References of "Lehnert, Thorsten 50002191"
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See detailPress Freedom and Jumps in Stock Markets
Lehnert, Thorsten UL

Scientific Conference (2015)

Detailed reference viewed: 29 (5 UL)
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See detailEuro Stability
Lehnert, Thorsten UL

Scientific Conference (2015)

Detailed reference viewed: 28 (1 UL)
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See detailTimeliness in Selected Structural Credit Risk Model
Lehnert, Thorsten UL

Scientific Conference (2015)

Detailed reference viewed: 20 (1 UL)
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See detailTowards Disentangling Sentiment from Risk Premia
Lehnert, Thorsten UL

Scientific Conference (2015)

Detailed reference viewed: 37 (1 UL)
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See detailCorporate Governance and Idiosyncratic Skewness
Lehnert, Thorsten UL

Scientific Conference (2015)

Detailed reference viewed: 47 (5 UL)
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See detailEuro Crash Risk
Kräussl, Roman UL; Lehnert, Thorsten UL; Sigita, Senulyte

E-print/Working paper (2015)

Detailed reference viewed: 38 (0 UL)
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See detailThe Impact of Policy Responses on Stock Liquidity
Lehnert, Thorsten UL; Busch, Thomas

in Applied Economics Letters (2014)

Detailed reference viewed: 84 (2 UL)
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See detailCDS Contracts versus Put Options: A robust relationship?
Bekkour, Lamia UL; Lehnert, Thorsten UL; Desimone, Francisco Nadal et al

E-print/Working paper (2014)

Detailed reference viewed: 72 (8 UL)
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See detailSkewness Term Structure Tests
Lehnert, Thorsten UL; Lin, Yuehao UL

E-print/Working paper (2014)

Detailed reference viewed: 72 (4 UL)
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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Lehnert, Thorsten UL; Bekkour, Lamia UL

in Journal of Risk Finance (2014), 15(5),

Detailed reference viewed: 92 (3 UL)
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See detailSkewness Risk Premium: Theory and Empirical Evidence
Wolff, Christian UL; Lehnert, Thorsten UL; Lin, Yuehao UL

E-print/Working paper (2014)

Detailed reference viewed: 72 (1 UL)
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See detailEvaluating Option Pricing Model Performance Using Model Uncertainty
Lehnert, Thorsten UL; Blanchard, Gildas; Bams, Dennis

E-print/Working paper (2014)

Detailed reference viewed: 33 (0 UL)
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See detailIs there a Bubble in the Art Market?
Kräussl, Roman UL; Lehnert, Thorsten UL; Martelin, Nicolas

E-print/Working paper (2014)

Detailed reference viewed: 1208 (82 UL)
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See detailMarket Perceptions of US and European policy actions around the subprime crisis
Lehnert, Thorsten UL

Scientific Conference (2013, December)

Detailed reference viewed: 31 (2 UL)
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See detailEuro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency
Lehnert, Thorsten UL

Scientific Conference (2013, September)

Detailed reference viewed: 38 (4 UL)
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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 ▲]

Detailed reference viewed: 77 (1 UL)
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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 ▲]

Detailed reference viewed: 95 (5 UL)