References of "Lehnert, Thorsten 50002191"
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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 detailConference Organization
Lehnert, Thorsten UL

Scientific Conference (2013, April)

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See detailSentiment Trades and Option Prices
Lehnert, Thorsten UL

Scientific Conference (2013, January)

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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 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 detailGeschäftsklimaindices und Aktienmärkte
Lehnert, Thorsten UL; Kerschen, Nicolas

Article for general public (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 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 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 detailSentiment Trades and Option Prices
Lehnert, Thorsten UL; Frijns, Bart; Zwinkels, Remco

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 ▲]

Detailed reference viewed: 153 (3 UL)