References of "Lehnert, Thorsten 50002191"
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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, 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 detailGender Differences and Extreme Events
Lehnert, Thorsten UL

Scientific Conference (2021, December)

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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 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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See detailThe Lehman Sisters Claim
Lehnert, Thorsten UL

E-print/Working paper (2020)

I evaluate Christine Lagarde´s claim that more female leaders can be associated with more prudence, and less of the risky decision-making that had provoked the crisis. Indeed, the proportion of women who ... [more ▼]

I evaluate Christine Lagarde´s claim that more female leaders can be associated with more prudence, and less of the risky decision-making that had provoked the crisis. Indeed, the proportion of women who are employed in decision-making and management roles in governments, large enterprises and institutions varies substantially across European countries and is oftentimes below 30%. Research suggests that in addition to biological differences, men and women show morphological dissimilarities in specific brain regions, which explain the observed differences in behavior. As a result, female decision makers tend to be more risk averse, better suited to carefully analyze a problem, superior in multitasking and better in creating solutions that work for a group. Not surprisingly, firms with more female decision makers tend to outperform their peers in terms of productivity, profitability and stock performance while taking fewer risks. In this paper, I aim to explore the effect of female decision making on aggregate equity returns. Relying on an equilibrium asset-pricing model in an economy under jump diffusion, I decompose the moments of the returns of European stock market indices into a diffusive (systematic) risk and an (idiosyncratic) extreme event risk part. For a balanced panel of European countries, I find empirical evidence for a Lehman sisters’ effect: female decision making is an important determinant of (idiosyncratic) extreme event risk. As a result, stock markets in countries with more female decision makers are characterized by higher risk aversion, lower volatility and more positive return asymmetry, primarily driven by extreme event risk, e.g. the lower frequency of negative jumps. Results are robust to the inclusion of various controls for other country- or market-specific characteristics. [less ▲]

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See detailRetail Investors' Flight-From-Safety and the Skewness Risk Premium
Lehnert, Thorsten UL

E-print/Working paper (2020)

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