Sandra Nolte (Lechner)

Lancaster University Management School

Lecturer in Finance

Lancaster, Lancashire LA1 4YX

United Kingdom

  • Lancaster University Management School

SCHOLARLY PAPERS

30

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SSRN CITATIONS
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Top 37,140

in Total Papers Citations

20

CROSSREF CITATIONS

4

Scholarly Papers (30)

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1.

Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?

Journal of Portfolio Management, 49 (5), 167–187
Number of pages: 26 Posted: 22 Nov 2022 Last Revised: 26 Apr 2023
Alexander Swade, Sandra Nolte (Lechner), Mark B. Shackleton and Harald Lohre
Lancaster University - Department of Accounting and Finance, Lancaster University Management School, Lancaster University - Department of Accounting and Finance and Robeco Quantitative Investments
Downloads 1,780 (16,958)

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

2.

Power Sorting

Number of pages: 58 Posted: 28 Aug 2023
Anastasios Kagkadis, Harald Lohre, Ingmar Nolte, Sandra Nolte (Lechner) and Nikolaos Vasilas
Lancaster University - Department of Accounting and Finance, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 1,214 (30,128)

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Factor Investing, Portfolio Construction, 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
Lakshmi Ranganathan, Harald Lohre, Sandra Nolte (Lechner) and Houssem Braham
Lancaster University, Robeco Quantitative Investments, Lancaster University Management School and BlackRock, Inc
Downloads 785 (55,486)

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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
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 721 (62,192)
Citation 3

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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 495 (99,671)

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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 400 (128,099)

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

7.

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 382 (134,947)
Citation 3

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

8.

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 356 (145,843)
Citation 3

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

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 330 (158,227)
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 329 (158,755)

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

11.

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 278 (189,313)
Citation 1

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SMEs, Expected Return on Equity, Entrepreneur

12.

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 252 (208,853)
Citation 5

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Expectations, Tendency Survey, Forecasting Errors, Misclassification, GLARMA

13.

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 224 (234,060)
Citation 1

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

14.

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 219 (239,103)
Citation 1

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

15.

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 211 (247,537)

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multiplicative error-in-variables, SIMEX, disclosure limitation

16.

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

Number of pages: 29 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 207 (251,883)

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Portfolio optimization, Implementation Shortfall, Time-series models.

17.

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 200 (259,968)
Citation 1

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High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory

18.

ControversyBERT: Detecting Social Controversies and their Impact on Stock Returns

Journal of Impact and ESG Investing, Forthcoming
Number of pages: 29 Posted: 26 Jul 2023
Harald Lohre, Sandra Nolte (Lechner), Lakshmi Ranganathan, Carsten Rother and Margit Steiner
Robeco Quantitative Investments, Lancaster University Management School, Lancaster University, Invesco and Invesco
Downloads 181 (284,069)

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

19.

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 178 (288,290)

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20.

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 135 (362,231)
Citation 1

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

21.

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 131 (370,677)

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

22.

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

Number of pages: 69 Posted: 14 Nov 2021 Last Revised: 10 Oct 2022
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 Lancaster University Management School
Downloads 125 (384,095)

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high-frequency data, jump test, market microstructure noise, stochastic sampling scheme, first exit time, price staleness

23.

A Linear Weight Estimator for Dynamic Global Minimum Variance Portfolio Allocation

Number of pages: 40 Posted: 11 Mar 2022 Last Revised: 30 Nov 2023
Ekaterina Kazak, Yifan Li, Ingmar Nolte and Sandra Nolte (Lechner)
University of Manchester, 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 112 (416,388)

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

24.

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 79 (522,830)
Citation 1

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

25.

Nonparametric Range-Based Estimation of Integrated Variance with Episodic Extreme Return Persistence

Number of pages: 55 Posted: 20 Jul 2023 Last Revised: 12 Sep 2023
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 Lancaster University Management School
Downloads 68 (568,467)

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High-Frequency Data, Integrated Variance, Extreme Return Persistence, Drift Burst, Range-Based Volatility Estimation

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 58 (615,994)

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

27.

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
Alexander Swade, Harald Lohre, Mark B. Shackleton, Sandra Nolte (Lechner), Robert S Hixon and Jay Raol
Lancaster University - Department of Accounting and Finance, 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

28.

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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29.

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

30.

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