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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. 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. 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. 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.

  3. 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. St-Amour, Pascal, 2024. "Valuing life over the life cycle," Journal of Health Economics, Elsevier, vol. 93(C).
    2. Benoit Decerf & Francisco H. G. Ferreira & Daniel G. Mahler & Olivier Sterck, 2020. "Lives and Livelihoods: Estimates of the Global Mortality and Poverty Effects of the Covid-19 Pandemic," Working Papers 542, ECINEQ, Society for the Study of Economic Inequality.
    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.

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

    Cited by:

    1. Jérome Dugast & Thierry Foucault, 2023. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04390540, HAL.
    2. 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.
    3. Matteo Bagnara, 2024. "Asset Pricing and Machine Learning: A critical review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 27-56, February.
    4. Olivier Dessaint & Thierry Foucault & Laurent Fresard, 2024. "Does Alternative Data Improve Financial Forecasting? The Horizon Effect," Journal of Finance, American Finance Association, vol. 79(3), pages 2237-2287, June.
    5. 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.
    6. 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).
    7. 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. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org, revised Sep 2024.
    9. Yabu, Takuya, 2023. "On Discrete Probability Distributions to Grasp the Number of Samples in a Population," OSF Preprints yv24f, Center for Open Science.
    10. 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.
    11. 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.
    12. 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.
    13. 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.
    14. Christopher G. Lamoureux & Huacheng Zhang, 2021. "An Empirical Assessment of Characteristics and Optimal Portfolios," Papers 2104.12975, arXiv.org, revised Feb 2024.
    15. Kaplanski, Guy, 2023. "The race to exploit anomalies and the cost of slow trading," Journal of Financial Markets, Elsevier, vol. 62(C).
    16. 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.
    17. Jérôme Dugast & Thierry Foucault, 2024. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04941346, HAL.
    18. 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.
    19. 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).
    20. 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.
    21. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
    22. 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).
    23. Yabu, Takuya, 2023. "On Discrete Probability Distributions to Grasp the Number of Samples in a Population," OSF Preprints yv24f_v1, Center for Open Science.
    24. 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).
    25. 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.
    26. 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.

  5. 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. 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.
    2. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
    3. 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.
    4. 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).
    5. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(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. 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.
    8. Zhang, Xuetong & Zhang, Weiguo, 2023. "Information asymmetry, sentiment interactions, and asset price," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    9. 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.
    10. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
    11. 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.

  6. 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. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    2. 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).
    3. Ma, Juntao & Li, Chenchen, 2024. "Detecting market bubbles: A generalized LPPLS neural network model," Economics Letters, Elsevier, vol. 244(C).
    4. Christophe Blot & Paul Hubert & Fabien Labondance, 2020. "The asymmetric effects of monetary policy on stock price bubbles," Working Papers hal-03403075, HAL.
    5. 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).
    6. Antonia Lopez Villavicencio & Marc Pourroy, 2023. "Information Shocks in the U.S. and Asset Mispricing in Emerging Economies," Working Papers hal-04159830, HAL.
    7. 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.
    8. 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.
    9. 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.).
    10. 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).
    11. Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Staff Reports 1003, Federal Reserve Bank of New York.
    12. 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.
    13. Cai, Jin & Pagano, Michael S. & Sedunov, John, 2023. "The role of investor sentiment in bank liquidity creation," Finance Research Letters, Elsevier, vol. 58(PD).
    14. 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.

  7. 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.

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

    Cited by:

    1. Jaroslav Borovicka & John Stachurski, 2019. "Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition," Papers 1910.00778, arXiv.org, revised Feb 2021.
    2. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
    3. Francesco Lancia & Alessia Russo & Tim Worrall, 2021. "Optimal Sustainable Intergenerational Insurance," Edinburgh School of Economics Discussion Paper Series 304, Edinburgh School of Economics, University of Edinburgh, revised Dec 2021.
    4. Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
    5. 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).
    6. 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).
    7. McMahon, Michael & , & Tong, Matthew, 2019. "The Long-Run Information Effect of Central Bank Communication," CEPR Discussion Papers 13438, C.E.P.R. Discussion Papers.
    8. Narayana R. Kocherlakota, 2023. "Infinite Debt Rollover in Stochastic Economies," Econometrica, Econometric Society, vol. 91(5), pages 1629-1658, September.
    9. Horvath, Ferenc, 2025. "Arbitrage-based recovery," Journal of Financial Economics, Elsevier, vol. 163(C).

  9. 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," CIRED Working Papers halshs-03029883, HAL.
    2. 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).
    3. 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).
    4. Aurélie Méjean & Antonin Pottier & Marc Fleurbaey & Stéphane Zuber, 2020. "Catastrophic climate change, population ethics and intergenerational equity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01599453, HAL.
    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.

  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. 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.
    2. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
    3. Sarno, Lucio & Colacito, Ric & Riddiough, Steven, 2019. "Business Cycles and Currency Returns," CEPR Discussion Papers 14015, C.E.P.R. Discussion Papers.
    4. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
    5. Martin, Ian W. R. & Ross, Stephen A., 2019. "Notes on the yield curve," Journal of Financial Economics, Elsevier, vol. 134(3), pages 689-702.
    6. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
    7. 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.
    8. 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.
    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.
    10. 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).
    11. 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.
    12. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    13. 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.
    14. 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.).
    15. 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.
    16. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
    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. 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.
    19. Andrew Lilley & Matteo Maggiori & Brent Neiman & Jesse Schreger, 2019. "Exchange Rate Reconnect," NBER Working Papers 26046, National Bureau of Economic Research, Inc.
    20. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
    21. 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.
    22. 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.
    23. 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.
    24. Eren, Egemen & Malamud, Semyon, 2022. "Dominant currency debt," Journal of Financial Economics, Elsevier, vol. 144(2), pages 571-589.
    25. 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.
    26. 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.
    27. 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.
    28. Jun Wei, 2020. "Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk," Complexity, Hindawi, vol. 2020, pages 1-10, November.

  11. 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. Attílio, Luccas Assis & Mollick, André Varella, 2024. "Assessing the baseline model of WTI oil and stock returns under financial volatility and spillover effects," Energy Economics, Elsevier, vol. 135(C).
    2. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    3. Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
    4. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
    5. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    6. Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
    7. Michael Hasler & Charles Martineau, 2023. "Explaining the Failure of the Unconditional CAPM with the Conditional CAPM," Management Science, INFORMS, vol. 69(3), pages 1835-1855, March.
    8. Martin, Ian W. R. & Ross, Stephen A., 2019. "Notes on the yield curve," Journal of Financial Economics, Elsevier, vol. 134(3), pages 689-702.
    9. Cujean, Julien & Andrei, Daniel & Wilson, Mungo, 2018. "The Lost Capital Asset Pricing Model," CEPR Discussion Papers 12607, C.E.P.R. Discussion Papers.
    10. Martin, Ian & ,, 2019. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers 13857, C.E.P.R. Discussion Papers.
    11. Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
    12. Pagano, Marco & Wagner, Christian & Zechner, Josef, 2023. "Disaster resilience and asset prices," Journal of Financial Economics, Elsevier, vol. 150(2).
    13. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
    14. 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.
    15. Gormsen, Niels Joachim & Jensen, Christian Skov, 2024. "Conditional risk," Journal of Financial Economics, Elsevier, vol. 162(C).
    16. 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).
    17. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
    18. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    19. Stefan Nagel & Zhengyang Xu, 2024. "Movements in Yields, Not the Equity Premium: Bernanke-Kuttner Redux," CESifo Working Paper Series 11305, CESifo.
    20. Lars A. Lochstoer & Tyler Muir, 2022. "Volatility Expectations and Returns," Journal of Finance, American Finance Association, vol. 77(2), pages 1055-1096, April.
    21. Khoa Hoang & Robert Faff, 2021. "Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 95-124, March.
    22. Chen, Steven Shu-Hsiu, 2024. "International crash risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    23. Mathias S. Kruttli & Brigitte Roth Tran & Sumudu W. Watugala, 2021. "Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics," Working Paper Series 2021-23, Federal Reserve Bank of San Francisco.
    24. 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.
    25. Pyun, Chaehyun, 2024. "Synchronous social media and the stock market," Journal of Financial Markets, Elsevier, vol. 70(C).
    26. Keloharju, Matti & Linnainmaa, Juhani T. & Nyberg, Peter, 2021. "Long-term discount rates do not vary across firms," Journal of Financial Economics, Elsevier, vol. 141(3), pages 946-967.
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    41. Oleg Kucher & Alexander Kurov & Marketa Halova Wolfe, 2023. "A shot in the arm: The effect of COVID‐19 vaccine news on financial and commodity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 575-596, August.
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    47. 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.
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    59. Iwanicz-Drozdowska Małgorzata & Rogowicz Karol & Smaga Paweł, 2023. "Market-moving events and their role in portfolio optimization of generations X, Y, and Z," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 59(4), pages 371-397, December.
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    6. Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 293-315, National Bureau of Economic Research, Inc.
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    8. Gloria Gonzalez-Rivera & Joao Henrique Mazzeu & Esther Ruiz & Helena Veiga, 2017. "A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities," Working Papers 201709, University of California at Riverside, Department of Economics.
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    34. Stefan Nagel & Zhengyang Xu, 2024. "Movements in Yields, Not the Equity Premium: Bernanke-Kuttner Redux," CESifo Working Paper Series 11305, CESifo.
    35. Khoa Hoang & Robert Faff, 2021. "Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 95-124, March.
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    37. 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.
    38. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
    39. Kroencke, Tim-Alexander & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC risk shift," SAFE Working Paper Series 302, Leibniz Institute for Financial Research SAFE.
    40. Charles Smith & Peter Van Tassel, 2021. "Equity Volatility Term Premia," Liberty Street Economics 20210203, Federal Reserve Bank of New York.
    41. Bekaert, Geert & Hoerova, Marie & Xu, Nancy R., 2023. "Risk, monetary policy and asset prices in a global world," Working Paper Series 2879, European Central Bank.
    42. Luis García‐Feijóo & Ariel M. Viale, 2023. "Ambiguity and risk factors in bank stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(4), pages 993-1019, December.
    43. Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
    44. Andreas Schrimpf & Semyon Malamud, 2017. "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers 812, Society for Economic Dynamics.
    45. Mathias Krogh & Giovanni Pellegrino, "undated". "Real Activity and Uncertainty Shocks: The Long and the Short of It," "Marco Fanno" Working Papers 0310, Dipartimento di Scienze Economiche "Marco Fanno".
    46. 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.
    47. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
    48. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    49. 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.
    50. Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin, 2022. "Venturing into uncharted territory: An extensible implied volatility surface model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1912-1940, October.
    51. Peter Van Tassel, 2020. "The Law of One Price in Equity Volatility Markets," Staff Reports 953, Federal Reserve Bank of New York.
    52. Ding, Ashley, 2021. "A state-preference volatility index for the natural gas market," Energy Economics, Elsevier, vol. 104(C).
    53. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
    54. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
    55. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," NBER Working Papers 28693, National Bureau of Economic Research, Inc.
    56. Robert J. Barro & Gordon Liao, 2017. "Option-pricing formula with disaster risk," AEI Economics Working Papers 966780, American Enterprise Institute.
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    60. Berkman, Henk & Malloch, Hamish, 2023. "Stock valuation during the COVID-19 pandemic: An explanation using option-based discount rates," Journal of Banking & Finance, Elsevier, vol. 147(C).
    61. Hasibul Chowdhury & Robert Faff & Khoa Hoang, 2021. "Using abnormal analyst coverage to unlock new evidence on stock price crash risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1557-1588, April.
    62. Oleg Kucher & Alexander Kurov & Marketa Halova Wolfe, 2023. "A shot in the arm: The effect of COVID‐19 vaccine news on financial and commodity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 575-596, August.
    63. 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.
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    65. 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).
    66. Kräussl, Roman & Oladiran, Tobi & Stefanova, Denitsa, 2023. "ESG as protection against downside risk," CFS Working Paper Series 708, Center for Financial Studies (CFS).
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    68. Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," NBER Working Papers 25769, National Bureau of Economic Research, Inc.
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    70. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019. "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers 25673, National Bureau of Economic Research, Inc.
    71. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
    72. Qiao, Kenan & Ji, Zhehan & Xie, Haibin, 2023. "Unrealized return dispersion and the equity risk premium," Finance Research Letters, Elsevier, vol. 58(PA).
    73. 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.
    74. 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.).
    75. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
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    82. 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.
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    86. 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.
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    88. Iwanicz-Drozdowska Małgorzata & Rogowicz Karol & Smaga Paweł, 2023. "Market-moving events and their role in portfolio optimization of generations X, Y, and Z," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 59(4), pages 371-397, December.
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    102. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    103. Kristiansen, Kristian & Hvid, Anna Kirstine, 2020. "How news affects sectoral stock prices through earnings expectations and risk premia," Working Paper Series 2493, European Central Bank.
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    105. Serrano, Pedro & Vaello-Sebastià, Antoni & Vich-Llompart, M. Magdalena, 2024. "The international linkages of market risk perception," Journal of Multinational Financial Management, Elsevier, vol. 72(C).
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    107. Emmanuel Farhi & Francois Gourio, 2018. "Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 147-250.
    108. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
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    110. German Gutierrez, 2018. "Investigating Global Labor and Pro t Shares," 2018 Meeting Papers 165, Society for Economic Dynamics.
    111. Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
    112. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    113. Lu, Zhongjin & Murray, Scott, 2019. "Bear beta," Journal of Financial Economics, Elsevier, vol. 131(3), pages 736-760.
    114. Ren‐Raw Chen & Pei‐Lin Hsieh & Jeffrey Huang & Xiaowei Li, 2023. "Predictive power of the implied volatility term structure in the fixed‐income market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 349-383, March.
    115. Yuan Liao & Xinjie Ma & Andreas Neuhierl & Zhentao Shi, 2023. "Economic Forecasts Using Many Noises," Papers 2312.05593, arXiv.org, revised Dec 2023.
    116. Pezzo, Luca & Zhu, Yinchu & Hassan, M. Kabir & Tian, Jiayuan, 2024. "Testing the boundaries of applicability of standard Stochastic Discount Factor models," Journal of Financial Stability, Elsevier, vol. 72(C).
    117. Horvath, Jaroslav, 2019. "Isolating the disaster risk premium with equity options," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 138-148.
    118. Rubio, Gonzalo & Serrano, Pedro & Vaello-Sebastià, Antoni, 2023. "The international integration of the term structure of expected market risk premia," Finance Research Letters, Elsevier, vol. 58(PD).
    119. Iuri H. Ferreira & Marcelo C. Medeiros, 2021. "Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach," Papers 2112.15108, arXiv.org.
    120. 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.
    121. Robert J. Barro & Gordon Y. Liao, 2019. "Tractable Rare Disaster Probability and Options-Pricing," Finance and Economics Discussion Series 2019-073, Board of Governors of the Federal Reserve System (U.S.).
    122. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2021. "Aggregate expected investment growth and stock market returns," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 618-638.
    123. Foley, Sean & Li, Simeng & Malloch, Hamish & Svec, Jiri, 2022. "What is the expected return on Bitcoin? Extracting the term structure of returns from options prices," Economics Letters, Elsevier, vol. 210(C).
    124. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
    125. Sanford, Anthony, 2024. "Information content of option prices: Comparing analyst forecasts to option-based forecasts," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    126. Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
    127. 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.
    128. Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
    129. Wu, Xu & Wang, Pei-Yu & Wang, Kun, 2023. "The effect of stabilization fund to rescue stock market based on expected return-capita circulation equation," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
    130. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
    131. Giovanni Barone‐Adesi & Chiara Legnazzi & Carlo Sala, 2019. "Option‐implied risk measures: An empirical examination on the S&P 500 index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1409-1428, October.
    132. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
    133. Back, Kerry & Crotty, Kevin & Kazempour, Seyed Mohammad, 2022. "Validity, tightness, and forecasting power of risk premium bounds," Journal of Financial Economics, Elsevier, vol. 144(3), pages 732-760.
    134. Akira Yamazaki, 2022. "Recovering subjective probability distributions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1234-1263, July.
    135. Đukić Aleksandar & Štaka Mirjana & Drašković Dajana, 2021. "The Impact of the COVID-19 Pandemic on the Macroeconomic Aggregates of the European Union," Economics, Sciendo, vol. 9(2), pages 91-108, December.
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    146. 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.
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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.

    Cited by:

    1. Ian W.R. Martin & Robert S. Pindyck, 2014. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," NBER Working Papers 20215, National Bureau of Economic Research, Inc.
    2. Pindyck, Robert S., 2019. "The social cost of carbon revisited," Journal of Environmental Economics and Management, Elsevier, vol. 94(C), pages 140-160.
    3. 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).
    4. William Brock & Anastasios Xepapadeas, 2023. "Natural world preservation and infectious diseases: Land-use, climate change and innovation," DEOS Working Papers 2319, Athens University of Economics and Business.
    5. Emmanuel Apergis & Nicholas Apergis, 2021. "The impact of COVID-19 on economic growth: evidence from a Bayesian Panel Vector Autoregressive (BPVAR) model," Applied Economics, Taylor & Francis Journals, vol. 53(58), pages 6739-6751, December.
    6. 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.
    7. Mark Pennington, 2021. "Hayek on complexity, uncertainty and pandemic response," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 34(2), pages 203-220, June.
    8. 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.
    9. 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.
    10. Samuel G. Hanson & David S. Scharfstein & Adi Sunderam, 2016. "Fiscal Risk and the Portfolio of Government Programs," NBER Working Papers 22763, National Bureau of Economic Research, Inc.
    11. Mavi, Can Askan, 2020. "Can harmful events be another source of environmental traps?," Journal of Mathematical Economics, Elsevier, vol. 89(C), pages 29-46.
    12. 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.
    13. Aurélie Méjean & Antonin Pottier & Stéphane Zuber & Marc Fleurbaey, 2023. "Opposite ethical views converge under the threat of catastrophic climate change," PSE Working Papers halshs-04158009, HAL.
    14. 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.
    15. Christoph M. Rheinberger & Nicolas Treich, 2017. "Attitudes Toward Catastrophe," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 67(3), pages 609-636, July.
    16. Rachel Glennerster & Christopher M. Snyder & Brandon Joel Tan, 2023. "Calculating the Costs and Benefits of Advance Preparations for Future Pandemics," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(3), pages 611-648, September.
    17. Can Askan Mavi, 2020. "Can harmful events be another source of environmental traps?," Post-Print hal-02880592, HAL.
    18. Dirk Broeders & Daniel Dimitrov & Niek Verhoeven, 2024. "Climate-Linked Bonds," Working Papers 817, DNB.
    19. David Anthoff & Richard S. J. Tol, 2020. "Testing the Dismal Theorem," Working Paper Series 1920, Department of Economics, University of Sussex Business School.
    20. 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.
    21. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.
    22. Thomas Douenne, 2019. "Disaster risks, disaster strikes and economic growth: the role of preferences," Working Papers 2019.05, FAERE - French Association of Environmental and Resource Economists.
    23. 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.
    24. 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.
    25. 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.
    26. Steven D. Baker & Burton Hollifield & Emilio Osambela, 2018. "Preventing Controversial Catastrophes," Finance and Economics Discussion Series 2018-052, Board of Governors of the Federal Reserve System (U.S.).
    27. Per-Olov Johansson & Bengt Kriström, 2015. "On the Social Cost of Water-Related Disasters," Water Economics and Policy (WEP), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 1-26.
    28. Vislie, Jon, 2017. "Resource Extraction and Uncertain Tipping Points," Memorandum 03/2017, Oslo University, Department of Economics.
    29. 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.
    30. 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.
    31. Kolb, Aaron & Conitzer, Vincent, 2020. "Crying about a strategic wolf: A theory of crime and warning," Journal of Economic Theory, Elsevier, vol. 189(C).
    32. Broeders, Dirk & Dimitrov, Daniel & Verhoeven, Niek, 2025. "Climate-linked bonds," Working Paper Series 3011, European Central Bank.
    33. Stefan Wrzaczek & Michael Kuhn & Ivan Frankovic, 2020. "Using Age Structure for a Multi-stage Optimal Control Model with Random Switching Time," Journal of Optimization Theory and Applications, Springer, vol. 184(3), pages 1065-1082, March.
    34. Roberto Burguet & Jozsef Sakovics, 2019. "Personalized Prices and Uncertainty in Monopsony," Edinburgh School of Economics Discussion Paper Series 290, Edinburgh School of Economics, University of Edinburgh.
    35. 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 112801, London School of Economics and Political Science, LSE Library.
    36. 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.
    37. Ramiro de Ávila Peres, 2024. "Social Discounting and the Tragedy of the Horizon: from the Stern-Nordhaus debate to target-consistent prices," Working Papers Series 593, Central Bank of Brazil, Research Department.
    38. Can Askan Mavi, 2019. "Can harmful events be another source of environmental traps?," Working Papers halshs-02141789, HAL.
    39. 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.
    40. Braun, Alexander & Braun, Julia & Weigert, Florian, 2023. "Extreme weather risk and the cost of equity," CFR Working Papers 23-08, University of Cologne, Centre for Financial Research (CFR).
    41. J. Farmer & Cameron Hepburn & Penny Mealy & Alexander Teytelboym, 2015. "A Third Wave in the Economics of Climate Change," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 62(2), pages 329-357, October.
    42. 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.
    43. Rick Van der Ploeg & Aart de Zeeuw, 2018. "Pricing Carbon and Adjusting Capital to Fend off Climate Catastrophes," OxCarre Working Papers 207, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    44. Besley, Tim & Dixit, Avinash K., 2017. "Comparing Alternative Policies Against Environmental Catastrophes," CEPR Discussion Papers 11802, C.E.P.R. Discussion Papers.
    45. Trond G. Husby & Elco E. Koks, 2017. "Household migration in disaster impact analysis: incorporating behavioural responses to risk," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 87(1), pages 287-305, May.
    46. 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.
    47. 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.
    48. Oliver D. Bettis & Simon Dietz & Nick G. Silver, 2017. "The risk of climate ruin," Climatic Change, Springer, vol. 140(2), pages 109-118, January.
    49. 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.
    50. 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.

  14. 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. Semyon Malamud & Andreas Schrimpf & Yuan Zhang, 2024. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 24-01, Swiss Finance Institute.
    2. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "Not So Disconnected: Exchange Rates and the Capital Stock," NBER Chapters, in: NBER International Seminar on Macroeconomics 2015, National Bureau of Economic Research, Inc.
    3. Weithing Zhang & Thomas Mertens & Tarek Hassan, 2014. "Currency Manipulation," 2014 Meeting Papers 401, Society for Economic Dynamics.
    4. 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?," Post-Print hal-03330856, HAL.
    5. 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.
    6. 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.
    7. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2020. "A Risk-based Theory of Exchange Rate Stabilization," Working Paper Series 2016-15, Federal Reserve Bank of San Francisco.
    8. 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.
    9. Matteo Maggiori, 2013. "Financial Intermediation, International Risk Sharing, and Reserve Currencies," Working Paper 181796, Harvard University OpenScholar.
    10. Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc.
    11. Hassan, Tarek & Mano, Rui, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," CEPR Discussion Papers 10060, C.E.P.R. Discussion Papers.
    12. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    13. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
    14. 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.
    15. 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.
    16. 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.
    17. 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.

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

    Cited by:

    1. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    2. Turan G. Bali & Hao Zhou, 2013. "Risk, Uncertainty, and Expected Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1306, Koc University-TUSIAD Economic Research Forum.
    3. 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.
    4. Karamfil Todorov, 2021. "Passive funds affect prices: evidence from the most ETF-dominated asset classes," BIS Working Papers 952, Bank for International Settlements.
    5. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    6. 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.
    7. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
    8. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    9. Martin, Ian, 2017. "What is the expected return on the market?," LSE Research Online Documents on Economics 67036, London School of Economics and Political Science, LSE Library.
    10. Sarno, Lucio & Della Corte, Pasquale, 2013. "Volatility Risk Premia and Exchange Rate Predictability," CEPR Discussion Papers 9549, C.E.P.R. Discussion Papers.
    11. John R. Birge, 2015. "OM Forum—Operations and Finance Interactions," Manufacturing & Service Operations Management, INFORMS, vol. 17(1), pages 4-15, February.
    12. 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.
    13. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
    14. 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.
    15. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    16. 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.
    17. 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.
    18. 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.
    19. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    20. 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.
    21. 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.
    22. 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.
    23. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2018. "Crash Risk in Currency Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 137-170, February.
    24. 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.
    25. 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.
    26. 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.
    27. 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.
    28. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    29. Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017. "Bond Variance Risk Premiums," Review of Finance, European Finance Association, vol. 21(3), pages 987-1022.
    30. David Hobson & Martin Klimmek, 2012. "Model-independent hedging strategies for variance swaps," Finance and Stochastics, Springer, vol. 16(4), pages 611-649, October.
    31. Philippe Mueller & Andrea Vedolin & Yu-min Yen, 2012. "Bond Variance Risk Premia," FMG Discussion Papers dp699, Financial Markets Group.
    32. David Hobson & Martin Klimmek, 2011. "Model independent hedging strategies for variance swaps," Papers 1104.4010, arXiv.org, revised May 2011.
    33. John, Kose & Li, Jingrui, 2021. "COVID-19, volatility dynamics, and sentiment trading," Journal of Banking & Finance, Elsevier, vol. 133(C).
    34. Buss, Adrian & Vilkov, Grigory & ,, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
    35. Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.
    36. Carol Alexander & Johannes Rauch, 2016. "Model-Free Discretisation-Invariant Swap Contracts," Papers 1602.00235, arXiv.org, revised Apr 2016.
    37. 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.
    38. 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.
    39. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
    40. Fernando Alvarez, 2018. "A three mutual fund separation theorem," 2018 Meeting Papers 1066, Society for Economic Dynamics.

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

    Cited by:

    1. Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013. "Measuring Sovereign Contagion in Europe," NBER Working Papers 18741, National Bureau of Economic Research, Inc.
    2. Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2022. "The Correlation Risk Premium: International Evidence," Journal of Banking & Finance, Elsevier, vol. 136(C).
    3. Tarek A. Hassan, 2013. "Country Size, Currency Unions, and International Asset Returns," Journal of Finance, American Finance Association, vol. 68(6), pages 2269-2308, December.
    4. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
    5. Fischer, Thomas & Lundtofte , Frederik, 2018. "Unequal Returns: Using the Atkinson Index to Measure Financial Risk," Working Papers 2018:25, Lund University, Department of Economics.
    6. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers 2011:33, Lund University, Department of Economics.
    7. Basak, Suleyman & Atmaz, Adem, 2017. "Belief Dispersion in the Stock Market," CEPR Discussion Papers 12056, C.E.P.R. Discussion Papers.
    8. Jordi Mondria & Climent Quintana‐Domeque, 2013. "Financial Contagion and Attention Allocation," Economic Journal, Royal Economic Society, vol. 123(568), pages 429-454, May.
    9. Li, Kai, 2021. "Nonlinear effect of sentiment on momentum," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    10. Roberto Rigobón, 2019. "Contagion, Spillover, and Interdependence," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 69-99, April.
    11. Nicolas Coeurdacier & Stéphane Guibaud, 2005. "A dynamic equilibrium model of imperfectly integrated financial markets," PSE Working Papers halshs-00590775, HAL.
    12. 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.
    13. 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.
    14. Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
    15. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    16. 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.
    17. 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.
    18. Gollier, Christian, 2021. "The welfare cost of ignoring the beta," CEPR Discussion Papers 16007, C.E.P.R. Discussion Papers.
    19. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.
    20. Tarek Alexander Hassan, 2010. "Country Size, Currency Areas, and International Asset Returns," 2010 Meeting Papers 365, Society for Economic Dynamics.
    21. Diogo Duarte & Rodolfo Prieto & Marcel Rindisbacher & Yuri F. Saporito, 2022. "Vanishing Contagion Spreads," Management Science, INFORMS, vol. 68(1), pages 740-772, January.
    22. 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.
    23. 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).
    24. 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.
    25. 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.
    26. Nicolas Coeurdacier & Stéphane Guibaud, 2011. "International portfolio diversification is better than you think," SciencePo Working papers Main hal-03602483, HAL.
    27. 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.
    28. 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.
    29. 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.
    30. Herrmann, Sabine & Kleinert, Jörn, 2014. "Lucas paradox and allocation puzzle: Is the euro area different?," Discussion Papers 06/2014, Deutsche Bundesbank.
    31. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    32. 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.
    33. 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.
    34. 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.
    35. 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.
    36. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    37. Paolo Guasoni & Kwok Chuen Wong, 2020. "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, vol. 24(4), pages 939-980, October.
    38. Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
    39. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    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. Xavier Gabaix, 2012. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(2), pages 645-700.
    42. Grégoire, Vincent, 2020. "The rise of passive investing and index-linked comovement," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    43. 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.
    44. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
    45. 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.
    46. 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.
    47. 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.
    48. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    49. 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.
    50. 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.
    51. 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.
    52. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
    53. 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.
    54. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    55. Ebrahim, M. Shahid & Jaafar, Aziz & Omar, Fatma A. & Salleh, Murizah Osman, 2016. "Can Islamic injunctions indemnify the structural flaws of securitized debt?," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 271-286.
    56. 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.
    57. 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.
    58. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
    59. 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.

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

    Cited by:

    1. Ian W.R. Martin & Robert S. Pindyck, 2014. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," NBER Working Papers 20215, National Bureau of Economic Research, Inc.
    2. AJ A. Bostian & Christoph Heinzel, 2018. "Comparative precautionary saving under higher-order risk and recursive utility," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 95-114, May.
    3. Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
    4. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
    5. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
    7. 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).
    8. Gollier, Christian, 2013. "A theory of rational short-termism with uncertain betas," IDEI Working Papers 771, Institut d'Économie Industrielle (IDEI), Toulouse.
    9. Ana Belén Alonso-Conde & Javier Rojo-Suárez, 2020. "Nuclear Hazard and Asset Prices: Implications of Nuclear Disasters in the Cross-Sectional Behavior of Stock Returns," Sustainability, MDPI, vol. 12(22), pages 1-24, November.
    10. Christian Gollier & Frederick van Der Ploeg & Jiakun Zheng, 2023. "The Discounting Premium Puzzle: Survey evidence from professional economists," Post-Print hal-04981354, HAL.
    11. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    12. Christian Gollier, 2013. "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series 4072, CESifo.
    13. Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
    14. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
    15. Gluzberg, Victor E. & Katz, Yuri A., 2019. "Planetary boundaries of consumption growth: Declining social discount rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 362-374.
    16. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
    17. Fu, Qi & So, Jacky Yuk-Chow & Li, Xiaotong, 2024. "Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    18. Pierre Chaigneau & Louis Eeckhoudt, 2020. "Downside risk-neutral probabilities," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 8(1), pages 65-77, April.
    19. Gabaix, Xavier & Verdelhan, Adrien & Rancière, Romain & Farhi, Emmanuel & Fraiberger, Samuel P., 2009. "Crash Risk in Currency Markets," CEPR Discussion Papers 7322, C.E.P.R. Discussion Papers.
    20. McMahon, Michael & , & Tong, Matthew, 2019. "The Long-Run Information Effect of Central Bank Communication," CEPR Discussion Papers 13438, C.E.P.R. Discussion Papers.
    21. Ton S. van den Bremer & Rick van der Ploeg, 2019. "The risk-adjusted carbon price," CESifo Working Paper Series 7592, CESifo.
    22. Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, June.
    23. Erickson, Timothy & Jiang, Colin Huan & Whited, Toni M., 2014. "Minimum distance estimation of the errors-in-variables model using linear cumulant equations," Journal of Econometrics, Elsevier, vol. 183(2), pages 211-221.
    24. Gourio, Francois, 2011. "Credit Risk and Disaster Risk," CEPR Discussion Papers 8201, C.E.P.R. Discussion Papers.
    25. Christian Gollier & Frederick van der Ploeg & Jiakun Zheng, 2023. "The discounting premium puzzle: Survey evidence from professional economists," Post-Print hal-04227459, HAL.
    26. Fischer, Thomas & Lundtofte , Frederik, 2018. "Unequal Returns: Using the Atkinson Index to Measure Financial Risk," Working Papers 2018:25, Lund University, Department of Economics.
    27. Smith, Simon C. & Timmermann, Allan, 2022. "Have risk premia vanished?," Journal of Financial Economics, Elsevier, vol. 145(2), pages 553-576.
    28. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers 2011:33, Lund University, Department of Economics.
    29. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    30. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
    31. Richard Kihlstrom & Christian Gollier, 2016. "Early resolution of uncertainty and asset prices," 2016 Meeting Papers 475, Society for Economic Dynamics.
    32. Gollier, Christian, 2021. "The cost-efficiency carbon pricing puzzle," CEPR Discussion Papers 15919, C.E.P.R. Discussion Papers.
    33. Matthieu Gomez, 2023. "Decomposing the Growth of Top Wealth Shares," Econometrica, Econometric Society, vol. 91(3), pages 979-1024, May.
    34. Lundtofte, Frederik & Wilhelmsson, Anders, 2013. "Risk premia: Exact solutions vs. log-linear approximations," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4256-4264.
    35. 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.
    36. David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    37. Martin, Ian, 2017. "What is the expected return on the market?," LSE Research Online Documents on Economics 67036, London School of Economics and Political Science, LSE Library.
    38. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.
    39. Wang, Yuanping & Mu, Congming, 2019. "Can ambiguity about rare disasters explain equity premium puzzle?," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
    40. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    41. Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
    42. Georges Dionne & Jingyuan Li & Cédric Okou, 2024. "An alternative representation of the C-CAPM with higher-order risks," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(2), pages 194-233, September.
    43. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.
    44. Carvajal, Andrés & Zhou, Hang, 2024. "Idiosyncratic risk and the equity premium," Journal of Mathematical Economics, Elsevier, vol. 113(C).
    45. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    46. Andries, Marianne & Bianchi, Milo & Huynh, Karen & Pouget, Sebastien, 2024. "Return Predictability, Expectations, and Investment: Experimental Evidence," CEPR Discussion Papers 19239, C.E.P.R. Discussion Papers.
    47. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    48. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-2766, October.
    49. 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.
    50. Charles Engel, 2016. "Exchange Rates, Interest Rates, and the Risk Premium," American Economic Review, American Economic Association, vol. 106(2), pages 436-474, February.
    51. 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.
    52. Francesco Bianchi, 2010. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," Working Papers 10-40, Duke University, Department of Economics.
    53. Xiaolan Jia & Xinfeng Ruan & Jin E. Zhang, 2021. "The implied volatility smirk of commodity options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 72-104, January.
    54. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
    55. 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.
    56. Ian Martin, 2010. "The Valuation of Long-Dated Assets," NBER Working Papers 16219, National Bureau of Economic Research, Inc.
    57. Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
    58. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
    59. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    60. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    61. Bednarek, Ziemowit & Patel, Pratish, 2014. "Moral hazard with the (unlikely) possibility of catastrophes," Economics Letters, Elsevier, vol. 124(3), pages 386-388.
    62. Ruan, Xinfeng & Zhang, Jin E., 2019. "Moment spreads in the energy market," Energy Economics, Elsevier, vol. 81(C), pages 598-609.
    63. 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.
    64. Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-28, December.
    65. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    66. Lustig, Hanno & Verdelhan, Adrien, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," Research Papers 3412, Stanford University, Graduate School of Business.
    67. 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.
    68. Emmanuel Farhi & Francois Gourio, 2018. "Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 147-250.
    69. 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.
    70. 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.
    71. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    72. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    73. 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.
    74. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
    75. Aurland-Bredesen, Kine Josefine, 2021. "The welfare costs of uncertainty: Cross-country evidence," World Development, Elsevier, vol. 146(C).
    76. Gollier, Christian, 2018. "Stochastic volatility implies fourth-degree risk dominance: Applications to asset pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 155-171.
    77. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
    78. Katz, Yuri A., 2017. "Value of the distant future: Model-independent results," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 269-276.
    79. Jin E. Zhang & Eric C. Chang & Huimin Zhao, 2020. "Market Excess Returns, Variance and the Third Cumulant," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 605-637, September.
    80. AJ A. Bostian & Christoph Heinzel, 2018. "Comparative precautionary saving under higher-order risk and recursive utility," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(1), pages 95-114, May.
    81. Ruan, Xinfeng & Zhang, Jin E., 2018. "Risk-neutral moments in the crude oil market," Energy Economics, Elsevier, vol. 72(C), pages 583-600.
    82. Winston Buckley & Sandun Perera, 2019. "Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy," Annals of Finance, Springer, vol. 15(3), pages 337-368, September.
    83. Kwon, Ji Ho, 2019. "Tail risk and the consumption CAPM," Finance Research Letters, Elsevier, vol. 30(C), pages 69-75.
    84. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
    85. Christian Gollier, 2024. "The cost-efficiency carbon pricing puzzle," Post-Print hal-04938709, HAL.

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

    Cited by:

    1. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
    2. 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.
    3. Gollier, Christian, 2013. "A theory of rational short-termism with uncertain betas," IDEI Working Papers 771, Institut d'Économie Industrielle (IDEI), Toulouse.
    4. 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.
    5. Christian Gollier, 2013. "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series 4072, CESifo.
    6. 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.
    7. Gollier, Christian, 2019. "Valuation of natural capital under uncertain substitutability," Journal of Environmental Economics and Management, Elsevier, vol. 94(C), pages 54-66.
    8. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    13. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    14. 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.
    15. Martin L. Weitzman, 2012. "Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates," NBER Working Papers 18496, National Bureau of Economic Research, Inc.
    16. 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).
    17. Lu, Yueliang (Jacques) & Tian, Weidong, 2023. "An on-line machine learning return prediction," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    18. 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).
    19. 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.
    20. Bessembinder, Hendrik, 2018. "Do stocks outperform Treasury bills?," Journal of Financial Economics, Elsevier, vol. 129(3), pages 440-457.
    21. Haim Levy, 2016. "Aging Population, Retirement, and Risk Taking," Management Science, INFORMS, vol. 62(5), pages 1415-1430, May.

  19. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.

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    1. Ian W.R. Martin & Robert S. Pindyck, 2014. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," NBER Working Papers 20215, National Bureau of Economic Research, Inc.
    2. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.
    3. Caio Almeida & Kim Ardison & René Garcia, 2020. "Nonparametric Assessment of Hedge Fund Performance," Post-Print hal-02550789, HAL.
    4. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
    5. 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).
    6. Corsetti, G. & Lipińska, A. & Lombardo, G., 2024. "International Risk Sharing and Wealth Allocation with Higher Order Cumulants," Janeway Institute Working Papers 2422, Faculty of Economics, University of Cambridge.
    7. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
    8. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    9. Veronesi, Pietro & Pástor, Luboš & Kelly, Bryan, 2014. "The Price of Political Uncertainty: Theory and Evidence from the Option Market," CEPR Discussion Papers 9822, C.E.P.R. Discussion Papers.
    10. Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010. "Measuring systemic risk," Working Papers (Old Series) 1002, Federal Reserve Bank of Cleveland.
    11. Luo, Lanlan & Zou, Ziran & Chen, Shou, 2021. "Discounting for public-private partnership projects in China," Economic Modelling, Elsevier, vol. 98(C), pages 218-226.
    12. Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
    13. Gluzberg, Victor E. & Katz, Yuri A., 2019. "Planetary boundaries of consumption growth: Declining social discount rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 362-374.
    14. 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.
    15. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
    16. Ben Ammar, Semir, 2016. "Pricing of Catastrophe Risk and the Implied Volatility Smile," Working Papers on Finance 1617, University of St. Gallen, School of Finance.
    17. Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023. "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 449-484, September.
    18. 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.
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    24. Finer, David Andrew, 2022. "No Shock Waves through Wall Street? Market Responses to the Risk of Nuclear War," Working Papers 318, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    25. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
    26. Julliard, Christian & Ghosh, Anisha, 2008. "Can rare events explain the equity premium puzzle?," LSE Research Online Documents on Economics 4808, London School of Economics and Political Science, LSE Library.
    27. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
    28. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
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    30. Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Leibniz Institute for Financial Research SAFE.
    31. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
    32. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
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    34. Wu, Liuren, 2018. "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 183-197.
    35. 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.
    36. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "The dynamics of crises and the equity premium," SAFE Working Paper Series 11, Leibniz Institute for Financial Research SAFE, revised 2014.
    37. David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
    38. Martin, Ian, 2017. "What is the expected return on the market?," LSE Research Online Documents on Economics 67036, London School of Economics and Political Science, LSE Library.
    39. Puhl, Martin & Savor, Pavel & Wilson, Mungo, 2024. "Uncertainty premia for small and large risks," Journal of Banking & Finance, Elsevier, vol. 167(C).
    40. Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
    41. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    42. Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
    43. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
    44. David Berger & Ian Dew-Becker & Stefano Giglio, 2020. "Uncertainty Shocks as Second-Moment News Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
    45. 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.
    46. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    47. Heaton, J.B., 2018. "Risk aversion as risk-neutral pessimism: A simple proof," International Review of Law and Economics, Elsevier, vol. 56(C), pages 70-72.
    48. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
    49. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
    50. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
    51. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
    52. Karim M. Abadir & Adriana Cornea, 2012. "Approximating Moments by Nonlinear Transformations," Working Paper series 22_12, Rimini Centre for Economic Analysis.
    53. Robert J. Barro & Gordon Liao, 2017. "Option-pricing formula with disaster risk," AEI Economics Working Papers 966780, American Enterprise Institute.
    54. Barro, Robert J. & Liao, Gordon Y., 2021. "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, vol. 139(3), pages 750-769.
    55. Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    56. 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.
    57. Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns: An International Perspective," NBER Working Papers 23065, National Bureau of Economic Research, Inc.
    58. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    59. 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.
    60. Francesco Bianchi, 2010. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," Working Papers 10-40, Duke University, Department of Economics.
    61. Karen K. Lewis & Edith Liu, 2022. "How Can Asset Prices Value Exchange Rate Wedges?," NBER Working Papers 30422, National Bureau of Economic Research, Inc.
    62. João F Gomes & Marco Grotteria & Jessica A Wachter, 2019. "Cyclical Dispersion in Expected Defaults," The Review of Financial Studies, Society for Financial Studies, vol. 32(4), pages 1275-1308.
    63. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    64. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
    65. Pascal Albert & Michael Herold & Matthias Muck, 2023. "Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1807-1835, December.
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    67. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
    68. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
    69. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2018. "Crash Risk in Currency Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 137-170, February.
    70. Ian Martin, 2010. "The Valuation of Long-Dated Assets," NBER Working Papers 16219, National Bureau of Economic Research, Inc.
    71. Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.
    72. Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers 1285, Society for Economic Dynamics.
    73. Robert J. Barro & José F. Ursúa, 2012. "Rare Macroeconomic Disasters," Annual Review of Economics, Annual Reviews, vol. 4(1), pages 83-109, July.
    74. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    75. Kaniel, Ron & Kondor, Péter, 2011. "The delegated Lucas tree," CEPR Discussion Papers 8578, C.E.P.R. Discussion Papers.
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    78. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    79. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2022. "Extreme inflation and time-varying expected consumption growth," SAFE Working Paper Series 334, Leibniz Institute for Financial Research SAFE.
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    98. Branger, Nicole & Konermann, Patrick & Meinerding, Christoph & Schlag, Christian, 2018. "Equilibrium asset pricing in directed networks," Discussion Papers 37/2018, Deutsche Bundesbank.
    99. 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).
    100. Ayala, Astrid & Blazsek, Szabolcs, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de Economía.
    101. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    102. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
    103. 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.
    104. Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
    105. Schrimpf, Paul & Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021. "Peso Problems in the Estimation of the C-CAPM," CEPR Discussion Papers 16299, C.E.P.R. Discussion Papers.
    106. Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    107. 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.).
    108. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
    109. Chowdhury, Rajib & Doukas, John A. & Mandal, Sonik, 2023. "CEO risk preferences, hedging intensity, and firm value," Journal of International Money and Finance, Elsevier, vol. 130(C).
    110. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
    111. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2018. "Level and slope of volatility smiles in long-run risk models," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 95-122.
    112. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
    113. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
    114. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    115. Jozef Barunik & Michael Ellington, 2020. "Dynamic Network Risk," Papers 2006.04639, arXiv.org, revised Jul 2020.
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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.

    Cited by:

    1. 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.
    2. 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).
    3. 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).

  4. 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.
  5. 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.
  6. 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.
  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 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.
  13. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, January.
    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. Ian W.R. Martin & Robert S. Pindyck, 2014. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," NBER Working Papers 20215, National Bureau of Economic Research, Inc.
    2. Aurélie Méjean & Antonin Pottier & Stéphane Zuber & Marc Fleurbaey, 2020. "Intergenerational equity under catastrophic climate change," CIRED Working Papers halshs-03029883, HAL.
    3. 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).
    4. Pindyck, Robert S., 2019. "The social cost of carbon revisited," Journal of Environmental Economics and Management, Elsevier, vol. 94(C), pages 140-160.
    5. Shaffer, Sherrill & Hasan, Iftekhar & Zhou, Mingming, 2009. "New small firms and dimensions of economic performance," Bank of Finland Research Discussion Papers 4/2009, Bank of Finland.
    6. Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
    7. 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.
    8. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    9. Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013. "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 35-74, July.
    10. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.
    11. 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.
    12. Karim M. Abadir & Adriana Cornea, 2012. "Approximating Moments by Nonlinear Transformations," Working Paper series 22_12, Rimini Centre for Economic Analysis.
    13. Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns: An International Perspective," NBER Working Papers 23065, National Bureau of Economic Research, Inc.
    14. Aurélie Méjean & Antonin Pottier & Marc Fleurbaey & Stéphane Zuber, 2020. "Catastrophic climate change, population ethics and intergenerational equity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01599453, HAL.
    15. 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.
    16. Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Online Appendices 11-84, Review of Economic Dynamics.
    17. Taylor, Alan M. & Jordà , Òscar & Schularick, Moritz, 2020. "Disasters Everywhere: The Costs of Business Cycles Reconsidered," CEPR Discussion Papers 14559, C.E.P.R. Discussion Papers.
    18. 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.
    19. Aurland-Bredesen, Kine Josefine, 2021. "The welfare costs of uncertainty: Cross-country evidence," World Development, Elsevier, vol. 146(C).
    20. 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.
    21. 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.
    22. 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.
    23. 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.

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