I'm not a Max user, but I'm pretty sure you cannot convert a native Max file to C4D format, much less the Corona materials. I have used a website to convert a Max model to FBX, so it's sort of possible, but again. No materials. You would have to recreate them in C4D.
Not sure about other formats like Alembic holding materials. In the past, I've used .LWO and .3DS files in C4D and the materials came throuh generally. The colors and some textures come with it, but had to recreate things anyway.