We show that active equity funds deliberately alter their factor loadings rather than maintaining a constant style. Changes are larger following quarters in which funds either under- or out-perform other funds based on returns or fund flows. Motivated by this observation, we identify a new...

In early 2020, the rapid spread of the coronavirus (COVID-19) quickly developed into a pandemic. This was followed by a sharp global economic downturn that was extraordinary in its speed, reach and scale. Within days of the first reported COVID-19 cases, the ECB daily Composite Indicator of...

We analyse the evolution of the systemic risk impact of oil and natural gas companies since 2000. This period is characterised by several events that affected energy source markets: the real effect of the global financial crisis, the explosion of shale production and the diffusion of the...

The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and trade the instruments with smaller or less active firms, in part by using their own balance sheets for inventory holding or hedging purposes. The reforms carried out in the...

This paper studies whether and why algorithmic traders exhibit one of the most broadlydocumented behavioral puzzles - the disposition effect. We use trade data from the NASDAQ Copenhagen Stock Exchange merged with the weather data. We find that on average, the disposition effect for human...

We develop a sovereign default risk index using natural language processing techniques and 10 million news articles covering over 100 countries. The index is a highfrequency measure of countries' default risk, particularly for those lacking marketbased measures: it correlates with sovereign CDS...

We investigate if the benchmark transition from London Interbank Offered Rate (Libor) to Secured Overnight Financing Rate (SOFR) affects the costs of borrowing floating rate debt. The primary market for dollar-denominated floating rate notes (FRNs) provides an ideal laboratory to study these e...

In a context where European stock prices have been trending upwards, one of the main concerns is that stocks perceived as more sustainable from an environmental, social and governance (ESG) perspective could be particularly exposed to exuberance. To shed some light on the magnitude of the...

A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a model in which arbitrageurs face higher funding costs on...

This paper presents a macroeconomic evaluation of the impact of the Horizon 2020 funds, carried out using the spatial dynamic general equilibrium model RHOMOLO. The policy disbursement data used to feed the model relate to the actual use of the funds over the period 2014-2021, so this is...