Adrian Buss

INSEAD - Finance

Boulevard de Constance

Fontainebleau Cedex, 77305

France

http://sites.google.com/view/abuss

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

12

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7,486

CITATIONS
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Top 18,041

in Total Papers Citations

38

Scholarly Papers (12)

1.

Measuring Equity Risk with Option-Implied Correlations

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 16 Nov 2008 Last Revised: 27 Dec 2012
Adrian Buss and Grigory Vilkov
INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 2,761 (4,165)
Citation 3

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

2.

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
INSEAD - Finance, Goethe University Frankfurt - Research Center SAFE and Frankfurt School of Finance & Management
Downloads 1,087 (18,982)

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

3.

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
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 1,023 (20,743)
Citation 2

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

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

INSEAD Working Paper No. 2016/29/FIN
Number of pages: 49 Posted: 25 Jan 2016 Last Revised: 05 May 2016
INSEAD - Finance, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 370 (78,470)

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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
INSEAD - Finance, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 133 (214,914)
Citation 1

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

5.
Downloads 412 ( 69,820)
Citation 2

Expected Correlation and Future Market Returns

Number of pages: 53 Posted: 10 Feb 2018 Last Revised: 05 Jul 2019
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 412 (69,170)
Citation 2

Abstract:

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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
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH 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 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
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 383 (75,360)
Citation 1

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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
INSEAD - Finance 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
INSEAD - Finance, 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

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 INSEAD - Finance
Downloads 326 (90,832)

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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
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and INSEAD - Finance
Downloads 14 (576,009)

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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 INSEAD - Finance
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asset allocation, Asset Pricing, benchmarking, Informational efficiency, institutional investors

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
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 340 (86,661)
Citation 1

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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
INSEAD - Finance, 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

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
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 178 (167,841)
Citation 6

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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
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 150 (194,758)
Citation 3

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liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

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
INSEAD - Finance
Downloads 108 (251,313)
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
INSEAD - Finance
Downloads 72 (325,902)

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

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
INSEAD - Finance and INSEAD
Downloads 106 (254,704)
Citation 11

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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
Adrian Buss and Bernard Dumas
INSEAD - Finance and INSEAD
Downloads 6 (631,294)

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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
INSEAD - Finance and INSEAD
Downloads 16 (562,725)

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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
INSEAD - Finance and INSEAD
Downloads 1 (680,701)
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