Matthias Büchner

University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School

Cambridge

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

3,478

SSRN CITATIONS

11

CROSSREF CITATIONS

12

Scholarly Papers (5)

1.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 2,539 (6,149)
Citation 18

Abstract:

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Machine Learning, Ensembled Networks, Forecasting, Bond Return Predictability, Empirical Asset Pricing

2.

A Factor Model for Option Returns

Number of pages: 53 Posted: 05 Sep 2019 Last Revised: 08 Sep 2020
Matthias Büchner and Bryan T. Kelly
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Yale SOM
Downloads 434 (79,668)

Abstract:

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Option Return; Factor Model; Return Predictability; IPCA

3.

What Matters When? Time-Varying Sparsity in Expected Returns

WBS Finance Group Research Paper
Number of pages: 64 Posted: 20 Aug 2019 Last Revised: 07 May 2020
Daniele Bianchi, Matthias Büchner and Andrea Tamoni
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 265 (137,691)
Citation 3

Abstract:

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Sparsity, Returns Predictability, Cross Section of Returns, Anomalies, Asset Pricing

4.

Predictability of Order Imbalance, Market Quality and Equity Cost of Capital

WBS Finance Group Research Paper No. 262
Number of pages: 72 Posted: 20 Dec 2018 Last Revised: 26 Dec 2019
Daniele Bianchi, Matthias Büchner and Roman Kozhan
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and University of Warwick - Warwick Business School
Downloads 157 (222,932)

Abstract:

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Order Imbalance Predictability, Market Efficiency, Liquidity Provision, Asymmetric Information

5.

What Drives Asset Holdings? Commonality in Investor Demand

Number of pages: 64 Posted: 09 Dec 2020
Matthias Büchner
University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School
Downloads 83 (351,023)

Abstract:

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Investor holdings, Latent Demand, Instrumented Principal Components Analysis