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Showing results 121 to 140 of 155
 Investment Fund Research - Made in LuxembourgLehnert, Thorsten  Conference given outside the academic context (2013) Detailed reference viewed: 56 (2 UL)Conference OrganizationLehnert, Thorsten Scientific Conference (2013, April) Detailed reference viewed: 90 (4 UL) Sentiment Trades and Option PricesLehnert, Thorsten Scientific Conference (2013, January) Detailed reference viewed: 32 (0 UL) Stein’s Overeaction Puzzle: Option Anomaly or Perfectly Rational BehaviorLehnert, Thorsten ; Martelin, Nicolas ; E-print/Working paper (2013) Detailed reference viewed: 89 (5 UL)The Impact of Policy Interventions on Stock LiquidityLehnert, Thorsten ; E-print/Working paper (2013) Detailed reference viewed: 38 (3 UL)Estimation Risk in Option PricingLehnert, Thorsten ; ; E-print/Working paper (2013) Detailed reference viewed: 61 (3 UL)Skewness Risk Premium: Theory and Empirical EvidenceLehnert, Thorsten ; Wolff, Christian ; E-print/Working paper (2013) Detailed reference viewed: 184 (4 UL)Geschäftsklimaindices und AktienmärkteLehnert, Thorsten ; Article for general public (2012) Detailed reference viewed: 94 (5 UL)Noise Trading and the Cross-Section of Index Option PricesIrek, Fabian ; ; Lehnert, Thorsten et alE-print/Working paper (2012) Detailed reference viewed: 38 (1 UL)Do Fund Investors Know that Risk is Sometimes Not PricedLehnert, Thorsten Scientific Conference (2012) Detailed reference viewed: 86 (0 UL)Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common CurrencyLehnert, Thorsten Scientific Conference (2012) Detailed reference viewed: 33 (2 UL)Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common CurrencyLehnert, Thorsten Scientific Conference (2012) Detailed reference viewed: 21 (0 UL)Noise Trading and the cross-section of index option pricesLehnert, Thorsten Scientific Conference (2012) Detailed reference viewed: 27 (1 UL)Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common CurrencyBekkour, Lamia ; Jin, Xisong ; Lehnert, Thorsten et alE-print/Working paper (2012) Detailed reference viewed: 161 (15 UL)Aspirations, ORGANIZATIONAL PERFORMANCE AND RISKY DECISIONSLehnert, Thorsten ; 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 ▲] Detailed reference viewed: 71 (14 UL) Financial Stability, Bank Risk and Regulation in the Light of the Crisis, Conference OrganizerLehnert, Thorsten Scientific Conference (2012) Detailed reference viewed: 25 (0 UL)The Relative Informational Efficiency of Stocks, Options and Credit Default SwapsLehnert, Thorsten Scientific Conference (2012) Detailed reference viewed: 32 (1 UL)Market Perceptions of US and European Policy Actions Around the Subprime CrisisGrammatikos, Theoharry ; Lehnert, Thorsten ; Otsubo, Yoichi E-print/Working paper (2012) Detailed reference viewed: 127 (4 UL)Sentiment Trades and Option PricesLehnert, Thorsten ; ; E-print/Working paper (2012) Detailed reference viewed: 24 (0 UL)Does the GARCH Structural Credit Risk Model Make a Difference?Jin, Xisong ; Lehnert, Thorsten 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 ▲] Detailed reference viewed: 153 (3 UL) |
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