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See detailThe Green Stock Market Bubble
Lehnert, Thorsten UL

in Circular Economy and Sustainability (2023)

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See detailCorporate Managers, Price Noise and the Investment Factor
Lehnert, Thorsten UL

in Financial Innovation (2022), 8(61),

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See detailBetting Against Noisy Beta
Lehnert, Thorsten UL

in Journal of Finance and Data Science (2022), 8(-), 55-68

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See detailClimate Risk and Price Jumps
Lehnert, Thorsten UL

Scientific Conference (2022, October)

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See detailClimate Risk and Price Jumps
Lehnert, Thorsten UL

Scientific Conference (2022, July 05)

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See detailClimate Risk and Price Jumps
Lehnert, Thorsten UL

Scientific Conference (2022, June 13)

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See detailFlight to Safety and Retail Investor Behavior
Lehnert, Thorsten UL

in International Review of Financial Analysis (2022), 81

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See detailIs Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk-Taking of Hedge Funds
Lehnert, Thorsten UL

in Journal of Derivatives (2022), 29(3), 30-45

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See detailThe Green Stock Market Bubble
Lehnert, Thorsten UL

Scientific Conference (2022, January)

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See detailThe Impact of the Asset Purchase Programme on Systemic Risk in the Euro Area: Is There a Threat?
Chavarro Sanchez, Leidy; Nadal De Simone, Francisco; Lehnert, Thorsten UL

E-print/Working paper (2021)

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See detailGender Differences and Extreme Events
Lehnert, Thorsten UL

Scientific Conference (2021, December)

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See detailGender Differences and Extreme Events
Lehnert, Thorsten UL

Scientific Conference (2021, December)

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See detailFlight to Safety and Retail Investor Behavior
Lehnert, Thorsten UL

Scientific Conference (2021, October)

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See detailClimate Risk and Price Jumps
Lehnert, Thorsten UL

Scientific Conference (2021, September)

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See detailIs This Time Really Different? Flight-to-Safety and the COVID-19 Crisis
Löwen, Celina; Kchouri, Bilal UL; Lehnert, Thorsten UL

in PLoS ONE (2021), 16(5),

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See detailTHIS TIME IS REALLY DIFFERENT: FLIGHT-TO-SAFETY AND THE COVID-19 CRISIS
Löwen, Celina; Kchouri, Bilal UL; Lehnert, Thorsten UL

E-print/Working paper (2020)

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See detailA Note on Stein’s Overreaction Puzzle
Lin, Yuehao; Lehnert, Thorsten UL

in Decisions in Economics and Finance (2020), 43(1), 269-276

Recently, Christoffersen et al. (2013) argue that the overreaction puzzle of Stein (1989) can be explained by a variance-dependent pricing kernel. In this note, we challenge this view. Our theoretical ... [more ▼]

Recently, Christoffersen et al. (2013) argue that the overreaction puzzle of Stein (1989) can be explained by a variance-dependent pricing kernel. In this note, we challenge this view. Our theoretical results are in line with their argument that the variance under risk-neutral measure is more persistent than the variance under physical measure due to a negative variance risk premium. But our results do not support their argument that the more persistent variance is able to qualitatively explain Stein’s findings. We show theoretically that the persistence of the volatility cannot amplify the movements of long-term variance to short-term fluctuations in variance, and, therefore, conclude that Stein’s overreaction puzzle is still unsolved. [less ▲]

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See detailFear and Stock Price Bubbles
Lehnert, Thorsten UL

in PLoS ONE (2020), 15 (5)(e0233024), 1-11

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