M.P.E. (Martin) Martens

Erasmus School of Economics
Erasmus University Rotterdam
Member ERIM
Field: Finance & Accounting
Affiliated since 2002

Martin Martens is a part-time associate professor at the Erasmus School of Economics (ESE).

Professor Martens combines his role at RSM with that of co-head of Quantitative Strategies at asset management company Robeco.

His main academic interests are in the area of volatility forecasting with high-frequency data and the time-varying risk exposures of momentum strategies in equity and mutual funds.

As a practitioner his focus is on forecasting treasury yields and currencies.

  • Steenbeek, O.W. & Martens, M.P.E. (1999). Intraday trading halts in the Nikkei futures market. In J. Annaert, R. Huisman & J. Spronk (Eds.), Financiering en Belegging (pp. 100-133). Rotterdam: Sectie Finance & Investments.
  • Vorst, A.C.F., Kofman, P. & Martens, M.P.E. (1996). A threshold error correction model for intraday futures and index returns. In J.R. Sweeney (Ed.), Proceedings of the Eight Annual European Futures Research Symposium (pp. 231-265). Chigago: Board of trade of the city of Chigago.
  • Martens, M.P.E. (1997, Juni 19). Interaction between financial markets. Erasmus University Rotterdam (208 pag.) (Amsterdam: Thela Thesis). Prom./coprom.: Prof.Dr. A.C.F. Vorst.
Justinas Brazys

Aggregated macroeconomic news and price discovery

Johan Duyvesteyn

Empirical studies on sovereign fixed income markets


Visiting address

Office: Tinbergen Building H14-25
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam

Latest publication

Duyvesteyn, J.G., Martens, M.P.E. & Verwijmeren, P. (2016). Political risk and expected government bond returns. Journal of Empirical Finance, 38, 498-512. doi: http://dx.doi.org/10.1016/j.jempfin.2016.01.016