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M. (Marta) Szymanowska

Associate Professor

Marta Szymanowska
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Programme:
Finance & Accounting
ERIM Membership:
Member ERIM, affiliated since 2006
Profile

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

Publications:
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.

Education:
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., Roon, F.A. de & Szymanowska, M. (2012). The Stock Market Price of Commodity risk. Winner of 2011 Inquire Europe Research Grant, presented at the 2012 AFA: Chicago.
  • 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.
  • Boons, M.F., de Roon, F. & Szymanowska, M. (2011). Sorting out Inflation. Working Paper, winner of 2012 Dauphine Foundation and Amundi Research grant: .
  • Basu, D. & Szymanowska, M. (2011). Disentangling Persistence from Predictability in Asset Pricing. Working Paper: .
Publications (4)
Recognitions (1)
  • ERIM Awards (1)
    Name Fellowship - ERIM early career talent programme
    Year 2006
    Website

Doctoral courses (7)
2013/2014 Asset Pricing Theory
Code: BERM.SC.066
ECTS: 4
Course level: Specialisation

2013/2014 Seminar Asset Pricing 1
Code: BERM.AMC.007
ECTS: 5
Course level: Advanced Methodology

2013/2014 Seminar Asset Pricing 2
Code: BERM.ASC.032
ECTS: 5
Course level: Advanced Specialisation

2012/2013 Asset Pricing Theory
Code: BERM.SC.066
ECTS: 4
Course level: Specialisation

2012/2013 Empirical Asset Pricing
Code: BERM.SC.067
ECTS: 4
Course level: Specialisation

2012/2013 Seminar Asset Pricing 1
Code: BERM.AMC.007
ECTS: 5
Course level: Advanced Methodology

2012/2013 Seminar Asset Pricing 2
Code: BERM.ASC.032
ECTS: 5
Course level: Advanced Specialisation

Events (4)
Apr 25, 2012 Sorting out inflation
  ERIM Research Seminar | Finance

Dec 14, 2011 Commodity-Based Consumption Tracking Portfolios and the Cross-Section of Average Stock Returns
  ERIM Research Seminar | Finance

Mar 30, 2011 The Stock Market Price of Commodity Risk
  ERIM Research Seminar | Finance

Sep 13, 2005 Behavioral Factors in the Pricing of Financial Products
  ERIM Research Seminar | Finance

Visiting address
Office: T09-37
Burgemeester Oudlaan 50
3062 PA, Rotterdam
Netherlands
Postal address
Postbus 1738
3000 DR, Rotterdam
Netherlands
 

Work in progress

  • Boons, M.F., Roon, F.A. de & Szymanowska, M. (2012). The Stock Market Price of Commodity risk. Winner of 2011 Inquire Europe Research Grant, presented at the 2012 AFA: Chicago.
  • 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.

Latest publication

Szymanowska, M., Roon, F.A. de, Nijman, T. & van den Goorbergh, R. (2014). An Anatomy of Commodity Futures Risk Premia. The Journal of Finance, 69:1(February), 453-482.

Latest news

Marta Szymanowska publishes in Management Science

Marta Szymanowska's paper "Asset Pricing Restrictions on Predictability: Frictions Matter" (co-authored by Frans de Roon) has been accepted for publication in Management Science. This paper finds considerable levels and variation of asset…

Course

Asset Pricing Theory


Course details and application

Seminar Asset Pricing 1


Course details and application

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