Details about Ian Martin

Access statistics for papers by Ian Martin.

Last updated 2023-11-04. Update your information in the RePEc Author Service.

Short-id: pma1585

Working Papers

2023

1. Debt and Deficits: Fiscal Analysis with Stationary Ratios
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2023)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)

2022

2. Market efficiency in the age of big data
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (13)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (4)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (5)
   CESifo Working Paper Series, CESifo (2019) View citations (4)
   See also Journal Article Market efficiency in the age of big data, Journal of Financial Economics, Elsevier (2022) View citations (12) (2022)
3. Sentiment and speculation in a market with heterogeneous beliefs
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (4)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2019)
   See also Journal Article Sentiment and Speculation in a Market with Heterogeneous Beliefs, American Economic Review, American Economic Association (2022) View citations (6) (2022)
4. Sustainability in a Risky World
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2021)
   NBER Working Papers, National Bureau of Economic Research, Inc (2021)

2021

5. On the autocorrelation of the stock market
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article On the Autocorrelation of the Stock Market*, Journal of Financial Econometrics, Oxford University Press (2021) View citations (2) (2021)
6. Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (10)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2021) View citations (10)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019)
   See also Journal Article Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment, Journal of Finance, American Finance Association (2021) View citations (11) (2021)

2020

7. Welfare Costs of Catastrophes: Lost Consumption and Lost Lives
   2030 Agenda, Fondazione Eni Enrico Mattei (FEEM) View citations (2)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2020)
   NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (5)
   Working Papers, Fondazione Eni Enrico Mattei (2020)
   See also Journal Article Welfare Costs of Catastrophes: Lost Consumption and Lost Lives, The Economic Journal, Royal Economic Society (2021) View citations (1) (2021)

2019

8. Notes on the yield curve
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (5)
   See also Journal Article Notes on the yield curve, Journal of Financial Economics, Elsevier (2019) View citations (5) (2019)
9. The quanto theory of exchange rates
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (32)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (1)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2017)
   See also Journal Article The Quanto Theory of Exchange Rates, American Economic Review, American Economic Association (2019) View citations (34) (2019)
10. What is the expected return on a stock?
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (41)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (25)
    2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (40)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (2)
    See also Journal Article What Is the Expected Return on a Stock?, Journal of Finance, American Finance Association (2019) View citations (46) (2019)

2018

11. Options and the Gamma Knife
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2018) View citations (2)

2017

12. Averting Catastrophes that Kill
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
13. What is the expected return on the market?
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (131)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (8)
    See also Journal Article What is the Expected Return on the Market?, The Quarterly Journal of Economics, President and Fellows of Harvard College (2017) View citations (156) (2017)

2015

14. Averting Catastrophes: The Strange Economics of Scylla and Charybdis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (54)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) View citations (51)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (4)
    See also Journal Article Averting Catastrophes: The Strange Economics of Scylla and Charybdis, American Economic Review, American Economic Association (2015) View citations (56) (2015)

2011

15. Simple Variance Swaps
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
16. The Forward Premium Puzzle in a Two-Country World
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
17. The Lucas Orchard
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article The Lucas Orchard, Econometrica, Econometric Society (2013) View citations (66) (2013)

2010

18. Consumption-Based Asset Pricing with Higher Cumulants
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (44)
    See also Journal Article Consumption-Based Asset Pricing with Higher Cumulants, The Review of Economic Studies, Review of Economic Studies Ltd (2013) View citations (85) (2013)
19. The Valuation of Long-Dated Assets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article On the Valuation of Long-Dated Assets, Journal of Political Economy, University of Chicago Press (2012) View citations (27) (2012)

2009

20. Disasters Implied by Equity Index Options
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (14)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (19)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (15)
    See also Journal Article Disasters Implied by Equity Index Options, Journal of Finance, American Finance Association (2011) View citations (144) (2011)

Journal Articles

2022

1. Market efficiency in the age of big data
   Journal of Financial Economics, 2022, 145, (1), 154-177 View citations (12)
   See also Working Paper Market efficiency in the age of big data, LSE Research Online Documents on Economics (2022) View citations (13) (2022)
2. Sentiment and Speculation in a Market with Heterogeneous Beliefs
   American Economic Review, 2022, 112, (8), 2465-2517 View citations (6)
   See also Working Paper Sentiment and speculation in a market with heterogeneous beliefs, LSE Research Online Documents on Economics (2022) View citations (2) (2022)

2021

3. Implied Dividend Volatility and Expected Growth
   AEA Papers and Proceedings, 2021, 111, 361-65 View citations (2)
4. On the Autocorrelation of the Stock Market*
   (X-CAPM: An Extrapolative Capital Asset Pricing Model)
   Journal of Financial Econometrics, 2021, 19, (1), 39-52 View citations (2)
   See also Working Paper On the autocorrelation of the stock market, LSE Research Online Documents on Economics (2021) (2021)
5. Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
   Journal of Finance, 2021, 76, (6), 3211-3254 View citations (11)
   See also Working Paper Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment, SAFE Working Paper Series (2021) View citations (10) (2021)
6. Welfare Costs of Catastrophes: Lost Consumption and Lost Lives
   The Economic Journal, 2021, 131, (634), 946-969 View citations (1)
   See also Working Paper Welfare Costs of Catastrophes: Lost Consumption and Lost Lives, 2030 Agenda (2020) View citations (2) (2020)

2019

7. Notes on the yield curve
   Journal of Financial Economics, 2019, 134, (3), 689-702 View citations (5)
   See also Working Paper Notes on the yield curve, LSE Research Online Documents on Economics (2019) View citations (5) (2019)
8. The Quanto Theory of Exchange Rates
   American Economic Review, 2019, 109, (3), 810-43 View citations (34)
   See also Working Paper The quanto theory of exchange rates, LSE Research Online Documents on Economics (2019) View citations (32) (2019)
9. What Is the Expected Return on a Stock?
   Journal of Finance, 2019, 74, (4), 1887-1929 View citations (46)
   See also Working Paper What is the expected return on a stock?, LSE Research Online Documents on Economics (2019) View citations (41) (2019)

2017

10. What is the Expected Return on the Market?
    The Quarterly Journal of Economics, 2017, 132, (1), 367-433 View citations (156)
    See also Working Paper What is the expected return on the market?, LSE Research Online Documents on Economics (2017) View citations (131) (2017)

2015

11. Averting Catastrophes: The Strange Economics of Scylla and Charybdis
    American Economic Review, 2015, 105, (10), 2947-85 View citations (56)
    See also Working Paper Averting Catastrophes: The Strange Economics of Scylla and Charybdis, CEPR Discussion Papers (2015) View citations (54) (2015)

2013

12. Consumption-Based Asset Pricing with Higher Cumulants
    The Review of Economic Studies, 2013, 80, (2), 745-773 View citations (85)
    See also Working Paper Consumption-Based Asset Pricing with Higher Cumulants, NBER Working Papers (2010) View citations (44) (2010)
13. The Lucas Orchard
    Econometrica, 2013, 81, (1), 55-111 View citations (66)
    See also Working Paper The Lucas Orchard, NBER Working Papers (2011) View citations (11) (2011)

2012

14. On the Valuation of Long-Dated Assets
    Journal of Political Economy, 2012, 120, (2), 346 - 358 View citations (27)
    See also Working Paper The Valuation of Long-Dated Assets, NBER Working Papers (2010) View citations (3) (2010)

2011

15. Disasters Implied by Equity Index Options
    Journal of Finance, 2011, 66, (6), 1969-2012 View citations (144)
    See also Working Paper Disasters Implied by Equity Index Options, Working Papers (2009) View citations (14) (2009)

2008

16. Disasters and the Welfare Cost of Uncertainty
    American Economic Review, 2008, 98, (2), 74-78 View citations (36)