Ian Martin

We derive new bounds on arbitrary moments of the stochastic discount factor (SDF) that exploit the gap between the true and risk-neutral return...

We introduce a measure of a government’s fiscal position that exploits cointegrating relationships among fiscal variables. The measure is a loglinear...

We derive option-implied bounds on the probability of a crash in an individual stock, and argue a priori that the lower bound should be close to the...

American Economic Review: Insights, 7(2), 196–212

Annual Review of Financial Economics, 17, 295-319

We study exchange rate expectations in surveys of financial professionals and find that they successfully forecast currency appreciation at the two...

AEA Papers and Proceedings, 111, 361-65