Ian Martin

London School of Economics & Political Science (LSE) - Department of Finance

SCHOLARLY PAPERS

17

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1,889

SSRN CITATIONS
Rank 2,383

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Top 2,383

in Total Papers Citations

142

CROSSREF CITATIONS

325

Scholarly Papers (17)

1.
Downloads 1,169 ( 18,240)
Citation 29

What is the Expected Return on a Stock?

Journal of Finance, Forthcoming
Number of pages: 83 Posted: 28 Apr 2016 Last Revised: 30 Aug 2018
Ian Martin and Christian Wagner
London School of Economics & Political Science (LSE) - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,169 (17,904)
Citation 12

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Equity Returns, Risk Premia, Risk-Neutral Variance, Equity Options

What is the Expected Return on a Stock?

CEPR Discussion Paper No. DP11608
Number of pages: 71 Posted: 07 Nov 2016
Ian Martin and Christian Wagner
London School of Economics & Political Science (LSE) - Department of Finance and WU Vienna University of Economics and Business
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Citation 7
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expected returns, forecast, implied volatility, risk premia, risk-neutral variance

2.

What Is the Expected Return on the Market?

Number of pages: 68 Posted: 30 Apr 2016
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 248 (129,970)
Citation 75

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equity premium, volatility, index options, negative correlation condition

3.
Downloads 164 (190,562)
Citation 9

The Quanto Theory of Exchange Rates

Number of pages: 47 Posted: 14 Apr 2017
Lukas Kremens and Ian Martin
University of Washington and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 164 (190,736)
Citation 1

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exchange rate, currency, forecasting, predictability, carry trade, quanto contracts

The Quanto Theory of Exchange Rates

CEPR Discussion Paper No. DP11970
Number of pages: 50 Posted: 25 Apr 2017
Lukas Kremens and Ian Martin
University of Washington and London School of Economics & Political Science (LSE) - Department of Finance
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Citation 6
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carry trade, currency, Exchange rate, exchange rate forecast, Forecasting, predictability, quanto contracts

4.
Downloads 73 (337,715)
Citation 1

Market Efficiency in the Age of Big Data

CESifo Working Paper No. 8015
Number of pages: 53 Posted: 14 Jan 2020
Ian Martin and Stefan Nagel
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business
Downloads 59 (382,903)

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Bayesian learning, high-dimensional prediction problems, return predictability, out-of-sample tests

Market Efficiency in the Age of Big Data

NBER Working Paper No. w26586
Number of pages: 52 Posted: 31 Dec 2019
Ian Martin and Stefan Nagel
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business
Downloads 14 (607,955)
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Market Efficiency in the Age of Big Data

CEPR Discussion Paper No. DP14235
Number of pages: 54 Posted: 14 Jan 2020
Ian Martin and Stefan Nagel
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business
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Citation 1
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Big Data, Machine Learning, Market Efficiency

5.

Simple Variance Swaps

NBER Working Paper No. w16884
Number of pages: 21 Posted: 21 Mar 2011
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 48 (414,403)

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6.
Downloads 40 (445,377)
Citation 103

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 24 Aug 2010
NYU Stern School of Business, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 36 (472,887)

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Disasters Implied by Equity Index Options

CEPR Discussion Paper No. DP7416
Number of pages: 46 Posted: 08 Sep 2009
NYU Stern School of Business, UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (682,358)
Citation 13
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

7.

The Valuation of Long-Dated Assets

NBER Working Paper No. w16219
Number of pages: 23 Posted: 26 Jul 2010
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 32 (480,492)
Citation 2

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8.

Consumption-Based Asset Pricing with Higher Cumulants

NBER Working Paper No. w16153
Number of pages: 40 Posted: 07 Jul 2010 Last Revised: 22 Aug 2010
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 29 (495,403)
Citation 6

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9.

Averting Catastrophes: The Strange Economics of Scylla and Charybdis

NBER Working Paper No. w20215
Number of pages: 52 Posted: 16 Jun 2014 Last Revised: 30 Sep 2014
Ian Martin and Robert S. Pindyck
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 21 (541,315)
Citation 2

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10.

The Lucas Orchard

NBER Working Paper No. w17563
Number of pages: 58 Posted: 04 Nov 2011
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 21 (541,315)
Citation 6

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11.

The Forward Premium Puzzle in a Two-Country World

NBER Working Paper No. w17564
Number of pages: 39 Posted: 04 Nov 2011
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 19 (553,688)

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12.

Averting Catastrophes that Kill

NBER Working Paper No. w23346
Number of pages: 21 Posted: 01 May 2017
Ian Martin and Robert S. Pindyck
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 17 (566,066)
Citation 1

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13.

Welfare Costs of Catastrophes: Lost Consumption and Lost Lives

NBER Working Paper No. w26068
Number of pages: 30 Posted: 16 Jul 2019
Ian Martin and Robert S. Pindyck
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 5 (645,887)
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14.

Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment

CEPR Discussion Paper No. DP13454
Number of pages: 40 Posted: 23 Jan 2019
Ian Martin and Can Gao
London School of Economics & Political Science (LSE) - Department of Finance and Imperial College London
Downloads 2 (670,496)
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bubbles, Option prices, sentiment, valuation ratios, volatility

15.

Options and the Gamma Knife

CEPR Discussion Paper No. DP12883
Number of pages: 18 Posted: 23 Apr 2018
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 1 (682,524)
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Arrow-Debreu securities, Derivatives, gamma knife, Option prices, Radon transform, risk-neutral distribution, SVIX, VIX

16.

Sentiment and Speculation in a Market with Heterogeneous Beliefs

CEPR Discussion Paper No. DP13857
Number of pages: 67 Posted: 30 Jul 2019
Ian Martin and Dimitris Papadimitriou
London School of Economics & Political Science (LSE) - Department of Finance and University of Bristol
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Excess Volatility, heterogeneous beliefs, sentiment, Speculation, target prices

17.

Notes on the Yield Curve

CEPR Discussion Paper No. DP13176
Number of pages: 43 Posted: 17 Sep 2018
Ian Martin and Stephen A. Ross
London School of Economics & Political Science (LSE) - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Cheeger inequality, eigenvalue gap, recovery theorem, term structure, traps, Yield Curve