Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

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Country-level cross-sectional asset pricing model for global equity markets

2014/15/D/HS4/01235

Keywords:

cross-section of stock returns asset pricing international equity markets

Descriptors:

  • HS4_6: Financial markets, international finance, public finance

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Ekonomiczny w Poznaniu, Wydział Zarządzania

woj. wielkopolskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Adam Zaremba 

Number of co-investigators in the project: 1

Call: SONATA 8 - announced on 2014-09-15

Amount awarded: 156 037 PLN

Project start date (Y-m-d): 2015-07-21

Project end date (Y-m-d): 2019-01-20

Project duration:: 42 months (the same as in the proposal)

Project status: Project settled

Information in the final report

  • Publication in academic press/journals (19)
  • Articles in post-conference publications (1)
  • Book publications / chapters in book publications (1)
  1. Paper profits or real money? Trading costs and stock market anomalies in country ETFs
    Authors:
    Adam Zaremba, Laura Andreu
    Academic press:
    International Review of Financial Analysis (rok: 2018, tom: 56, strony: 181-192), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.irfa.2018.01.007 - link to the publication
  2. Seasonality in the cross section of factor premia
    Authors:
    Adam Zaremba
    Academic press:
    Investment Analysts Journal (rok: 2017, tom: 46(3), strony: 165-199), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/10293523.2017.1326219 - link to the publication
  3. Size matters everywhere: Decomposing the small country and small industry premia
    Authors:
    Adam Zaremba, Mehmet Umutlu
    Academic press:
    The North American Journal of Economics and Finance (rok: 2018, tom: 43, strony: 45309), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.najef.2017.09.002 - link to the publication
  4. The January seasonality and the performance of country-level value and momentum strategies
    Authors:
    Zaremba, A.
    Academic press:
    Copernican Journal of Finance & Accounting (rok: 2015, tom: 2, strony: 195-209), Wydawca: Wydział Nauk Ekonomicznych i Zarządzania UMK
    Status:
    Published
    DOI:
    10.12775/CJFA.2015.024 - link to the publication
  5. The momentum effect in country-level stock market anomalies
    Authors:
    Adam Zaremba
    Academic press:
    Economic Research (rok: 2018, tom: 31 (1), strony: 703-721), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/1331677X.2018.1441045 - link to the publication
  6. Opposites attract: Combining alpha momentum and alpha reversal strategies in international equity markets
    Authors:
    Adam Zaremba, Mehmet Umutlu, Andreas Karathanasopoulos
    Academic press:
    Journal of Investing (rok: 2020, tom: 29(3), strony: 38-62), Wydawca: Portfolio Management Research
    Status:
    Accepted for publication
    DOI:
    10.3905/joi.2020.1.120 - link to the publication
  7. Small-Minus-Big Predicts Betting-Against-Beta: Implications for International Equity Allocation and Market Timing
    Authors:
    Adam Zaremba
    Academic press:
    Investment Analysts Journal (rok: 2020, ), Wydawca: Taylor & Francis
    Status:
    Accepted for publication
    DOI:
    brak - link to the publication
  8. Alpha momentum and alpha reversal in country and industry equity indexes
    Authors:
    Adam Zaremba, Mehmet Umutlu, Andreas Karathanasopoulos
    Academic press:
    Journal of Empirical Finance (rok: 2019, tom: 53, strony: 144-161), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jempfin.2019.07.003 - link to the publication
  9. And the winner is… A comparison of valuation measures for country asset allocation
    Authors:
    Adam Zaremba, Jan Jakub Szczygielski
    Academic press:
    Journal of Portfolio Management (rok: 2018, tom: -, strony: -), Wydawca: Institutional Investor
    Status:
    Published
    DOI:
    brak - link to the publication
  10. Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies
    Authors:
    Zaremba, A.
    Academic press:
    Journal of Behavioral and Experimental Finance (rok: 2016, tom: 9, strony: 136-163), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbef.2015.11.007 - link to the publication
  11. Is there a low-risk anomaly across countries?
    Authors:
    Zaremba, A.
    Academic press:
    Eurasian Economic Review (rok: 2016, tom: 69, strony: 45-65), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s40822-015-0036-3 - link to the publication
  12. Nothing lasts forever (and everywhere): Fundamental indexation at the global level
    Authors:
    Adam Zaremba, Tomasz Miziołek
    Academic press:
    Journal of Index Investing (rok: 2017, tom: 8 (3), strony: 45463), Wydawca: Institutional Investor
    Status:
    Published
    DOI:
    10.3905/jii.2017.8.3.006 - link to the publication
  13. Price range and the cross-section of expected country and industry returns
    Authors:
    Adam Zaremba
    Academic press:
    International Review of Financial Analysis (rok: 2019, tom: 64, strony: 174-189), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.irfa.2019.05.012 - link to the publication
  14. Country risk and expected returns across global equity markets
    Authors:
    Adam Zaremba
    Academic press:
    Czech Journal of Economics and Finance (rok: 2018, tom: 68 (4), strony: 374-398), Wydawca: Charles University in Prague
    Status:
    Published
    DOI:
    brak - link to the publication
  15. Combining equity country selection strategies
    Authors:
    Adam Zaremba
    Academic press:
    Contemporary Economics (rok: 2017, tom: 11(1), strony: 107-126), Wydawca: University of Finance and Management in Warsaw
    Status:
    Published
    DOI:
    10.5709/ce.1897-9254.231 - link to the publication
  16. Has the long-term reversal reversed? Evidence from country equity indices
    Authors:
    Zaremba, A.
    Academic press:
    Romanian Journal of Economic Forecasting (rok: 2016, tom: 5, strony: 88-103), Wydawca: Institute of Economic Forecasting
    Status:
    Published
    DOI:
    brak - link to the publication
  17. Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
    Authors:
    Adam Zaremba, Mehmet Umutlu, Alina Maydybura
    Academic press:
    Investment Analysts Journal (rok: 2018, tom: 47 (2), strony: 165-191), Wydawca: Tayor and Francis
    Status:
    Published
    DOI:
    10.1080/10293523.2018.1469290 - link to the publication
  18. Risk-based explanation for the country-level size and value effects
    Authors:
    Zaremba, A.
    Academic press:
    Finance Research Letter (rok: 2016, tom: 18, strony: 226-233), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2016.04.020 - link to the publication
  19. Strategies can be expensive too! The value spread and asset allocation in global equity markets
    Authors:
    Adam Zaremba, Mehmet Umutlu
    Academic press:
    Applied Economics (rok: 2019, tom: 50 (60), strony: 6529-6546), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1080/00036846.2018.1489523 - link to the publication
  1. A factor model for country-level equity returns
    Authors:
    Adam Zaremba
    Conference:
    25th EBES Conference Berlin (rok: 2018, ), Wydawca: Springer
    Data:
    konferencja 23-25 maja 2018 r.
    Status:
    Published
  1. -
    Authors:
    Zaremba, A. & Shemer, J.
    Book:
    Country asset allocation: Quantitative country selection strategies in global factor investing. (rok: 2017, tom: -, strony: 262), Wydawca: Palgrave MacMillan
    Status:
    Published
    DOI:
    link to the publication

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