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.

  • Martens, M.P.E. & Van Oord, A. (2014). Hedging the time-varying risk exposures of momentum returns. Journal of Empirical Finance, 28 (september), 78-89. doi: http://dx.doi.org/10.1016/j.jempfin.2014.05.006[go to publisher's site]
  • Duyvesteyn, J. & Martens, M.P.E. (2014). Emerging government bond market timing. The Journal of Fixed Income, 23, 36-49. doi: http://dx.doi.org/10.3905/jfi.2013.23.3.036
  • Bannouh, K., Martens, M.P.E. & Dijk, D.J.C. van (2013). Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading. The North American Journal of Economics and Finance, 26 (december), 535-551. doi: http://dx.doi.org/10.1016/j.najef.2013.02.020[go to publisher's site]
  • Henker, J, Henker, T., Huynh, R & Martens, M.P.E. (2012). The vanishing abnormal returns of momentum strategies and 'front-running' momentum strategies. Journal of Accounting and Finance, 12 (4), 86-100.
  • Duyvesteyn, J., Martens, M.P.E. & Nic Safavi, S. (2011). Forecasting bond returns using jumps in intraday prices. The Journal of Fixed Income, 20 (4), 80-90. doi: http://dx.doi.org/10.3905/jfi.2011.20.4.080[go to publisher's site]
  • Blitz, D., Huij, J.J. & Martens, M.P.E. (2011). Residual Momentum. Journal of Empirical Finance, 18 (3), 506-521. doi: http://dx.doi.org/10.1016/j.jempfin.2011.01.003[go to publisher's site]
  • Budiono, D. & Martens, M.P.E. (2010). Mutual funds selection based on fund characteristics. The Journal of Financial Research, 33 (Fall), 249-265. doi: http://dx.doi.org/10.1111/j.1475-6803.2010.01270.x
  • Henker, T. & Martens, M.P.E. (2010). Spread decomposition with common spread components. International Journal of Managerial Finance, 6 (2), 88-115. doi: http://dx.doi.org/10.1108/17439131011032031[go to publisher's site]
  • Chulia-Soler, H., Martens, M.P.E. & Dijk, D.J.C. van (2010). Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations. Journal of Banking and Finance, 34 (4), 834-839. doi: http://dx.doi.org/10.1016/j.jbankfin.2009.09.012[go to publisher's site]
  • Martens, M.P.E., Dijk, D.J.C. van & Pooter, M.D. de (2009). Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements. International Journal of Forecasting, 25 (2), 282-303. doi: http://dx.doi.org/10.1016/j.ijforecast.2009.01.010[go to publisher's site]
  • Bannouh, K., Dijk, D.J.C. van & Martens, M.P.E. (2009). Range-based covariance estimation using high-frequency data: the realized co-range. Journal of Financial Econometrics, 7 (4), 341-372. doi: http://dx.doi.org/10.1093/jjfinec/nbp012[go to publisher's site]
  • Henker, T. & Martens, M.P.E. (2008). Price discovery and liquidity in basket securities. The Financial Review, 43 (2), 219-239.
  • Pooter, M.D. de, Martens, M.P.E. & Dijk, D.J.C. van (2008). Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use? Econometric Reviews, 27 (1-3), 199-229. doi: http://dx.doi.org/10.1080/07474930701873333[go to publisher's site]
  • Martens, M.P.E. & Dijk, D.J.C. van (2007). Measuring volatility with the realized range. Journal of Econometrics, 138 (1), 181-207. doi: http://dx.doi.org/10.1016/j.jeconom.2006.05.019
  • Henker, T. & Martens, M.P.E. (2005). Index futures arbitrage before and after the introduction of sixteenth on the NYSE. Journal of Empirical Finance, 12 (3), 353-373. doi: http://dx.doi.org/10.1016/j.jempfin.2004.04.006[go to publisher's site]
  • Martens, M.P.E. & Zein, J. (2004). Predicting financial volatility: high-frequency time-series forecasts vis-à-vis implied volatility. The Journal of Futures Markets, 24 (11), 1005-1028. doi: http://dx.doi.org/10.1002/fut.20126
  • Luu, J.C.L. & Martens, M.P.E. (2003). Testing the mixture of distributions hypothesis using 'realized' volatility. The Journal of Futures Markets, 23 (7), 661-679. doi: http://dx.doi.org/10.1002/fut.10077
  • Martens, M.P.E., Chang, Y.C. & Taylor, S.J. (2002). A comparison of seasonal adjustment methods when forecasting intraday volatility. The Journal of Financial Research, 25 (2), 283-299.
  • Martens, M.P.E. & Fong, K. (2002). Overnight futures trading: now even Australia and U.S. have common trading hours. Journal of International Financial Markets, Institutions and Money, 12, 167-182. doi: http://dx.doi.org/10.1016/S1042-4431(01)00056-7
  • Martens, M.P.E. (2002). Measuring and forecasting S&P 500 index-futures volatility using high-frequency data. The Journal of Futures Markets, 22, 497-518.
  • Martens, M.P.E. & Steenbeek, O.W. (2001). Intraday trading halts in the Nikkei futures market. Pacific-Basin Finance Journal, 9 (5), 535-561. doi: http://dx.doi.org/10.1016/S0927-538X(01)00023-3
  • Martens, M.P.E. (2001). Forecasting daily exchange rate volatility using intraday returns. Journal of International Money and Finance, 20, 1-23.
  • Martens, M.P.E. & Poon, S-H. (2001). Returns synchronization and daily correlation dynamics between international stock markets. Journal of Banking and Finance, 25, 1805-1827.
  • Steenbeek, O.W. & Martens, M.P.E. (2000). Handelssystemen en concurrentie tussen effectenbeurzen. Bank- en Effectenbedrijf, november, 24-28.
  • Martens, M.P.E. & Kofman, P. (1998). The inefficiency of Reuters foreign exchange quotes. Journal of Banking and Finance, 22, 347-366.
  • Vorst, A.C.F., Martens, M.P.E. & Kofman, P. (1998). A threshold error correction model for intraday futures and index returns. Journal of Applied Econometrics, 13, 245-263.
  • Martens, M.P.E. (1998). Price discovery in high and low volatility periods: Open outcry vs electronic trading. Journal of International Financial Markets, Institutions and Money, 8, 243-260.
  • Kofman, P. & Martens, M.P.E. (1997). Interaction between stock markets: an analysis of the common trading hours of the London and New York Stock Exchange. Journal of International Money and Finance, 16, 387-414.
  • 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.

Address

Visiting address

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

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Latest publication

Martens, M.P.E. & Van Oord, A. (2014). Hedging the time-varying risk exposures of momentum returns. Journal of Empirical Finance, 28 (september), 78-89. doi: http://dx.doi.org/10.1016/j.jempfin.2014.05.006[go to publisher's site]