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...

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 analyze equity mutual funds from the main European countries using daily and monthly returns to determine whether the temporary frequency of the data produces changes in the identification of timing skills by fund managers that justifies the current trend in the finance...

This paper investigates carbon and energy mix risk in the equity prices of EU-Taxonomy orientated and renewable European electric utility companies. We calculate carbon intensity and energy mix factors to measure possible carbon and energy mix premia while investigating the performance of...

The EU Directive 2004/8/EC concerning the promotion of cogeneration established principles on how EU member states can support combined heat and power generation (CHP). Up to now the implementation of these principles into national law has not been uniform and led to the adoption of different...

This research paper sets forth that an alternative for managing the internal investment fund of any company, lies on separation portfolios. Firstly, the company's internal investment portfolio is built up within the context of the incremental cash-flow model. Next, separation portfolios are...

This paper examines the determinants of cross-sectional variation in post-merger mutual fund performance. Mergers between funds with similar management objectives, as reflected by average portfolio book-to-market ratio, price-earnings ratio, beta and market capitalization values, outperform...

The past couple of decades have seen a significant shift in assets from active to passive investment strategies. We examine the potential effects of this shift on financial stability through four different channels: (1) effects on investment funds’ liquidity transformation and redemption...

We survey more than 200 private equity (PE) managers from firms with $1.9 trillion of assets under management (AUM) about their portfolio performance, decision-making and activities during the COVID-19 pandemic. Given that PE managers have significant incentives to maximize value, their actions...