The goal of this article is to study the relationship between investor sentiment and Euro area Exchange Traded Funds (ETFs), providing insights into the dynamics of market behaviour and the impact of consumer behaviour on investment patterns within the Eurozone. This paper has employed panel...

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...

The article analyzes factor exposures of European equity exchange-traded funds (ETFs) according to 10-year regressions and a holdings-based analysis. While smart beta ETFs target certain factors explicitly, they and conventional market-capitalization-weighted ETFs (conventional ETFs) both can...

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...

The hypothesis that capital markets naturally function in an efficient way - possibly one of the widest accepted dogmas of contemporary liberalism - has for many years encouraged politicians and regulators in the US and in Europe to refrain from regulating too strictly or even to deregulate the...

The European Union crisis responses and the Efficient Capital Markets Hypothesis (ECMH): The hypothesis that capital markets naturally function in an efficient way - possibly one of the widest accepted dogmas of contemporary liberalism - has for many years encouraged politicians and regulators...

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...

Robust weak form efficiency tests are conducted to examine market efficiency in two pan-European indices; the large capitalisation EuroStoxx 50 and the small capitalisation EuroStoxx Small from January 2000 to March 2012. Applying the non-parametric Belaire-Franch and Opong (2005) multiple...

One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...

This paper applies novel sentiment analyses to Reuters news to study stock and CDS traders' differential interpretations of financial news. We construct sentiment measures to identify which news content influences investors' behavior and create dynamic word lists that reflect the divergent...