Adrian Buss

Frankfurt School of Finance & Management

Adickesallee 32-34

Frankfurt, 60322

Germany

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • Frankfurt School of Finance & Management

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

15

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Top 8,088

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11,877

TOTAL CITATIONS
Rank 7,020

SSRN RANKINGS

Top 7,020

in Total Papers Citations

140

Scholarly Papers (15)

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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 3,933 (5,956)
Citation 36

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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
Adrian Buss, Lorenzo Schönleber and Grigory Vilkov
Frankfurt School of Finance & Management, University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 1,540 (26,515)
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 1,198 (38,406)
Citation 1

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

4.

Expected Correlation and Future Market Returns

Downloads 958 (52,824)
Citation 3

Expected Correlation and Future Market Returns

Number of pages: 53 Posted: 10 Feb 2018 Last Revised: 05 Jul 2019
Adrian Buss, Lorenzo Schönleber and Grigory Vilkov
Frankfurt School of Finance & Management, University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 957 (52,032)
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
Adrian Buss, Lorenzo Schönleber and Grigory Vilkov
Frankfurt School of Finance & Management, University of Turin - 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

5.

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

Downloads 767 (71,427)
Citation 14

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
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 479 (127,810)
Citation 3

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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
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 288 (227,026)
Citation 11

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

6.

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

Downloads 535 (113,186)
Citation 25

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 492 (123,793)
Citation 1

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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 2023
Matthijs Breugem and Adrian Buss
University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 42 (937,910)

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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
Downloads 1 (1,395,640)
Citation 24
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asset allocation, Asset Pricing, benchmarking, Informational efficiency, institutional investors

7.

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

Downloads 527 (115,359)
Citation 21

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

Number of pages: 66 Posted: 30 Jun 2020 Last Revised: 15 Mar 2023
Adrian Buss and Savitar Sundaresan
Frankfurt School of Finance & Management and Imperial College Business School
Downloads 502 (120,819)
Citation 2

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passive ownership, 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
Downloads 25 (1,127,969)
Citation 19
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asset allocation, Asset Pricing, Informational efficiency, passive investing, Risk Taking

8.

The Implications of Financial Innovation for Capital Markets and Household Welfare

Downloads 488 (126,612)
Citation 3

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 483 (126,557)
Citation 3

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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
Downloads 3 (1,380,224)
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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
Downloads 2 (1,386,977)
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Bayesian Learning, differences in beliefs, household finance, household portfolio choice, parameter uncertainty, recursive utility, Wealth Inequality

9.

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

Downloads 483 (128,471)
Citation 10

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 249 (263,561)
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
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 234 (281,572)
Citation 4

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liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

10.

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

Downloads 449 (140,006)
Citation 2

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 449 (138,409)
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

11.

Dynamics of Asset Demands with Confidence Heterogeneity

Downloads 265 (249,086)
Citation 3

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 251 (261,386)
Citation 1

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

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
Downloads 8 (1,343,225)
Citation 1
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asset-demand elasticity, Institutional asset demand, investors' expectations, predictability, trend chasing

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 6 (1,360,247)
Citation 1
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12.

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

Downloads 264 (250,062)
Citation 2

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 145 (434,565)
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 119 (510,424)

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

13.

The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

Downloads 224 (294,152)
Citation 16

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 197 (331,011)
Citation 12

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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 2023
Adrian Buss and Bernard Dumas
Frankfurt School of Finance & Management and INSEAD
Downloads 27 (1,102,852)
Citation 4

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14.

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

Downloads 192 (340,102)

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 189 (344,146)

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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
Downloads 3 (1,380,224)
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15.

The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

Downloads 54 (816,972)

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 51 (857,909)

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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 3 (1,380,224)
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