Matthias Büchner

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

Cambridge

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

4,284

SSRN CITATIONS

18

CROSSREF CITATIONS

10

Scholarly Papers (5)

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 2,975 (5,189)
Citation 20

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

2.
Downloads 702 ( 46,951)

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 698 (46,162)

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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: 23 Oct 2021
Matthias Büchner and Bryan T. Kelly
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Yale SOM
Downloads 4 (797,615)
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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 307 (125,180)
Citation 2

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

4.

Predictability of Order Imbalance, Market Quality and Equity Cost of Capital

WBS Finance Group Research Paper No. 262
Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 26 Dec 2019
Daniele Bianchi, Matthias Büchner and Roman Kozhan
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and University of Warwick - Warwick Business School
Downloads 178 (211,999)

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Order Imbalance Predictability, Market Efficiency, Liquidity Provision, Asymmetric Information

5.

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 122 (287,307)

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Investor holdings, Latent Demand, Instrumented Principal Components Analysis