Martin Martens

Robeco Asset Management

Weena 850

Rotterdam, 3014 DA

Netherlands

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 3,457

SSRN RANKINGS

Top 3,457

in Total Papers Downloads

19,641

SSRN CITATIONS
Rank 6,552

SSRN RANKINGS

Top 6,552

in Total Papers Citations

139

CROSSREF CITATIONS

131

Scholarly Papers (29)

1.
Downloads 5,025 ( 3,431)

Residual Momentum

Number of pages: 60 Posted: 04 Sep 2013
David Blitz, Joop Huij and Martin Martens
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Robeco Asset Management
Downloads 5,025 (3,395)
Citation 9

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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 Quantitative Investments, Erasmus University - Rotterdam School of Management and Robeco Asset Management

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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, Robeco Asset Management and UNSW Australia Business School, School of Banking and Finance
Downloads 1,469 (24,729)

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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
Robeco Asset Management and UNSW Business School
Downloads 1,285 (30,164)
Citation 30

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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
Robeco Asset Management, Amazon Web Services, Inc. and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 1,081 (38,669)
Citation 33

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

5.

Working paper version of "Carry Investing on the Yield Curve" which has been published in final form in the Financial Analysts Journal 75(4)

Martens, M., Beekhuizen, P., Duyvesteyn, J., Zomerdijk, C., 2019. “Carry Investing on the Yield Curve” Financial Analysts Journal 75 (4): 51–63. https://doi.org/10.1080/0015198X.2019.1628552
Number of pages: 20 Posted: 13 Jul 2016 Last Revised: 11 Jun 2020
Robeco Asset Management, Robeco Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads 994 (43,578)
Citation 11

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

6.

Forecasting Bond Risk Premia using Stationary Yield Factors

Number of pages: 38 Posted: 13 Apr 2021
Robeco Quantitative Investments, Robeco Asset Management and Erasmus University Rotterdam
Downloads 882 (51,450)

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Yield curve, Bond risk premia, Forecasting, PCA, Machine learning

7.

Forecasting Sovereign Default risk with Merton’s Model

Journal of Fixed Income, Vol. 25, No. 2, 2015
Number of pages: 26 Posted: 14 May 2011 Last Revised: 25 Jan 2016
Johan G. Duyvesteyn and Martin Martens
Robeco Asset Management and Robeco Asset Management
Downloads 765 (62,342)
Citation 1

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Sovereign credit risk, structural model, emerging debt

8.

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
Robeco Asset Management and Alliance Manchester Business School, University of Manchester
Downloads 725 (66,871)
Citation 5

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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
Robeco Asset Management, National Chung Hsing University and Lancaster University - Department of Accounting and Finance
Downloads 584 (86,890)
Citation 4

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A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

Posted: 12 Apr 2001
Martin Martens, Yuan-Chen Chang and Stephen J. Taylor
Robeco Asset Management, National Chung Hsing University and Lancaster University - Department of Accounting and Finance

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10.

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
Amazon Web Services, Inc., Robeco Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 559 (92,900)
Citation 19

Abstract:

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

11.

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, Robeco Asset Management and Robeco Asset Management
Downloads 528 (99,740)

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Bond return predictability, mean-reversion, realized jumps

12.

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 Robeco Asset Management
Downloads 515 (102,897)
Citation 3

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

13.

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
Robeco Asset Management and De Nederlandsche Bank
Downloads 502 (106,135)
Citation 3

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Momentum, hedging, conditional factor model

14.

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 Robeco Asset Management
Downloads 469 (115,072)
Citation 2

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Index-futures arbitrage, program trading

15.

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 Robeco Asset Management
Downloads 437 (125,152)
Citation 1

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spread component, spread decomposition, commonality, microstructure

16.

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
De Nederlandsche Bank, Robeco Asset Management and Tinbergen Institute
Downloads 418 (131,739)

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quadratic optimization, momentum strategy, robust optimization

17.

Political Risk and Expected Government Bond Returns

Journal of Empirical Finance, Volume 38, Part A, September 2016, Pages 498-512
Number of pages: 29 Posted: 26 Jul 2014 Last Revised: 21 Jun 2019
Robeco Asset Management, Robeco Asset Management and Erasmus University Rotterdam (EUR)
Downloads 412 (133,971)
Citation 9

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

18.

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 Robeco Asset Management
Downloads 406 (136,188)
Citation 3

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Mixture of Distributions Hypothesis, high-frequency data

19.

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, Robeco Asset Management and UNSW Australia Business School, School of Banking and Finance
Downloads 399 (138,988)
Citation 1

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

20.

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
Robeco Asset Management, Graduate School of Business of Nazarbayev University and Erasmus University - Rotterdam School of Management
Downloads 392 (141,780)

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

21.

Estimating Unbiased and Precise Realized Covariances

Number of pages: 35 Posted: 09 Jun 2004
Martin Martens
Robeco Asset Management
Downloads 363 (154,448)
Citation 34

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Realized volatility, covariance, beta, subsampling

22.

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
NN Investment Partners, Robeco Asset Management, Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 305 (185,994)

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

23.

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 Robeco Asset Management
Downloads 241 (236,092)
Citation 3

Abstract:

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mutual funds, performance persistence, time-varying risk exposures

24.

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 Robeco Asset Management
Downloads 240 (237,022)
Citation 5

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mutual funds, style timing skill, alpha

25.

Emerging Government Bond Market Timing

Journal of Fixed Income, Vol. 23, No. 3, 2014
Number of pages: 23 Posted: 16 Feb 2013 Last Revised: 03 Jul 2019
Johan G. Duyvesteyn and Martin Martens
Robeco Asset Management and Robeco Asset Management
Downloads 224 (253,288)
Citation 6

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Market timing, emerging debt, government bonds, bond momentum

26.

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, Robeco Asset Management and Erasmus University - Rotterdam School of Management
Downloads 177 (313,661)
Citation 2

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mutual funds, risk-adjusted returns, dynamics of alphas

27.

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
NN Investment Partners, Robeco Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 129 (406,786)
Citation 11

Abstract:

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

28.

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 Robeco Asset Management
Downloads 115 (443,307)

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Price discovery, basket securities, HOLDR, information share

29.

A Threshold Error Correction Model for Intraday Futures and Index Returns

Posted: 05 Jul 1998
Martin Martens, Paul Kofman and Ton Vorst
Robeco Asset Management, The University of Melbourne and VU University Amsterdam - Department of Finance and Financial Sector Management

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