Helmets sold in Europe generally must meet the CEN EN-1078 bicycle helmet standard that limits the amount of energy transmitted to the head during a series of tests using weighted head-shaped forms (around ~5kg) dropped from various heights onto flat or curved surfaces at different locations on the helmet. While helmets with the CE certification must meet EN-1078, manufacturers can choose to exceed the standard and have their helmets protect your head at even higher impact energies. A similar standard, the CPSC standard, applies to helmets sold in the US: all helmets must meet the CPSC standard but manufacturers can choose to exceed them and sell safer helmets. Although the CE and CPSC standards are similar enough that many manufacturers will aim to satisfy both standards so that their helmets can be sold either in Europe or in the US, there are subtle differences that mean that a few helmets may be certifiable under one standard but not the other. Larger manufacturers will test their helmets in-house, and swear to the CE and CPSC that their helmets passed; smaller manufacturers will often send their helmets to third party certification laboratories to do the tests. In that case, the certification laboratories swear that the helmets passed.
So although the CE and CPSC certification tells you a helmet met the standard, it doesn't tell you whether the helmet exceeds the standard (and, if so, by how much). In part, this is because testing is not done until failure; that is, manufacturers typically don't increase the height of the drop or increase the weight of the head-shaped form until the helmet fails. They drop the helmet at the standard height and weight and measure the energy transmitted to form. If that energy meets the certification standard they are satisfied and do no further testing.
Worse, you cannot use the price of the helmet as an indicator of "safety." Helmets are generally marketed by how much they weigh, how many ventilation holes they have, the colors available, how aerodynamic they are, whether they come with visors, celebrity endorsements, and, of course, how much they cost -- but not how much they exceed minimal standards of energy transmission. That is, manufacturers will gladly provide information about almost every characteristic of a helmet except for how well it will protect your head.
In the US there are a few independent research institutes that will test bicycle helmets but they tend to test expensive helmets, not the least expensive ones. There may be similar helmet testing institutes in Europe.
