Ian Martin

The Journal of Finance, 74(4), Pages 1887-1929.

We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...

American Economic Review, 109(3), 810-43.

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...

We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via...

The Quarterly Journal of Economics, 132 (1), 367-433. 

We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock’s excess risk...

This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...