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Disasters SIGNED

Market Beliefs and Optimal Policy in the Presence of Disasters

Total Cost €

0

EC-Contrib. €

0

Partnership

0

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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 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

year authors and title journal last update
List of publications.
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 Ian W. R. Martin, Stephen 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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