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

24

DOWNLOADS
Rank 1,883

SSRN RANKINGS

Top 1,883

in Total Papers Downloads

27,533

SSRN CITATIONS
Rank 5,026

SSRN RANKINGS

Top 5,026

in Total Papers Citations

186

CROSSREF CITATIONS

138

Scholarly Papers (24)

Actions:
Email selected abstracts
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 6,243 (2,062)

Abstract:

Loading...

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 5,370 (2,696)
Citation 76

Abstract:

Loading...

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 2,165 (11,968)
Citation 29

Abstract:

Loading...

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 2,116 (12,442)
Citation 25

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 2,116 (12,192)
Citation 25

Abstract:

Loading...

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

Abstract:

Loading...

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 1,611 (19,005)
Citation 7

Abstract:

Loading...

6.

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 1,451 (22,355)
Citation 1

Abstract:

Loading...

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

7.

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 1,322 (25,634)
Citation 40

Abstract:

Loading...

Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

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 908 (43,841)
Citation 14

Abstract:

Loading...

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

9.

Speculation, Sentiment, and Interest Rates

Downloads 870 (43,294)
Citation 19

Speculation, Sentiment, and Interest Rates

Number of pages: 49 Posted: 17 Jul 2011 Last Revised: 12 Jun 2023
Andrea Buraschi and Paul Whelan
Imperial College Business School and The Chinese University of Hong Kong
Downloads 870 (45,814)
Citation 19

Abstract:

Loading...

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 The Chinese University of Hong Kong

Abstract:

Loading...

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 758 (56,045)
Citation 22

Abstract:

Loading...

Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

11.

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

Downloads 662 (66,969)
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 662 (66,079)
Citation 9

Abstract:

Loading...

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

Abstract:

Loading...

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 557 (83,240)
Citation 3

Abstract:

Loading...

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

13.

Financial Contagion in Network Economies and Asset Prices

Number of pages: 64 Posted: 21 Nov 2017 Last Revised: 02 Sep 2022
Andrea Buraschi and Claudio Tebaldi
Imperial College Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 383 (130,001)
Citation 3

Abstract:

Loading...

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

14.

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 382 (130,370)
Citation 3

Abstract:

Loading...

Limits to Arbitrage, Market Anomalies, Liquidity, Financial Constraints

15.

The Economics of Donations and Enlightened Self-Interest

Downloads 370 (135,041)
Citation 10

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 346 (144,404)
Citation 11

Abstract:

Loading...

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 (840,987)
Citation 1
  • Add to Cart

Abstract:

Loading...

Donations, altruism, charities, economics of arts

16.

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 352 (142,718)
Citation 6

Abstract:

Loading...

General Equilibrium, Event Risk, Learning

17.

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 The Chinese University of Hong Kong
Downloads 350 (143,583)
Citation 9

Abstract:

Loading...

Forecasting, Forecast Combinations, Heterogeneous Beliefs, Bond Returns.

18.

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 333 (151,430)
Citation 16

Abstract:

Loading...

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

19.

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 294 (172,769)
Citation 54

Abstract:

Loading...

Options, Heterogeneity, Beliefs, Trading Volume, Open Interest

20.

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 273 (186,451)
Citation 2

Abstract:

Loading...

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

21.

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 261 (195,129)

Abstract:

Loading...

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

22.

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 The Chinese University of Hong Kong
Downloads 251 (202,791)
Citation 1

Abstract:

Loading...

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

23.

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 The Chinese University of Hong Kong
Downloads 251 (202,791)

Abstract:

Loading...

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

24.

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

Abstract:

Loading...