Publications

Please find here our forthcoming publications, and the available ORBilu publications.

2018

  • Single stock call options as lottery tickets: overpricing and investor sentiment in Journal of Behavioral Finance, forthcoming, FELIX L., KRÄUSSL R., STORK P.

 

2017 

  • Heterogeneity of Beliefs and Trade in Experimental Asset Markets,in Journal of Financial and Quantitative Analysis, forthcoming, CARLE T., LAHAV Y., NEUGEBAUER T., NOUSSAIR C.
  • Does Oil and Gold Price Uncertainty Matter for the Stock Market?, in Journal of Empirical Finance, forthcoming. BAMS D., BLANCHARD G., HONARVAR I., LEHNERT T. 
  • The Evolving Beta-Liquidity Relationship of Hedge Fundsin Journal of Empirical Finance, forthcoming, SIEGMANN A., STEFANOVA D.
  • 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.
  • Media, Sentiment and Market Performance in the Long Run, in European Journal of Finance, forthcoming, KRÄUSSL R., MIRGORODSKAYA E.

In press

Rinne, K., & Suominen, M. (in press). How some bankers made a million by trading just two securities? Journal of Empirical Finance.

2019

Kräussl, R., Luiz, F., & P, S. (2019, January 22). Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment. Journal of Behavioral Finance.
Montone, M., & Zwinkels, R. (2019). Investor Sentiment and Employment. Journal of Financial and Quantitative Analysis.
Wolff, C., Abed Masror Khah, S., & Vermaelen, T. (2019). The Determinants of CoCo Bond Prices. Journal of Derivatives.

2018

Wolff, C. (2018, December). Are retail investors noise traders? VoxEU.
Lehnert, T., & Jin, X. (2018). Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas. Dependence Modeling, 6(1), 19-46.

2017

Lehnert, T., Bams, D., Blanchard, G., & Honarvar, I. (2017). Does Oil and Gold Price Uncertainty matter for the Stock Market? Journal of Empirical Finance, 44(-), 270-285.
Lehnert, T., Kräussl, R., & Rinne, K. (2017). The Search for Yield: Implications to Alternative Investments. Journal of Empirical Finance, 44(-), 227-236.
Wolff, C., & Ekkayokkaya, M. (2017). Cross-border mergers and acquisitions: Evidence from the Indochina region. Finance Research Letters, 23, 253-256.
Guigou, J.-D., Lovat, B., & Treich, N. (2017). Risky rents. Economic Theory Bulletin, 5(2), 151-164.
Chetty, R., Szeidl, A., & Sandor, L. (2017). The Effect of Housing on Portfolio Choice. Journal of Finance, 72(3), 1171–1212.
Kräussl, R., Bosman, R., & Mirgorodskaya, E. (2017). Investor beliefs and relative content in the news media. Journal of Economic Behavior & Organization, 138, 85-98.
Kräussl, R., & Mirgorodskaya, E. (2017). Media, sentiment and market performance in the long run. European Journal of Finance, 23(11), 1059-1082.
Lehnert, T., & Abed Masror Khah, S. (2017). Press Freedom and Jumps in Stock Markets. Economic Systems, 41(1), 151-162.
Lehnert, T., Bams, D., & Blanchard, G. (2017). Volatility Measures and Value-at-Risk. International Journal of Forecasting, 33(4), 848-863.
Lehnert, T., & Lin, Y. (2017). Skewness Term Structure Tests. Applied Mathematical Finance, 23(6), 484-504.
Stefanova, D., & Siegmann, A. (2017). The evolving beta-liquidity relationship of hedge funds. Journal of Empirical Finance, 44, 286-303.

2016

Kräussl, R., Lehnert, T., & MARTELIN, N. (2016). Is there a Bubble in the Art Market? Journal of Empirical Finance, 35(-), 99-109.
Kräussl, R., Lehnert, T., & Stefanova, D. (2016). The European Sovereign Debt Crisis: What Have We Learned? Journal of Empirical Finance, 38(-), 363-373.
Kräussl, R., Verwijmeren, P., & Korteweg, A. (2016). Does it pay to invest in art? A selection-corrected returns perspective. Review of Financial Studies, 29(4), 1007-1038.
Lehnert, T. (2016). Mutual Funds, Price Pressure and Index Option. Journal of Derivatives, 24(1), 30-46.
Lehnert, T., Kräussl, R., & Senulyte, S. (2016). Euro Crash Risk. Journal of Empirical Finance, 38, 417-428.
Lehnert, T., Kräussl, R., & Senulyte, S. (2016). Euro Crash Risk. Journal of Empirical Finance, 38(-), 417-428.
Lehnert, T., LIN, Y., & MARTELIN, N. (2016). Stein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior? Journal of Derivatives, 23(3), 22-35.
Mehra, R. (2016). Evaluating Macroeconomic Interventions. Robert Litterman. Wiley & Sons.
Mehra, R., & Sinha, A. (2016). The Term Structure of Interest Rates in India. Monetary Policy in India: A Modern Macroeconomic Perspective.
Neugebauer, T., GEORG, S., & SADRIEH, A. (2016). Impulse response dynamics in weakest link games. German Economic Review, 17(3), 284-297.
Schiltz, J., & Schiltz, L. (2016). Borderline functioning and life trauma: a structural approach. Archives of Psychiatry and Psychotherapy, 2(2016), 12-21.
Van Bommel, J., & PENALVA, J. (2016). The Governance of Perpetual Financial Intermediaries. Journal of Institutional and Theoretical Economics = Zeitschrift für die Gesamte Staatswissenschaft.
Wolff, C., & Pisa, M. (2016). Ripples of risk. VoxEU.org.

2015

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.
Gao, L., & Süss, S. (2015). Market Sentiment in Commodity Futures Returns. Journal of Empirical Finance.
Guigou, J.-D., & de Lamirande, P. (2015). Managerial Collusive Behavior under Asymmetric Incentive Schemes. B.E. Journal of Theoretical Economics, 15(2), 333–350.
Hazenberg, J., & Terink, E. (2015). Effectiveness of independent boards of UCITS funds. European Journal of Finance.
Kräussl, R., Jegadeesh, N., & Pollet, J. M. (2015). Risk and expected returns of private equity investments: Evidence based on market prices. Review of Financial Studies, 28(12), 3269-3302.
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 & Money, 37, 99-113.
Neugebauer, T., Croson, R., Fatas, E., & Morales, A. (2015). Excludability: A laboratory study on forced ranking in team production. Journal of Economic Behavior & Organization, 114, 13-26.
Stefanova, D., & Elkamhi, R. (2015). Dynamic Hedging and Extreme Asset Co-movements. Review of Financial Studies, 28(3), 743-790.
Suominen, M., & Kokkonen, J. (2015). Hedge Funds and Stock Market Efficiency. Management Science.
Von Lilienfeld-Toal, U., & Mookherjee, D. (2015). A General Equilibrium Analysis of Personal Bankruptcy Law. Economica. doi: 10.1111/ecca.12167.
Wolff, C. (2015). Basel regulation: friend or foe of small business lending. VoxEU.org.

2014

Jin, X., & Nadal de Simone, F. (2014). A Framework for Tracking Changes in the Intensity of Investment Funds’ Systemic Risk. Journal of Empirical Finance, 29, 343–368.
Rose, A. (2014). The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange. Journal of Empirical Finance, 28, 171–184.
Jin, X., Christoffersen, P., Errunza, V., & Jacobs, K. (2014). Correlation Dynamics and International Diversification Benefits. International Journal of Forecasting, 30(3), 807–824.
Jylhä, P., Rinne, K., & Suominen, M. (2014). Do Hedge Funds Supply or Demand Liquidity? Review of Finance, 18(4), 1259-1298.
Von Lilienfeld-Toal, U., & Ruenzi, S. (2014, June). CEO Ownership, Stock Market Performance, and Managerial Discretion. Journal of Finance.
Vermaelen, T., & Moqi, X. (2014). Acquisition Finance and Market Timing. Journal of Corporate Finance, 25, 73-91.
Otsubo, Y., & Mizrach, B. (2014). The Market Microstructure of the European Climate Exchange. Journal of Banking and Finance, 39, 107-116.
Jin, X., & Nadal De Simone, F. (2014, January 16). Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach. Journal of Financial Stability.
Otsubo, Y. (2014). International Cross-listing and Price Discovery under Trading Concentration in the Domestic Market: Evidence from Japanese Shares. Journal of Empirical Finance, 25, 36-51.
Gao, L., & Liu, L. (2014). The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks. Journal of Futures Markets, 34(1), 93-101.
Guigou, J.-D., Lovat, B., & Boissaux, M. (2014). Asymmetric contests with risky rents. Qualitative and quantitative economics research, 11-18.
IREK, F., van der scheer, & Stefanova. (2014). The Lure of the Brand: Evidence from the European Mutual Fund Industry. European Financial Management.
Kräussl, R., & Krause, S. (2014). Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success over 1985-2009*. European Financial Management, 179-205.
Kräussl, R., Lucas, A., Rijsbergen, D., Sluis, P., & Vrugt, E. (2014). Washington meets Wall Street: A closer examination of the Presidential cycle puzzle. Journal of International Money & Finance, 43, 50-69.
Lehnert, T., & Bekkour, L. (2014). The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps. Journal of Risk Finance, 15(5).
Lehnert, T., & Busch, T. (2014). The Impact of Policy Responses on Stock Liquidity. Applied Economics Letters, 842-845.
Leung, H., Rose, A., & Westerholm, P. J. (2014). Systematic Trading Behavior and the Cross-Section of Stock Returns on the OMXH. Review of Finance, 18(6), 2325-2374.
Neugebauer, T., DiCagno, D., Sadrieh, A., & Rodriguez Palermo, C. (2014). Recall Searching with and without Recall. Theory and Decision.
Rose, A. (2014). Systematic trading behaviour and its informational effect: evidence from the OMXH. Applied Financial Economics, 24(22), 1421-1427.
Schiltz, L., Ciccarello, A., Ricci-Boyer, L., & Schiltz, J. (2014). Grande précarité, psycho traumatisme, souffrance narcissique : Résultats d’une recherche-action à méthodologie quantitative et qualitative intégrée. Annales Médico-Psychologiques, 172, 513-518.
Van Bommel, J., Hasman, A., & Samartín, M. (2014). Financial intermediation in a noverlapping generations model with transaction costs. Journal of Economic Dynamics & Control.
Wolff, C., & Papanikolaou. (2014). Financial stability, bank risk, and regulation in the light of crisis. Journal of Financial Stability.
Wolff, C., & Papanikolaou, N. (2014). The Role of Off-Balance Sheet Leverage in the Late 2000s Crisis. Journal of Financial Stability.
Wolff, C., Vermaelen, T., & Pennacchi, G. (2014). Contingent Capital: The Case of COERCs. Journal of Financial and Quantitative Analysis.

2013

DeMiguel, V., Plyakha, Y., Uppal, R., & Vilkov, G. (2013). Improving Portfolio Selection Using Option-Implied Volatility and Skewness. Journal of Financial and Quantitative Analysis, 48(06), 1813-1845.
IREK, F., Hazenberg, J. J., Van der Scheer, W., & Stefanova, M. (2013, August). The Lure of the Brand: Evidence from the European Mutual Fund Industry. European Financial Management.
Frijns, B., Gilbert, A., Tourani Rad, A. R., & Lehnert, T. (2013). Uncertainty avoidance, risk tolerance and corporate takeover decisions. Journal of Banking and Finance, 37, 2457-2471.
Cabrera, S., Enrique, F., Juan-Antonio, L., & Neugebauer, T. (2013). Splitting Leagues: Promotion and Demotion in Contribution-Based Regrouping Experiments. Experimental Economics, 16(3), 426-441.
Füllbrunn, S., & Neugebauer, T. (2013). Limited Liability, Moral Hazard and Risk Taking – A Safety Net Game Experiment. Economic Inquiry, 51(2), 1389-1403.
Guigou, J.-D., de Lamirande, P., & Lovat, B. (2013). Delegation and Firms’ Ability to Collude: Do Incentive Schemes Matter? China-USA Business Review.
Neugebauer, T., & Füllbrunn, S. (2013). Varying the number of bidders in the first-price sealed-bid auction: experimental evidence for the one-shot game. Theory and Decision, 75(3), 421-447.
Schiltz, J., Giebel, S., & Schenk, J.-P. (2013). Statistical shape analysis for the classification of renal tumors affecting children. Pakistan Journal of Statistics, 29(1), 129-138.
Schiltz, L., Ciccarello, A., Ricci-Boyer, L., & Schiltz, J. (2013). Mécanismes de défense et stratégies d’ajustement au masculin et au féminin: étude structurale comparée basée sur la production artistique de personnes en rupture de projet de vie. Bulletin de la Société des Sciences Médicales du Grand-Duché de Luxembourg, 2013(2), 7-24.
Schiltz, L., & Schiltz, J. (2013). When the Foundations of Life have been Upset… An Integrated Clinical and Experimental Study with Refugees and Asylum Seekers. Archives of Psychiatry and Psychotherapy, 15(2), 53-62.
Suominen, M., & Fulghieri, P. (2013). Corporate Governance, Finance, and the Real Sector. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 47, 1187-1214.
Van Bommel, J., Samartín, M., & Hasman, A. (2013). Financial Contagion and Depositor Monitoring. Journal of Banking and Finance, 37, 3076-3084.
Wolff, C., Stefan, T. M. S., & Roald, J. V. B. (2013). Are capital controls in the foreign exchange ? Journal of International Money & Finance, 35, 36–53.

2012

Füllbrunn, S., & Sadrieh, A. (2012, April 25). Sudden Termination Auctions - An Experimental Study. Journal of Economics & Management Strategy, (2), 519-540.
Ferreira Filipe, S. (2012). Equity Order Flow and Exchange Rate Dynamics. Journal of Empirical Finance, 359-381.
Guigou, J.-D., Lovat, B., & Schiltz, J. (2012). Optimal mix of funded and unfunded pension systems: The case of Luxembourg. Pensions : An International Journal, 17(4), 208-222.
Mehra, R. (2012). Consumption-Based Asset. Annual Review of Financial Economics, 4, 385-409.
Schiltz, J., & Boissaux, M. (2012). On the classical solution to the linear-constrained minimum energy problem. International Journal of Control, 1, 143-146.
Schiltz, J., Giebel, S., Graf, N., Nourkami, N., Leuschner, I., & Schenk, J.-P. (2012). Application of Shape Analysis on 3D Images - MRI of Renal Tumors. Journal of the Iranian Statistical Society, 11(2), 131-146.
Wolff, C., Jongen, R., Verschoor, W., & Zwinkels, R. (2012). Explaining dispersion in foreign exchange expectations:A heterogeneous agent approach. Journal of Economic Dynamics & Control, 1, 719-735.

2011

Mehra, R., Piguillem, F., & Prescott, E. C. (2011). Costly financial intermediation in neoclassical growth theory. Quantitative Economics, 2, 1-36.
Füllbrunn, S. (2011). Collusion or Sniping in Simultaneous Ascending Auctions: A Prisoner's Dilemma. International Game Theory Review, 13(75).
Füllbrunn, S., Richwien, K., & Sadrieh, A. (2011). Trust and Trustworthiness in Anonymous Virtual Worlds. Journal of Media Economics, 24(1), 48-63.
Laube, F., Schiltz, J., & Terraza, V. (2011). On the efficiency of Risk measures for Funds of Hedge Funds. Journal of Derivatives and Hedge Funds, 17(1), 63-84.
Lehnert, T., Frijns, B., & Zwinkels, R. (2011). Modeling Structural Changes in the Volatility Process. Journal of Empirical Finance.
Mehra, R. (2011). THE EQUITY PREMIUM IN INDIA. The New Oxford Companion to Economics in India, Oxford University Press.
Mehra, R. (2011). Sources of Corporate Profits in India: Business Dynamism or Advantages of Entrenchment? India Policy Forum, 7, 85-89.
Mehra, R., Brett Hammond, P., Leibowitz, M. L., & Siegel, L. B. (2011). The Equity Premium Puzzle Revisited. Research Foundation CFA Institute.
Wolff, C., Jongen, R., & Verschoor, W. (2011). Time-Variation in Term Premia: International Survey-Based Evidence. Journal of International Money & Finance.

2010

Giebel, S. M., Schiltz, J., Graf, N., & Schenk, J.-P. (2010). Formanalyse in der Magnetresonanztomographie - Landmarken und Objektdifferenzierung bei retroperitonealen Tumoren im Kindesalter. Bulletin de la Société des Sciences Médicales du Grand-Duché de Luxembourg, 1, 41-52.
Guigou, J.-D., Lovat, B., & Schiltz, J. (2010). The impact of ageing population on pay-as-you-go pension systems: The case of Luxembourg. Journal of International Finance and Economics, 1, 110-122.
Lehnert, T., Andonov, A., & Bardong, F. (2010). TIPS, Inflation Expectations, and the Financial Crisis. Financial Analysts Journal, 66(6), 27-39.
Lehnert, T., Frijns, B., & Zwinkels, R. (2010). Behavioral Heterogeneity in the Option Market. Journal of Economic Dynamics & Control.
Schiltz, J., Schiltz, L., Boyer, L., & Konz, M. (2010). Application des méthodes de codage optimal aux valeurs delta: Une stratégie pertinente pour l'exploration du processus thérapeutique. Neuropsychiatrie de l'Enfance et de l'Adolescence, 58, 306-316.