On September 17, 2008, the Securities and Exchange Commission (SEC) issued an emergency order banning the shorting of 797 financial stocks. This paper studies the impact of the short selling ban on the credit derivatives market by investigating credit default swap (CDS) prices during the period...

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...

Using a sample that post-dates important regulatory changes in Europe, we show that a buy recommendation from an analyst on a “consensus sell” stock is, on average, sufficient to cause the stock to start to rise in value. Similarly, a sell recommendation on a “consensus buy” stock can...

The introduction of the Securities Financing Transactions Regulation into EU law provides a unique opportunity to obtain an in-depth understanding of repo markets. Based on the transaction-level data reported under the regulation, this paper presents an overview and key facts about the euro area...

The relationship between best execution and market transparency deserves careful consideration in an analysis of MiFID. Best execution has mainly been studied with respect to equity trading, which is generally exchange based and widely regulated also with respect to market transparency. In this...

This paper examines whether oil price shocks of different origin affect the price of carbon emission allowance traded under the European Union's Emissions Trading System (EU-ETS); leading to changes in aggregate and sector specific European equity returns. The results show that an unexpected oil...

This paper investigates the impact of Brexit events on the behaviour of 34 financial indices from 1st January 2012 to 26th April 2017. Our focus is to evaluate whether the impact of Brexit on financial markets is consistent with rational asset pricing models. The empirical research uses a...

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...