Ian Martin

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

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 25,878

SSRN RANKINGS

Top 25,878

in Total Papers Downloads

2,058

SSRN CITATIONS
Rank 2,208

SSRN RANKINGS

Top 2,208

in Total Papers Citations

227

CROSSREF CITATIONS

329

Scholarly Papers (17)

1.
Downloads 1,247 ( 17,760)
Citation 41

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 1,247 (17,448)
Citation 13

Abstract:

Loading...

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
Downloads 0
Citation 18
  • Add to Cart

Abstract:

Loading...

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 290 (117,576)
Citation 89

Abstract:

Loading...

equity premium, volatility, index options, negative correlation condition

3.
Downloads 170 (196,130)
Citation 18

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 170 (196,233)
Citation 1

Abstract:

Loading...

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
Downloads 0
Citation 14
  • Add to Cart

Abstract:

Loading...

carry trade, currency, Exchange rate, exchange rate forecast, Forecasting, predictability, quanto contracts

4.
Downloads 96 (302,704)
Citation 2

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 77 (350,079)

Abstract:

Loading...

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 19 (605,115)
  • Add to Cart

Abstract:

Loading...

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
Downloads 0
Citation 2
  • Add to Cart

Abstract:

Loading...

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 52 (423,096)

Abstract:

Loading...

6.
Downloads 42 (461,997)
Citation 112

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 38 (489,738)

Abstract:

Loading...

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 (721,281)
Citation 21
  • Add to Cart

Abstract:

Loading...

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 33 (502,734)
Citation 3

Abstract:

Loading...

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 31 (512,772)
Citation 9

Abstract:

Loading...

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 24 (552,843)
Citation 5

Abstract:

Loading...

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 24 (552,843)
Citation 10

Abstract:

Loading...

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 21 (571,823)

Abstract:

Loading...

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 20 (578,351)
Citation 1

Abstract:

Loading...

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 (683,237)
Citation 2
  • Add to Cart

Abstract:

Loading...

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 (708,957)
  • Add to Cart

Abstract:

Loading...

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 (721,206)
  • Add to Cart

Abstract:

Loading...

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
Downloads 0 (739,267)
  • Add to Cart

Abstract:

Loading...

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
Downloads 0 (739,267)
  • Add to Cart

Abstract:

Loading...

Cheeger inequality, eigenvalue gap, recovery theorem, term structure, traps, Yield Curve