Adrian Buss

Frankfurt School of Finance & Management

Adickesallee 32-34

Frankfurt, 60322

Germany

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

15

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Top 6,694

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9,483

SSRN CITATIONS
Rank 7,573

SSRN RANKINGS

Top 7,573

in Total Papers Citations

108

CROSSREF CITATIONS

64

Scholarly Papers (15)

1.

Measuring Equity Risk with Option-Implied Correlations

EFA 2009 Bergen Meetings Paper, Review of Financial Studies, 2012, 25(10)
Number of pages: 39 Posted: 16 Nov 2008 Last Revised: 29 Jun 2022
Adrian Buss and Grigory Vilkov
Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 3,209 (5,368)
Citation 19

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option-implied, correlation, beta, risk-return relation, CAPM, factor models, pairs trading

2.

Option-Implied Correlations, Factor Models, and Market Risk

INSEAD Working Paper No. 2017/20/FIN
Number of pages: 53 Posted: 27 Jan 2017 Last Revised: 08 Mar 2017
Frankfurt School of Finance & Management, Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 1,250 (23,674)
Citation 4

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Implied Correlation, Factor Model, Market Factor, Factor Exposure, VIX, ETF, Sectors

3.

CAPM with Option-Implied Betas: Another Rescue Attempt

Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 18 Mar 2009
Adrian Buss, Christian Schlag and Grigory Vilkov
Frankfurt School of Finance & Management, Goethe University Frankfurt and Frankfurt School of Finance & Management
Downloads 1,139 (27,083)
Citation 1

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conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations

4.
Downloads 728 ( 50,466)
Citation 1

Expected Correlation and Future Market Returns

Number of pages: 53 Posted: 10 Feb 2018 Last Revised: 05 Jul 2019
Frankfurt School of Finance & Management, Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 728 (49,788)
Citation 3

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(option-)implied correlation, return predictability, idiosyncratic risk, option-implied information, contemporaneous betas

Expected Correlation and Future Market Returns

CEPR Discussion Paper No. DP12760
Number of pages: 48 Posted: 06 Mar 2018 Last Revised: 04 Jan 2019
Frankfurt School of Finance & Management, Collegio Carlo Alberto and Frankfurt School of Finance & Management
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contemporaneous betas, correlation risk premium, expected (implied) correlation, Idiosyncratic Risk, option-implied information, return predictability

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

INSEAD Working Paper No. 2016/29/FIN, Journal of Monetary Economics, Vol. 81, No. C, 2016
Number of pages: 49 Posted: 25 Jan 2016 Last Revised: 29 Jun 2022
Frankfurt School of Finance & Management, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 426 (97,463)

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

SAFE Working Paper No. 124
Number of pages: 59 Posted: 17 Nov 2016
Frankfurt School of Finance & Management, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 220 (196,256)
Citation 11

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency

INSEAD Working Paper No. 2017/21/FIN
Number of pages: 56 Posted: 01 Feb 2017 Last Revised: 19 Oct 2018
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 443 (93,125)
Citation 2

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benchmarking, institutional investors, informational efficiency, asset allocation, asset pricing

Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency

NBER Working Paper No. w23561
Number of pages: 49 Posted: 10 Jul 2017 Last Revised: 19 May 2022
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 21 (728,137)

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Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency

CEPR Discussion Paper No. DP12900
Number of pages: 52 Posted: 24 May 2018
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
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Citation 8
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asset allocation, Asset Pricing, benchmarking, Informational efficiency, institutional investors

The Implications of Financial Innovation for Capital Markets and Household Welfare

INSEAD Working Paper No. 2017/52/FIN
Number of pages: 43 Posted: 09 Aug 2017 Last Revised: 22 Aug 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 438 (94,357)
Citation 4

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household finance, household portfolio choice, wealth inequality, differences in beliefs, parameter uncertainty, Bayesian learning, recursive utility.

Financial Innovation and Asset Prices

CEPR Discussion Paper No. DP12416
Number of pages: 56 Posted: 06 Nov 2017
Adrian Buss and Raman Uppal
Frankfurt School of Finance & Management and EDHEC Business School
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differences in beliefs, parameter uncertainty, rational learning, recursive utility, spillover effects

The Implications of Financial Innovation for Capital Markets and Household Welfare

CEPR Discussion Paper No. DP13137
Number of pages: 46 Posted: 17 Sep 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
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Bayesian Learning, differences in beliefs, household finance, household portfolio choice, parameter uncertainty, recursive utility, Wealth Inequality

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

INSEAD Working Paper No. 2014/01/FIN
Number of pages: 46 Posted: 12 Dec 2013 Last Revised: 11 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 207 (207,682)
Citation 7

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Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

SAFE Working Paper No. 41
Number of pages: 48 Posted: 18 Feb 2014 Last Revised: 14 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 181 (234,248)
Citation 4

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liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Number of pages: 59 Posted: 15 Dec 2014 Last Revised: 12 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 380 (111,260)
Citation 2

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portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

CEPR Discussion Paper No. DP10437
Number of pages: 61 Posted: 24 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
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alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs

More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency

Number of pages: 62 Posted: 30 Jun 2020
Adrian Buss and Savitar Sundaresan
Frankfurt School of Finance & Management and Imperial College Business School
Downloads 204 (210,584)
Citation 5

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passive investing, informational efficiency, risk taking, asset allocation, asset pricing

More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency

CEPR Discussion Paper No. DP14843
Number of pages: 65 Posted: 16 Jun 2020
Adrian Buss and Savitar Sundaresan
Frankfurt School of Finance & Management and Columbia University
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Citation 1
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asset allocation, Asset Pricing, Informational efficiency, passive investing, Risk Taking

Capital Controls and International Financial Stability: A Dynamic General Equilibrium Analysis in Incomplete Markets

Number of pages: 47 Posted: 18 Mar 2011 Last Revised: 11 Jan 2019
Adrian Buss
Frankfurt School of Finance & Management
Downloads 115 (336,401)
Citation 2

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capital controls, financial transaction (Tobin) tax, financial stability, incomplete financial markets, general equilibrium, international finance, financial regulation

Capital Controls and International Financial Stability: A Dynamic General Equilibrium Analysis in Incomplete Markets

ECB Working Paper No. 1578
Number of pages: 51 Posted: 25 Aug 2013
Adrian Buss
Frankfurt School of Finance & Management
Downloads 88 (402,033)

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capital controls, financial transaction (Tobin) tax, financial stability, incomplete financial markets, general equilibrium

Dynamics of Asset Demands with Confidence Heterogeneity

Number of pages: 50 Posted: 05 Sep 2020 Last Revised: 12 Aug 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 163 (256,314)

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institutional asset demand, asset-demand elasticity, investors' expectations, trend chasing, predictability

Investor Sophistication and Portfolio Dynamics

CEPR Discussion Paper No. DP15116
Number of pages: 56 Posted: 18 Aug 2020 Last Revised: 11 Feb 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 1 (951,704)
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Dynamics of Asset Demands with Confidence Heterogeneity

CEPR Discussion Paper No. DP16441
Number of pages: 53 Posted: 22 Sep 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
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asset-demand elasticity, Institutional asset demand, investors' expectations, predictability, trend chasing

The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

Journal of Finance, Forthcoming
Number of pages: 68 Posted: 16 Mar 2011 Last Revised: 30 Dec 2017
Adrian Buss and Bernard Dumas
Frankfurt School of Finance & Management and INSEAD
Downloads 148 (277,666)
Citation 14

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trading fees, slow-moving capital, general equilibrium, endogenous illiquidity

The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

NBER Working Paper No. w21421
Number of pages: 61 Posted: 03 Aug 2015 Last Revised: 14 Jul 2022
Adrian Buss and Bernard Dumas
Frankfurt School of Finance & Management and INSEAD
Downloads 9 (845,800)
Citation 4

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What Do Interest Rates Reveal About the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets

Number of pages: 51 Posted: 18 Feb 2021
Matthijs Breugem, Adrian Buss and Joel Peress
University of Turin - Collegio Carlo Alberto, Frankfurt School of Finance & Management and INSEAD - Finance
Downloads 92 (390,900)

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(endogenous) interest rates, informational efficiency, capital allocation efficiency, rational expectations, unconventional monetary policy

What Do Interest Rates Reveal About the Stock Market? A Noisy Rational Expectations Model of Stock and Bond Markets

CEPR Discussion Paper No. DP15766
Number of pages: 54 Posted: 11 Feb 2021
Matthijs Breugem, Adrian Buss and Joel Peress
University of Turin - Collegio Carlo Alberto, Frankfurt School of Finance & Management and INSEAD - Finance
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The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

NBER Working Paper No. w19155
Number of pages: 61 Posted: 21 Jun 2013 Last Revised: 08 Jul 2013
Adrian Buss and Bernard Dumas
Frankfurt School of Finance & Management and INSEAD
Downloads 20 (736,928)

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Financial-Market Equilibrium with Friction

CEPR Discussion Paper No. DP9524
Number of pages: 58 Posted: 02 Jul 2013
Adrian Buss and Bernard Dumas
Frankfurt School of Finance & Management and INSEAD
Downloads 1 (951,704)
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