Thorsten LEHNERT

Thorsten LEHNERT

Full professor of Finance

Sujets de recherche Investments, Derivatives, Credit Risk, Market Volatility, Investor Psychology
Faculté ou Centre Faculty of Law, Economics and Finance
Unité de recherche Luxembourg School of Finance (LSF)
Adresse postale Campus Kirchberg, Université du Luxembourg
6, rue Richard Coudenhove-Kalergi
L-1359 Luxembourg
Bureau sur le campus F 210
E-mail
Téléphone (+352) 46 66 44 6941



Last updated on: 13 sept 2018

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Ouvrages collectifs publiés en tant qu'éditeur scientifique ou directeur

See detailAlternative Investments, Special Issue of the Journal of Empirical Finance
Lehnert, Thorsten; Kräussl, Roman

Book published by Elsevier (2017)

See detailEuropean Sovereign Debt Crisis, Special Issue of the Journal of Empirical Finance
Lehnert, Thorsten; Kräussl, Roman

Book published by Elsevier (2016)

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Articles publiés dans des périodiques scientifiques

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See detailModel Uncertainty and Pricing Performance in Option Valuation
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten

in The Journal of Derivatives (in press)

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

in Decisions in Economics and Finance (in press)

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See detailSkewness Risk Premium: Theory and Empirical Evidence
Lin, Yuehao; Lehnert, Thorsten; Wolff, Christian

in International Review of Financial Analysis (2019), 63

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See detailAsset Pricing Implications of Good Governance
Lehnert, Thorsten

in PLoS ONE (2019), 14 (4)(e0214930), 1-14

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See detailBig Moves of Mutual Funds
Lehnert, Thorsten

in Eurasian Economic Review (2019), 9(1), 1-27

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See detailLarge portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Lehnert, Thorsten; Jin, Xisong

in Dependence Modeling (2018), 6(1), 19-46

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten; Bams, D.; Blanchard, G.; Honarvar, I.

in Journal of Empirical Finance (2017), 44(-), 270-285

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See detailThe Search for Yield: Implications to Alternative Investments
Lehnert, Thorsten; Kräussl, Roman; Rinne, Kalle

in Journal of Empirical Finance (2017), 44(-), 227-236

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See detailPress Freedom and Jumps in Stock Markets
Lehnert, Thorsten; Abed Masror Khah, Sara

in Economic Systems (2017), 41(1), 151-162

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See detailVolatility Measures and Value-at-Risk
Lehnert, Thorsten; Bams, D.; Blanchard, G.

in International Journal of Forecasting (2017), 33(4), 848-863

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See detailSkewness Term Structure Tests
Lehnert, Thorsten; Lin, Y.

in Applied Mathematical Finance (2017), 23(6), 484-504

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

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

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

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

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

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

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

in Journal of Empirical Finance (2016), 38

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See detailEuro Crash Risk
Lehnert, Thorsten; Kräussl, Roman; 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; LIN, Y.; MARTELIN, N.

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

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See detailEuro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency
Bekkour, Lamia; Jin, Xisong; Lehnert, Thorsten; Rasmouki, Fanou; Wolff, Christian

in Journal of Empirical Finance (2015), 33

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

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

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Lehnert, Thorsten; Bekkour, Lamia

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

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See detailThe Impact of Policy Responses on Stock Liquidity
Lehnert, Thorsten; Busch, Thomas

in Applied Economics Letters (2014)

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See detailUncertainty avoidance, risk tolerance and corporate takeover decisions
Frijns, Bart; Gilbert, Aaron; Tourani Rad, Ali Reza; Lehnert, Thorsten

in Journal of Banking and Finance (2013), 37

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See detailModeling Structural Changes in the Volatility Process
Lehnert, Thorsten; Frijns, Bart; Zwinkels, R.

in Journal of Empirical Finance (2011)

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See detailTIPS, Inflation Expectations, and the Financial Crisis
Lehnert, Thorsten; Andonov, A.; Bardong, F.

in Financial Analysts Journal (2010), 66(6), 27-39

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See detailBehavioral Heterogeneity in the Option Market
Lehnert, Thorsten; Frijns, Bart; Zwinkels, R.

in Journal of Economic Dynamics & Control (2010)

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See detailMandelbrot and the Smile
Lehnert, Thorsten

in Kredit und Kapital (2009)

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See detailLoss Functions in Option Valuation: A Framework for Model Selection
Wolff, Christian; Bams, D.; Lehnert, Thorsten

in Management Science (2009), 55(5), 853-862

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Contributions à des ouvrages collectifs

See detailContagion or Interdependence: Does the speed of the transmission of shocks matter?
Lehnert, Thorsten; Verschoor, Willem; Kleimeier, Stefanie

in Financial Contagion: The Viral Threat to the Wealth of Nations (2011)

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Colloques et congrès scientifiques – Communication publiée dans un ouvrage

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See detailAspirations, ORGANIZATIONAL PERFORMANCE AND RISKY DECISIONS
Lehnert, Thorsten; Brinckmann, Martin

in Advances in Business-Related Scientific Research (2012)

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E-Prints/Working papers – diffusé en premier sur ORBilu

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See detailPrice Pressure and the Market Skewness Risk Premium
Lehnert, Thorsten

E-print/Working paper (2019)

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See detailWHY IS THE MARKET SKEWNESS-RETURN RELATIONSHIP NEGATIVE?
Lehnert, Thorsten

E-print/Working paper (2019)

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See detailCorporate Governance and Skewness in Stock Returns
Berglund, Tom; Lehnert, Thorsten; Rolle, Gudrun

E-print/Working paper (2019)

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See detailFear and Euphoria
Lehnert, Thorsten

E-print/Working paper (2019)

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See detailData Filtering Rules in Option Valuation
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten

E-print/Working paper (2018)

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See detailModel Uncertainty and Pricing Performance in Option Valuation
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten

E-print/Working paper (2018)

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See detailMarket Skewness Risk, Risk Aversion and the Cross-Section of Stock Returns
Bams, Dennis; Honarvar, Iman; Lehnert, Thorsten

E-print/Working paper (2018)

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See detailIslamic Banking and Economic Growth: New Evidence
Kchouri, Bilal; Lehnert, Thorsten

E-print/Working paper (2018)

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See detailAsset Pricing Implications of Good Governance
Lehnert, Thorsten

E-print/Working paper (2018)

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See detailBig Moves of Mutual Funds
Lehnert, Thorsten

E-print/Working paper (2018)

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See detailStein's Overreaction Puzzle: A Note
Lin, Yuehao; Lehnert, Thorsten

E-print/Working paper (2017)

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

E-print/Working paper (2016)

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

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; Bams, Dennis; Blanchard, Gildas; Honavar, Iman

E-print/Working paper (2015)

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

E-print/Working paper (2015)

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

E-print/Working paper (2015)

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

E-print/Working paper (2015)

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See detailCDS Contracts versus Put Options: A robust relationship?
Bekkour, Lamia; Lehnert, Thorsten; Desimone, Francisco Nadal; Rasmouki, Fanou

E-print/Working paper (2014)

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See detailIs there a Bubble in the Art Market?
Kräussl, Roman; Lehnert, Thorsten; Martelin, Nicolas

E-print/Working paper (2014)

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See detailEvaluating Option Pricing Model Performance Using Model Uncertainty
Lehnert, Thorsten; Blanchard, Gildas; Bams, Dennis

E-print/Working paper (2014)

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See detailSkewness Term Structure Tests
Lehnert, Thorsten; Lin, Yuehao

E-print/Working paper (2014)

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See detailSkewness Risk Premium: Theory and Empirical Evidence
Wolff, Christian; Lehnert, Thorsten; Lin, Yuehao

E-print/Working paper (2014)

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See detailTimeliness in Selected Structural Credit Risk Models
Jin, Xisong; Lehnert, Thorsten; Nadal de Simone, Francisco

E-print/Working paper (2013)

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See detailEstimation Risk in Option Pricing
Lehnert, Thorsten; Bams, Dennis; Blanchard, Gildas

E-print/Working paper (2013)

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See detailThe Impact of Policy Interventions on Stock Liquidity
Lehnert, Thorsten; Busch, Thomas

E-print/Working paper (2013)

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See detailStein’s Overeaction Puzzle: Option Anomaly or Perfectly Rational Behavior
Lehnert, Thorsten; Martelin, Nicolas; Lin, Yuehao

E-print/Working paper (2013)

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See detailSkewness Risk Premium: Theory and Empirical Evidence
Lehnert, Thorsten; Wolff, Christian; Lin, Yuehao

E-print/Working paper (2013)

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See detailEuro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency
Bekkour, Lamia; Jin, Xisong; Lehnert, Thorsten; Rasmouki, Fanou; Wolff, Christian

E-print/Working paper (2012)

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

E-print/Working paper (2012)

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See detailNoise Trading and the Cross-Section of Index Option Prices
IREK, Fabian; Frijns, Bart; Lehnert, Thorsten; Martelin, Nicolas

E-print/Working paper (2012)

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See detailSentiment Trades and Option Prices
Lehnert, Thorsten; Frijns, Bart; Zwinkels, Remco

E-print/Working paper (2012)

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See detailDoes the GARCH Structural Credit Risk Model Make a Difference?
Jin, Xisong; Lehnert, Thorsten

E-print/Working paper (2011)

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia; Lehnert, Thorsten; Amadori, Maria Chiara

E-print/Working paper (2011)

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See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia; Lehnert, Thorsten; Chiara Amadori, Maria

E-print/Working paper (2011)

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See detailLarge Portfolio Risk Management and Optimal Portfolio Allocation with Dynamic Copulas
Jin, Xisong; Lehnert, Thorsten

E-print/Working paper (2011)

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See detailCultural Values, CEO Risk Aversion and Corporate Takeovers
Lehnert, Thorsten; Frijns, Bart; Gilbert, Aaron; Tourani-Rad, Alireza

E-print/Working paper (2011)

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See detailModeling structural changes in the volatility process
Lehnert, Thorsten; Frijns, Bart; C.J. Zwinkels, Remco

E-print/Working paper (2010)

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See detailBehavioral Heterogeneity in the Option Market
Lehnert, Thorsten; Frijns, Bart; Zwinkels, Remco

E-print/Working paper (2009)

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See detailA Cumulative Prospect Theory Approach to Option Pricing
Lehnert, Thorsten; Wolff, Christian; Versluis, Cokki

E-print/Working paper (2009)

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See detailLoss Functions in Option Valuation: A Framework for Selection
Lehnert, Thorsten; Wolff, Christian; Bams, Dennis

E-print/Working paper (2008)

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E-Prints/Working papers – diffusé en premier sur un site externe

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See detailDo Fund Investors Know that Risk is Sometimes not Priced?
IREK, Fabian; Lehnert, Thorsten

E-print/Working paper (2013)

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Colloques et congrès scientifiques – Communication orale non publiée

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See detailTHE MARKET SKEWNESS-RETURN RELATIONSHIP, Plenary Talk
Lehnert, Thorsten

Scientific Conference (2019, September 25)

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See detailFear and Euphoria
Lehnert, Thorsten

Scientific Conference (2019, August 28)

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See detailWHY IS THE MARKET SKEWNESS-RETURN RELATIONSHIP NEGATIVE?
Lehnert, Thorsten

Scientific Conference (2019, July 09)

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See detailWHY IS THE MARKET SKEWNESS-RETURN RELATIONSHIP NEGATIVE?
Lehnert, Thorsten

Scientific Conference (2019, May 30)

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See detailEnergy Systemic Risk
Decet, Romain; Lehnert, Thorsten

Scientific Conference (2019, April 06)

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See detailIslamic Finance and Economic Growth: New Evidence
Lehnert, Thorsten

Scientific Conference (2019, January 24)

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See detailThe Impact of Feedback Trading on Option Prices
Lehnert, Thorsten

Scientific Conference (2018, September 20)

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See detailEBC network
Lehnert, Thorsten

Scientific Conference (2018, June 12)

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See detailGovernance and Price Jumps
Lehnert, Thorsten

Scientific Conference (2018, June 07)

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See detailThe Impact of Feedback Trading on Option Prices
Lehnert, Thorsten

Scientific Conference (2018, April 05)

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See detailBig Moves of Mutual Funds
Lehnert, Thorsten

Scientific Conference (2017, September 28)

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See detailRisk Aversion, Sentiment and the Cross-Section of Stock Returns
Lehnert, Thorsten

Scientific Conference (2017, August 23)

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See detailGovernance and Price Jumps
Lehnert, Thorsten

Scientific Conference (2017, May 18)

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See detailDiscussion of "Option listing and information asymmetry"
Lehnert, Thorsten

Scientific Conference (2017, February 03)

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See detailFeedback trading and index option prices
Lehnert, Thorsten

Scientific Conference (2016, December 10)

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See detailMUTUAL FUNDS, PRICE PRESSURE AND INDEX OPTIONS
Lehnert, Thorsten

Scientific Conference (2016, December 01)

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten

Scientific Conference (2016, October 21)

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See detailMUTUAL FUNDS, PRICE PRESSURE AND INDEX OPTIONS
Lehnert, Thorsten

Scientific Conference (2016, July 12)

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See detailAlternatives Investments Conference Monaco, Conference Organizer
Lehnert, Thorsten; Kräussl, Roman

Scientific Conference (2016, June 02)

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten

Scientific Conference (2016, February 04)

See detailCorporate Governance and Idiosyncratic Skewness
Lehnert, Thorsten

Scientific Conference (2015)

See detailEuro Stability
Lehnert, Thorsten

Scientific Conference (2015)

See detailPress Freedom and Jumps in Stock Markets
Lehnert, Thorsten

Scientific Conference (2015)

See detailTimeliness in Selected Structural Credit Risk Model
Lehnert, Thorsten

Scientific Conference (2015)

See detailTowards Disentangling Sentiment from Risk Premia
Lehnert, Thorsten

Scientific Conference (2015)

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See detailEuropean Sovereign Debt Crisis Conference, Conference Organizer
Lehnert, Thorsten; Kräussl, Roman

Scientific Conference (2015)

See detailMarket Perceptions of US and European policy actions around the subprime crisis
Lehnert, Thorsten

Scientific Conference (2013, December)

See detailConference Organization
Lehnert, Thorsten

Scientific Conference (2013, June)

See detailNoise Trading and Option Prices
Lehnert, Thorsten

Scientific Conference (2013, May)

See detailConference Organization
Lehnert, Thorsten

Scientific Conference (2013, April)

See detailSentiment Trades and Option Prices
Lehnert, Thorsten

Scientific Conference (2013, January)

See detailDo Fund Investors Know that Risk is Sometimes Not Priced
Lehnert, Thorsten

Scientific Conference (2012)

See detailNoise Trading and the cross-section of index option prices
Lehnert, Thorsten

Scientific Conference (2012)

See detailThe Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia; MARIA CHIARA, AMADORI; Lehnert, Thorsten

Scientific Conference (2011)

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Présentations scientifiques dans des Universités ou centres de recherche

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See detailRisk Aversion, Sentiment and the Cross-Section of Stock Returns
Lehnert, Thorsten

Presentation (2017, November 29)

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See detailRisk Aversion, Sentiment and the Cross-Section of Stock Returns
Lehnert, Thorsten

Presentation (2017, November 14)

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See detailRisk Aversion, Sentiment and the Cross-Section of Stock Returns
Lehnert, Thorsten

Presentation (2017, October 13)

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten

Presentation (2017, January 26)

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten

Presentation (2016, November 25)

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See detailDoes Oil and Gold Price Uncertainty matter for the Stock Market?
Lehnert, Thorsten

Presentation (2016, February 24)

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Articles grand public

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See detailGeschäftsklimaindices und Aktienmärkte
Lehnert, Thorsten; Kerschen, Nicolas

Article for general public (2012)

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Conférences donnée hors contexte académique

See detailInvestment Fund Research - Made in Luxembourg
Lehnert, Thorsten

Conference given outside the academic context (2013)

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Allocutions et communications diverses – Autres

See detailArt World Prepares for a Challenging Year
Lehnert, Thorsten; Kräussl, Roman

in The New York Times (2016)

See detailA Widespread Chill in Art Sales
Lehnert, Thorsten; Kräussl, Roman

in The Wall Street Journal (2016)

See detailLes Ventes d'Art coincées dans leur Bulle
Lehnert, Thorsten; Kräussl, Roman

in Le Figaro (2016)

See detailArt Bubble Brewing?
Lehnert, Thorsten; Kräussl, Roman

in CNBC (2016)

See detailAcademics say the art market bubble is about to burst
Lehnert, Thorsten; Kräussl, Roman

in Artnet News (2016)

See detailArt market in 'mania phase' and risks bursting of the bubble, report says
Lehnert, Thorsten; Kräussl, Roman

in The Guardian (2016)

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