Marta Szymanowska is affiliated with the Department of Finance RSM, Erasmus University and with the ERIM Early Career Talent Program. Her research interests are in empirical asset pricing and (commodity) futures markets. Marta's work has been presented at major academic conferences (the Western Finance or American Finance Association meetings), published in leading academic journals (Journal of Finance, Management Science) and presented in numerous international research institutes (Oxford University, Commodity Futures Trading Commission). Marta holds PhD degree in Finance from Tilburg University, the Netherlands.
*Research interests: *empirical asset pricing, financial markets and the real economy, the cross- sectional and time-series predictability of returns, (commodity) futures markets
- An Anatomy of Commodity Futures Risk Premia, with Frans de Roon (Tilburg University), Theo Nijman (Tilburg University) and Rob van den Goorbergh (APG). The Journal of Finance 69, 453-482. Presented at the AFA 2010.
- Asset Pricing Restrictions on Predictability: Frictions Matter, (2012) with Frans de Roon, (Tilburg University). Management Science 58, 1916-1932. Presented at the WFA 2009.
- Reverse Convertible Bonds Analyzed (2009), with Jenke ter Horst and Chris Veld, Journal of Futures Markets 29, 895-919.
- 2006 - PhD in Finance, Tilburg University, the Netherlands
- 2002 - MSc. in Finance, Tilburg University, the Netherlands
- 2002 - MSc. in Finance, University of Economics, Krakow, Poland
Work in Progress (4)
Boons, M.F., Duarte, F., de Roon, F. & Szymanowska, M. (2016). Time-Varying Inflation Risk and the Cross Section of Stock Returns. Working Paper, winner of 2012 Dauphine Foundation and Amundi Research grant: .
Boons, M.F., Roon, F.A. de & Szymanowska, M. (2012). The Price of Commodity Risk in Stock and Futures Markets. Winner of 2011 Inquire Europe Research Grant, presented at the 2012 AFA (Chicago), the 2013 NBER commodity workshop: Cambridge.
Hou, K. & Szymanowska, M. (2011). Commodity-based Consumption Tracking Portfolios and the Cross-Section of Average Stock Returns. Working Paper, presented at the 2014 AFA.: Philadephia.
Basu, D. & Szymanowska, M. (2011). Disentangling Persistence from Predictability in Asset Pricing. Working Paper: .
Roon, F.A. de & Szymanowska, M. (2012). Asset Pricing Restrictions on Predictability: Frictions Matter. Management Science, 58 (10), 1916-1932. doi: http://dx.doi.org/10.1287/mnsc.1120.1522[go to publisher's site]
Szymanowska, M. (2006, December 18). Essays on Rational Asset Pricing. CentER Graduate School, Tilburg University (163 pag.). Prom./coprom.: prof. dr. F. de Roon, prof. dr. C. Veld & dr. J. ter Horst.
PhD Projects (2)
- Role: Daily Supervisor
- PhD Candidate: Roy Verbeek
- Time frame: 2012 -
- Fellowship - ERIM early career talent programme (2006)
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