Heiner Beckmeyer

University of Münster

Schlossplatz 2

Muenster, D-48143

Germany

http://heinerbeckmeyer.com

SCHOLARLY PAPERS

13

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17,836

SSRN CITATIONS
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Top 25,041

in Total Papers Citations

45

CROSSREF CITATIONS

2

Scholarly Papers (13)

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: 18 Jul 2023
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 5,176 (3,197)
Citation 42

Abstract:

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Machine learning, big data, option return predictability

2.

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

Number of pages: 33 Posted: 13 Apr 2023 Last Revised: 26 Dec 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 5,135 (3,259)

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

3.

Unusual Financial Communication - Evidence from ChatGPT, Earnings Calls, and the Stock Market

Number of pages: 66 Posted: 08 Feb 2024 Last Revised: 11 Apr 2024
University of Münster - Finance Center Münster, University of Münster, Washington University in St. Louis - John M. Olin Business School, University of Münster - Finance Center Münster and Washington University in St. Louis - John M. Olin Business School
Downloads 1,719 (19,155)
Citation 1

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AI, ChatGPT, Earnings Announcements, Earnings Call, Financial Communication, Textual Analysis

4.

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
University of St. Gallen, University of Münster, Imperial College Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,495 (23,674)
Citation 1

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

5.

A New Option Momentum: Compensation for Risk

Number of pages: 57 Posted: 28 Sep 2023 Last Revised: 28 Feb 2024
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 1,071 (38,475)

Abstract:

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Option, Momentum, Factor Risk, Limits to Arbitrage.

6.

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 Münster
Downloads 678 (71,566)
Citation 1

Abstract:

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Machine Learning, Missing Data, Big Data, Risk Factors

7.

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 Tilburg University - Tilburg University School of Economics and Management
Downloads 626 (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

8.

A Joint Factor Model for Bonds, Stocks, and Options

Swiss Finance Institute Research Paper No. 23-106
Number of pages: 62 Posted: 31 Oct 2023 Last Revised: 05 Apr 2024
Turan G. Bali, Heiner Beckmeyer and Amit Goyal
Georgetown University - McDonough School of Business, University of Münster and University of Lausanne
Downloads 504 (104,549)
Citation 1

Abstract:

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factor model, IPCA, corporate bond, option returns

9.

The Short-Duration Premium and News Announcements

Number of pages: 41 Posted: 21 Jun 2022 Last Revised: 09 Mar 2024
Heiner Beckmeyer and Paul Meyerhof
University of Münster and University of Münster - Finance Center Muenster
Downloads 432 (124,680)

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equity term structure, cash-flow duration, mispricing, news announcements, analyst forecasts, limits to arbitrage

10.

Expected Mispricing

Number of pages: 59 Posted: 01 Dec 2023 Last Revised: 04 Mar 2024
Turan G. Bali, Heiner Beckmeyer and Timo Wiedemann
Georgetown University - McDonough School of Business, University of Münster and University of Münster - Finance Center Münster
Downloads 372 (148,269)

Abstract:

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Mispricing, Machine Learning, IPCA, Limits to Arbitrage

11.

Expectations and Attention to Experience

Number of pages: 49 Posted: 16 Feb 2023
Heiner Beckmeyer and Ahmed Guecioueur
University of Münster and INSEAD
Downloads 244 (229,529)

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

12.

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 218 (255,713)
Citation 2

Abstract:

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13.

Expected Index Option Return: What Can We Learn From Macro and Anomalies ?

Number of pages: 30 Posted: 13 Jan 2024
Heiner Beckmeyer, Guoshi Tong and Guofu Zhou
University of Münster, Fudan University and Washington University in St. Louis - John M. Olin Business School
Downloads 166 (328,270)

Abstract:

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