Ian Martin

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

SCHOLARLY PAPERS

21

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5,191

SSRN CITATIONS
Rank 1,402

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Top 1,402

in Total Papers Citations

917

CROSSREF CITATIONS

279

Scholarly Papers (21)

1.
Downloads 1,849 (17,545)
Citation 102

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 1,849 (17,241)
Citation 8

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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 80
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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 718 (68,628)
Citation 108

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equity premium, volatility, index options, negative correlation condition

3.

Implied Dividend Volatility and Expected Growth

Number of pages: 15 Posted: 23 Dec 2020 Last Revised: 31 Dec 2020
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 693 (71,749)
Citation 3

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4.
Downloads 411 (135,390)
Citation 56

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 212 (267,745)

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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 199 (283,909)

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

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 36
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Big Data, Machine Learning, Market Efficiency

5.
Downloads 308 (185,447)
Citation 37

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 271 (210,593)

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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
Downloads 37 (832,785)
Citation 35
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carry trade, currency, Exchange rate, exchange rate forecast, Forecasting, predictability, quanto contracts

6.
Downloads 233 (246,709)
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 207 (275,064)

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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 26 (931,997)

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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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Debt and Deficits: Fiscal Analysis with Stationary Ratios

Swiss Finance Institute Research Paper No. 23-101
Number of pages: 69 Posted: 14 May 2023 Last Revised: 03 Nov 2023
John Y. Campbell, Can Gao and Ian Martin
Harvard University - Department of Economics, Swiss Finance Institute and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 164 (337,610)
Citation 1

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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: 68 Posted: 15 May 2023 Last Revised: 29 May 2023
John Y. Campbell, Can Gao and Ian Martin
Harvard University - Department of Economics, Swiss Finance Institute and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 9 (1,116,273)
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8.

Long-Horizon Exchange Rate Expectations

Number of pages: 47 Posted: 20 Aug 2023
Lukas Kremens, Ian Martin and Liliana Varela
University of Washington, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics
Downloads 164 (337,636)

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Exchange rates, expectations, predictability

9.

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 138 (390,752)

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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 57 (697,838)
Citation 2

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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 19 (1,005,432)
Citation 6

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11.

The Lucas Orchard

NBER Working Paper No. w17563
Number of pages: 58 Posted: 04 Nov 2011 Last Revised: 29 Jun 2023
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 61 (656,602)
Citation 27

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12.

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 60 (661,917)
Citation 8

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13.

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 59 (667,405)
Citation 4

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14.
Downloads 57 (678,327)
Citation 137

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 22 Feb 2023
NYU Stern School of Business (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 53 (716,470)

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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 (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (1,165,899)
Citation 27
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

15.

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 53 (701,515)
Citation 37

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16.

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 Jun 2023
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 48 (732,858)

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17.

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 45 (752,680)
Citation 2

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

Number of pages: 67 Posted: 24 Mar 2021 Last Revised: 21 Dec 2023
Ian Martin and Can Gao
London School of Economics & Political Science (LSE) - Department of Finance and Swiss Finance Institute
Downloads 42 (793,257)
Citation 1

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bubbles, Option prices, sentiment, valuation ratios, volatility

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 Swiss Finance Institute
Downloads 2 (1,185,038)
Citation 20
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bubbles, Option prices, sentiment, valuation ratios, volatility

19.

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 (1,147,155)
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Arrow-Debreu securities, Derivatives, gamma knife, Option prices, Radon transform, risk-neutral distribution, SVIX, VIX

20.

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 (1,156,600)
Citation 18
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Excess Volatility, heterogeneous beliefs, sentiment, Speculation, target prices

21.

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 (1,156,600)
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Cheeger inequality, eigenvalue gap, recovery theorem, term structure, traps, Yield Curve