Passive index investing involves the low cost strategy of investing in a fund that replicates or, more often, tracks a market index. Enhanced indexation uses the returns of an index as a reference point and aims at outperforming this index. The intuition behind enhanced indexing is that market...

In this paper we use the Clark (1991) methodology to estimate the macroeconomic financial risk premium from 1985 to 1997 for Argentina, Brazil, Chile, Colombia, Mexico and Venezuela, the 6 Latin American countries with the largest stock markets, and test whether and to what extent it affects...

The concept of efficient portfolios plays an important role in modern financial theory and practice. Although there is an extensive and growing literature that focuses on testing portfolio efficiency, outside of mean-variance optimization, which has several serious shortcomings, no systematic...

We examine short-run patterns in government bond returns after market-moving events. Our sample covers government bond series from 17 developed countries. We find that abnormal returns follow momentum for about two weeks following an event and then reverse for a period of up to 60 days after the...

In this paper, we empirically investigate the relationship between equity and credit market development and economic growth, in a sample of five very important 'emerging' markets. In particular, we employ a multivariate time-series methodology to test for long-run trends and causality between...

The aim of this paper is to investigate if, and to what extent, events from the three financially troubled EU markets (Greece, Ireland, and Portugal) affected energy prices during the recent EU financial crisis. More specifically, (i) we test for contagion effects from bond markets on...

This paper examines conference call meetings held around merger and acquisition (M&A) announcements in the UK market. Our main findings indicate that conference calls not only facilitate the smoother transmission of M&A-related information in the stock market and smooth the rate of the...

Using well known US stock portfolios that are formed on B/M, long term reversals, momentum, and size, a long sample period (1965-2007), and the comprehensive sentiment index of Baker and Wurgler (2006), which captures the common variation of six commonly used proxies for sentiment, this paper...

This paper offers, for the first time, evidence on the effect of ECB's conventional and unconventional monetary policy on economic expectations in Euro-area countries during the US and EU crisis. We employ a range of research methodologies (PVAR, QVAR, FAVAR) in a sample of nine Eurozone...

This paper examines the determinants of CDS spreads and potential spillover effects for Eurozone countries during the recent financial crisis in the EU. We employ a Panel Vector Autoregressive (PVAR) model which combines the advantages of traditional VAR modelling with the advantages of a...