Martin Martens

Erasmus University Rotterdam (EUR)

P.O. Box 1738

3000 DR Rotterdam

Netherlands

Robeco Asset Management

Rotterdam, 3011 AG

Netherlands

SCHOLARLY PAPERS

29

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53

CROSSREF CITATIONS

135

Scholarly Papers (29)

1.
Downloads 2,546 ( 4,959)

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 Erasmus University Rotterdam (EUR)
Downloads 2,546 (4,852)
Citation 5

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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 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 1,318 (14,645)
Citation 4

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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 1,134 (18,428)
Citation 27

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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 963 (23,429)
Citation 31

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

5.

Carry Investing on the Yield Curve

Financial Analysts Journal, Forthcoming
Number of pages: 20 Posted: 13 Jul 2016 Last Revised: 10 Jul 2019
Erasmus University Rotterdam (EUR), Robeco Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads 629 (42,370)
Citation 2

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

6.

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 623 (42,813)
Citation 3

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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 Erasmus University Rotterdam (EUR)
Downloads 557 (49,527)
Citation 1

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Sovereign credit risk, structural model, emerging debt

8.

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 491 (58,150)
Citation 13

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

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 480 (59,145)
Citation 4

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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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10.

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 460 (63,002)
Citation 2

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

11.

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 440 (66,416)
Citation 2

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Index-futures arbitrage, program trading

12.

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 408 (72,913)
Citation 1

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spread component, spread decomposition, commonality, microstructure

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
Erasmus University Rotterdam (EUR) and De Nederlandsche Bank
Downloads 406 (73,330)
Citation 1

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Momentum, hedging, conditional factor model

14.

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 396 (75,386)

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Bond return predictability, mean-reversion, realized jumps

15.

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, Erasmus University Rotterdam (EUR) and Tinbergen Institute
Downloads 380 (79,058)

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quadratic optimization, momentum strategy, robust optimization

16.

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 354 (85,826)

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

17.

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 320 (96,132)
Citation 1

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

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 Erasmus University Rotterdam (EUR)
Downloads 319 (96,456)
Citation 3

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Mixture of Distributions Hypothesis, high-frequency data

19.

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 280 (111,093)
Citation 30

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Realized volatility, covariance, beta, subsampling

20.

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, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 278 (112,010)
Citation 3

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

21.

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, Erasmus University Rotterdam (EUR), Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 243 (128,730)

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

22.

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 197 (157,521)
Citation 1

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mutual funds, performance persistence, time-varying risk exposures

23.

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 168 (181,625)
Citation 5

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mutual funds, style timing skill, alpha

24.

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 154 (195,581)
Citation 1

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mutual funds, risk-adjusted returns, dynamics of alphas

25.

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, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 110 (253,799)
Citation 2

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

26.

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 Erasmus University Rotterdam (EUR)
Downloads 100 (271,002)
Citation 6

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Market timing, emerging debt, government bonds, bond momentum

27.

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 92 (286,085)

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Price discovery, basket securities, HOLDR, information share

28.

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 (601,846)
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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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