Martijn F. Boons

Research Papers

Published

• Persistent and Transitory Components of Characteristics: Implications for Asset Pricing (with Fahiz Baba Yara and Andrea Tamoni; Journal of Financial Economics, Volume 154, 2024)

• Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality  (with Giorgio Ottonello and Rossen Valkanov; Journal of Finance, Volume 78, 2023)

• Dynamic Asset (Mis)Pricing: Build-upvs. Resolution Anomalies (with Jules van Binsbergen, Christian Opp and Andrea Tamoni; Journal of Financial Economics, Volume 147, 2023) 

• Value return predictability across asset classes and commonalities in risk premia (with Fahiz Baba Yara and Andrea Tamoni; Review of Finance, Volume 25, 2021)

  • Replication Data and Code

• Time-varying state variable risk premia in an ICAPM (with Pedro Barroso and Paul Karehnke; Journal of Financial Economics, Volume 139, 2021)

• Time-varying inflation risk and stock returns (with Fernando Duarte, Frans A. de Roon and Marta Szymanowska; Journal of Financial Economics, Volume 136, 2020)

• Basis-momentum (with Melissa Prado; Journal of Finance, Volume 74, February 2019)

  • Internet Appendix with supplementary material and replication data 

• State variables, macroeconomic activity and the cross-section of individual stocks (Journal of Financial Economics, Volume 119, March 2016)

  • Internet Appendix with supplementary material 

  • Replication data

Working

• Macroeconomic Announcements and the News that Matters Most to Investors (R&R Management Science, with Samia Badidi and Rik Frehen)

• The Multifactor Risk-Return Tradeoff (with Fahiz Baba Yara and Rik Frehen)

• What Drives the Volatility of Professional Stock Return Forecasts? Causal Evidence from Macro Shocks (with Giorgio Ottonello and Rossen Valkanov)

• The Response of Equity Yields to a Long-Run Shock (with Petra Sinagl and Andrea Tamoni)

• A Tale of Bad Days: Investor Preferences, Smart Money, and Fund Manager Skill (with Samia Badidi and Rafael Zambrana)

• Horizon-specific macroeconomic risks and the cross-section of expected returns (with Andrea Tamoni; SFS Finance Cavalvade 2015, EFA 2015, AFA 2016, SOFIE 2016)

• The price of commodity risk in stock and futures markets (with Frans A. de Roon and Marta Szymanowska; NBER 2013 Commodities Workshop, AFA 2011, FIRS 2011)

Education

• Ph.D. in Finance, Tilburg University (2009 - 2013)