This paper employs econometric techniques in order to examine the role of political risk on the capital structure decisions of European listed SMEs, during a period which fully captures the Euro zone debt crisis and aspects of political risk due to the recession and its over-indebtedness. We find that political risk decreases significantly SMEs leverage via different and significant transmission channels. Very small (micro) enterprises are decreasing more significantly their leverage at times of political risk. The strength of the creditor’s rights act as a proxy for the possible effects of the political risk. Political risk combined with corruption has a positive effect on firm leverage.

We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns. Using daily data on bond and stock returns for ten countries, covering Europe, Asia, US and Australia regions, we identify flight-to-quality episodes during the COVID-19 global pandemic crisis employing both a panel data specification and a wavelet analysis. Our empirical results demonstrate that flights occur simultaneously across countries and are not country-specific events. This finding suggests that the two largest asset classes offered diversification to investors during the recent crisis, when they actually needed it the most.

The existence of a calendar anomaly in stock market returns, namely the Halloween Effect, was corroborated by Bouman & Jacobsen (2002). They claimed that returns during May to October are extremely affected by this phenomenon, and hence are lower in comparison with the respective of November to April. This paper investigates the existence of this anomaly in the field of mutual funds for the period 2008-2017. We provide evidence of a robust Halloween effect in the European equity mutual funds market. This effect still exists even after controlling for other seasonal anomalies and dividing our sample according to the size of the funds. Since this calendar anomaly is both statistically and economically significant, we show that an investment based on such seasonal anomaly can be more profitable and effective than the Buy & Hold Strategy without any risk increase. The significant higher returns in winter months are also resulting from close to zero or negative average returns during May to October as well as high positive returns during November to April. It is finally concluded that fund managers do not seem to believe in this anomaly, since they are not reducing their exposure to the equity markets during summer months.

This paper studies the effects of U.S. unconventional monetary policy announcements on the implied volatility of three major currency pairs, Dollar/Euro, Dollar/British Pound and Dollar/Yen by using panel data analysis along with several model specifications and robustness tests. Monetary policy announcements not only have an effect on the realized behavior of asset prices, but also influence market participants’ expectations regarding future volatility. Our empirical findings show that Federal Reserve’s unconventional monetary policy announcements significantly reduce the market expectations about future realized volatility of exchange rates, suggesting that lax monetary policy leads to elevated risk-tolerance in currency markets. Furthermore, our findings indicate that market participants’ expectations respond differently to the different rounds of U.S. quantitative easing.

This paper examines the impact of the European Central Bank’s unconventional monetary policy (UMP) on bank lending supply and performance in the euro area, through comparing the evolution of bank-specific variables before and after the UMP implementation. By using a dynamic panel data analysis on banks across discrete country groups (euro zone, core, peripheral) and by controlling for bank-specific and country-level variables, we provide evidence that the bank lending decisions and performance of euro zone banks are not UMP driven, implying the limited ability of the ECB to enhance the effectiveness of banks’ lending channel and to affect banks’ profitability during the crisis. Our findings also suggest that different criteria determine banks’ lending strategy before the UMP period, bank credit strategies vary across the country samples, while the weaker economies’ banks seem to underestimate the impact of liquidity risk on their lending activity.