Ian Martin

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

United Kingdom

http://personal.lse.ac.uk/martiniw/

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

SCHOLARLY PAPERS

20

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4,088

SSRN CITATIONS
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Top 1,658

in Total Papers Citations

561

CROSSREF CITATIONS

314

Scholarly Papers (20)

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1.

What is the Expected Return on a Stock?

Downloads 1,606 (18,245)
Citation 73

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 1,606 (17,926)
Citation 9

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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 28
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expected returns, forecast, implied volatility, risk premia, risk-neutral variance

2.

Implied Dividend Volatility and Expected Growth

Number of pages: 15 Posted: 23 Dec 2020 Last Revised: 31 Dec 2020
Niels Joachim Gormsen, Ralph S. J. Koijen and Ian Martin
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 614 (70,769)

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3.

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 576 (76,627)
Citation 108

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equity premium, volatility, index options, negative correlation condition

4.

Market Efficiency in the Age of Big Data

Downloads 348 (138,944)
Citation 26

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 180 (265,721)

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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 Last Revised: 22 Feb 2023
Ian Martin and Stefan Nagel
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business
Downloads 168 (282,250)

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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 4
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Big Data, Machine Learning, Market Efficiency

5.

The Quanto Theory of Exchange Rates

Downloads 219 (222,538)
Citation 25

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 217 (223,897)
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 22
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carry trade, currency, Exchange rate, exchange rate forecast, Forecasting, predictability, quanto contracts

6.

Sustainability in a Risky World

Downloads 180 (265,786)
Citation 1

Sustainability in a Risky World

Number of pages: 34 Posted: 30 Mar 2021 Last Revised: 16 Feb 2023
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 162 (291,083)

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Sustainability, social discounting, consumption-wealth ratio, rate of time preference, Ramsey rule

Sustainability in a Risky World

NBER Working Paper No. w28899
Number of pages: 35 Posted: 07 Jun 2021 Last Revised: 17 Feb 2023
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 18 (858,177)

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Sustainability in a Risky World

CEPR Discussion Paper No. DP16219
Number of pages: 33 Posted: 14 Jul 2021 Last Revised: 29 Mar 2022
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
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Citation 1
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7.

Simple Variance Swaps

NBER Working Paper No. w16884
Number of pages: 21 Posted: 21 Mar 2011 Last Revised: 19 Feb 2023
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 98 (424,939)

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8.

Welfare Costs of Catastrophes: Lost Consumption and Lost Lives

Downloads 63 (548,633)
Citation 2

Welfare Costs of Catastrophes: Lost Consumption and Lost Lives

FEEM Working Paper No. 27.2020
Number of pages: 37 Posted: 17 Dec 2020
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 47 (640,661)

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Catastrophes, Catastrophic Events, Macroeconomic Contractions, Disasters, Fatalities, Value of Life, Willingness to Pay, Pandemics

Welfare Costs of Catastrophes: Lost Consumption and Lost Lives

NBER Working Paper No. w26068
Number of pages: 30 Posted: 16 Jul 2019 Last Revised: 25 Mar 2023
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 16 (877,030)
Citation 2

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9.

The Lucas Orchard

NBER Working Paper No. w17563
Number of pages: 58 Posted: 04 Nov 2011 Last Revised: 29 Dec 2022
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 53 (595,461)
Citation 18

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10.

The Valuation of Long-Dated Assets

NBER Working Paper No. w16219
Number of pages: 23 Posted: 26 Jul 2010 Last Revised: 27 Apr 2023
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 53 (595,461)
Citation 4

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11.

Disasters Implied by Equity Index Options

Downloads 53 (595,461)
Citation 123

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 22 Feb 2023
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 49 (629,135)

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Disasters Implied by Equity Index Options

CEPR Discussion Paper No. DP7416
Number of pages: 46 Posted: 08 Sep 2009
David K. Backus, Mikhail Chernov and Ian Martin
NYU Stern School of Business (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (990,086)
Citation 27
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

12.

Consumption-Based Asset Pricing with Higher Cumulants

NBER Working Paper No. w16153
Number of pages: 40 Posted: 07 Jul 2010 Last Revised: 20 Feb 2022
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 49 (616,340)
Citation 33

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13.

Averting Catastrophes: The Strange Economics of Scylla and Charybdis

NBER Working Paper No. w20215
Number of pages: 52 Posted: 16 Jun 2014 Last Revised: 27 Mar 2023
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 48 (621,735)
Citation 8

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14.

Averting Catastrophes that Kill

NBER Working Paper No. w23346
Number of pages: 21 Posted: 01 May 2017 Last Revised: 17 Apr 2022
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 44 (644,000)
Citation 1

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15.

The Forward Premium Puzzle in a Two-Country World

NBER Working Paper No. w17564
Number of pages: 39 Posted: 04 Nov 2011 Last Revised: 30 Dec 2022
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 41 (661,398)

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16.

Debt and Deficits: Fiscal Analysis with Stationary Ratios

Downloads 40 (667,420)

Debt and Deficits: Fiscal Analysis with Stationary Ratios

Number of pages: 57 Posted: 14 May 2023
John Y. Campbell, Can Gao and Ian Martin
Harvard University - Department of Economics, University of St.Gallen and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 32 (740,414)

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Debt, deficits, primary surplus, stationarity, cointegration

Debt and Deficits: Fiscal Analysis with Stationary Ratios

NBER Working Paper No. w31224
Number of pages: 58 Posted: 15 May 2023 Last Revised: 29 May 2023
John Y. Campbell, Can Gao and Ian Martin
Harvard University - Department of Economics, University of St.Gallen and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 8 (954,061)
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17.

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 University of St.Gallen
Downloads 2 (966,270)
Citation 10
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bubbles, Option prices, sentiment, valuation ratios, volatility

18.

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 (973,189)
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Arrow-Debreu securities, Derivatives, gamma knife, Option prices, Radon transform, risk-neutral distribution, SVIX, VIX

19.

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 King's College London
Downloads 0 (980,545)
Citation 6
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Excess Volatility, heterogeneous beliefs, sentiment, Speculation, target prices

20.

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