Thorsten Lehnert

Luxembourg School of Finance

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

SCHOLARLY PAPERS

12

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CITATIONS

2

Scholarly Papers (12)

The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 32 Posted: 12 May 2011
Maria Chiara Amadori Jr., Thorsten Lehnert and Lamia Bekkour
Maastricht School of Business and Economics, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 115 (192,649)

Abstract:

The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 19 Sep 2012
Lamia Bekkour, Thorsten Lehnert and Maria Chiara Amadori Jr.
Luxembourg School of Finance, Luxembourg School of Finance and Maastricht School of Business and Economics
Downloads 89 (230,652)

Abstract:

Credit default swap spread, option-implied volatility, lead-lag relationship, price discovery, informed trading

2.

Is There a Bubble in the Art Market?

Journal of Empirical Finance, Vol. 35, 2016
Number of pages: 26 Posted: 08 May 2014 Last Revised: 25 Feb 2016
Roman Kräussl, Thorsten Lehnert and Nicolas Martelin
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 150 (39,372)

Abstract:

Art market, Alternative investments, Speculative bubbles, Explosive behavior

3.

Do Fund Investors Know that Risk is Sometimes Not Priced?

25th Australasian Finance and Banking Conference 2012
Number of pages: 45 Posted: 28 Aug 2012 Last Revised: 20 Nov 2013
Fabian Irek and Thorsten Lehnert
Luxembourg School of Finance and Luxembourg School of Finance
Downloads 133 (163,747)

Abstract:

4.

Cultural Values, CEO Risk Aversion and Corporate Takeovers

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 37 Posted: 12 Oct 2011
Luxembourg School of Finance, Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 124 (162,790)

Abstract:

Financial Decision Making, Risk Aversion, Synergies, Culture, Takeovers

5.

Market Perceptions of US and European Policy Actions Around the Subprime Crisis

25th Australasian Finance and Banking Conference 2012
Number of pages: 31 Posted: 20 Aug 2012
Theoharry Grammatikos, Thorsten Lehnert and Yoichi Otsubo
Luxembourg School of Finance, Luxembourg School of Finance and University of Manchester - Manchester Business School
Downloads 63 (264,248)

Abstract:

event study, policy announcement, subprime crisis

6.

Stein's Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?

Number of pages: 28 Posted: 22 Oct 2013 Last Revised: 25 Nov 2013
Thorsten Lehnert, Yuehao Lin and Nicolas Martelin
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 58 (246,467)

Abstract:

Option Markets, Overreaction, Rational Expectations, Mean Reversion, Volatility

7.

Euro Crash Risk

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 36 Posted: 09 Aug 2015 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Sigita Senulyte
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 48 (254,066)

Abstract:

Sovereign debt crisis, News announcements, Euro value, Euro crash risk

8.

Skewness Risk Premium: Theory and Empirical Evidence

CEPR Discussion Paper No. DP9349
Number of pages: 35 Posted: 21 Feb 2013
Thorsten Lehnert, Yuehao Lin and Christian C. P. Wolff
Luxembourg School of Finance, Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 4 (504,258)
Citation 1

Abstract:

asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium

9.

Euro at Risk: The Impact of Member Countries’' Credit Risk on the Stability of the Common Currency

CEPR Discussion Paper No. DP9229
Number of pages: 35 Posted: 01 Feb 2013
Luxembourg School of Finance, Central Bank of Luxembourg, Luxembourg School of Finance, Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance
Downloads 2 (514,121)
Citation 1

Abstract:

credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution

10.

The European Sovereign Debt Crisis: What Have We Learned?

Journal of Empirical Finance, Vol. 38(A), 2016
Number of pages: 29 Posted: 06 Apr 2016 Last Revised: 12 Jan 2017
Roman Kräussl, Thorsten Lehnert and Denitsa Stefanova
Luxembourg School of Finance, Luxembourg School of Finance and Luxembourg School of Finance
Downloads 0 (333,017)

Abstract:

Sovereign debt crisis, systemic risk, contagion, bank bail-outs, financial regulation

11.

Does Oil and Gold Price Uncertainty Matter for the Stock Market?

Number of pages: 30 Posted: 24 Nov 2015 Last Revised: 13 Sep 2016
Dennis Bams, Gildas Blanchard, Iman Honarvar and Thorsten Lehnert
Maastricht University - Department of Finance, Maastricht University, Maastricht University - Department of Finance and Luxembourg School of Finance
Downloads 0 (220,932)

Abstract:

Uncertainty, Volatility Risk Premium, Stock Market, Oil, Gold, Oil-relevant Industry, Market Segmentation

12.

From Time Varying Risk-Aversion to Anomalies in Market Moments’ Risk Premia

Number of pages: 42 Posted: 24 Nov 2015
Dennis Bams, Iman Honarvar and Thorsten Lehnert
Maastricht University - Department of Finance, Maastricht University - Department of Finance and Luxembourg School of Finance
Downloads 0 (329,921)

Abstract:

Time-varying Risk-aversion, Market Moments’ Risk Premia, Investor Sentiment Index, Intertemporal Capital Asset Pricing Model, Volatility Risk, Skewness Risk, Kurtosis Risk, Cross-Section of Expected Returns