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LSF Research Working Paper Series

From Luxembourg School of Finance, University of Luxembourg
Contact information at EDIRC.

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14-13: Hedge Fund Innovation Downloads
Denitsa Stefanova, Arjen Siegmann and Marcin Zamojski
14-12: The Evolving Beta-Liquidity Relationship of Hedge Funds Downloads
Denitsa Stefanova and Arjen Siegmann
14-11: Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception Downloads
Roman Kräussl, Ronald Bosman and Thomas van Galen
14-10: Art as an Aternative Asset Class: Risk and Return Characteristics of the Middle Eastern & Northern African Art Markets Downloads
Roman Kräussl
14-09: Recall Searching with and without Recall Downloads
Tibor Neugebauer, Daniela Di Cagno, Carlos Rodriguez-Palmero, and Abdolkarim Sadrieh
14-08: Skewness Term Structure Tests Downloads
Thorsten Lehnert and Yuehao Lin
14-07: Is there a Bubble in the Art Market? Downloads
Roman Kräussl, Thorsten Lehnert and Nicolas Martelin
14-06: Evaluating Option Pricing Model Performance Using Model Uncertainty Downloads
Thorsten Lehnert, Gildas Blanchard and Dennis Bams
14-05: Skewness Risk Premium: Theory and Empirical Evidence Downloads
Christian Wolff, Thorsten Lehnert and Yuehao Lin
14-04: Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices Downloads
Roman Kräussl, Narasimhan Jegadeesh and Joshua M. Pollet
14-03: News Media Sentiment and Investor Behavior Downloads
Roman Kräussl and Elizaveta Mirgorodskaya
14-02: The 2011 European Short Sale Ban: An Option Market Perspective Downloads
Roman Kräussl, Luiz Félix and Philip Stork
14-01: Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy Downloads
Kalle Rinne and Matti Suominen
13-14: Deflating Bubbles in Experimental Asset Markets: Comparative Statics of Margin Regulations Downloads
Tibor Neugebauer and Sascha Füllbrunn
13-13: The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis Downloads
Christian Wolff and Nikolaos Papanikolaou
13-12: What lies behind the (Too-Small-To-Survive) banks? Downloads
Theoharry Grammatikos and Nikolaos Papanikolaou
13-11: Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior? Downloads
Thorsten Lehnert, Yuehao Lin and Nicolas Martelin
13-10: Varying the number of bidders in the first-price sealed-bid auction: experimental evidence for the one-shot game Downloads
Tibor Neugebauer and Sascha F Llbrunn
13-9: Asymmetric contests with risky rents Downloads
Jean-Daniel Guigou, Bruno Lovat and Marc Boissaux
13-8: The Lure of the Brand: Evidence from the European Mutual Fund Industry Downloads
Fabian Irek,, Jan Jaap Hazenberg, Willem van der Scheer and Mariela Stefanova
13-7: Does it Pay to Invest in Art? A Selection-corrected Returns Perspective Downloads
Roman Kräussl, Arthur Korteweg and Patrick Verwijmeren
13-6: Has Europe Been Catching Up? An Industry Level Analysis of Venture Capital Success over 1985-2009* Downloads
Roman Kräussl and Stefan Krause Montalbert
13-5: The Effect of Anticipated and Experienced Regret and Pride on Investors Future Selling Decisions* Downloads
Roman Kräussl, Carmen Lee and Leo Paas
13-4: Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle Downloads
Roman Kräussl, Andre Lucas, David R. Rijsbergen, Pieter van der Sluis and Evert B. Vrugt
13-3: A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisation Problems Downloads
Jang Schiltz and Marc Boissaux
13-2: Forecasting distress in European SME portfolios Downloads
Dimitra Michala, Theoharry Grammatikos and Sara Ferreira Filipe
13-1: Do Fund Investors Know that Risk is Sometimes not Priced? Downloads
Fabian Irek and Thorsten Lehnert
12-19: Modeling default correlation in a US retail loan portfolio Downloads
Magdalena Pisa, Dennis Bams and Christian Wolff
12-16: The Small World of Corporate Boards-Worldwide:International Evidence from Listed Firms Downloads
Malika Hamadi
12-15: Independence and focus of Luxembourg UCITS fund boards Downloads
Jan Jaap Hazenberg
12-14: Market Perceptions of US and European Policy Actions Around the Subprime Crisis Downloads
Yoichi Otsubo, Theoharry Grammatikos and Thorsten Lehnert
12-13: Optimal mix of funded and unfunded pension systems: the case of Luxembourg Downloads
Jean-Daniel Guigou and Jang Schiltz
12-12: Limited Liability, Moral Hazard and Risk Taking A Safety Net Game Experiment Downloads
Tibor Neugebauer and Sascha Füllbrunn
12-11: Effectiveness of independent boards of Luxembourg funds Downloads
Jan Jaap Hazenberg
12-10: The Governance of Perpetual Financial Intermediaries Downloads
Jos van Bommel and Jose Penalva
12-9: Sentiment Trades and Option Prices Downloads
Thorsten Lehnert, Bart Frijns and Remco Zwinkels
12-8: The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity Downloads
Theoharry Grammatikos and Robert Vermeulen
12-7: The Market Microstructure of the European Climate Exchange Downloads
Yoichi Otsubo and Bruce Mizrach
12-6: Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market Downloads
Yoichi Otsubo
12-5: Price Discovery of Tokyo-New York Cross-listed Stocks Downloads
Yoichi Otsubo
12-4: Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency Downloads
Thorsten Lehnert, Lamia Bekkour, Xisong Jin, Fanou Rasmouki and Christian Wolff
12-3: Vertically Splitting a Firm: Promotion and Demotion in a Team Production Experiment Downloads
Tibor Neugebauer, Susana Cabrera, Enrique Fatas and Juan A. Lacomba
12-2: Conditioned Higher Moment Portfolio Optimisation Using Optimal Control Downloads
Marc Boissaux and Jang Schiltz
12-1: Noise Trading and the Cross-Section of Index Option Prices Downloads
Fabian Irek, Thorsten Lehnert and Nicolas Martelin
11-17: Competition, Loan Rates and Information Dispersion in Microcredit Markets Downloads
Malika Hamadi and Guillermo Baquero
11-16: Ownership Structure and Firm Performance: Evidence from a non-parametric panel Downloads
Malika Hamadi and Andréas Heinen
11-15: Production intermittence in sport markets Downloads
Augusto Ruperez Micola and Albert Banal-Estanol
11-14: On the divers of commodity co-movement: Evidence from biofuels Downloads
Augusto Ruperez Micola and Francisco Penaranda
11-13: The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps Downloads
Lamia Bekkour, Thorsten Lehnert and Maria Chiara Amadori
11-12: Practical weight-constrained conditioned portfolio optimization using risk aversion indicator signals Downloads
Jang Schiltz and Marc Boissaux
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