Matthias Büchner

University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School

Cambridge

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

6,135

SSRN CITATIONS

18

CROSSREF CITATIONS

10

Scholarly Papers (4)

1.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 4,007 (3,927)
Citation 20

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Machine Learning, Ensembled Networks, Forecasting, Bond Return Predictability, Empirical Asset Pricing

2.
Downloads 1,552 (18,121)

A Factor Model for Option Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 62 Posted: 05 Sep 2019 Last Revised: 06 Oct 2021
Matthias Büchner and Bryan T. Kelly
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Yale SOM
Downloads 1,539 (18,026)

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Option Return; Factor Model; Return Predictability; IPCA

A Factor Model for Option Returns

NBER Working Paper No. w29369
Number of pages: 64 Posted: 18 Oct 2021 Last Revised: 01 Oct 2022
Matthias Büchner and Bryan T. Kelly
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Yale SOM
Downloads 13 (858,455)
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3.

What Matters When? Time-Varying Sparsity in Expected Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 07 May 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 384 (117,307)
Citation 2

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Sparsity, Returns Predictability, Cross Section of Returns, Anomalies, Asset Pricing

4.

What Drives Asset Holdings? Commonality in Investor Demand

Number of pages: 64 Posted: 09 Dec 2020
Matthias Büchner
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School
Downloads 192 (236,370)

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Investor holdings, Latent Demand, Instrumented Principal Components Analysis