References of "Lehnert, Thorsten 50002191"
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See detailTimeliness in Selected Structural Credit Risk Models
Jin, Xisong UL; Lehnert, Thorsten UL; Nadal de Simone, Francisco

E-print/Working paper (2013)

We empirically investigate and evaluate various approaches to structurally assess credit risk changes using a panel of selected European banking groups. The objective is to evaluate the models according ... [more ▼]

We empirically investigate and evaluate various approaches to structurally assess credit risk changes using a panel of selected European banking groups. The objective is to evaluate the models according to one metric, i.e., their ability to correctly and timely identify changes in credit risk indicators useful for macroprudential policy. 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. 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, combining the Merton model with the GARCH-MIDAS model performs best and reflects important market events earlier than the other approaches. [less ▲]

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See detailDo Fund Investors Know that Risk is Sometimes not Priced?
Irek, Fabian UL; Lehnert, Thorsten UL

E-print/Working paper (2013)

Previous research suggests that investor sentiment has an influence on the market's risk-return trade-off. Noise tradersídemand for assets is considered to be risk independent and, as a result, risky ... [more ▼]

Previous research suggests that investor sentiment has an influence on the market's risk-return trade-off. Noise tradersídemand for assets is considered to be risk independent and, as a result, risky assets do not offer a risk premium when demand is high. We show that market risk is only a priced factor of expected fund returns when investor sentiment is low. Furthermore, fund investors seem aware that risk is sometimes not priced. During high sentiment periods, "smart" investors buy safe funds that subsequently outperform and sell risky funds that subsequently underperform. Our results are statistically and economically significant. [less ▲]

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See detailUncertainty avoidance, risk tolerance and corporate takeover decisions
Frijns, Bart; Gilbert, Aaron; Tourani Rad, Ali Reza et al

in Journal of Banking and Finance (2013), 37

In this paper, we examine the role of national culture in corporate takeover decisions, by arguing that managerial risk tolerance (a combination of risk aversion and risk perception), at the national ... [more ▼]

In this paper, we examine the role of national culture in corporate takeover decisions, by arguing that managerial risk tolerance (a combination of risk aversion and risk perception), at the national level, is a cultural trait and affects the expected net synergies CEOs require. We propose a theoretical framework that links CEO risk tolerance to the expected net synergies. We empirically show that CEOs of firms located in countries with lower levels of risk tolerance, measured by Hofstede’s (1980, 2001) uncertainty avoidance score, require higher premiums on takeovers, and show that uncertainty avoidance plays a greater role in relatively large takeovers. Additional testing reveals that CEOs from high uncertainty avoiding nations engage less in cross-border/cross-industry takeovers, suggesting that uncertainty avoidance captures more the CEO’s risk perception than his/her risk aversion. [less ▲]

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See detailConference Organization
Lehnert, Thorsten UL

Scientific Conference (2013, June)

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See detailNoise Trading and Option Prices
Lehnert, Thorsten UL

Scientific Conference (2013, May)

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See detailConference Organization
Lehnert, Thorsten UL

Scientific Conference (2013, April)

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See detailInvestment Fund Research - Made in Luxembourg
Lehnert, Thorsten UL

Conference given outside the academic context (2013)

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See detailSentiment Trades and Option Prices
Lehnert, Thorsten UL

Scientific Conference (2013, January)

Detailed reference viewed: 28 (0 UL)
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See detailEstimation Risk in Option Pricing
Lehnert, Thorsten UL; Bams, Dennis; Blanchard, Gildas

E-print/Working paper (2013)

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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 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)

Detailed reference viewed: 32 (1 UL)