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Ian Martin

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. The Lucas Orchard
      by Christian Zimmermann in NEP-DGE blog on 2011-11-27 01:27:28

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Ian Martin, 2017. "What is the Expected Return on the Market?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.

    Mentioned in:

    1. What is the Expected Return on the Market? (QJE 2017) in ReplicationWiki ()

Working papers

  1. John Y. Campbell & Can Gao & Ian Martin, 2023. "Debt and Deficits: Fiscal Analysis with Stationary Ratios," Swiss Finance Institute Research Paper Series 23-101, Swiss Finance Institute.

    Cited by:

    1. Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2024. "What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark," Journal of Finance, American Finance Association, vol. 79(4), pages 2603-2665, August.
    2. Riccardo Rebonato & Dherminder Kainth & Lionel Melin, 2025. "The Impact of Physical Climate Risk on the Valuation of Global Equity Assets," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 88(4), pages 857-894, April.
    3. Vladimir Andric & Dusko Bodroza & Mihajlo Djukic, 2024. "A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment," Mathematics, MDPI, vol. 12(20), pages 1-33, October.

  2. Gormsen, Niels J. & Koijen, Ralph S.J. & Martin, Ian W.R., 2021. "Implied dividend volatility and expected growth," LSE Research Online Documents on Economics 127796, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Jonathon Hazell & Stephan Hobler, 2024. "Do Deficits Cause Inflation? A High Frequency Narrative Approach," Discussion Papers 2439, Centre for Macroeconomics (CFM).
    2. Golez, Benjamin & Matthies, Ben, 2025. "Fed information effects: Evidence from the equity term structure," Journal of Financial Economics, Elsevier, vol. 165(C).
    3. Masayuki MORIKAWA, 2022. "Uncertainty of Firms' Medium-term Outlook during the COVID-19 Pandemic," Discussion papers 22079, Research Institute of Economy, Trade and Industry (RIETI).
    4. Benjamin Knox, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014r1, Board of Governors of the Federal Reserve System (U.S.), revised 31 Jan 2025.
    5. Arteaga-Garavito, Maria Jose & Croce, Mariano M. & Farroni, Paolo & Wolfskeil, Isabella, 2024. "When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion," Journal of Financial Economics, Elsevier, vol. 157(C).

  3. Martin, Ian, 2021. "On the autocorrelation of the stock market," LSE Research Online Documents on Economics 106215, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Weiguang Han & Boyi Zhang & Qianqian Xie & Min Peng & Yanzhao Lai & Jimin Huang, 2023. "Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning," Papers 2301.10724, arXiv.org, revised Feb 2023.
    2. María T. González-Pérez, 2021. "Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector," Working Papers 2128, Banco de España.

  4. Martin, Ian W. R. & Pindyck, Robert S., 2020. "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," 2030 Agenda 308023, Fondazione Eni Enrico Mattei (FEEM).

    Cited by:

    1. Decerf, Benoit & Ferreira, Francisco H. G. & Mahler, Daniel Gerszon & Sterck, Olivier, 2020. "Lives and Livelihoods: Estimates of the Global Mortality and Poverty Effects of the COVID-19 Pandemic," IZA Discussion Papers 13549, Institute of Labor Economics (IZA).
    2. St-Amour, Pascal, 2024. "Valuing life over the life cycle," Journal of Health Economics, Elsevier, vol. 93(C).
    3. Peter A.G. van Bergeijk, 2021. "Pandemic Economics," Books, Edward Elgar Publishing, number 20401.
    4. Harrison Hong & Neng Wang & Jinqiang Yang, 2020. "Mitigating Disaster Risks in the Age of Climate Change," NBER Working Papers 27066, National Bureau of Economic Research, Inc.
    5. Robert S. Pindyck, 2020. "COVID-19 and the Welfare Effects of Reducing Contagion," NBER Working Papers 27121, National Bureau of Economic Research, Inc.

  5. Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, C.E.P.R. Discussion Papers.

    Cited by:

    1. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    2. Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Finance and Economics Discussion Series 2022-006, Board of Governors of the Federal Reserve System (U.S.).
    3. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    4. Christophe Blot & Paul Hubert & Fabien Labondance, 2020. "The asymmetric effects of monetary policy on stock price bubbles," Documents de Travail de l'OFCE 2020-12, Observatoire Francais des Conjonctures Economiques (OFCE).
    5. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    6. Ma, Juntao & Li, Chenchen, 2024. "Detecting market bubbles: A generalized LPPLS neural network model," Economics Letters, Elsevier, vol. 244(C).
    7. Cai, Jin & Pagano, Michael S. & Sedunov, John, 2023. "The role of investor sentiment in bank liquidity creation," Finance Research Letters, Elsevier, vol. 58(PD).
    8. Qin, Meng & Mirza, Nawazish & Su, Chi-Wei & Umar, Muhammad, 2023. "Exploring Bubbles in the Digital Economy: The Case of China," Global Finance Journal, Elsevier, vol. 57(C).
    9. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    10. Antonia Lopez Villavicencio & Marc Pourroy, 2023. "Information Shocks in the U.S. and Asset Mispricing in Emerging Economies," Working Papers hal-04159830, HAL.
    11. Benjamin Knox, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014r1, Board of Governors of the Federal Reserve System (U.S.), revised 31 Jan 2025.
    12. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    13. Florin Cornel Dumiter & Florin Turcaș & Ștefania Amalia Nicoară & Cristian Bențe & Marius Boiță, 2023. "The Impact of Sentiment Indices on the Stock Exchange—The Connections between Quantitative Sentiment Indicators, Technical Analysis, and Stock Market," Mathematics, MDPI, vol. 11(14), pages 1-26, July.
    14. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
    15. Fabrizio Ghezzi & Anindo Sarkar & Thomas Quistgaard Pedersen & Allan Timmermann, 2025. "Optimal asset allocation and nonlinear return predictability from the dividend-price ratio," Annals of Operations Research, Springer, vol. 346(1), pages 415-445, March.

  6. Martin, Ian & ,, 2019. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers 13857, C.E.P.R. Discussion Papers.

    Cited by:

    1. Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, C.E.P.R. Discussion Papers.
    2. Xianbo Zhou & Zhuoran Chen, 2023. "The Impact of Uncertainty Shocks to Consumption under Different Confidence Regimes Based on a Stochastic Uncertainty-in-Mean TVAR Model," Sustainability, MDPI, vol. 15(4), pages 1-20, February.
    3. Zhang, Xuetong & Zhang, Weiguo, 2023. "Information asymmetry, sentiment interactions, and asset price," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    4. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
    5. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
    6. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
    7. Driessen, Joost & Koëter, Joren & Wilms, Ole, 2025. "Horizon effects in the pricing kernel: How investors price short-term versus long-term risks," Other publications TiSEM 18d19e20-6d30-4828-9a8e-9, Tilburg University, School of Economics and Management.
    8. Wang, Shikun & Zhu, Shushang & Huang, Yi & Li, Zhongfei, 2024. "Estimation of expected return integrating real-time asset prices implied information and historical data," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    9. Shahsuzan Zakaria & Mohd Afzanizam Abdul Rashid & Dheya Hamood Saif Al-Fakih, 2024. "Financial Risk: Case Study Analysis," Information Management and Business Review, AMH International, vol. 16(1), pages 250-260.
    10. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
    11. Hu, Duni & Wang, Hailong, 2024. "Heterogeneous beliefs with preference interdependence and asset pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1-37.

  7. Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.

    Cited by:

    1. Xi Dong & Yan Li & David E. Rapach & Guofu Zhou, 2022. "Anomalies and the Expected Market Return," Journal of Finance, American Finance Association, vol. 77(1), pages 639-681, February.
    2. Jérôme Dugast & Thierry Foucault, 2023. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04390474, HAL.
    3. Tao Chen & Shuwen Pi & Qing Sophie Wang, 2025. "Artificial Intelligence and Corporate Investment Efficiency: Evidence from Chinese Listed Companies," Working Papers in Economics 25/05, University of Canterbury, Department of Economics and Finance.
    4. Cao, Sean & Jiang, Wei & Wang, Junbo & Yang, Baozhong, 2024. "From Man vs. Machine to Man + Machine: The art and AI of stock analyses," Journal of Financial Economics, Elsevier, vol. 160(C).
    5. Yabu, Takuya, 2023. "On Discrete Probability Distributions to Grasp the Number of Samples in a Population," OSF Preprints yv24f, Center for Open Science.
    6. Hoang, Daniel & Wiegratz, Kevin, 2022. "Machine learning methods in finance: Recent applications and prospects," Working Paper Series in Economics 158, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    7. Bo Yan & Mengru Liang & Yinxin Zhao, 2024. "Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 744-766, May.
    8. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2020. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 118924, London School of Economics and Political Science, LSE Library.
    9. Christopher G. Lamoureux & Huacheng Zhang, 2021. "An Empirical Assessment of Characteristics and Optimal Portfolios," Papers 2104.12975, arXiv.org, revised Feb 2024.
    10. Hari Krishna Kalidindi & N. Srinivasu, 2025. "A Comprehensive Study and Research Perception towards Secured Data Sharing for Lung Cancer Detection with Blockchain Technology," Annals of Data Science, Springer, vol. 12(2), pages 757-797, April.
    11. Jérôme Dugast & Thierry Foucault, 2024. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04941346, HAL.
    12. Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    13. Dohyun Chun & Jongho Kang & Jihun Kim, 2024. "Forecasting returns with machine learning and optimizing global portfolios: evidence from the Korean and U.S. stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
    14. James Yae & Yang Luo, 2023. "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    15. Xiong Xiong & Chenghao Ruan & Yongqiang Meng, 2025. "Geographical distance and stock price synchronization: evidence from China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-27, December.
    16. Mohammad Kafeel Wani & Peer Bilal Ahmad, 2025. "One-Inflated Zero-Truncated Poisson Distribution: Statistical Properties and Real Life Applications," Annals of Data Science, Springer, vol. 12(2), pages 639-666, April.
    17. Melina & Sukono & Herlina Napitupulu & Norizan Mohamed, 2023. "A Conceptual Model of Investment-Risk Prediction in the Stock Market Using Extreme Value Theory with Machine Learning: A Semisystematic Literature Review," Risks, MDPI, vol. 11(3), pages 1-24, March.
    18. Fernández Solas, Álvaro & Riedel-Lyngskær, Nicholas & Hanrieder, Natalie & Norde Santos, Fernanda & Wilbert, Stefan & Nygard Riise, Heine & Polo, Jesús & Fernández, Eduardo F. & Almonacid, Florencia &, 2025. "Photovoltaic soiling loss in Europe: Geographical distribution and cleaning recommendations," Renewable Energy, Elsevier, vol. 239(C).
    19. Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
    20. Foucault, Thierry & Frésard, Laurent, 2021. "Does Alternative Data Improve Financial Forecasting? The Horizon Effect," CEPR Discussion Papers 15786, C.E.P.R. Discussion Papers.
    21. Bryan Kelly & Semyon Malamud & Kangying Zhou, 2024. "The Virtue of Complexity in Return Prediction," Journal of Finance, American Finance Association, vol. 79(1), pages 459-503, February.
    22. Kaplanski, Guy, 2023. "The race to exploit anomalies and the cost of slow trading," Journal of Financial Markets, Elsevier, vol. 62(C).
    23. Zhang, Junsheng & Peng, Zezhi & Zeng, Yamin & Yang, Haisheng, 2023. "Do big data mutual funds outperform?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    24. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org, revised Sep 2024.
    25. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
    26. Wang, Jing & Yu, Huaying & Ren, Daowen & Zhang, Jocelyn, 2023. "Promoting mineral resources consumption efficiency: Evidence from technology of big data," Resources Policy, Elsevier, vol. 86(PB).
    27. Wu, Fei & Hu, Yan & Shen, Me, 2024. "The color of FinTech: FinTech and corporate green transformation in China," International Review of Financial Analysis, Elsevier, vol. 94(C).
    28. Matteo Bagnara, 2024. "Asset Pricing and Machine Learning: A critical review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 27-56, February.
    29. Gang Kou & Yang Lu, 2025. "FinTech: a literature review of emerging financial technologies and applications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-34, December.
    30. Sonya Georgieva, 2023. "Application of Artificial Intelligence and Machine Learning in the Conduct of Monetary Policy by Central Banks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 177-199.

  8. Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
    2. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
    3. MacDonald, Iain L. & Pienaar, Etienne A.D., 2021. "Fitting a reversible Markov chain by maximum likelihood: Converting an awkwardly constrained optimization problem to an unconstrained one," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
    4. Francesco Lancia & Alessia Russo & Tim Worrall, 2020. "Optimal Sustainable Intergenerational Insurance," Edinburgh School of Economics Discussion Paper Series 300, Edinburgh School of Economics, University of Edinburgh.
    5. Narayana R. Kocherlakota, 2023. "Infinite Debt Rollover in Stochastic Economies," Econometrica, Econometric Society, vol. 91(5), pages 1629-1658, September.
    6. Hansen, Stephen & McMahon, Michael & Tong, Matthew, 2019. "The long-run information effect of central bank communication," Bank of England working papers 777, Bank of England.
    7. Jaroslav Borovicka & John Stachurski, 2019. "Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition," Papers 1910.00778, arXiv.org, revised Feb 2021.
    8. Narayana R. Kocherlakota, 2024. "Difficulties in testing for capital overaccumulation," Quantitative Economics, Econometric Society, vol. 15(1), pages 89-114, January.
    9. Davis, Josh & Fuenzalida, Cristian & Huetsch, Leon & Mills, Benjamin & Taylor, Alan M., 2024. "Global natural rates in the long run: Postwar macro trends and the market-implied r∗ in 10 advanced economies," Journal of International Economics, Elsevier, vol. 149(C).
    10. Horvath, Ferenc, 2025. "Arbitrage-based recovery," Journal of Financial Economics, Elsevier, vol. 163(C).

  9. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jianlei Han & Martina Linnenluecke & Zhangxin Liu & Zheyao Pan & Tom Smith, 2019. "A general equilibrium approach to pricing volatility risk," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-18, April.
    2. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.

  10. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
    2. Charles Engel & Steve Pak Yeung Wu, 2021. "Forecasting the U.S. Dollar in the 21st Century," NBER Working Papers 28447, National Bureau of Economic Research, Inc.
    3. Maggiori, Matteo & Lilley, Andrew & Neiman, Brent & Schreger, Jesse, 2020. "Exchange Rate Reconnect," CEPR Discussion Papers 13869, C.E.P.R. Discussion Papers.
    4. Eren, Egemen & Malamud, Semyon, 2022. "Dominant currency debt," Journal of Financial Economics, Elsevier, vol. 144(2), pages 571-589.
    5. Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, C.E.P.R. Discussion Papers.
    6. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    7. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    8. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
    9. Riccardo Colacito & Steven J. Riddiough & Lucio Sarno, 2019. "Business Cycles and Currency Returns," NBER Working Papers 26299, National Bureau of Economic Research, Inc.
    10. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
    11. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    12. Kyriazis, Nikolaos & Corbet, Shaen, 2024. "The role of international currency spillovers in shaping exchange rate dynamics in Latin America," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 1-10.
    13. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
    14. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
    15. Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
    16. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
    17. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    18. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
    19. Charles W. Calomiris & Harry Mamaysky, 2019. "Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes," NBER Working Papers 25714, National Bureau of Economic Research, Inc.
    20. Martin, Ian, 2021. "On the autocorrelation of the stock market," LSE Research Online Documents on Economics 106215, London School of Economics and Political Science, LSE Library.
    21. Martin, Ian & Ross, Steve, 2019. "Notes on the yield curve," LSE Research Online Documents on Economics 90208, London School of Economics and Political Science, LSE Library.
    22. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
    23. Jun Wei, 2020. "Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk," Complexity, Hindawi, vol. 2020, pages 1-10, November.
    24. Fernanda Gonçalves & Giuliano Ferreira & Alex Ferreira & Pedro Scatimburgo, 2022. "Currency returns and systematic risk," Manchester School, University of Manchester, vol. 90(6), pages 609-647, December.
    25. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
    26. Della Corte, Pasquale & Jeanneret, Alexandre & Patelli, Ella D.S., 2023. "A credit-based theory of the currency risk premium," Journal of Financial Economics, Elsevier, vol. 149(3), pages 473-496.
    27. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
    28. Dennij Mandeij, 2020. "Determination of Equilibrium Exchange Rate Rupiah Against US Dollar and its Volatility: Application of Asset Approach," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 6(6), pages 323-336.

  11. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.

    Cited by:

    1. Aurélie Méjean & Antonin Pottier & Stéphane Zuber & Marc Fleurbaey, 2020. "Intergenerational equity under catastrophic climate change," Working Papers halshs-03029883, HAL.
    2. Aurland-Bredesen , Kine Josefine, 2017. "Averting catastrophes in a more complex world," Working Paper Series 06-2017, Norwegian University of Life Sciences, School of Economics and Business.
    3. Aurélie Méjean & Antonin Pottier & Marc Fleurbaey & Stéphane Zuber, 2020. "Catastrophic climate change, population ethics and intergenerational equity," PSE-Ecole d'économie de Paris (Postprint) halshs-01599453, HAL.
    4. Ian W.R. Martin & Robert S. Pindyck, 2019. "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," NBER Working Papers 26068, National Bureau of Economic Research, Inc.
    5. Colmenares, Gloria & Löschel, Andreas & Madlener, Reinhard, 2019. "The rebound effect and its representation in energy and climate models," CAWM Discussion Papers 106, University of Münster, Münster Center for Economic Policy (MEP).

  12. Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.

    Cited by:

    1. Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
    2. Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
    3. Irma Alonso & Pedro Serrano & Antoni Vaello-Sebastià, 2021. "The impact of heterogeneous unconventional monetary policies on the expectations of market crashes," Working Papers 2127, Banco de España.
    4. Schmeling, Maik & Schrimpf, Paul & Kroencke, Tim, 2019. "The FOMC Risk Shift," CEPR Discussion Papers 14037, C.E.P.R. Discussion Papers.
    5. Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
    6. Faten Ben Bouheni & Manish Tewari, 2023. "Common risk factors and risk–return trade-off for REITs and treasuries," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 374-395, September.
    7. Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, C.E.P.R. Discussion Papers.
    8. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
    9. Grau-Vera, David & Rubio, Gonzalo, 2024. "Risk-adjusted performance of new economy indices and thematic sectors," Research in International Business and Finance, Elsevier, vol. 71(C).
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  13. Pindyck, Robert S. & Martin, Ian, 2015. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," CEPR Discussion Papers 10730, C.E.P.R. Discussion Papers.

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    5. Aurland-Bredesen , Kine Josefine, 2017. "Averting catastrophes in a more complex world," Working Paper Series 06-2017, Norwegian University of Life Sciences, School of Economics and Business.
    6. William Brock & Anastasios Xepapadeas, 2025. "Land Use, Climate Change and the Emergence of Infectious Diseases: A Synthesis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 88(3), pages 795-854, March.
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    15. E.V. Popov, 2021. "Drivers of the Economy in the Context of the Coronavirus Pandemic," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 20(1), pages 5-30.
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    24. Maria Arvaniti & Chandra K. Krishnamurthy & Anne-Sophie Crépin, 2019. "Time-consistent resource management with regime shifts," CER-ETH Economics working paper series 19/329, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    25. Mathews, Shilpita & Surminski, Swenja & Roezer, Viktor, 2021. "The risk of corporate lock-in to future physical climate risks: the case of flood risk in England and Wales," LSE Research Online Documents on Economics 112807, London School of Economics and Political Science, LSE Library.
    26. Yacov Tsur & Amos Zemel, 2017. "Coping with Multiple Catastrophic Threats," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 68(1), pages 175-196, September.
    27. Mavi, Can Askan, 2020. "Can harmful events be another source of environmental traps?," Journal of Mathematical Economics, Elsevier, vol. 89(C), pages 29-46.
    28. William Brock & Anastasios Xepapadeas, 2024. "Land-use, climate change and the emergence of infectious diseases: A synthesis," DEOS Working Papers 2409, Athens University of Economics and Business.
    29. Wonjun Chang & Thomas F. Rutherford, 2017. "Catastrophic Thresholds, Bayesian Learning And The Robustness Of Climate Policy Recommendations," Climate Change Economics (CCE), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-23, November.
    30. Can Askan Mavi, 2020. "Can harmful events be another source of environmental traps?," Post-Print hal-02880592, HAL.
    31. Harrison Hong & Neng Wang & Jinqiang Yang, 2020. "Mitigating Disaster Risks in the Age of Climate Change," NBER Working Papers 27066, National Bureau of Economic Research, Inc.
    32. Rheinberger, Christoph & Treich, Nicolas, 2016. "Attitudes Toward Catastrophe," TSE Working Papers 16-635, Toulouse School of Economics (TSE).
    33. Gerard Meijden & Frederick Ploeg & Cees Withagen, 2017. "Frontiers of Climate Change Economics," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 68(1), pages 1-14, September.
    34. Wrzaczek, Stefan & Kuhn, Michael & Frankovic, Ivan, 2019. "Using age-structure for a multi-stage optimal control model with random switching time," ECON WPS - Working Papers in Economic Theory and Policy 06/2019, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    35. Heyen, Daniel & Goeschl, Timo & Wiesenfarth , Boris, 2015. "Risk Assessment under Ambiguity: Precautionary Learning vs. Research Pessimism," Working Papers 0605, University of Heidelberg, Department of Economics.
    36. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.
    37. Ilan Noy & Tomáš Uher, 2022. "Four New Horsemen of an Apocalypse? Solar Flares, Super-volcanoes, Pandemics, and Artificial Intelligence," Economics of Disasters and Climate Change, Springer, vol. 6(2), pages 393-416, July.
    38. Vislie, Jon, 2017. "Resource Extraction and Uncertain Tipping Points," Memorandum 03/2017, Oslo University, Department of Economics.
    39. Besley, Tim & Dixit, Avinash K., 2017. "Comparing Alternative Policies Against Environmental Catastrophes," CEPR Discussion Papers 11802, C.E.P.R. Discussion Papers.
    40. Can Askan Mavi, 2019. "Can harmful events be another source of environmental traps?," CEE-M Working Papers halshs-02141789, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
    41. Broeders, Dirk & Dimitrov, Daniel & Verhoeven, Niek, 2025. "Climate-linked bonds," Working Paper Series 3011, European Central Bank.
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    43. Sureth Michael & Kalkuhl Matthias & Edenhofer Ottmar & Rockström Johan, 2023. "A Welfare Economic Approach to Planetary Boundaries," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 243(5), pages 477-542, October.
    44. Owen Cotton‐Barratt & Max Daniel & Anders Sandberg, 2020. "Defence in Depth Against Human Extinction: Prevention, Response, Resilience, and Why They All Matter," Global Policy, London School of Economics and Political Science, vol. 11(3), pages 271-282, May.
    45. Fankhauser, Samuel & Kotsch, Raphaela & Srivastav, Sugandha, 2020. "The readiness of industry for a transformative recovery from COVID 19," LSE Research Online Documents on Economics 106995, London School of Economics and Political Science, LSE Library.
    46. Can Askan Mavi, 2017. "Can a hazardous event be another source of poverty traps ?," Working Papers 2017.14, FAERE - French Association of Environmental and Resource Economists.
    47. Dirk Broeders & Daniel Dimitrov & Niek Verhoeven, 2024. "Climate-Linked Bonds," Working Papers 817, DNB.
    48. Marshall Burke & Melanie Craxton & Charles D. Kolstad & Chikara Onda, 2016. "Some Research Challenges In The Economics Of Climate Change," Climate Change Economics (CCE), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-14, May.
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    143. José Afonso Faias & Juan Arismendi Zambrano, 2022. "Equity Risk Premium Predictability from Cross-Sectoral Downturns [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 808-842.
    144. Cheng Few Lee, 2020. "Financial econometrics, mathematics, statistics, and financial technology: an overall view," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1529-1578, May.
    145. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
    146. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
    147. Emiliano A. Carlevaro & Leandro M. Magnusson, 2020. "The (in)stability of stock returns and monetary policy interdependence in the US," Economics Discussion / Working Papers 20-27, The University of Western Australia, Department of Economics.
    148. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    149. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
    150. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.
    151. Mathieu Fournier & Kris Jacobs & Piotr Orłowski, 2024. "Modeling Conditional Factor Risk Premia Implied by Index Option Returns," Journal of Finance, American Finance Association, vol. 79(3), pages 2289-2338, June.

  15. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.

    Cited by:

    1. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," LSE Research Online Documents on Economics 105749, London School of Economics and Political Science, LSE Library.
    2. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.
    3. Francesco Bianchi, 2015. "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers 21056, National Bureau of Economic Research, Inc.
    4. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    5. Coeurdacier, Nicolas & Guibaud, Stéphane, 2011. "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 289-308, March.
    6. Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
    7. Wang, Hailong & Hu, Duni & Ma, Chaoqun & Cheng, Fengchao, 2020. "Disagreements with noisy signals and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    8. Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013. "‘Lucas’ In The Laboratory," EIEF Working Papers Series 1314, Einaudi Institute for Economics and Finance (EIEF), revised May 2013.
    9. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    10. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," Working Papers halshs-00590775, HAL.
    11. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    12. Tarek Alexander Hassan, 2012. "Country Size, Currency Unions, and International Asset Returns," NBER Working Papers 18057, National Bureau of Economic Research, Inc.
    13. Aziz Jaafar & M. Shahid Ebrahim & Fatma A. Omar & Murizah Osman Salleh, 2016. "Can Islamic Injunctions Indemnify the Structural Flaws of Securitized Debt?," Working Papers 16001, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    14. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
    15. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
    16. Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019. "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, vol. 131(2), pages 269-298.
    17. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    18. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
    19. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
    20. Diogo Duarte & Rodolfo Prieto & Marcel Rindisbacher & Yuri F. Saporito, 2022. "Vanishing Contagion Spreads," Management Science, INFORMS, vol. 68(1), pages 740-772, January.
    21. Fischer, Thomas & Lundtofte, Frederik, 2020. "Unequal returns: Using the Atkinson index to measure financial risk," Journal of Banking & Finance, Elsevier, vol. 116(C).
    22. Christoph Meinerding, 2012. "Asset Allocation And Asset Pricing In The Face Of Systemic Risk: A Literature Overview And Assessment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-27.
    23. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
    24. Diasakos, Theodoros M, 2013. "A Simple Characterization of Dynamic Completeness in Continuous Time," SIRE Discussion Papers 2013-91, Scottish Institute for Research in Economics (SIRE).
    25. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    26. Vedolin, Andrea, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
    27. Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
    28. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
    29. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers 2011:33, Lund University, Department of Economics.
    30. Jordi Mondria & Climent Quintana‐Domeque, 2013. "Financial Contagion and Attention Allocation," Economic Journal, Royal Economic Society, vol. 123(568), pages 429-454, May.
    31. Tarek Alexander Hassan, 2010. "Country Size, Currency Areas, and International Asset Returns," 2010 Meeting Papers 365, Society for Economic Dynamics.
    32. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    33. Chabakauri, Georgy, 2012. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 119046, London School of Economics and Political Science, LSE Library.
    34. Sandoval Paucar, Giovanny, 2019. "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH [Modeling of the conditional correlation for the Colombian stock market: a DCC applicati," MPRA Paper 92534, University Library of Munich, Germany, revised 04 Mar 2019.
    35. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    36. Christian Gollier, 2021. "The Welfare Cost of Ignoring the Beta," Working Papers 2021.03, Fondazione Eni Enrico Mattei.
    37. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
    38. Li, Kai, 2021. "Nonlinear effect of sentiment on momentum," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    39. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    40. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    41. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
    42. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
    43. Lanlan Luo & Shou Chen & Ziran Zou, 2020. "Determining the Generalized Discount Rate for Risky Projects," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 77(1), pages 143-158, September.
    44. Herrmann, Sabine & Kleinert, Jörn, 2014. "Lucas paradox and allocation puzzle: Is the euro area different?," Discussion Papers 06/2014, Deutsche Bundesbank.
    45. Rigobon, Roberto, 2016. "Contagion, spillover and interdependence," Working Paper Series 1975, European Central Bank.
    46. Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2022. "The Correlation Risk Premium: International Evidence," Journal of Banking & Finance, Elsevier, vol. 136(C).
    47. Akira Yamazaki, 2015. "Asset Pricing With Non-Geometric Type Of Dividends," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-38, December.
    48. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
    49. Sabine Elmiger, 2019. "CAPM-anomalies: quantitative puzzles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(3), pages 643-667, October.
    50. Akira Yamazaki, 2017. "Equilibrium Equity Price With Optimal Dividend Policy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-28, March.
    51. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    52. Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2017. "Asset pricing and institutional investors with disagreements," Economic Modelling, Elsevier, vol. 64(C), pages 231-248.
    53. Ian W. R. Martin, 2008. "Disasters and the Welfare Cost of Uncertainty," American Economic Review, American Economic Association, vol. 98(2), pages 74-78, May.
    54. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    55. Adam Farago & Erik Hjalmarsson, 2023. "Small Rebalanced Portfolios Often Beat the Market over Long Horizons," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(2), pages 307-342.
    56. Paolo Guasoni & Kwok Chuen Wong, 2020. "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, vol. 24(4), pages 939-980, October.
    57. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
    58. Grégoire, Vincent, 2020. "The rise of passive investing and index-linked comovement," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    59. Ravi Bansal & Amir Yaron & Colin Ward, 2018. "Shifts in Sectoral Wealth Shares and Risk Premia: What Explains Them?," 2018 Meeting Papers 599, Society for Economic Dynamics.

  16. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.

    Cited by:

    1. Robert Ready & Nikolai Roussanov & Colin Ward, 2017. "Commodity Trade and the Carry Trade: A Tale of Two Countries," Journal of Finance, American Finance Association, vol. 72(6), pages 2629-2684, December.
    2. Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
    3. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," LSE Research Online Documents on Economics 84140, London School of Economics and Political Science, LSE Library.
    4. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    5. Katrin Rabitsch, 2014. "An Incomplete Markets Explanation to the UIP Puzzle," Department of Economics Working Papers wuwp171, Vienna University of Economics and Business, Department of Economics.
    6. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "A Risk-based Theory of Exchange Rate Stabilization," NBER Working Papers 22790, National Bureau of Economic Research, Inc.
    7. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2015. "Not so disconnected: exchange rates and the capital stock," Working Paper Series 2015-21, Federal Reserve Bank of San Francisco.
    8. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
    9. Matteo Maggiori, 2012. "Financial Intermediation, International Risk Sharing, and Reserve Currencies," 2012 Meeting Papers 146, Society for Economic Dynamics.
    10. Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2021. "Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03330856, HAL.
    11. Christoph Meinerding, 2012. "Asset Allocation And Asset Pricing In The Face Of Systemic Risk: A Literature Overview And Assessment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-27.
    12. Emmanuel Farhi, 2008. "Rare Disasters and Exchange Rates," 2008 Meeting Papers 47, Society for Economic Dynamics.
    13. Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017. "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, vol. 85(C), pages 69-86.
    14. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    15. Weithing Zhang & Thomas Mertens & Tarek Hassan, 2014. "Currency Manipulation," 2014 Meeting Papers 401, Society for Economic Dynamics.
    16. Antoine GODIN & Sakir-Devrim YILMAZ, 2020. "Modelling Small Open Developing Economies in a Financialized World: A Stock-Flow Consistent Prototype Growth Model," Working Paper 5eb7e0e8-560f-4ce6-91a5-5, Agence française de développement.
    17. Rabitsch, Katrin, 2014. "An Incomplete Markets Explanation to the UIP Puzzle," Department of Economics Working Paper Series 171, WU Vienna University of Economics and Business.

  17. Ian Martin, 2011. "Simple Variance Swaps," NBER Working Papers 16884, National Bureau of Economic Research, Inc.

    Cited by:

    1. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    2. Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
    3. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    4. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
    5. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    6. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    7. David Hobson & Martin Klimmek, 2011. "Model independent hedging strategies for variance swaps," Papers 1104.4010, arXiv.org, revised May 2011.
    8. Ian Martin, 2017. "What is the Expected Return on the Market?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.
    9. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
    10. Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters, 2016. "Tail protection for long investors: Trend convexity at work," Papers 1607.02410, arXiv.org.
    11. Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
    12. Cong Ma & Mui Yee Cheok, 2023. "Relationship among Covid-19, stock price and green finance markets pragmatic evidence from volatility dynamics," Economic Change and Restructuring, Springer, vol. 56(1), pages 265-295, February.
    13. Philippe Mueller & Andrea Vedolin & Yu-min Yen, 2012. "Bond Variance Risk Premia," FMG Discussion Papers dp699, Financial Markets Group.
    14. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2017. "Shapes of implied volatility with positive mass at zero," Working Papers 2017-77, Center for Research in Economics and Statistics.
    15. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.
    16. David Hobson & Martin Klimmek, 2012. "Model-independent hedging strategies for variance swaps," Finance and Stochastics, Springer, vol. 16(4), pages 611-649, October.
    17. Karamfil Todorov, 2021. "Passive funds affect prices: evidence from the most ETF-dominated asset classes," BIS Working Papers 952, Bank for International Settlements.
    18. Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
    19. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    20. Turan G. Bali & Hao Zhou, 2011. "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series 2011-45, Board of Governors of the Federal Reserve System (U.S.).
    21. Fernando Alvarez, 2018. "A three mutual fund separation theorem," 2018 Meeting Papers 1066, Society for Economic Dynamics.
    22. Lynn Boen & Florence Guillaume, 2020. "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, vol. 23(1), pages 1-39, April.
    23. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    24. John R. Birge, 2015. "OM Forum—Operations and Finance Interactions," Manufacturing & Service Operations Management, INFORMS, vol. 17(1), pages 4-15, February.
    25. Bjørn Eraker & Aoxiang Yang, 2022. "The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," Journal of Finance, American Finance Association, vol. 77(6), pages 3289-3337, December.
    26. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
    27. Silvia Muzzioli, 2013. "The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-46.
    28. John, Kose & Li, Jingrui, 2021. "COVID-19, volatility dynamics, and sentiment trading," Journal of Banking & Finance, Elsevier, vol. 133(C).
    29. Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.
    30. Maria Elvira Mancino & Simone Scotti & Giacomo Toscano, 2020. "Is the variance swap rate affine in the spot variance? Evidence from S&P500 data," Papers 2004.04015, arXiv.org.
    31. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    32. Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017. "Bond Variance Risk Premiums," Review of Finance, European Finance Association, vol. 21(3), pages 987-1022.
    33. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    34. Carol Alexander & Johannes Rauch, 2014. "Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia," Papers 1404.1351, arXiv.org, revised Feb 2016.
    35. Seungmook Choi & Hongtao Yang, 2019. "Model-Free Implied Volatility under Jump-Diffusion Models," Review of Economics & Finance, Better Advances Press, Canada, vol. 16, pages 1-14, May.
    36. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
    37. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
    38. Laurent Barras & Aytek Malkhozov, 2015. "Does variance risk have two prices? Evidence from the equity and option markets," BIS Working Papers 521, Bank for International Settlements.
    39. Buss, Adrian & Vilkov, Grigory & ,, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
    40. Carol Alexander & Johannes Rauch, 2016. "Model-Free Discretisation-Invariant Swap Contracts," Papers 1602.00235, arXiv.org, revised Apr 2016.

  18. Ian Martin, 2010. "The Valuation of Long-Dated Assets," NBER Working Papers 16219, National Bureau of Economic Research, Inc.

    Cited by:

    1. Christian Gollier, 2013. "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series 4072, CESifo.
    2. Gollier, Christian, 2013. "A theory of rational short-termism with uncertain betas," TSE Working Papers 13-389, Toulouse School of Economics (TSE).
    3. Anna Battauz & Marzia Donno & Alessandro Sbuelz, 2017. "Reaching nirvana with a defaultable asset?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 31-52, November.
    4. Guerra Vallejos, Ernesto & Bobenrieth Hochfarber, Eugenio & Bobenrieth Hochfarber, Juan & Wright, Brian D., 2021. "Solving dynamic stochastic models with multiple occasionally binding constraints," Economic Modelling, Elsevier, vol. 105(C).
    5. Campbell, John Y. & Sigalov, Roman, 2022. "Portfolio choice with sustainable spending: A model of reaching for yield," Journal of Financial Economics, Elsevier, vol. 143(1), pages 188-206.
    6. Gollier, Christian, 2019. "Valuation of natural capital under uncertain substitutability," Journal of Environmental Economics and Management, Elsevier, vol. 94(C), pages 54-66.
    7. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
    8. Arpit Gupta & Stijn Van Nieuwerburgh, 2021. "Valuing Private Equity Investments Strip by Strip," Journal of Finance, American Finance Association, vol. 76(6), pages 3255-3307, December.
    9. Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric, 2014. "Aggregation of preferences for skewed asset returns," Journal of Economic Theory, Elsevier, vol. 154(C), pages 453-489.
    10. Lu, Yueliang (Jacques) & Tian, Weidong, 2023. "An on-line machine learning return prediction," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    11. Yasuhiro ARIKAWA & Vikas MEHROTRA, 2021. "Distribution of Long-run Stock Returns: Evidence from Japan and the US," Discussion papers 21084, Research Institute of Economy, Trade and Industry (RIETI).
    12. Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
    13. Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
    14. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, January.
    15. Dutt, Tanuj & Humphery-Jenner, Mark, 2013. "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 999-1017.
    16. Christian Gollier, 2024. "Evaluating sustainability actions under uncertainty: the role of improbable extreme scenarios," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(1), pages 59-74, March.
    17. Humphery-Jenner, Mark & Islam, Emdad & Nanda, Vikram & Rahman, Lubna, 2025. "Incentive contracting in the shadow of litigation risk: Evidence from universal demand laws," Journal of Banking & Finance, Elsevier, vol. 171(C).
    18. van Binsbergen, Jules H. & Boons, Martijn & Opp, Christian C. & Tamoni, Andrea, 2023. "Dynamic asset (mis)pricing: Build-up versus resolution anomalies," Journal of Financial Economics, Elsevier, vol. 147(2), pages 406-431.
    19. Martin L. Weitzman, 2012. "Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates," NBER Working Papers 18496, National Bureau of Economic Research, Inc.
    20. Haim Levy, 2016. "Aging Population, Retirement, and Risk Taking," Management Science, INFORMS, vol. 62(5), pages 1415-1430, May.
    21. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    22. Bessembinder, Hendrik, 2018. "Do stocks outperform Treasury bills?," Journal of Financial Economics, Elsevier, vol. 129(3), pages 440-457.

  19. Ian Martin, 2010. "Consumption-Based Asset Pricing with Higher Cumulants," NBER Working Papers 16153, National Bureau of Economic Research, Inc.

    Cited by:

    1. Xavier Gabaix & Samuel Fraiberg & Romain Ranciere & Adrien Verdehlha & Emmanuel Farhi, 2010. "Crash Risk in Currency Market," 2010 Meeting Papers 640, Society for Economic Dynamics.
    2. van der Ploeg, Frederick & ,, 2018. "Pricing Carbon Under Economic and Climactic Risks: Leading-Order Results from Asymptotic Analysis," CEPR Discussion Papers 12642, C.E.P.R. Discussion Papers.
    3. Wang, Yuanping & Mu, Congming, 2019. "Can ambiguity about rare disasters explain equity premium puzzle?," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
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    6. Francesco Bianchi, 2015. "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers 21056, National Bureau of Economic Research, Inc.
    7. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
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    26. Péter Kondor & Ron Kaniel, 2011. "The delegated Lucas tree," 2011 Meeting Papers 580, Society for Economic Dynamics.
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    88. Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series 16-22, Swiss Finance Institute, revised Jun 2016.
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    90. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    91. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
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    93. Kwon, Ji Ho, 2020. "Tail behavior of Bitcoin, the dollar, gold and the stock market index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    94. Max Gillman & Michal Kejak & Michal Pakoš, 2015. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Review of Finance, European Finance Association, vol. 19(3), pages 1053-1104.
    95. Yang-Ho Park, 2013. "Volatility of volatility and tail risk premiums," Finance and Economics Discussion Series 2013-54, Board of Governors of the Federal Reserve System (U.S.).
    96. Nolte, Ingmar & Xu, Qi, 2015. "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 45-59.
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    98. Ufuk Akcigit & Fernando Alvarez & Stephane Bonhomme & George M Constantinides & Douglas W Diamond & Eugene F Fama & David W Galenson & Michael Greenstone & Lars Peter Hansen & Uhlig Harald & James J H, 2017. "The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics," Natural Field Experiments 00635, The Field Experiments Website.
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Articles

  1. Ian W. R. Martin & Dimitris Papadimitriou, 2022. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," American Economic Review, American Economic Association, vol. 112(8), pages 2465-2517, August.
    See citations under working paper version above.
  2. Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
    See citations under working paper version above.
  3. Niels J. Gormsen & Ralph S. J. Koijen & Ian W. R. Martin, 2021. "Implied Dividend Volatility and Expected Growth," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 361-365, May.
    See citations under working paper version above.
  4. Can Gao & Ian W. R. Martin, 2021. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," Journal of Finance, American Finance Association, vol. 76(6), pages 3211-3254, December.
    See citations under working paper version above.
  5. Ian Martin, 2021. "On the Autocorrelation of the Stock Market [X-CAPM: An Extrapolative Capital Asset Pricing Model]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 39-52.
    See citations under working paper version above.
  6. Ian W R Martin & Robert S Pindyck, 2021. "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," The Economic Journal, Royal Economic Society, vol. 131(634), pages 946-969.
    See citations under working paper version above.
  7. Martin, Ian W. R. & Ross, Stephen A., 2019. "Notes on the yield curve," Journal of Financial Economics, Elsevier, vol. 134(3), pages 689-702.
    See citations under working paper version above.
  8. Lukas Kremens & Ian Martin, 2019. "The Quanto Theory of Exchange Rates," American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.
    See citations under working paper version above.
  9. Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
    See citations under working paper version above.
  10. Ian Martin, 2017. "What is the Expected Return on the Market?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.
    See citations under working paper version above.
  11. Ian W. R. Martin & Robert S. Pindyck, 2015. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," American Economic Review, American Economic Association, vol. 105(10), pages 2947-2985, October.
    See citations under working paper version above.
  12. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, January.
    See citations under working paper version above.
  13. Ian W. Martin, 2013. "Consumption-Based Asset Pricing with Higher Cumulants," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 745-773.
    See citations under working paper version above.
  14. Ian Martin, 2012. "On the Valuation of Long-Dated Assets," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 346-358.
    See citations under working paper version above.
  15. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    See citations under working paper version above.
  16. Ian W. R. Martin, 2008. "Disasters and the Welfare Cost of Uncertainty," American Economic Review, American Economic Association, vol. 98(2), pages 74-78, May.

    Cited by:

    1. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
    2. Aurélie Méjean & Antonin Pottier & Stéphane Zuber & Marc Fleurbaey, 2020. "Intergenerational equity under catastrophic climate change," Working Papers halshs-03029883, HAL.
    3. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
    4. Pindyck, Robert S. & Martin, Ian, 2015. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," CEPR Discussion Papers 10730, C.E.P.R. Discussion Papers.
    5. Aurélie Méjean & Antonin Pottier & Marc Fleurbaey & Stéphane Zuber, 2020. "Catastrophic climate change, population ethics and intergenerational equity," PSE-Ecole d'économie de Paris (Postprint) halshs-01599453, HAL.
    6. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
    7. Erwann Michel-Kerjan, 2013. "Finance des risques catastrophiques. Le marché américain est en plein bouleversement," Revue économique, Presses de Sciences-Po, vol. 64(4), pages 615-634.
    8. Ian W.R. Martin & Robert S. Pindyck, 2019. "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," NBER Working Papers 26068, National Bureau of Economic Research, Inc.
    9. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2020. "Disasters Everywhere: The Costs of Business Cycles Reconsidered," NBER Working Papers 26962, National Bureau of Economic Research, Inc.
    10. Sherrill Shaffer & Iftekhar Hasan & Mingming Zhou, 2008. "New Small Firms And Dimensions Of Economic Performance," CAMA Working Papers 2008-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Aurland-Bredesen, Kine Josefine, 2021. "The welfare costs of uncertainty: Cross-country evidence," World Development, Elsevier, vol. 146(C).
    12. Robert S. Pindyck, 2016. "The Social Cost of Carbon Revisited," NBER Working Papers 22807, National Bureau of Economic Research, Inc.
    13. Jose Ursua & Jon Steinsson & Emi Nakamura & Robert Barro, 2008. "Crises and Recoveries in an Empirical Model of Consumption Disasters," 2008 Meeting Papers 1089, Society for Economic Dynamics.
    14. Qunzi Zhang, 2021. "One hundred years of rare disaster concerns and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1891-1915, December.
    15. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2024. "Disasters Everywhere: The Costs of Business Cycles Reconsidered," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 116-151, March.
    16. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.
    17. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," NBER Working Papers 16035, National Bureau of Economic Research, Inc.
    18. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
    19. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.
    20. Robert S. Pindyck, 2014. "Risk and Return in the Design of Environmental Policy," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 1(3), pages 395-418.
    21. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    22. Karim M. Abadir & Adriana Cornea, 2012. "Approximating Moments by Nonlinear Transformations," Working Paper series 22_12, Rimini Centre for Economic Analysis.
    23. Kine Josefine Aurland-Bredesen, 2020. "The Benefit-Cost Ratio as a Decision Criteria When Managing Catastrophes," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 77(2), pages 345-363, October.

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