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See detailMarket Skewness Risk, Risk Aversion and the Cross-Section of Stock Returns
Bams, Dennis; Honarvar, Iman; Lehnert, Thorsten UL

E-print/Working paper (2018)

Previous research suggests that the cross section of stock returns has substantial exposure to risks captured by higher moments of market returns, implied by S&P500 index option prices. However, assuming ... [more ▼]

Previous research suggests that the cross section of stock returns has substantial exposure to risks captured by higher moments of market returns, implied by S&P500 index option prices. However, assuming that risk aversion is time-varying, a risk-based explanation would suggest that the exposure is priced in periods of high risk aversion, while it is not necessarily priced/weaker in periods of low risk aversion. We find that for market skewness and kurtosis, this hypothesis is not supported by the data. We find that each of the higher moment prices of risk is time-varying and has significantly different patterns under different market conditions, proxied by a measure of investors’ relative risk aversion. In particular, in line with our reasoning, our results suggest that only in down-markets (high risk aversion periods), the exposure to the market volatility innovations is priced significantly negative in the cross-section of stocks, while it is not priced in up-markets (low risk aversion periods). In contrast, we find that in down-markets, market skewness and kurtosis are not priced risk factors, while the price of market skewness risk is significantly negative and the price of kurtosis risk is positive in up-markets. However, the previously reported results for skewness and kurtosis are counterintuitive, strictly violate the risk compensation principles and, therefore, do not support a risk-based explanation. The results persist even after controlling for the Fama-French and Carhart factors. [less ▲]

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See detailEBC network, Workshop Organizer
Lehnert, Thorsten UL

Scientific Conference (2018, June 12)

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See detailGovernance and Price Jumps
Lehnert, Thorsten UL

Scientific Conference (2018, June 07)

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See detailThe Impact of Feedback Trading on Option Prices
Lehnert, Thorsten UL

Scientific Conference (2018, April 05)

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See detailLarge portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Lehnert, Thorsten UL; Jin, Xisong

in Dependence Modeling (2018), 6(1), 19-46

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See detailBig Moves of Mutual Funds
Lehnert, Thorsten UL

E-print/Working paper (2018)

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten UL; Bams, D.; Blanchard, G. et al

in Journal of Empirical Finance (2017), 44(-), 270-285

Detailed reference viewed: 134 (6 UL)
See detailAlternative Investments, Special Issue of the Journal of Empirical Finance
Lehnert, Thorsten UL; Kräussl, Roman UL

Book published by Elsevier (2017)

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See detailThe Search for Yield: Implications to Alternative Investments
Lehnert, Thorsten UL; Kräussl, Roman UL; Rinne, Kalle UL

in Journal of Empirical Finance (2017), 44(-), 227-236

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See detailRisk Aversion, Sentiment and the Cross-Section of Stock Returns
Lehnert, Thorsten UL

Presentation (2017, November 29)

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See detailRisk Aversion, Sentiment and the Cross-Section of Stock Returns
Lehnert, Thorsten UL

Presentation (2017, November 14)

Detailed reference viewed: 31 (2 UL)
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See detailRisk Aversion, Sentiment and the Cross-Section of Stock Returns
Lehnert, Thorsten UL

Presentation (2017, October 13)

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See detailBig Moves of Mutual Funds
Lehnert, Thorsten UL

Scientific Conference (2017, September 28)

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See detailRisk Aversion, Sentiment and the Cross-Section of Stock Returns
Lehnert, Thorsten UL

Scientific Conference (2017, August 23)

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See detailGovernance and Price Jumps
Lehnert, Thorsten UL

Scientific Conference (2017, May 18)

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See detailDiscussion of "Option listing and information asymmetry"
Lehnert, Thorsten UL

Scientific Conference (2017, February 03)

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten UL

Presentation (2017, January 26)

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See detailStein's Overreaction Puzzle: A Note
Lin, Yuehao; Lehnert, Thorsten UL

E-print/Working paper (2017)

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See detailVolatility Measures and Value-at-Risk
Lehnert, Thorsten UL; Bams, D.; Blanchard, G.

in International Journal of Forecasting (2017), 33(4), 848-863

Detailed reference viewed: 159 (4 UL)