dr. M. (Marta) Szymanowska
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
Work in Progress (3)
- M.F. Boons, F.A. de Roon & M. Szymanowska (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.
- K. Hou & M. Szymanowska (2011). Commodity-based Consumption Tracking Portfolios and the Cross-Section of Average Stock Returns. Working Paper, presented at the 2014 AFA.: Philadephia.
- D. Basu & M. Szymanowska (2011). Disentangling Persistence from Predictability in Asset Pricing. Working Paper: .
F.A. de Roon & M. Szymanowska (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]
M. Szymanowska (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 Tracks (2)
- Asset Pricing Theory (2017/2018, 2016/2017, 2015/2016)
- Seminar Asset Pricing 1 (2016/2017, 2015/2016)
- Seminar Asset Pricing 2 (2016/2017, 2015/2016)
PhD Vacancy (1)
Risks and rewards play a pivotal role in theoretical and empirical research in financial markets. One of the fundamental concepts of asset pricing is that investors are rewarded for bearing risk, through higher expected returns, but that only particular, aggregate and non-diversifiable, sources of risk are priced by the market. Establishing risk factors and identifying to what extent they are priced is a key challenge, and a very active area of research.
In this project, which is an umbrella for several potential projects, a number of alternative research problems are collected that provide additional insight into the role of risk, information and investor behaviour in financial markets. All projects are of an empirical nature and are exploring the wide range of databases that is available at Erasmus University, including data on international stock prices, institutional ownership, mutual fund and hedge fund performance. Key questions are identified and investigated using appropriate and, where necessary, innovative econometric techniques. The first year of the project will be used to get acquainted with potential supervisors and to identify concrete research topics. During the entire project, three or four papers will be written, potentially with different supervisors, which jointly constitute the PhD thesis.
- Fellowship - ERIM early career talent programme (2006)
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