Andrea Buraschi

Imperial College Business School

Professor, Chair in Finance

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

http://www.andreaburaschi.com/

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

  • Imperial College Business School

SCHOLARLY PAPERS

27

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Top 5,167

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117

CROSSREF CITATIONS

141

Scholarly Papers (27)

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1.

Gamma Fragility

University of St.Gallen, School of Finance Research Paper No. 2020/05
Number of pages: 48 Posted: 16 Nov 2020 Last Revised: 18 Mar 2021
Andrea Barbon and Andrea Buraschi
University of St. Gallen and Imperial College Business School
Downloads 5,458 (2,085)

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Frictions, Momentum, Option Markets, Risk Management, Gamma Imbalance, Flash Crashes, Liquidity

2.

An Equilibrium Valuation of Bitcoin and Decentralized Network Assets

Number of pages: 40 Posted: 20 Mar 2018 Last Revised: 22 Nov 2021
Emiliano Pagnotta and Andrea Buraschi
Singapore Management University and Imperial College Business School
Downloads 4,956 (2,510)
Citation 65

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Bitcoin, blockchain, cryptocurrencies, crypto assets, mining, decentralization, trust, Ethereum, Litecoin, financial networks, hashrate, miners' competition, unity

3.

Correlation Risk and Optimal Portfolio Choice

AFA 2008 New Orleans Meetings Paper
Number of pages: 58 Posted: 14 Jun 2006 Last Revised: 16 Feb 2009
Andrea Buraschi, Paolo Porchia and Fabio Trojani
Imperial College Business School, IE Business School and University of Geneva
Downloads 2,106 (10,378)
Citation 21

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Dynamic Porfolio Choice, Stochastic Correlation, Intertemporal Hedging

4.

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Downloads 2,066 ( 10,748)
Citation 16

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 80 Posted: 15 Jul 2010 Last Revised: 16 Nov 2013
Andrea Buraschi, Robert Kosowski and Fabio Trojani
Imperial College Business School, Imperial College Business School and University of Geneva
Downloads 2,066 (10,543)
Citation 16

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Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

When There Is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Review of Financial Studies, 2014, Vol. 27 No.2, 581-616
Posted: 12 Oct 2013 Last Revised: 08 Apr 2014
Andrea Buraschi, Robert Kosowski and Fabio Trojani
Imperial College Business School, Imperial College Business School and University of Geneva

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Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

5.

Is Volatility Risk Priced in the Option Market?

Number of pages: 46 Posted: 19 Apr 1999
Andrea Buraschi and Jens Carsten Jackwerth
Imperial College Business School and University of Konstanz - Department of Economics
Downloads 1,591 (16,204)
Citation 7

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6.

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 16 Sep 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 1,267 (22,828)
Citation 28

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Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

7.

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 Muenster - Finance Center Muenster, Imperial College Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 1,123 (27,255)

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

8.

Dynamic Networks and Asset Pricing

AFA 2013 San Diego Meetings Paper
Number of pages: 33 Posted: 19 Mar 2012 Last Revised: 23 Dec 2012
Andrea Buraschi and Paolo Porchia
Imperial College Business School and IE Business School
Downloads 851 (40,319)
Citation 14

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Dynamic Networks, Cross-Section of Expected Returns, Lucas Orchard

9.

Speculation, Sentiment, and Interest Rates

Downloads 823 ( 39,146)

Speculation, Sentiment, and Interest Rates

Number of pages: 47 Posted: 17 Jul 2011 Last Revised: 05 Dec 2020
Andrea Buraschi and Paul Whelan
Imperial College Business School and Copenhagen Business School
Downloads 823 (41,665)
Citation 19

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Fixed income, Bond Risk Premia, Heterogeneous Agents, Speculation

Macroeconomic Uncertainty, Difference in Beliefs, and Bond Risk Premia

CAREFIN Research Paper No. 27/2010
Posted: 05 Apr 2011
Andrea Buraschi and Paul Whelan
Imperial College Business School and Copenhagen Business School

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Fixed income, difference in beliefs, heterogeneous economies, term structure

10.

Economic Uncertainty, Disagreement, and Credit Markets

Management Science, Forthcoming
Number of pages: 38 Posted: 07 Aug 2008 Last Revised: 13 Oct 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 730 (49,520)
Citation 22

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Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

11.

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

Downloads 640 ( 58,785)
Citation 9

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

AFA 2012 Chicago Meetings Paper
Number of pages: 83 Posted: 20 Mar 2011 Last Revised: 28 May 2013
Andrea Buraschi, Robert Kosowski and Worrawat Sritrakul
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 640 (58,028)
Citation 9

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Optimal portfolio choice, Euler equation, hedge fund performance

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

Journal of Finance, Forthcoming
Posted: 15 Sep 2013
Andrea Buraschi, Robert Kosowski and Worrawat Sritrakul
Imperial College Business School, Imperial College Business School and Imperial College Business School

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Optimal portfolio choice, Euler equation, Hedge fund performance

12.

The Geography of Risk Capital

Chicago Booth Research Paper No. 13-44, Fama-Miller Working Paper
Number of pages: 60 Posted: 04 Apr 2013 Last Revised: 09 Jul 2014
Andrea Buraschi, Murat Cahit Meguturk and Emrah Sener
Imperial College Business School, Imperial College London and Ozyegin University
Downloads 530 (74,614)
Citation 3

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Limits to Arbitrage, Market Anomalies, Financial Constraints, Frictions, Wholesale Financing

13.

The Dynamics of Limits to Arbitrage: Evidence from International Cross-Sectional Data

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 16 Mar 2011 Last Revised: 11 Jan 2013
Andrea Buraschi, Emrah Sener and Murat Cahit Meguturk
Imperial College Business School, Ozyegin University and Imperial College London
Downloads 361 (116,983)
Citation 3

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Limits to Arbitrage, Market Anomalies, Liquidity, Financial Constraints

14.

The Cross-Section of Expected Stock Returns: Learning about Distress and Predictability in Heterogeneous Orchards

AFA 2011 Denver Meetings Paper
Number of pages: 84 Posted: 22 Mar 2010 Last Revised: 26 Oct 2010
Andrea Buraschi, Paolo Porchia and Fabio Trojani
Imperial College Business School, IE Business School and University of Geneva
Downloads 341 (124,591)
Citation 6

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General Equilibrium, Event Risk, Learning

15.

The Economics of Donations and Enlightened Self-Interest

Downloads 339 (125,427)
Citation 8

The Economics of Donations and Enlightened Self-Interest

Number of pages: 43 Posted: 17 Sep 2002 Last Revised: 15 May 2013
Andrea Buraschi and Francesca Cornelli
Imperial College Business School and London Business School
Downloads 315 (134,666)
Citation 11

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Donations, altruism, charities, public good

Donations

Number of pages: 65 Posted: 18 Sep 2002
Andrea Buraschi and Francesca Cornelli
Imperial College Business School and London Business School
Downloads 24 (691,046)
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Donations, altruism, charities, economics of arts

16.

Differences in Beliefs and Currency Risk Premia

Number of pages: 48 Posted: 27 Feb 2007 Last Revised: 15 Dec 2009
Alessandro Beber, Francis Breedon and Andrea Buraschi
Cass Business School, University of London, Queen Mary - School of Economics and Finance and Imperial College Business School
Downloads 316 (134,943)
Citation 11

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Option pricing, difference in beliefs, incomplete markets, foreign exchange

17.

Financial Contagion in Network Economies and Asset Prices

Number of pages: 62 Posted: 21 Nov 2017 Last Revised: 12 Jan 2022
Andrea Buraschi and Claudio Tebaldi
Imperial College Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 269 (159,303)
Citation 2

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Network, asset pricing, systemic risk, contagion, risk premium, cascades

18.

Model Uncertainty and Option Markets in Heterogeneous Economies

Number of pages: 60 Posted: 02 Mar 2005
Andrea Buraschi and Alexei Jiltsov
Imperial College Business School and London Business School
Downloads 267 (160,529)
Citation 54

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Options, Heterogeneity, Beliefs, Trading Volume, Open Interest

19.

Term Structures of Interest Rates and Inflation in Economies With Habit Formation

Number of pages: 62 Posted: 16 Apr 2003
Andrea Buraschi and Alexei Jiltsov
Imperial College Business School and London Business School
Downloads 256 (167,465)
Citation 2

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Term structure, bond prices, habit persistence, time non-separable preferences

20.

Understanding Short and Long-Run Risk Premia

Number of pages: 39 Posted: 18 Mar 2012 Last Revised: 25 May 2013
Andrea Buraschi and Andrea Carnelli Dompé
Imperial College Business School and Pantheon Ventures (UK) LLP
Downloads 244 (175,397)

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equity risk premium, predictability, dividend prices, asset pricing models, term structure

21.

Subjective Bond Returns and Belief Aggregation

Saïd Business School WP 2016-36
Number of pages: 45 Posted: 25 Apr 2019 Last Revised: 11 Aug 2021
Andrea Buraschi, Ilaria Piatti and Paul Whelan
Imperial College Business School, Queen Mary University of London - School of Economics and Finance and Copenhagen Business School
Downloads 234 (182,588)
Citation 2

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Forecasting, Forecast Combinations, Heterogeneous Beliefs, Bond Returns.

22.

Bond Markets and Monetary Policy

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc.
Number of pages: 25 Posted: 24 Jun 2015 Last Revised: 02 Jul 2015
Andrea Buraschi and Paul Whelan
Imperial College Business School and Copenhagen Business School
Downloads 224 (190,248)

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interest rates, conventional, monetary policy, taylor rules, FOMC, risk premia

23.

Bond Markets and Unconventional Monetary Policy

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. c 2015 John Wiley Sons, Inc.
Number of pages: 40 Posted: 24 Jun 2015 Last Revised: 02 Jul 2015
Andrea Buraschi and Paul Whelan
Imperial College Business School and Copenhagen Business School
Downloads 220 (193,634)
Citation 1

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Interest Rates, Monetary Policy, Quantitative Easing, LSAPs, Financial Crisis

24.

The Economics of Donations and Enlightened Self‐Interest

European Financial Management, Vol. 20, Issue 1, pp. 1-32, 2014
Number of pages: 32 Posted: 12 Dec 2013
Andrea Buraschi and Francesca Cornelli
Imperial College Business School and London Business School
Downloads 2 (876,146)

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donations, charity, altruism

25.

Understanding Short‐ Versus Long‐Run Risk Premia

European Financial Management, Vol. 20, Issue 4, pp. 714-738, 2014
Number of pages: 25 Posted: 16 Sep 2014
Andrea Buraschi and Andrea Carnelli Dompé
Imperial College Business School and Pantheon Ventures (UK) LLP
Downloads 1 (890,552)

Abstract:

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equity risk premium, predictability, dividend prices, asset pricing models

26.

Rationality and Subjective Bond Risk Premia

Saïd Business School WP 2016-36 [Previous version of SBS WP 2019-06]
Posted: 19 Jan 2017 Last Revised: 25 Apr 2019
Andrea Buraschi, Ilaria Piatti and Paul Whelan
Imperial College Business School, Queen Mary University of London - School of Economics and Finance and Copenhagen Business School

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Rational Expectations, Cross-Section of Beliefs, Bond Risk Premia,

27.

The Price of a Smile: Hedging and Spanning in Option Markets

Posted: 17 Mar 2001
Andrea Buraschi and Jens Carsten Jackwerth
Imperial College Business School and University of Konstanz - Department of Economics

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