References of "Lehnert, Thorsten 50002191"
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See detailSkewness Risk Premium: Theory and Empirical Evidence
Lehnert, Thorsten UL; Wolff, Christian UL; Lin, Yuehao

E-print/Working paper (2013)

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See detailStein’s Overeaction Puzzle: Option Anomaly or Perfectly Rational Behavior
Lehnert, Thorsten UL; Martelin, Nicolas UL; Lin, Yuehao

E-print/Working paper (2013)

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See detailThe Impact of Policy Interventions on Stock Liquidity
Lehnert, Thorsten UL; Busch, Thomas

E-print/Working paper (2013)

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See detailGeschäftsklimaindices und Aktienmärkte
Lehnert, Thorsten UL; Kerschen, Nicolas

Article for general public (2012)

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See detailAspirations, ORGANIZATIONAL PERFORMANCE AND RISKY DECISIONS
Lehnert, Thorsten UL; Brinckmann, Martin

in Advances in Business-Related Scientific Research (2012)

This paper examines the impact of organizational performance on subsequent risk-taking behavior. More specifically, using a sample of 2892 European acquisitions, it is analyzed whether companies are more ... [more ▼]

This paper examines the impact of organizational performance on subsequent risk-taking behavior. More specifically, using a sample of 2892 European acquisitions, it is analyzed whether companies are more likely to conduct risky actions like acquisitions in times of bad organizational performance. Risk theory suggests that the risk-taking behavior of organizations is context-dependent, with a greater risk-appetite in times of failure than in times of success. Past performance is denoted successful whenever company specific aspiration levels were met. Consequently, it is hypothesized that the probability of a company to get actively involved in acquisitions decreases with increasing relative performance. The findings of the analysis support the hypothesized relationship. Organizations are sensitive to performance relative to aspiration levels. The better the performance relative to aspiration levels the lower the propensities to initiate acquisitions. Companies with experience from prior deals are more likely to engage in acquisitions and less sensitive to relative performance. [less ▲]

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See detailDo Fund Investors Know that Risk is Sometimes Not Priced
Lehnert, Thorsten UL

Scientific Conference (2012)

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See detailNoise Trading and the cross-section of index option prices
Lehnert, Thorsten UL

Scientific Conference (2012)

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See detailSentiment Trades and Option Prices
Lehnert, Thorsten UL; Frijns, Bart; Zwinkels, Remco

E-print/Working paper (2012)

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See detailNoise Trading and the Cross-Section of Index Option Prices
IREK, Fabian UL; Frijns, Bart; Lehnert, Thorsten UL et al

E-print/Working paper (2012)

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See detailDoes the GARCH Structural Credit Risk Model Make a Difference?
Jin, Xisong UL; Lehnert, Thorsten UL

E-print/Working paper (2011)

In this study, we empirically investigate and evaluate various approaches to structurally assess credit risk using a panel of European banking groups. We consider not only the standard approaches in the ... [more ▼]

In this study, we empirically investigate and evaluate various approaches to structurally assess credit risk using a panel of European banking groups. We consider not only the standard approaches in the literature, but also include models that allow the asset volatility to be stochastic and models that allow for short- and long-term components of default risk. Models are evaluated by comparing their ability to correctly and timely identify changes in risk indicators. Surprisingly, we find that the GARCH structural credit risk model, despite its more sophisticated modeling approach, typically underperforms more basic models. Importantly for macro-prudential policy, the combined Merton/GARCH-MIDAS model performs best and reflects important market events earlier than the other approaches. [less ▲]

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; Lehnert, Thorsten UL; Chiara Amadori, Maria

E-print/Working paper (2011)

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See detailCultural Values, CEO Risk Aversion and Corporate Takeovers
Lehnert, Thorsten UL; Frijns, Bart; Gilbert, Aaron et al

E-print/Working paper (2011)

Detailed reference viewed: 45 (2 UL)
See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; MARIA CHIARA, AMADORI; Lehnert, Thorsten UL

Scientific Conference (2011)

In this study, we investigate the dynamics behind informed investors’ trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex ... [more ▼]

In this study, we investigate the dynamics behind informed investors’ trading decisions among Eu-ropean stock, options and credit default swap markets. This allows us to identify the predictive ex-planatory power of the unique information contained in each market with respect to future stock, CDS and option market movements. A lead-lag relation is found between the CDS market and the other markets, in which changes in CDS spreads are able to consistently forecast changes in stock prices and equity options’ implied volatilities pointing out how the fast growing CDS market seems to play a special role in the price discovery process. Moreover, in contrast to US results, the stock market is found to forecast changes in the other two markets suggesting that investors also prefer stock market involvement to exploit their information advantages and then move to CDS and option markets. Interestingly, those patterns have only emerged during the recent financial crisis, while before the crisis the option market was found to be of major importance in the price discovery process. [less ▲]

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia UL; Lehnert, Thorsten UL; Amadori, Maria Chiara

E-print/Working paper (2011)

Detailed reference viewed: 36 (2 UL)