This paper studies the profitability of a selection of prominent momentum-based strategies in the European Monetary Union. In contrast to past examples documenting the lack of profitability of unconditional price momentum in the most recent decade, the current research finds that unconditional...

We investigate the phenomenon that past winners in the stock market are potential future winners in the European bond market. By using a data-set of EUR denominated bonds for the IG and HY market since 2000, we show that the stock market leads the bond market as well as rating changes. Firms...

In this paper, we use Data Envelopment Analysis (DEA) to examine the efficiency of European mutual funds across different investment styles. The DEA methodology allows going beyond the meaning of conventional efficiency, being able to identify the most efficient mutual funds compared to the rest...

This paper shows that during the 1990s the process of gradual economic and monetary integration, which eventually led to EMU, also resulted in a reduction in the equity cost of capital. A similar reduction was not present in the three EU countries which chose not to enter the Eurozone. There was...

Pairs trading strategy's return depends on the divergence/convergence movements of a selected pair of stocks' prices. However, if the stable long term relationship of the stocks changes, price will not converge and the trade opened after divergence will close with losses. We propose a new model...

This paper analyzes determinants of home bias in equity funds based on monthly holdings data using panel and quantile regressions. We investigate 699 equity funds, domiciled in fifteen European countries, that broadly invested in European stocks from January 2003 to December 2016. More than...

The paper decomposes differences in mean and a series of quantiles of portfolio returns between North America and Europe into Fama and French's five factors. We show that the differences in risk premia on factors, especially on market and size factors, account for most of the differences and the...

During the recent financial crisis, numerous EU officials, market participants and the media suggested that irrational herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd behavior in European government bond prices and,...

The current study evaluates the performance of the Fama and French three-factor model in a global setting with stocks selected from 15 European countries. We employed the multivariate regression approach after sorting six portfolios according to size and book-to-market. The constituent stocks...

The paper revisits the issue of robustness of fund performance by evaluating European large-cap equity funds. For this fund category traditional market risk factor adjusted performance measures are expected to be fairly robust. However, for the sample of 65 European large-cap mutual equity...