009)

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forecasting, high frequency data, market microstructure noise, realized range, two time scales, realized variance

24.

Price Discovery in Holdr Security Baskets and the Underlying Stocks

Number of pages: 29 Posted: 17 Aug 2006
Thomas Henker and Martin Martens
Bond University and Erasmus University Rotterdam (EUR)
Downloads 79 (253,875)

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Price discovery, basket securities, HOLDR, information share

25.

Price Discovery and Liquidity in Basket Securities

Financial Review, Vol. 43, Issue 2, pp. 219-239, May 2008
Number of pages: 21 Posted: 02 Apr 2008
Thomas Henker and Martin Martens
Bond University and Erasmus University Rotterdam (EUR)
Downloads 9 (515,528)
Citation 1
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26.

Carry Investing on the Yield Curve

Number of pages: 20 Posted: 13 Jul 2016
Robeco Asset Management, Robeco Asset Management, Erasmus University Rotterdam (EUR) and Robeco Asset Management
Downloads 0 (65,840)

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Carry, Predictability, Betting-Against-Beta, Government Bonds

27.

Emerging Government Bond Market Timing

Journal of Fixed Income, Vol. 23, No. 3, 2014
Posted: 16 Feb 2013 Last Revised: 20 Feb 2014
Johan G. Duyvesteyn and Martin Martens
Robeco Asset Management and Erasmus University Rotterdam (EUR)

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Market timing, emerging debt, government bonds, bond momentum

28.

Forecasting Sovereign Default risk with Merton’s Model

Journal of Fixed Income, Vol. 25, No. 2, 2015
Posted: 14 May 2011 Last Revised: 25 Jan 2016
Johan G. Duyvesteyn and Martin Martens
Robeco Asset Management and Erasmus University Rotterdam (EUR)

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Sovereign credit risk, structural model, emerging debt

29.

A Threshold Error Correction Model for Intraday Futures and Index Returns

Posted: 05 Jul 1998
Martin Martens, Paul Kofman and Ton Vorst
Erasmus University Rotterdam (EUR), The University of Melbourne and VU University Amsterdam - Department of Finance and Financial Sector Management

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