Sandra Nolte (Lechner)

Lancaster University Management School

Lecturer in Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

SCHOLARLY PAPERS

32

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11,211

TOTAL CITATIONS
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Top 31,087

in Total Papers Citations

34

Scholarly Papers (32)

1.

A Century of Macro Factor Investing - Diversified Multi-Asset Multi-Factor Strategies through the Cycles

Number of pages: 33 Posted: 13 Feb 2024
State Street Global Markets - State Street Associates, Robeco Quantitative Investments, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and Erasmus University Rotterdam (EUR)
Downloads 2,014 (16,741)
Citation 1

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Macroeconomic factors, diversification, business cycles, Black-Litterman

2.

Power Sorting

Number of pages: 65 Posted: 28 Aug 2023 Last Revised: 30 May 2024
University of Liverpool Management School, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 1,358 (30,581)
Citation 1

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Factor Investing, Portfolio Construction, Portfolio Weights, Power Sorting

3.

An Integrated Approach to Currency Factor Investing

Journal of Systematic Investing, 2023, Vol. 3(1), pp. 1-25
Number of pages: 30 Posted: 09 May 2023 Last Revised: 30 May 2023
Invesco, Robeco Quantitative Investments, Lancaster University Management School and BlackRock, Inc
Downloads 1,012 (46,837)

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Currency tilting, carry trade, factor timing, currency timing, parametric portfolio policy

4.

Factor Timing with Portfolio Characteristics

Number of pages: 78 Posted: 08 Nov 2021 Last Revised: 27 Mar 2023
Anastasios Kagkadis, Ingmar Nolte, Sandra Nolte (Lechner) and Nikolaos Vasilas
University of Liverpool Management School, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 1,000 (47,590)
Citation 8

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Return Predictability, Factor Portfolios, Dimension Reduction, Factor Timing, Anomalies

5.

Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform

Number of pages: 46 Posted: 15 Jun 2006 Last Revised: 20 Jul 2009
Sandra Nolte (Lechner) and Ingmar Nolte
Lancaster University Management School and Lancaster University - Department of Accounting and Finance
Downloads 510 (114,631)

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Customer Dataset, Order Flow, Price Changes, Foreign Exchange Market

6.

High-Frequency Volatility Modelling: A Markov-Switching Autoregressive Conditional Intensity Model

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 52 Posted: 27 May 2016 Last Revised: 25 Jan 2021
Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 483 (122,387)

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Regime Switch, Intensity Modelling, Invariance, Stock Return Volatility.

7.

Where Do the Joneses Go on Vacation? Social Distance and the Influence of Online Reviews on Product Sales

Number of pages: 45 Posted: 03 Sep 2011 Last Revised: 27 Oct 2011
Leif Brandes, Ingmar Nolte and Sandra Nolte (Lechner)
University of Lucerne, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 430 (140,581)
Citation 3

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social distance, online word of mouth, heuristic processing, hotel bookings

8.

How Do Individual Investors Trade?

Number of pages: 35 Posted: 20 Jan 2010 Last Revised: 18 Feb 2010
Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 391 (156,679)
Citation 3

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Trading Activity Dataset, Order Flow, Foreign Exchange Market, Monitoring Effect

9.

Diversifying away the Risk of War and Cross-Border Political Crisis

Number of pages: 56 Posted: 21 Nov 2012 Last Revised: 26 Feb 2016
Ayman Omar, Tomasz Piotr Wisniewski and Sandra Nolte (Lechner)
University of Leicester, Open University, UK and Lancaster University Management School
Downloads 356 (173,890)
Citation 4

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Crude Oil Price, Safe Haven, International Crises, Wars

10.

High-Frequency Volatility Estimation and the Relative Importance of Market Microstructure Variables

Number of pages: 63 Posted: 26 Sep 2015 Last Revised: 27 May 2018
Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 351 (176,611)

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High-Frequency Volatility Estimation, Market Microstructure Variables, ACD Model, Best Subset Regression.

11.

What Determines Forecasters’ Forecasting Errors?

Number of pages: 34 Posted: 26 Jan 2010 Last Revised: 21 Jul 2018
Ingmar Nolte, Sandra Nolte (Lechner) and Winfried Pohlmeier
Lancaster University - Department of Accounting and Finance, Lancaster University Management School and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 324 (192,550)
Citation 5

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Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA

12.

Realized Candlestick Wicks

Number of pages: 67 Posted: 20 Jul 2023 Last Revised: 11 Dec 2024
Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 321 (194,412)

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High-Frequency Data, Integrated Variance, Range-Based Volatility Estimation, Drift Burst, Extreme Price Movements

13.

Entrepreneur's Wealth, Firm Performance and Cost of Capital: A Bayesian Approach to the Capital Structure of Entrepreneurial Ventures

Number of pages: 39 Posted: 04 Dec 2011 Last Revised: 11 Nov 2016
Andrea Moro, Sandra Nolte (Lechner) and Alexandra Diaz
Cranfield University - School of Management, Lancaster University Management School and University of Leicester
Downloads 297 (211,187)
Citation 1

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SMEs, Expected Return on Equity, Entrepreneur

14.

The risk of falling short: Implementation Shortfall variance in portfolio construction *

Number of pages: 25 Posted: 30 Jan 2022
Filip Basic, Alberto Martin-Utrera, Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance, Iowa State University, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 274 (231,224)

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Portfolio optimization, Implementation Shortfall, Time-series models. JEL Classification: C01, C32, C51, C52, C61, G11, G12

15.

The Information Content of Retail Investors' Order Flow

Number of pages: 35 Posted: 18 Jul 2012 Last Revised: 18 Nov 2013
Ingmar Nolte and Sandra Nolte (Lechner)
Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 237 (265,294)
Citation 1

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Retail Investors, Trading Activity Dataset, Information Processing, Order Flow, Foreign Exchange Market

16.

Multiplicative Measurement Error and the Simulation Extrapolation Method

Number of pages: 24 Posted: 09 May 2008
Elena Biewen, Sandra Nolte (Lechner) and Martin Rosemann
Institute for Applied Economic Research (IAW), Lancaster University Management School and ISG Institut für Sozialforschung und Gesellschaftspolitik
Downloads 229 (274,291)
Citation 1

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Errors-in-variables in nonlinear models, disclosure limitation methods, multiplicative error

17.

Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Number of pages: 53 Posted: 14 Nov 2021 Last Revised: 25 Jul 2024
Qiyuan Li, Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
Singapore Management University - School of Economics, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 227 (276,626)
Citation 1

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High-Frequency Data, Jump Test, Market Microstructure Noise, Stochastic Sampling Scheme, First Exit Time

18.

The Multiplicative Simulation-Extrapolation Approach

Number of pages: 22 Posted: 10 Mar 2007 Last Revised: 11 Nov 2007
Sandra Nolte (Lechner)
Lancaster University Management School
Downloads 224 (280,160)

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multiplicative error-in-variables, SIMEX, disclosure limitation

19.

Renewal Based Volatility Estimation

Number of pages: 41 Posted: 22 Feb 2018 Last Revised: 25 Sep 2019
Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 223 (281,431)
Citation 1

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

20.

Industry Survival Rate, Entrepreneur Historical Performance and Personal Wealth: A Probabilistic Model for Optimizing SMEs Capital Structure

Number of pages: 31 Posted: 14 Mar 2012
Andrea Moro and Sandra Nolte (Lechner)
Cranfield University - School of Management and Lancaster University Management School
Downloads 193 (322,106)

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21.

Realized Weight Regression for Dynamic Realized Global Minimum Variance Portfolio Allocation

Number of pages: 43 Posted: 11 Mar 2022 Last Revised: 22 Jan 2025
Ekaterina Kazak, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
University of Birmingham - Department of Economics, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 192 (323,624)

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portfolio allocation, high-frequency finance, realized measures, forecasting

22.

A Model of the Anchoring Effect in Dichotomous Choice Valuation with Follow-Up

University of Strasbourg Working Paper No. 2003-07
Number of pages: 18 Posted: 17 Jul 2006
Sandra Nolte (Lechner), Anne Rozan and Francois Laisney
Lancaster University Management School, BETA-UMR, Universite Louis Pasteur, Strasbourg and ZEW – Leibniz Centre for European Economic Research
Downloads 152 (397,106)
Citation 1

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Contingent valuation, willingness-to-pay, binary-choice, anchoring effect

23.

Sell-Side Analysts' Career Concerns During Banking Stresses

Journal of Banking and Finance, Volume 49, December 2014, Pages 424–441
Number of pages: 64 Posted: 08 Mar 2014 Last Revised: 10 Jan 2015
Ingmar Nolte, Sandra Nolte (Lechner) and Michalis Vasios
Lancaster University - Department of Accounting and Finance, Lancaster University Management School and European Securities and Markets Authority
Downloads 141 (421,671)
Citation 2

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Sell-side Analysts, News Flows, Career Concerns, Financial Crisis

24.

Decoupling Interday and Intraday Volatility Dynamics with Price Durations

Number of pages: 45 Posted: 31 May 2024 Last Revised: 17 Jan 2025
Yifan Li, Ingmar Nolte, Sandra Nolte (Lechner) and Shifan Yu
The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 105 (528,130)

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High-Frequency Data, Volatility Estimation, Price Durations, ACD model

25.

Combining Blanking and Noise Addition as a Data Disclosure Limitation Method

Number of pages: 14 Posted: 12 Sep 2006
Anton Flossmann and Sandra Nolte (Lechner)
University of Konstanz - Department of Economics and Lancaster University Management School
Downloads 91 (580,542)
Citation 1

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disclosure limitation technique, error-in-variables, blanking, SIMEX, IPW

26.

Make Assurance Double Sure: Combination of Two Disclosure Limitation Methods and Estimation of General Regression Models

Number of pages: 25 Posted: 09 May 2008 Last Revised: 25 Sep 2008
Anton Flossmann and Sandra Nolte (Lechner)
University of Konstanz - Department of Economics and Lancaster University Management School
Downloads 76 (644,338)

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Disclosure limitation technique, Multiplicative measurement error, Blanking, Simulation-Extrapolation, Inverse Probability Weighting

27.

ControversyBERT: Detecting Social Controversies and their Impact on Stock Returns

The Journal of Impact and ESG Investing, Fall 2023, 4 (1) 87 - 108 DOI: 10.3905/jesg.2023.1.076
Posted: 26 Jul 2023
Robeco Quantitative Investments, Lancaster University Management School, Invesco, Invesco and Invesco

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Sustainable finance, social standards, natural language processing, controversy screening, large language models, BERT

28.

Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?

The Journal of Portfolio Management, April 2023, 49 (5) 167- 187 DOI: 10.3905/jpm.2023.1.482
Posted: 22 Nov 2022 Last Revised: 17 Apr 2024
Alexander Swade, Sandra Nolte (Lechner), Mark B. Shackleton and Harald Lohre
State Street Global Markets - State Street Associates, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and Robeco Quantitative Investments

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Equal-weighting, factor models, size, value, momentum

29.

Macro Factor Investing with Style

Journal of Portfolio Management, 2022 Quantitative Special Issue, Vol. 48(2), pp. 80-104
Posted: 28 Sep 2021 Last Revised: 16 Feb 2023
State Street Global Markets - State Street Associates, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School, affiliation not provided to SSRN and Invesco

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Macro Factors, Factor Investing, Diversification, Factor Completion

30.

Bicameral Conflict Resolution in the European Union: An Empirical Analysis of Conciliation Committee Bargains

British Journal of Political Science, Forthcoming
Posted: 19 Jul 2006
Winfried Pohlmeier, Sandra Nolte (Lechner), Thomas E. König and Björn Hörl
University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE), Lancaster University Management School, affiliation not provided to SSRN and affiliation not provided to SSRN

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31.

Data Masking by Noise Addition and the Estimation of Nonparametric Regression Models

Journal of Economics and Statistics, Vol. 225, No. 5, pp. 517-528, 2005
Posted: 17 Jul 2006
Sandra Nolte (Lechner) and Winfried Pohlmeier
Lancaster University Management School and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

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data masking, errors-in-variables, SIMEX, local polynomial regression

32.

To Blank or Not to Blank? A Comparison of the Effects of Disclosure Limitation Methods on Nonlinear Regression Estimates

Josep Domingo-Ferrer, Vicenç Torra: PRIVACY IN STATISTICAL DATABASES, Springer Verlag Lecture Notes in Computer Science, 2004
Posted: 17 Jul 2006
Sandra Nolte (Lechner) and Winfried Pohlmeier
Lancaster University Management School and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

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disclosure limitation, blanking, semi-parametric selection models, errors in variables in nonlinear models