Thermally expandable microspheres include a polymeric shell surrounding a hollow core, wherein the hollow core comprises a blowing agent, and the polymeric shell comprises an acetate-functionalised cellulose having a glass transition temperature of from about 150 to about 250° C. and a hydrogen bond donor chosen from alcohols, urea, and carboxylic acids. The microspheres are formed using a process including the step of mixing an acetate-functionalised cellulose, an organic solvent, a blowing agent and a hydrogen bond donor to form a mixture and then spraying the mixture into drying equipment to produce the thermally expandable microspheres.