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LEHNERT Thorsten

University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF)

ORCID
0000-0002-0470-0851
Main Referenced Co-authors
KRÄUSSL, Roman  (17)
Bams, Dennis (9)
WOLFF, Christian  (9)
BEKKOUR, Lamia  (8)
Frijns, Bart (8)
Main Referenced Keywords
: Structural Credit Risk Models, GARCH, Risk Management, Merton Model, Heston-Nandi Model, Macroprudential Policy (1); Aspirations (1); contagion (1); Data Filtering Rules, Sample Selection, Sample Composition, Option Pricing, Out-of-Sample Pricing, Loss Function (1); Financial Decision Making (1);
Main Referenced Disciplines
Finance (164)

Publications (total 164)

The most downloaded
973 downloads
Kräussl, R., Lehnert, T., & Martelin, N. (2014). Is there a Bubble in the Art Market? ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/18519. https://hdl.handle.net/10993/18519

The most cited

117 citations (OpenCitations)

Frijns, B., Gilbert, A., Tourani Rad, A. R., & Lehnert, T. (July 2013). Uncertainty avoidance, risk tolerance and corporate takeover decisions. Journal of Banking and Finance, 37, 2457-2471. doi:10.1016/j.jbankfin.2013.02.010 https://hdl.handle.net/10993/14464

The most significant

LEHNERT, T. (Ed.). (2023). Risk Management and Sustainability in an Era of Pandemic and Climate Change. The Journal of Credit Risk - Special Issue-.
Peer reviewed

LEHNERT, T., & Carlos A. Ramírez (Eds.). (December 2023). Risk Management and Sustainability in an Era of Pandemic and Climate Change. Journal of Credit Risk, 19 (4).
Peer Reviewed verified by ORBi


Books and journal issues published as editor or director

LEHNERT, T. (Ed.). (2023). Risk Management and Sustainability in an Era of Pandemic and Climate Change. The Journal of Credit Risk - Special Issue-.
Peer reviewed

LEHNERT, T., & Carlos A. Ramírez (Eds.). (December 2023). Risk Management and Sustainability in an Era of Pandemic and Climate Change. Journal of Credit Risk, 19 (4).
Peer Reviewed verified by ORBi

Lehnert, T., & Kräussl, R. (Eds.). (2017). Alternative Investments, Special Issue of the Journal of Empirical Finance. Elsevier.

Lehnert, T., & Kräussl, R. (Eds.). (2016). European Sovereign Debt Crisis, Special Issue of the Journal of Empirical Finance. Elsevier.

Book chapters or contributions to a collective book as author or co-author

Kchouri, B., & Lehnert, T. (2020). Islamic Banking and Economic Growth. In A. Rafay (Ed.), Handbook of Research on Theory and Practice of Global Islamic Finance. IGI Global.
Peer reviewed

Lehnert, T., Verschoor, W., & Kleimeier, S. (2011). Contagion or Interdependence: Does the speed of the transmission of shocks matter? In Financial Contagion: The Viral Threat to the Wealth of Nations. John Wiley & Sons. doi:10.1002/9781118267646.ch5
Peer reviewed

Articles accepted in reviewed journal

Lehnert, T. (2024). Range-based Volatility Timing. Journal of Portfolio Management. doi:10.3905/jpm.2023.1.569
Peer Reviewed verified by ORBi

Lehnert, T. (2023). Environmental Policy and Equity Prices. PLoS ONE.
Peer Reviewed verified by ORBi

Lehnert, T. (2023). The Green Stock Market Bubble. Circular Economy and Sustainability. doi:10.1007/s43615-022-00223-4
Peer reviewed

Lehnert, T. (December 2022). Corporate Managers, Price Noise and the Investment Factor. Financial Innovation, 8 (61). doi:10.1186/s40854-022-00365-2
Peer Reviewed verified by ORBi

Lehnert, T. (November 2022). Betting Against Noisy Beta. Journal of Finance and Data Science, 8 (-), 55-68. doi:10.1016/j.jfds.2022.04.001
Peer Reviewed verified by ORBi

Lehnert, T. (May 2022). Flight to Safety and Retail Investor Behavior. International Review of Financial Analysis, 81. doi:10.1016/j.irfa.2022.102142
Peer Reviewed verified by ORBi

Lehnert, T. (April 2022). Is Risk-Neutral Skewness an Indicator of Downside Risk? Evidence from Tail Risk-Taking of Hedge Funds. Journal of Derivatives, 29 (3), 30-45. doi:10.3905/JOD.2022.1.148
Peer Reviewed verified by ORBi

Löwen, C., Kchouri, B., & Lehnert, T. (June 2021). Is This Time Really Different? Flight-to-Safety and the COVID-19 Crisis. PLoS ONE, 16 (5). doi:10.1371/journal.pone.0251752
Peer Reviewed verified by ORBi

Lin, Y., & Lehnert, T. (June 2020). A Note on Stein’s Overreaction Puzzle. Decisions in Economics and Finance, 43 (1), 269-276. doi:10.1007/s10203-019-00244-z
Peer reviewed

Lehnert, T. (12 May 2020). Fear and Stock Price Bubbles. PLoS ONE, 15 (5) (e0233024), 1-11. doi:10.1371/journal.pone.0233024
Peer Reviewed verified by ORBi

Bams, D., Blanchard, G., & Lehnert, T. (January 2020). Model Uncertainty and Pricing Performance in Option Valuation. The Journal of Derivatives, 27 (3), 31-49. doi:10.3905/jod.2019.1.086
Peer reviewed

Lin, Y., Lehnert, T., & Wolff, C. (May 2019). Skewness Risk Premium: Theory and Empirical Evidence. International Review of Financial Analysis, 63, 174-185. doi:10.1016/j.irfa.2019.04.002
Peer Reviewed verified by ORBi

Lehnert, T. (05 April 2019). Asset Pricing Implications of Good Governance. PLoS ONE, 14 (4) (e0214930), 1-14. doi:10.1371/journal.pone.0214930
Peer Reviewed verified by ORBi

Lehnert, T. (March 2019). Big Moves of Mutual Funds. Eurasian Economic Review, 9 (1), 1-27. doi:10.1007/s40822-018-0104-6
Peer reviewed

Lehnert, T., & Jin, X. (February 2018). Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Dependence Modeling, 6 (1), 19-46. doi:10.1515/demo-2018-0002
Peer reviewed

Lehnert, T., Bams, D., Blanchard, G., & Honarvar, I. (December 2017). Does Oil and Gold Price Uncertainty matter for the Stock Market? Journal of Empirical Finance, 44 (-), 270-285. doi:10.1016/j.jempfin.2017.07.003
Peer Reviewed verified by ORBi

Lehnert, T., Kräussl, R., & Rinne, K. (December 2017). The Search for Yield: Implications to Alternative Investments. Journal of Empirical Finance, 44 (-), 227-236. doi:10.1016/j.jempfin.2017.11.001
Peer Reviewed verified by ORBi

Lehnert, T., & Abed Masror Khah, S. (2017). Press Freedom and Jumps in Stock Markets. Economic Systems, 41 (1), 151-162. doi:10.1016/j.ecosys.2016.05.009
Peer reviewed

Lehnert, T., & Lin, Y. (2017). Skewness Term Structure Tests. Applied Mathematical Finance, 23 (6), 484-504.
Peer Reviewed verified by ORBi

Lehnert, T., Bams, D., & Blanchard, G. (2017). Volatility Measures and Value-at-Risk. International Journal of Forecasting, 33 (4), 848-863. doi:10.1016/j.ijforecast.2017.04.004
Peer reviewed

Lehnert, T., LIN, Y., & MARTELIN, N. (2016). Stein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior? Journal of Derivatives, 23 (3), 22-35. doi:10.3905/jod.2016.23.3.022
Peer reviewed

Kräussl, R., Lehnert, T., & MARTELIN, N. (2016). Is there a Bubble in the Art Market? Journal of Empirical Finance, 35 (-), 99-109. doi:10.1016/j.jempfin.2015.10.010
Peer Reviewed verified by ORBi

Lehnert, T. (2016). Mutual Funds, Price Pressure and Index Option. Journal of Derivatives, 24 (1), 30-46. doi:10.3905/jod.2016.24.1.030
Peer reviewed

Kräussl, R., Lehnert, T., & Stefanova, D. (2016). The European Sovereign Debt Crisis: What Have We Learned? Journal of Empirical Finance, 38 (-), 363-373. doi:10.1016/j.jempfin.2016.04.005
Peer Reviewed verified by ORBi

Lehnert, T., Kräussl, R., & Senulyte, S. (2016). Euro Crash Risk. Journal of Empirical Finance, 38 (-), 417-428. doi:10.1016/j.jempfin.2016.01.007
Peer Reviewed verified by ORBi

Lehnert, T., Kräussl, R., & Senulyte, S. (2016). Euro Crash Risk. Journal of Empirical Finance, 38, 417-428. doi:10.1016/j.jempfin.2016.01.007
Peer Reviewed verified by ORBi

Bekkour, L., Jin, X., Lehnert, T., Rasmouki, F., & Wolff, C. (2015). Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency. Journal of Empirical Finance, 33, 67-83. doi:10.1016/j.jempfin.2015.06.004
Peer Reviewed verified by ORBi

Lehnert, T., Yoichi, O., & Grammatikos, T. (2015). Market Perceptions of US and European Policy Actions around the Subprime Crisis. Journal of International Financial Markets, Institutions and Money, 37, 99-113. doi:10.1016/j.intfin.2015.02.007
Peer reviewed

Lehnert, T., & Busch, T. (2014). The Impact of Policy Responses on Stock Liquidity. Applied Economics Letters, 842-845. doi:10.1080/13504851.2014.892193
Peer reviewed

Lehnert, T., & Bekkour, L. (2014). The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps. Journal of Risk Finance, 15 (5). doi:10.1108/JRF-04-2014-0044
Peer reviewed

Frijns, B., Gilbert, A., Tourani Rad, A. R., & Lehnert, T. (July 2013). Uncertainty avoidance, risk tolerance and corporate takeover decisions. Journal of Banking and Finance, 37, 2457-2471. doi:10.1016/j.jbankfin.2013.02.010
Peer Reviewed verified by ORBi

Lehnert, T., Frijns, B., & Zwinkels, R. (2011). Modeling Structural Changes in the Volatility Process. Journal of Empirical Finance. doi:10.1016/j.jempfin.2011.01.005
Peer Reviewed verified by ORBi

Lehnert, T., Andonov, A., & Bardong, F. (2010). TIPS, Inflation Expectations, and the Financial Crisis. Financial Analysts Journal, 66 (6), 27-39. doi:10.2469/faj.v66.n6.1
Peer reviewed

Lehnert, T., Frijns, B., & Zwinkels, R. (2010). Behavioral Heterogeneity in the Option Market. Journal of Economic Dynamics and Control. doi:10.1016/j.jedc.2010.05.009
Peer Reviewed verified by ORBi

Wolff, C., Bams, D., & Lehnert, T. (2009). Loss Functions in Option Valuation: A Framework for Model Selection. Management Science, 55 (5), 853-862. doi:10.1287/mnsc.1080.0976
Peer reviewed

Lehnert, T. (2009). Mandelbrot and the Smile. Kredit und Kapital.
Peer reviewed

Articles accepted in conference proceedings

Lehnert, T., & Brinckmann, M. (2012). Aspirations, ORGANIZATIONAL PERFORMANCE AND RISKY DECISIONS. In Advances in Business-Related Scientific Research.
Peer reviewed

Oral presentations in conferences with scientific selection committee

LEHNERT, T. (October 2023). Environmental Policy and Equity Prices [Paper presentation]. 64th Annual Conference - Italian Economic Association.
Peer reviewed

LEHNERT, T. (July 2023). Environmental Policy and Equity Prices [Paper presentation]. 30th Finance Forum.
Peer reviewed

Preprints

Irek, F., & Lehnert, T. (2013). Do Fund Investors Know that Risk is Sometimes not Priced? ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/9225.

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