Narrow search
Showing 1 - 10 of 99
Cover Image
On the determinants of portfolio choice
Frijns, Bart; Koellen, Esther; Lehnert, Thorsten - In: Journal of economic behavior & organization : JEBO 66 (2008) 2, pp. 373-386
Persistent link: https://www.econbiz.de/10003717461
Cover Image
Behavioral heterogeneity in the option market
Frijns, Bart; Lehnert, Thorsten; Zwinkels, Remco C. J. - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2273-2287
Persistent link: https://www.econbiz.de/10009008886
Cover Image
Modeling structural changes in the volatility process
Frijns, Bart; Lehnert, Thorsten; Zwinkels, Remco C. J. - In: Journal of empirical finance 18 (2011) 3, pp. 522-532
Persistent link: https://www.econbiz.de/10009302073
Cover Image
Uncertainty avoidance, risk tolerance and corporate takeover decisions
Frijns, Bart; Gilbert, Aaron; Lehnert, Thorsten; … - In: Journal of banking & finance 37 (2013) 7, pp. 2457-2471
Persistent link: https://www.econbiz.de/10009760622
Cover Image
Big moves of mutual funds
Lehnert, Thorsten - In: Eurasian economic review : a journal in applied … 9 (2019) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011994950
Cover Image
Mutual funds, price pressure, and index options
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 30-46
Persistent link: https://www.econbiz.de/10011687327
Cover Image
Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
Cover Image
Betting against noisy beta
Lehnert, Thorsten - In: The Journal of finance and data science : JFDS 8 (2022), pp. 55-68
Strategies that overweight low beta stocks and underweight high beta stocks earn positive alphas. Price noise is known to affect high beta stocks, hence, noise trading can be expected to significantly affect the performance of these strategies. I study the impact of flows between bond and equity...
Persistent link: https://www.econbiz.de/10014433683
Cover Image
Is risk-neutral skewness an indicator of downside risk? : evidence from tail risk taking of hedge funds
Lehnert, Thorsten - In: The journal of derivatives : JOD 29 (2022) 3, pp. 65-84
Persistent link: https://www.econbiz.de/10013174822
Cover Image
Flight-to-safety and retail investor behavior
Lehnert, Thorsten - In: International review of financial analysis 81 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013411197