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Disasters SIGNED

Market Beliefs and Optimal Policy in the Presence of Disasters

Total Cost €

EC-Contrib. €

Partnership

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Outcomes and
results

Disasters project word cloud

Explore the words cloud of the Disasters project. It provides you a very rough idea of what is the project "Disasters" about.

possibility stocks bio catastrophes risks framework individual continuous professor methodology consists viruses theoretical asset policymakers price contagious terrorism explicitly series generally strands last period unpalatable prescribed premia quantities probability climate momentum assumption limited finance equity markets time nuclear catastrophe shocks that downward normally disasters jumps techniques ways data autocorrelation society my brownian jump shared made multiple financial 1918 joint economics infer central pindyck types risk underscored mit premium linked conditionally market implicitly asymmetric motions few strand stock distributed correlation pandemic robert influenza alleviate theme faced first literature beliefs

Project "Disasters" data sheet

The following table provides information about the project.

Coordinator	LONDON SCHOOL OF ECONOMICS AND POLITICAL SCIENCE Organization address address: Houghton Street 1 city: LONDON postcode: WC2A 2AE website: www.lse.ac.uk contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.
Coordinator Country	United Kingdom [UK]
Project website	http://personal.lse.ac.uk/martiniw/
Total cost	1˙287˙755 €
EC max contribution	1˙287˙755 € (100%)
Programme	1. H2020-EU.1.1. (EXCELLENT SCIENCE - European Research Council (ERC))
Code Call	ERC-2014-STG
Funding Scheme	ERC-STG
Starting year	2015
Duration (year-month-day)	from 2015-05-01 to 2020-04-30

Partnership

Take a look of project's partnership.

#	participants	country	role	EC contrib. [€]
1	LONDON SCHOOL OF ECONOMICS AND POLITICAL SCIENCE LONDON SCHOOL OF ECONOMICS AND POLITICAL SCIENCE Organization address address: Houghton Street 1 city: LONDON postcode: WC2A 2AE website: www.lse.ac.uk contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	UK (LONDON)	coordinator	1˙287˙755.00

Map

Project objective

My proposal consists of two strands linked by a common theme--namely a concern for the impact of disasters, in financial markets and more generally--and by a shared methodology.

In the first of these strands, I propose to develop ways of using observable asset price data to infer the beliefs of market participants about various quantities that are central to financial economics, including (i) the equity premium; (ii) the forward-looking autocorrelation of the market (i.e., time-series momentum); (iii) the risk premia associated with individual stocks; (iv) the correlation between stocks; and (v) measures of asymmetric risk, such as the forward-looking probability of a significant downward jump in the stock market over some prescribed time period.

This work will exploit theoretical techniques that I have developed in previous research, and that allow for the possibility of jumps and disasters in financial markets. I will therefore be able to avoid the unpalatable assumption—which is made, implicitly or explicitly, in much of the finance literature—that uncertainty is driven by conditionally Normally distributed shocks (or, in continuous time, by Brownian motions). The importance of doing so is underscored by the turmoil in financial markets over the last few years.

These techniques will also be applied in the second strand of my proposal, which focuses on issues related to catastrophes more generally, including for example climate change; highly contagious viruses on the scale of the influenza pandemic of 1918; or nuclear or bio-terrorism. This project will be joint with Professor Robert S. Pindyck of MIT. The goal is to provide a framework within which policymakers, faced with multiple different types of potential catastrophe, can determine how society’s limited resources should best be used to alleviate the associated risks.

Publications

List of publications.
year	authors and title	journal	last update
2019	Lukas Kremens, Ian Martin The Quanto Theory of Exchange Rates published pages: 810-843, ISSN: 0002-8282, DOI: 10.1257/aer.20180019	American Economic Review 109/3	2019-12-16
2019	Ianâ€‰W.â€‰R. Martin, StephenÂ A. Ross Notes on the yield curve published pages: 689-702, ISSN: 0304-405X, DOI: 10.1016/j.jfineco.2019.04.014	Journal of Financial Economics 134/3	2019-12-16
2018	Ian Martin Options and the Gamma Knife published pages: 47-55, ISSN: 0095-4918, DOI: 10.3905/jpm.2018.44.6.047	The Journal of Portfolio Management 44/6	2019-12-16
2019	IAN W. R. MARTIN, CHRISTIAN WAGNER What Is the Expected Return on a Stock? published pages: 1887-1929, ISSN: 0022-1082, DOI: 10.1111/jofi.12778	The Journal of Finance 74/4	2019-12-16
2017	Ian Martin What is the Expected Return on the Market? published pages: qjw034, ISSN: 0033-5533, DOI: 10.1093/qje/qjw034	The Quarterly Journal of Economics 132	2019-05-29
2015	Ian W. R. Martin, Robert S. Pindyck Averting Catastrophes: The Strange Economics of Scylla and Charybdis published pages: 2947-2985, ISSN: 0002-8282, DOI: 10.1257/aer.20140806	American Economic Review 105/10	2019-05-24

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The information about "DISASTERS" are provided by the European Opendata Portal: CORDIS opendata.