Publications

Articles

2017

  • Volatility Measures and Value-at-Risk, in International Journal of Forecasting, forthcoming, BAMS W., BLANCHARD G., LEHNERT T.
  • Modifier Words in the Financial Press and Investor Expectations, in Journal of Economic Behavior & Organization, forthcoming, BOSMAN, R., KRÄUSSL R., MIRGORODSKAYA E. 
  • Skewness Term Structure Tests, in Applied Mathematical Finance, forthcoming, LEHNERT T., LIN Y.
  • How some bankers made a million by trading just two securities?, in Journal of Empirical Finance, forthcoming, RINNE K., SUOMINEN M.
  • Media, Sentiment and Market Performance in the Long Run, in European Journal of Finance, forthcoming, KRÄUSSL R., MIRGORODSKAYA E. 

2016

  • Impulse response dynamics in weakest link games, in German Economic Review, 17(3), Special Issue: Special Issue in Honor of Reinhard Selten's 85th Birthday, 284-297, 2016., GEORG S., NEUGEBAUER T., SADRIEH A.
  • The Effect of Housing on Portfolio Choice, in Journal of Finance, forthcoming, CHETTY R., SZEIDL A., SANDOR L.
  • Stein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?,  in Journal of Derivatives, 23(3), 22-35, LEHNERT T., LIN Y., MARTELIN N.
  • The 2011 European short sale ban: A cure or a curse?in Journal of Financial Stability, 25, 115-131, FELIX L.,  KRÄUSSL R., STORK P.
  • Mutual Funds, Price Pressure and Index Option, in Journal of Derivatives, 24(1),30-46, LEHNERT, T.
  • The Governance of Perpetual Financial Intermediaries, in Journal of Institutional and Theoretical Economics, forthcoming, PENALVA J., VAN BOMMEL J.
  • Press Freedom and Jumps in Stock Markets, in Economic Systems, forthcoming, ABED MASROR KHAH S., LEHNERT T. 
  • The fine art of financing: The J.P. Morgan Private Bank and lending against art, in Case Study Darden Business School UVA-F-1760, University of VirginiaEVANS R., KRÄUSSL R., MATOS P. SPAENJERS C. 
  • The European Sovereign Debt Crisis: What Have We Learned?, in Journal of Empirical Finance 38(A), 363-373, KRÄUSSL R., LEHNERT T., STEFANOVA D.
  • Euro Crash Riskin Journal of Empirical Finance 38(A), 417-428, KRÄUSSL R., LEHNERT T., SEGULYTE S.
  • Does it Pay to Invest in Art? A Selection-corrected Returns Perspectivein Review of Financial Studies 29(4), 1007-1038, KORTEWEG A.,  KRÄUSSL R., VERWIJMEREN P.
  • Is there a Bubble in the Art Market?in Journal of Empirical Finance 35, 99-109, KRÄUSSL R., LEHNERT T., MARTELIN N.

2015

  • Managerial Collusive Behavior under Asymmetric Incentive Schemes, in BE Journal of Theoretical Economics, 15(2), 333-350, LAMIRANDE P., GUIGOU J-D.
  • Market Sentiment in Commodity Futures Returns, in Journal of Empirical Finance, 33(C), 84-103, GAO L., SUESS S. 
  • Risk and expected returns of private equity investments: Evidence based on market prices, in Review of Financial Studies 28(12), 3269-3302, JEGADEESH N., KRÄUSSL R., POLLET J.
  • Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency, in Journal of Empirical Finance, Vol. 33, 67-83, BEKKOUR L., JIN X., LEHNERT T., RASMOUKI F. and WOLFF C.
  • Dynamic Hedging and Extreme Asset Co-Movements, in Review of Financial Studies 28(3), 743-790, ELKAMHI R., and STEFANOVA D. 
  • Market Perceptions of US and European Policy Actions around the Subprime Crisis, in Journal of International Financial Markets, Institutions & Money, Vol. 37, 99-113, LEHNERT T., OTSUBO Y. and GRAMMATIKOS T.
  • Art as an alternative asset class: Risk and return characteristics of the Middle Eastern & Northern African art markets, in Olav Velthuis and Stefano Baia Curiono (eds.): Cosmopolitan Canvases – The Globalization of Markets for Contemporary Art, chapter 7, Oxford University Press. KRÄUSSL R.
  • Art market bubbles: The mania phase in contemporary art, in C. Behnke, C. Kastelan, V. Knoll, and U. Wuggenig: Art in the Periphery of the Center, Sternberg Press, Berlin, Germany. KRÄUSSL R.
  • Excludability: A laboratory study on forced ranking in team production, in Journal of Economic Behavior & Organization 114, 13–26, CROSON R., FATAS E., NEUGEBAUER T. and MORALE

 

2014

  • Do Hedge Funds Supply or Demand Liquidity?, in Review of Finance 18, 1259-1298, JYLHÄ, P., RINNE, K., SUOMINEN, M.
  • Searching with and without recall, Theory & Decision, 77(3), in Special issue in honor of John Hey, 297-311, 2014, DI CAGNO D., NEUGEBAUER T., PALMERO C., SADRIEH K.
  • Preface, Theory & Decision, 77(3), in Special issue in honor of John Hey, 287-290, 2014, LAU M., NEUGEBAUER T., SCHMIDT U.
  • The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps, in The Journal of Risk Finance, 15: 5, 510 - 532.2014, LEHNERT T., AMADORI M.C and BEKKOUR L.
  • Has Europe been catching up? An industry level analysis of venture capital success over 1985 - 2009, in European Financial Management 20 (1), 179-205. KRÄUSSL R., KRAUSE S.
  • Washington meets Wall Street: A closer examination of the Presidential cycle puzzle, in Journal of International Money and Finance, 43, 50-69. KRÄUSSL R., LUCAS A., RIJSBERGEN D., vd SLUIS P., VRUGT E.
  • Financial Intermediation in an Overlapping Generations Model with Transaction Costs, in Journal of Economic Dynamics and Control,45, 111-125, HASMAN A., SAMARTÍN M., VAN BOMMEL J.
  • Asymmetric Contests with Risky Rents, in Qualitative and Quantitative Economics Research, April Pages 11-18, BOISSAUX M., GUIGOU J-D., LOVAT B.
  • The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks, in Journal of Futures Markets, 34, 93-101, GAO L., LIU L.

2013

  • Financial Contagion and Depositor Monitoring, in Journal of Banking and Finance, 37, 3076-3084, HASMAN A., SAMARTÍN M., VAN BOMMEL J.
  • Varying the number of bidders in the first-price sealed-bid auction: experimental evidence for the one-shot game, in Theory & Decision, 75(3), page 421-447, 2013. NEUGEBAUER T., FÜLLBRUNN S.
  • Uncertainty Avoidance, Risk Tolerance and Corporate Takeover Decisions, in Journal of Banking and Finance, Vol. 37, 7, 2457-2471, LEHNERT Th., FRIJNS B., GILBERT A., TOURANI RAD  A.
  • Limited Liability, Moral Hazard and Risk Taking - A Safety Net Game Experiment,  in Economic Inquiry, 51(2), 1389-1403, NEUGEBAUER T., FÜLLBRUNN S.
  • Splitting Leagues: Promotion and Demotion in Contribution-Based Regrouping Experiments, in Experimental Economics, Vol. 16 (3), 426-441, NEUGEBAUER T., CABRERA S., FATAS E., LACOMBA J.A.

2012

Corporate Governance and Financial Development: A Study of the French Case, in European Journal of Law and Economics, Vol. 33(2), 399-445, BLAZY R., BOUGHANMI A., DEFFAINS B., GUIGOU J.-D.

2011

  • Entreprises en difficultés: l'arbitrage des tribunaux entre maintien de l'emploi et apurement du passif, in Economie et statistique de l'INSEE, n°443,  BLAZY R., CHOPARD B., FIMAYER A., GUIGOU J.-D.
  • Measuring Price Discovery : The Variance ratio, the R2, and the Weighted Price Contribution, in Finance Research Letters, 8 (3), 112-119, VAN BOMMEL J.
  • Sudden Termination Auctions - An Experimental Study, in Journal of Economics and Management Strategy, Vol. 21(2), 519-540, FÜLLBRUNN S., SADRIEH A.
  • Collusion or Sniping in Simultaneous Ascending Auctions, in International Game Theory Review, Vol.13, 75-82, FÜLLBRUNN S.
  • Trust and Trustworthiness in Anonymous Virtual Worlds, in Journal of Media Economics, 24 (1), 48-63., FÜLLBRUNN S., RICHWIEN K., SADRIEH A
  • Modeling Structural Changes in the Volatility Process, in Journal of Empirical Finance, Vol. 18, 4, 522-532, LEHNERT T., FRIJNS B., ZWINKELS R.
  • Contagion or Interdependence: Does the speed of the transmission of shocks matter?, in Financial Contagion: The Viral Threat to the Wealth of Nations, edited by Robert W. Kolb, John Wiley & Sons, Inc., LEHNERT T., KLEIMEIER K., VERSCHOOR W.
  • Public Good and Private Good Valuation for Waiting Time Reduction: A Laboratory Study, in Social Choice and Welfare, 39(1), 35-57, NEUGEBAUER T., TRAUB S.
  • Time-Variation in Term Premia: International Survey-Based Evidence, in Journal of International Money and Finance, Vol. 30(4), 605-622, WOLFF C., JONGEN R., VERSCHOOR W.

2010

  • The Dark side of global integration: increasing tail dependence, in Journal of Banking and Finance, 34 (1), 2010, 184-192., COSMA A., BEINE M., VERMEULEN R.
  • Ownership Concentration, Family Control and Performance of Firms, in European Management Review, Vol. 7, Issue 2, 2010., HAMADI M.
  • TIPS, Inflation Expectations, and the Financial Crisis, in Financial Analysts Journal, Vol. 66, 6, 27-39., LEHNERT T., ANDONOV A., BARDONG F.
  • Behavioral Heterogeneity in the Option Market, in Journal of Economic Dynamics and Control, Vol. 34, 11, 2273-2287, LEHNERT T., FRIJNS B., ZWINKELS R.
  • Who makes the pie bigger? An Experimental Study on Cooperation, in the New Zealand Economic Papers, Vol. 45, 59-68, NEUGEBAUER T., LACOMBA J.A., LAGOS F.
  • George Luis Leclerc de Buffon's Essays on Moral Arithmetic, A. Ockenfels and K. Sadrieh (eds), The Selten School of Behavioral Economics. A Collections of Essays in Honor of Reinhard Selten, Berlin: Springer 2010., NEUGEBAUER T., HEY J.D., PASCA C.M.
  • Leverage and Risk in US Commercial Banking in the Light of the Current Financial Crisis, Central Bank of Luxembourg, Financial Stability Review 2010, April, 111-125., PAPANIKOLAOU N. I., WOLFF C. C. P.
  • Formanalyse in der Magnetresonanztomografie - Landmarken und Objektdifferenzierung bei retroperitonealen Tumoren im Kindesalter. Bulletin de la Société des Sciences Médicales du Grand-Duché de Luxembourg (2010)., SCHILTZ J., GIEBEL S., GRAF N., SCHENK J.-P.
  • Arts Therapy and Society. Science and Technology (2010), SCHILTZ J., SCHILTZ L.
  • Application du codage optimal aux valeurs delta: Une stratégie pertinente pour l'exploration du processus thérapeutique. Neuropsychiatrie de l'enfance et de l'adolescence (2010), SCHILTZ J., SCHILTZ L., BOYER L., KONZ M.
  • Applying Shape Analysis on two dimensional objects in medecine: Differentiation of tumors in early childhood. Dans Proceedings of the 20th international congress of Jangjeon Mathematical Society (2010), SCHILTZ J., GIEBEL S., SCHENK J.-P.
  • Applying Shape Analysis in medecine and engineering. Dans Proceedings of the 9eme Colloque Franco-Roumaine des Mathématiques Appliquées, Bulletin of the Transilvania University of Brasov (2010)., SCHILTZ J., GIEBEL S., SCHENK J.-P., FRECHEN F.-B., FRANKE W.

2009

  • Is telecommunications productivity characterized by steady state conditions? Some empirical evidence for 13 OECD countries, Communications & Strategies, n. 74, 2009., CURI C., MANCUSO P.
  • Un’applicazione della Data Envelopment Analysis (DEA) per la misurazione dell’efficienza degli aeroporti italiani dopo la privatizzazione del settore, L’Industria, n. 4, pp. 698-612, 2008., CURI C. GITTO S. MANCUSO P.
  • Assessing differences in energy efficiency evolution between high and middle income countries, Journal of Energy and Development, vol.32 n.2, CURI C., LIANG D., MANCUSO P.
  • An experimental analysis of optimal renewable resource management: the fishery, in Environmental and Resource Economics, NEUGEBAUER T., HEY J., SADRIEH A. 
  • Selfish-biased conditional cooperation: On the decline of contributions in repeated public goods experiments, in Journal of Economic Psychology, 30, 52-60, NEUGEBAUER T., PEROTE J., SCHMIDT U., LOOS M.
  • Anonymity deters collusion in hard-close auctions: Experimental Evidence, in New Zealand Review of Economics, 43(2), 131-148, NEUGEBAUER T., FÜLLBRUNN S. 
  • Determinants of bank efficiency: Evidence from semi-parametric mathodology, Managerial Finance 35 (3), 260-275.,PAPANIKOLAOU N., DELIS M.
  • How output diversification affects bank efficiency and risk: an intra-EU comparison study. In: Balling, M., Gnan, E., Lierman, F. and Schoder, J.P. (Eds.), Productivity in the Financial Services Sector. Banque Centrale du Luxembourg/SUERF Studies 4. Editions Larcier, Brussels, Chapter 12., PAPANIKOLAOU N
  • Applying Shape Analysis on two dimentional Objects in Medecine: Differentiation of Tumours in early Childhood. Dans Proceedings of the 20th International Congress of Jangjan Mathematical Society (2009)., GIEBEL S., SCHENK J.-P., SCHILTZ J.
  • Applying Shape Analysis in Medecine and Engineering. Dans Proceedings of the 9eme Colloque Franco-Roumaine des Mathématiques Appliquées (2009)., GIEBEL S., SCHILTZ J., SCHENK J.-P., FRECHEN F.-B., FRANKE W.
  • Beating the Market with Buybacks, Chapter 17 in "Dividends and Dividend Policy" edited by H. Kent Baker, Kolb Series in Finance, 2009., VERMAELEN T., WOLFF C.
  • Loss Functions in Option Valuation: A Framework for Model Selection, in Management Science, Vol. 55, 5, 853-862, 2009., WOLFF C., BAMS D., LEHNERT T. (2009)

2008

  • Un'applicazione della Data Envelopment Analysis (DEA) per la misurazione dell'efficienza degli aeroporti italiani dopo la privatizzazione del settore, in L'industria, pp. 689-712, 2008., CURI C., GITTO S., MANCUSO P.
  • Bankruptcy Law: a Mechanism of Governance for Financially Distressed Firms, in European Journal of Law and Economics, vol.25(3), 253-267, BLAZY R., CHOPARD B., FIMAYER A.
  • Preference Elicitation in Chicken: An Experimental Study, in Journal of Economic Behavior & Organization, 66, 243-250, NEUGEBAUER T., POULSEN A., SCHRAM A.
  • Bidding ‘as if’ Risk Neutral in First Price Auction Experiment Without Feedback Information, in Experimental Economics, 11(2), 190-202, NEUGEBAUER T., PEROTE J.
  • Individual Choice from a Convex Lottery Set: Experimental Evidence. In: Mohammed Abdellaboui and John D Hey (eds), Advances in Decision Making under Risk and Uncertainty, Theory and Decision Library C. Berlin: Springer, 121-135, NEUGEBAUER T.
  • Exploring the nexus between banking sector reform and performance: evidence from newly acceded EU countries, in Journal of Banking and Finance, 32(12), 2674-2683., PAPANIKOLAOU N, BRISSIMIS S., DELIS M.
  • Common agency games with separable preferences, in Mathematical Social Sciences, vol. 56(1), 75-95, ATTAR A., MAJUMDAR D., PIASER G., PORTEIRO N.
  • Developing and Evaluating a Computerized Adaptive Mathematical Test. Dans : M. Stemmler, E. Lautsch, D. Martinke (Eds.), Configural Frequency Analysis (CFA) and other non-parametrical methods: Gustav A. Lienert Memorial Issue. p. 54-69 Pabst: Lengerich.,SCHILTZ J.
  • Analysing the relationship between Biographical Events and the Current Structural Functioning of Personality (en collaboration avec L. Schiltz (CRP-Santé). Bulletin de la Société des Sciences Médicales du Grand-Duché de Luxembourg 1/08 (2008) 175-188., SCHILTZ J.
  • Foreign Exchange Rate Expectations: Survey and Synthesis, in Journal of Economic Surveys, 22, 140-165, WOLFF C., JONGEN R., VERSCHOOR W.
  • Extreme U.S. Stock Market Fluctuations in the Wake of 9/11, in Journal of Applied Econometrics, 23, 17-42, WOLFF C., STRAETMANS S., VERSCHOOR W.

2007

  • A note on Common Agency models of moral hazard, in Economics Letters, Vol. 95(2), 278-284, ATTAR A., PIASER G., PORTEIRO N.
  • Negotiation and Take-It or Leave-It in Common Agency with Noncontractible Actions, in Journal of Economic Theory, vol. 135,(1), 590-593, ATTAR A., PIASER G., PORTEIRO N.
  • Measuring International Skilled Migration: A New Database Controlling for Age of Entry, in the World Bank Economic Review, 21, 249-254, BEINE M., DOCQUIER F., RAPOPORT H.
  • Do Central Bank Interventions increase exchange rate forecasts heterogeneity? New evidence from survey data, in the Journal of the Japanese and International Economies, 21(1), 38-65, BEINE M., BENASSY A., Mc DONALD R.
  • The Impact of Central Bank FX Interventions on Currency Components, in the Journal of Financial Econometrics, 5, 154-183., BEINE M., BOSCH., LAURENT S.
  • Economic Integration and the Diversification of Regional Exports: Evidence from the Canadian-U.S. Free Trade Agreement, in Journal of Economic Geography, 7, 93-111., BEINE M., COULOMBE S.
  • Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components, in International Journal of Finance and Economics, 12(2), 201-223., BEINE M., LAHAYE J., NEELY C.J., PALM F., LAURENT S.
  • Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations, Bernoulli 13 (2), 301-329, 2007., COSMA A., SCAILLET O., VON SACHS R.
  • Vaccination versus ‘‘wait and treat’’: How to subsidize them?, in European Journal of Health Economics, January 13 2007., EECKHOUDT L., MARCHAND M., PESTIEAU P., PIASER G.
  • Dominating Funds of Funds with Simple Hedge Fund Strategies, in Journal of Derivatives and Hedge Funds, Vol. 13, n° 2, 88-106., GREGORIOU G., HÜBNER G., PAPAGEORGIOU N. and ROUAH F.
  • Droit, architecture financière et stratégies des banques, Revue de l’OFCE, Avril 2007., GUIGOU J-D., CHOPARD B., DEFFAINS B.
  • When redistribution leads to regressive taxation, in Journal of Public Economic Theory, vol. 9(4), 589-606, 2007., HARITON C., PIASER G.
  • PAYG pension systems with capital mobility, in International Tax and Public Finance, 13, N°5, 587-599, 2007., PESTIEAU P., PIASER G., SATO M.
  • Labor Mobility and Income Tax Competition, in International Taxation Handbook, Gregoriou, GN (Editor); Read C. (Editor), p. 73-94., PIASER G.
  • How Do Performances Measures Perform?, in Journal of Portfolio Management, Vol. 33, n°4, 64-74., HÜBNER G.
  • New trading risk indexes: application of the Shapley value in finance, in Economics Bulletin, n°25 vol 3, 1-7, MUSSARD S., TERRAZA V.
  • How Politicians Make Decisions: A Political Choice Experiment, in Journal of Economics 92(2) 167-196, FATÁS E., NEUGEBAUER T., TAMBORERO P.
  • Bioeconomics of Sustainable Harvest of Competing Species: A Comment, Marine Resource Economics 22 (1), , NEUGEBAUER T., CASINO B.
  • An Experimental Investigation of the Role of Errors for Explaining Violations of Expected Utility, in Economic Journal 117: 470-485, SCHMIDT U., NEUGEBAUER T.
  • Bidding At Sequential First Price Auctions With(Out) Supply Uncertainty: An Experimental Analysis, Journal of Economic Behavior & Organization 63: 55–72, 2007., NEUGEBAUER T., PEZANIS-CHRISTOU P.

2006

  • Revue d’Economie Politique. « Le rôle des garanties dans les prêts des banques françaises ». With Laurent Weill, 2006., BLAZY R.
  • Applied Economics Letter. “The shapley decomposition for portfolio risk, with S.Mussard, 2006.,TERRAZA V.
  • Timing inconsistencies in the calculation of Funds of funds Net Asset Value, with L. Neuberg Fortis investments Luxembourg and C. Louargant, university of Metz), Fundexpert, ed. Fortis bank, 2006., TERRAZA V.

2005

  • International Review of Law and Economics (24/4 pp. 447-471): “Ex Post Efficiency of Bankruptcy Procedures: a General Normative Framework”. With Bertrand Chopard, 2005., BLAZY R.
  • L’impact économique des intérêts notionnels. Première partie : Références à la théorie financière classique, Revue Bancaire et Financière, Bruxelles, décembre 2005, pp. 499-507., COLMANT B. and G. HÜBNER
  • Parametric and Non-Parametric Measures of Volatility: Risk Estimation via the Gini decomposition and comparison with the Value-at-Risk, with S. Mussard, Frontiers in Finance and Economics, vol 1 n° 2, 2005., TERRAZA V.

Books

2008    

  • Exchange Rates and Macroeconomics Dynamics, 2008, ed. Palgrave., TERRAZA V., KARADELOGLOU P.

2007  

  • Cross representations of Law and Economics in Corporate Governance, in Representations of Justice, eds. Masson & O'Connor, Peter Lang., BOYER T.
  • Labor mobility and income tax competition, In International Taxation Handbook, Gregoriou, G.N. and C. Read (eds.), Elsevier, April., PIASER G.
  • Research project - directed by Professor Paul Beaulieu (Professor of Strategic Management at the University of Quebec at Montréal) – will lead to the publication of a book titled Emergence and Challenges of Financial Art Markets (co-author: Adriano Picinati di Torcello, LSF Student 2004-2005). Edited by Palgrave MacMillan (London), July 2007

2006

  • Multiple Lending and Constrained Efficiently in the Credit Market, Contributions to Theoretical Economics, 6 (2006), n°1., PIASER G., ATTAR A., CAMPIOSI E.

2005    

  • French translation and adaptation of ROSS S., R. WESTERFIELD et J. JAFFE, Corporate Finance, Dunod, Paris, 2005.,  HÜBNER G., F. DUCOULOMBIER, P.-A. MICHEL, H. PIROTTE, and G.SCHIER
  • Stochastic and deterministic menus in common ageny games, Economics Bulletin, 4, n°11, pp1-6, 2005., PIASER G.