I consider extreme returns for the stock and bond markets of 14 EU countries using two classification schemes: One, the univariate classification scheme from the previous literature that classifies extreme returns for each market separately. Two, a novel multivariate classification scheme that...

This paper investigates the effect of economic policy uncertainty in the United States on stock market performance in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. The analyses of monthly returns on the major stock market indices in these countries from 1985:2 to...

This article studies sin stocks on the European market over the period 2006-2020. In addition to stocks in alcohol, tobacco, gambling, and defense sectors that are traditionally considered sin stocks, we analyze stocks in carbon-intensive sectors that have newly evolved as sin stocks, such as...

In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how...

A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds...