Ian Martin

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

SCHOLARLY PAPERS

19

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3,229

SSRN CITATIONS
Rank 2,069

SSRN RANKINGS

Top 2,069

in Total Papers Citations

313

CROSSREF CITATIONS

325

Scholarly Papers (19)

1.
Downloads 1,370 ( 17,909)
Citation 48

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 1,370 (17,573)
Citation 10

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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
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 388 (96,487)

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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 382 (98,242)
Citation 108

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equity premium, volatility, index options, negative correlation condition

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

SAFE Working Paper No. 312
Number of pages: 69 Posted: 24 Mar 2021
Ian Martin and Can Gao
London School of Economics & Political Science (LSE) - Department of Finance and Leibniz Institute for Financial Research SAFE
Downloads 326 (116,545)
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 Leibniz Institute for Financial Research SAFE
Downloads 2 (816,076)
Citation 2
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bubbles, Option prices, sentiment, valuation ratios, volatility

5.
Downloads 184 (205,698)
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 184 (205,650)

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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 15
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carry trade, currency, Exchange rate, exchange rate forecast, Forecasting, predictability, quanto contracts

6.
Downloads 159 (233,075)
Citation 4

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 126 (281,277)

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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: 23 Aug 2021
Ian Martin and Stefan Nagel
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business
Downloads 33 (573,064)

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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
Downloads 0
Citation 4
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Big Data, Machine Learning, Market Efficiency

7.
Downloads 92 (347,098)

Sustainability in a Risky World

Number of pages: 28 Posted: 30 Mar 2021
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 88 (360,022)

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

Sustainability in a Risky World

NBER Working Paper No. w28899
Number of pages: 29 Posted: 07 Jun 2021 Last Revised: 20 Jul 2021
John Y. Campbell and Ian Martin
Harvard University - Department of Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 4 (796,636)
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Sustainability in a Risky World

CEPR Discussion Paper No. DP16219
Number of pages: 31 Posted: 14 Jul 2021
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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8.

Simple Variance Swaps

NBER Working Paper No. w16884
Number of pages: 21 Posted: 21 Mar 2011 Last Revised: 21 Aug 2021
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 59 (444,646)

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9.
Downloads 45 (500,485)
Citation 118

Disasters Implied by Equity Index Options

NBER Working Paper No. w15240
Number of pages: 44 Posted: 18 Aug 2009 Last Revised: 23 Aug 2021
NYU Stern School of Business (deceased), UCLA Anderson and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 41 (529,504)

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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 (796,636)
Citation 27
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cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities

10.

The Valuation of Long-Dated Assets

NBER Working Paper No. w16219
Number of pages: 23 Posted: 26 Jul 2010 Last Revised: 26 Apr 2021
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 38 (533,177)
Citation 4

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11.

Consumption-Based Asset Pricing with Higher Cumulants

NBER Working Paper No. w16153
Number of pages: 40 Posted: 07 Jul 2010 Last Revised: 22 Aug 2021
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 36 (543,336)
Citation 17

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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: 28 Mar 2021
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 34 (553,982)
Citation 8

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13.

Averting Catastrophes that Kill

NBER Working Paper No. w23346
Number of pages: 21 Posted: 01 May 2017 Last Revised: 17 Oct 2021
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 30 (576,073)
Citation 1

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14.

The Lucas Orchard

NBER Working Paper No. w17563
Number of pages: 58 Posted: 04 Nov 2011 Last Revised: 28 Jun 2021
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 30 (576,073)
Citation 18

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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 20 (663,053)

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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: 24 Sep 2021
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 7 (771,068)
Citation 1

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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 2021
Ian Martin
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 26 (600,769)

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17.

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 (792,913)
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Arrow-Debreu securities, Derivatives, gamma knife, Option prices, Radon transform, risk-neutral distribution, SVIX, VIX

18.

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
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Excess Volatility, heterogeneous beliefs, sentiment, Speculation, target prices

19.

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 (809,837)
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Cheeger inequality, eigenvalue gap, recovery theorem, term structure, traps, Yield Curve