References of "Lehnert, Thorsten 50002191"
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See detailAcademics say the art market bubble is about to burst
Lehnert, Thorsten UL; Kräussl, Roman UL

in Artnet News (2016)

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See detailThe European Sovereign Debt Crisis: What Have We Learned?
Kräussl, Roman UL; Lehnert, Thorsten UL; Stefanova, Denitsa UL

in Journal of Empirical Finance (2016), 38(-), 363-373

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry ... [more ▼]

This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the sovereign debt crisis and reviews approaches to detect early warning signals to anticipate the buildup of crises. It concludes with a discussion of potential implications of sovereign distress for financial markets. [less ▲]

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See detailMutual Funds, Price Pressure and Index Option
Lehnert, Thorsten UL

in Journal of Derivatives (2016), 24(1), 30-46

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See detailPRESS FREEDOM AND JUMPS IN STOCK PRICES
Abed Masror Khah, Sara UL; Lehnert, Thorsten UL

E-print/Working paper (2016)

Press freedom varies substantially across countries. In a free environment, any news becomes immediately public knowledge through mediums including various electronic media and published materials ... [more ▼]

Press freedom varies substantially across countries. In a free environment, any news becomes immediately public knowledge through mediums including various electronic media and published materials. However, in an unfree environment, (economic) agents would have more discretionary power to disclose good news immediately, while hiding bad news or releasing bad news slowly. We argue that this discretion is affecting stock prices and stock markets in countries with a free press should be better processors of economic information. Using an equilibrium asset-pricing model in an economy under jump diffusion, we decompose the moments of the returns of international stock markets into a diffusive risk and jump risk part. Using stock market data for a balanced panel of 50 countries, our results suggest that in countries with a free press, the better processing of bad news leads to more frequent negative jumps in stock prices. As a result, stock markets in those countries are characterized by higher volatility, driven by the higher jump risk, and more negative return asymmetry. Results are robust to the inclusion of various controls for governance and other country- or market-specific characteristics. We interpret this as good stock market characteristics, because a free press improves welfare and increases economic growth. [less ▲]

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See detailEuro Crash Risk
Lehnert, Thorsten UL; Kräussl, Roman UL; Senulyte, Sigita

in Journal of Empirical Finance (2016), 38(-), 417-428

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See detailStein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?
Lehnert, Thorsten UL; LIN, Y.; MARTELIN, N.

in Journal of Derivatives (2016), 23(3), 22-35

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See detailEuro Crash Risk
Lehnert, Thorsten UL; Kräussl, Roman UL; Senulyte, Sigita

in Journal of Empirical Finance (2016), 38

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See detailIs there a Bubble in the Art Market?
Kräussl, Roman UL; Lehnert, Thorsten UL; MARTELIN, N.

in Journal of Empirical Finance (2016), 35(-), 99-109

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See detailPress Freedom and Jumps in Stock Markets
Lehnert, Thorsten UL

Scientific Conference (2015)

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See detailMarket Perceptions of US and European Policy Actions around the Subprime Crisis
Lehnert, Thorsten UL; Yoichi, Otsubo; Grammatikos, Theoharry UL

in Journal of International Financial Markets, Institutions & Money (2015), 37

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See detailOn the Impact of Exclusion Filters Rules in Option Pricing
Lehnert, Thorsten UL; Dennis, Brams; Gildas, Blanchard

E-print/Working paper (2015)

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See detailThe Impact of Uncertainty in the Oil and Gold Market on the Cross-Section
Lehnert, Thorsten UL; Bams, Dennis; Blanchard, Gildas et al

E-print/Working paper (2015)

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See detailFrom Time Varying Risk-Aversion and Sentiment to Anomalies in Market
Lehnert, Thorsten UL; Honarvar, Iman; Bams, Dennis

E-print/Working paper (2015)

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See detailVolatility Concepts and Risk Management Tools
Lehnert, Thorsten UL; Blanchard,, Gildas; Dennis, Bams,

E-print/Working paper (2015)

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See detailEuro Stability
Lehnert, Thorsten UL

Scientific Conference (2015)

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See detailTimeliness in Selected Structural Credit Risk Model
Lehnert, Thorsten UL

Scientific Conference (2015)

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See detailTowards Disentangling Sentiment from Risk Premia
Lehnert, Thorsten UL

Scientific Conference (2015)

Detailed reference viewed: 32 (1 UL)