Heiner Beckmeyer

University of Münster

Schlossplatz 2

Muenster, D-48143

Germany

http://heinerbeckmeyer.com

  • University of Münster

SCHOLARLY PAPERS

9

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2

Scholarly Papers (9)

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1.

Option Return Predictability with Machine Learning and Big Data

Georgetown McDonough School of Business Research Paper No. 3895984
Number of pages: 156 Posted: 18 Aug 2021 Last Revised: 23 Jan 2023
Turan G. Bali, Heiner Beckmeyer, Mathis Moerke and Florian Weigert
Georgetown University - McDonough School of Business, University of Münster, University of St. Gallen - Swiss Institute of Banking and Finance and University of Neuchatel - Institute of Financial Analysis
Downloads 3,694 (4,833)
Citation 6

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Machine learning, big data, option return predictability

2.

Retail Traders Love 0DTE Options... But Should They?

Number of pages: 34 Posted: 13 Apr 2023
Heiner Beckmeyer, Nicole Branger and Leander Gayda
University of Münster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 2,467 (9,494)

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Retail Trading, Options, WallStreetBets, Payment for Order Flow, 0DTE

3.

Liquidity Provision to Leveraged ETFs and Equity Options Rebalancing Flows: Evidence from End-of-Day Stock Prices

Swiss Finance Institute Research Paper No. 22-40
Number of pages: 65 Posted: 21 Sep 2021 Last Revised: 23 May 2022
Andrea Barbon, Heiner Beckmeyer, Andrea Buraschi and Mathis Moerke
University of St. Gallen, University of Münster, Imperial College Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,426 (21,965)
Citation 1

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Liquidity Provision, Gamma Exposure, Option Delta-Hedging, Leveraged ETF, End-of-Day Momentum

4.

A New Option Momentum: Compensation for Risk

Number of pages: 59 Posted: 13 Apr 2023 Last Revised: 19 Apr 2023
Heiner Beckmeyer, Ilias Filippou and Guofu Zhou
University of Münster, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 778 (53,209)

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Option, Momentum, Factor Risk, Limits to Arbitrage.

5.

Recovering Missing Firm Characteristics with Attention-Based Machine Learning

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 65 Posted: 10 Jan 2022 Last Revised: 23 Jan 2023
Heiner Beckmeyer and Timo Wiedemann
University of Münster and University of Münster - Finance Center Muenster
Downloads 639 (67,266)
Citation 2

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Machine Learning, Missing Data, Big Data, Risk Factors

6.

Fed Tails: FOMC Announcements and Stock Market Uncertainty

Number of pages: 67 Posted: 14 May 2019 Last Revised: 30 Mar 2023
Heiner Beckmeyer, Nicole Branger and Thomas Gruenthaler
University of Münster, University of Münster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 530 (461,580)

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Macroeconomic News Announcements, Monetary Policy Decisions, FOMC, Stock Market Uncertainty, Jump Risks, Volatility Risks, Option-Implied Information, High-Frequency Options Data

7.

The Short-Duration Premium in the Stock Market: Risk or Mispricing?

Number of pages: 55 Posted: 21 Jun 2022 Last Revised: 19 Sep 2022
Heiner Beckmeyer and Paul Meyerhof
University of Münster and University of Münster - Finance Center Muenster
Downloads 328 (148,057)

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Equity Term Structure, Duration Premium, Mispricing, Limits to Arbitrage, High-Frequency Identification, Post-Earnings-Announcement Drift, Information Diffusion, Analyst Forecasts

8.

Expectations and Attention to Experience

Number of pages: 49 Posted: 16 Feb 2023
Heiner Beckmeyer and Ahmed Guecioueur
University of Münster and INSEAD
Downloads 220 (221,674)

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Stock Returns, Subjective Sharpe Ratios, Machine Learning, Survey Microdata

9.

Fed Tails: FOMC Announcements and Stock Market Uncertainty

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 67 Posted: 14 Oct 2020 Last Revised: 11 May 2021
Heiner Beckmeyer, Nicole Branger and Thomas Gruenthaler
University of Münster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 173 (275,260)
Citation 1

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