LSF Research Working Paper Series

From Luxembourg School of Finance, University of Luxembourg
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14-13: Hedge Fund Innovation

Denitsa Stefanova, Arjen Siegmann and Marcin Zamojski

14-12: The Evolving Beta-Liquidity Relationship of Hedge Funds

Denitsa Stefanova and Arjen Siegmann

14-11: Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception

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

Roman Kräussl

14-09: Recall Searching with and without Recall

Tibor Neugebauer, Daniela Di Cagno, Carlos Rodriguez-Palmero, and Abdolkarim Sadrieh

14-08: Skewness Term Structure Tests

Thorsten Lehnert and Yuehao Lin

14-07: Is there a Bubble in the Art Market?

Roman Kräussl, Thorsten Lehnert and Nicolas Martelin

14-06: Evaluating Option Pricing Model Performance Using Model Uncertainty

Thorsten Lehnert, Gildas Blanchard and Dennis Bams

14-05: Skewness Risk Premium: Theory and Empirical Evidence

Christian Wolff, Thorsten Lehnert and Yuehao Lin

14-04: Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices

Roman Kräussl, Narasimhan Jegadeesh and Joshua M. Pollet

14-03: News Media Sentiment and Investor Behavior

Roman Kräussl and Elizaveta Mirgorodskaya

14-02: The 2011 European Short Sale Ban: An Option Market Perspective

Roman Kräussl, Luiz Félix and Philip Stork

14-01: Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy

Kalle Rinne and Matti Suominen

13-14: Deflating Bubbles in Experimental Asset Markets: Comparative Statics of Margin Regulations

Tibor Neugebauer and Sascha Füllbrunn

13-13: The role of on- and off-balance-sheet leverage of banks in the late 2000s crisis

Christian Wolff and Nikolaos Papanikolaou

13-12: What lies behind the (Too-Small-To-Survive) banks?

Theoharry Grammatikos and Nikolaos Papanikolaou

13-11: Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?

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

Tibor Neugebauer and Sascha F Llbrunn

13-9: Asymmetric contests with risky rents

Jean-Daniel Guigou, Bruno Lovat and Marc Boissaux

13-8: The Lure of the Brand: Evidence from the European Mutual Fund Industry

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

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*

Roman Kräussl and Stefan Krause Montalbert

13-5: The Effect of Anticipated and Experienced Regret and Pride on Investors Future Selling Decisions*

Roman Kräussl, Carmen Lee and Leo Paas

13-4: Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle

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

Jang Schiltz and Marc Boissaux

13-2: Forecasting distress in European SME portfolios

Dimitra Michala, Theoharry Grammatikos and Sara Ferreira Filipe

13-1: Do Fund Investors Know that Risk is Sometimes not Priced?

Fabian Irek and Thorsten Lehnert

12-19: Modeling default correlation in a US retail loan portfolio

Magdalena Pisa, Dennis Bams and Christian Wolff

12-16: The Small World of Corporate Boards-Worldwide:International Evidence from Listed Firms

Malika Hamadi

12-15: Independence and focus of Luxembourg UCITS fund boards

Jan Jaap Hazenberg

12-14: Market Perceptions of US and European Policy Actions Around the Subprime Crisis

Yoichi Otsubo, Theoharry Grammatikos and Thorsten Lehnert

12-13: Optimal mix of funded and unfunded pension systems: the case of Luxembourg

Jean-Daniel Guigou and Jang Schiltz

12-12: Limited Liability, Moral Hazard and Risk Taking A Safety Net Game Experiment

Tibor Neugebauer and Sascha Füllbrunn

12-11: Effectiveness of independent boards of Luxembourg funds

Jan Jaap Hazenberg

12-10: The Governance of Perpetual Financial Intermediaries

Jos van Bommel and Jose Penalva

12-9: Sentiment Trades and Option Prices

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

Theoharry Grammatikos and Robert Vermeulen

12-7: The Market Microstructure of the European Climate Exchange

Yoichi Otsubo and Bruce Mizrach

12-6: Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market

Yoichi Otsubo

12-5: Price Discovery of Tokyo-New York Cross-listed Stocks

Yoichi Otsubo

12-4: Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency

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

Tibor Neugebauer, Susana Cabrera, Enrique Fatas and Juan A. Lacomba

12-2: Conditioned Higher Moment Portfolio Optimisation Using Optimal Control

Marc Boissaux and Jang Schiltz

12-1: Noise Trading and the Cross-Section of Index Option Prices

Fabian Irek, Thorsten Lehnert and Nicolas Martelin

11-17: Competition, Loan Rates and Information Dispersion in Microcredit Markets

Malika Hamadi and Guillermo Baquero

11-16: Ownership Structure and Firm Performance: Evidence from a non-parametric panel

Malika Hamadi and Andréas Heinen

11-15: Production intermittence in sport markets

Augusto Ruperez Micola and Albert Banal-Estanol

11-14: On the divers of commodity co-movement: Evidence from biofuels

Augusto Ruperez Micola and Francisco Penaranda

11-13: The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps

Lamia Bekkour, Thorsten Lehnert and Maria Chiara Amadori

11-12: Practical weight-constrained conditioned portfolio optimization using risk aversion indicator signals

Jang Schiltz and Marc Boissaux