During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Using data from 15 European Union economies, we quantify the real effects of supply-side frictions due to the financial disintegration of European countries since the 2008 financial crisis. We develop a multi-country general equilibrium model with heterogeneous countries and destination-specific...

The objective of this article is to highlight some of the key changes because of the transition from IFRS 4 to IFRS 17 and how the financial information presented by the insurance companies will transform from 1 January 2023

This paper analyzes the exposure towards the home-specific factor (home exposure) of 4,153 firms from fifteen European countries. Especially, we investigate whether multinational (MNC) differ from national companies (NC). Therefore, we sort the firms that exist during the time period from...

The implied volatility of any stock market can be used in order to measure the future expectations of risk and returns. The purpose of this paper is to measure the levels of risk in the Greek stock market for the brief time interval of 02/02/2015-03/31/2015. The reason of choosing this time...

This paper examines portfolio rebalancing at the security level during the ECB’s Asset Purchase Programme (APP). Search for yield via portfolio rebalancing is one of the possible channels through which Quantitative Easing (QE) may affect real economic activity. This paper shows that during QE,...

Most corporate bond research on liquidity and dealer inventories is based on the USD-denominated bonds transactions in the US reported to TRACE. Some of these bonds, however, are also traded in Europe, and those trades are not subject to the TRACE reporting requirements. Leveraging our access to...

We document economically and statistically large 24h pre-ECB announcement re- turns in European equity. For the overall market the respective annual premium (2010 – 2015) was over 6% (Sharpe ratio of 1.5). We show that the pre-ECB return is mainly driven by periods of high uncertainty during...

PurposeThe main objective of this study is to obtain new empirical evidence about the connections between equity trading activity and five possible liquidity determinants: market capitalisation, dividend yield, earnings yield, company growth, and the distinction between recently-listed firms as...

Analyzing a novel collateral haircut dataset, this paper investigates the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of...