Projects search

Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns

Authors:

Adam Zaremba, Mehmet Umutlu, Alina Maydybura

Academic press:

Journal of Banking & Finance (year: 2020, volume: 121, pages: 105966), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.jbankfin.2020.105966 – link to the publication

How to survive a pandemic: The corporate resiliency of travel and leisure companies to the COVID-19 outbreak

Authors:

Tomasz Kaczmarek, Katarzyna Perez, Ender Demir, Adam Zaremba

Academic press:

Tourism Management (year: 2021, volume: 84, pages: 104281), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.tourman.2020.104281 – link to the publication

Are macroeconomic factors adequate proxies for systematic influences in stock returns A South African perspective

Authors:

JJan J. Szczygielski,Leon M. Brümmer, Hendrik P. Wolmarans, Adam Zaremba

Academic press:

Investment Analysts Journal (year: 2020, volume: -, pages: -), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/10293523.2020.1723854 – link to the publication

COVID-19, government policy responses, and stock market liquidity around the world: A note

Authors:

Adam Zaremba, David Y. Aharon, Ender Demir, Renatas Kizys, DariuszZawadka

Academic press:

Research in International Business and Finance (year: 2021, volume: 56, pages: 101359), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.ribaf.2020.101359 – link to the publication

Price nonsynchronicity, idiosyncratic risk, and the expected stock returns in China

Authors:

Huaigang Long, Adam Zaremba, Yuexiang Jiang

Academic press:

Economic Research-Ekonomska Istraživanja (year: 2020, volume: 33(1), pages: 160-181), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/1331677X.2019.1710229 – link to the publication

Predicting the performance of equity anomalies in frontier emerging markets: A Markov switching model approach

Authors:

Adam Zaremba, Anna Czapkiewicz, Jan Jakub Szczygielski

Academic press:

Economic Research-Ekonomska Istraživanja (year: 2019, volume: 31(2), pages: 3077-3093), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/1331677X.2019.1653782 – link to the publication

The cross-section of returns in frontier equity markets: Integrated or segmented pricing?

Authors:

Adam Zaremba, Alina Maydybura

Academic press:

Emerging Markets Review (year: 2019, volume: 38, pages: 219-238), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.ememar.2019.02.003 – link to the publication

The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets

Authors:

Adam Zaremba, Renatas Kizys, Panagiotis Tzouvanas, David Y. Aharon, Ender Demir

Academic press:

Journal of International Financial Markets, Institutions and Money (year: 2021, volume: 71, pages: 101284), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.intfin.2021.101284 – link to the publication

Herding for profits: Market breadth and the cross-section of global equity returns

Authors:

Adam Zaremba, Adam Szyszka, Andreas Karathanasopoulos, Mateusz Mikutowski

Academic press:

Economic Modelling (year: 2021, volume: 97, pages: 348-364), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.econmod.2020.04.006 – link to the publication

Beware of the crash risk: Tail beta and the cross section of stock returns in China

Authors:

Huaigang Long, Adam Zaremba, Yuexiang Jiang

Academic press:

Applied Economics (year: 2019, volume: 51(44), pages: 4870-4881), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/00036846.2019.1602717 – link to the publication

Oil shocks and equity markets: The case of GCC and BRICS economies

Authors:

Zaghum Umar, Nader Trabelsi, Adam Zaremba

Academic press:

Energy Economics (year: 2021, volume: 96, pages: 105155), Publisher: Elsveier

Status:

Published

DOI:

10.1016/j.eneco.2021.105155 – link to the publication

Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?

Authors:

Adam Zaremba, Andreas Karathanasopoulos, Alina Maydybura, Anna Czapkiewicz, Noushin Bagheri

Academic press:

Pacific-Basin Finance Journal (year: 2020, volume: 62, pages: 101024), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.pacfin.2018.05.006 – link to the publication

Idiosyncratic volatility and the cross-section of anomaly returns: is risk your Ally?

Authors:

Adam Zaremba, Alina Maydybura

Academic press:

Applied Economics (year: 2019, volume: 51(49), pages: 5388-5397), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/00036846.2019.1613505 – link to the publication

Is there an illiquidity premium in frontier markets?

Authors:

Szymon Stereńczak, Adam Zaremba, Zaghum Umar

Academic press:

Emerging Markets Review (year: 2019, volume: 42(100673), pages: 46041), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.ememar.2019.100673 – link to the publication

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Authors:

Adam Zaremba

Academic press:

Journal of Risk and Financial Management (year: 2019, volume: 12(165), pages: 46048), Publisher: MDPI

Status:

Published

DOI:

10.3390/jrfm12040165 – link to the publication

Explaining equity anomalies in frontier markets: A horserace of factor pricing models

Authors:

Adam Zaremba, Alina Maydybura, Anna Czapkiewicz, Marina Arnaut

Academic press:

Emerging Markets Finance and Trade (year: 2019, volume: -, pages: -), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/1540496X.2019.1612361 – link to the publication

Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe

Authors:

Adam Zaremba, Renatas Kizys, David Y. Aharon, Ender Demir

Academic press:

Finance Research Letters (year: 2020, volume: 35, pages: 101597), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.frl.2020.101597 – link to the publication

Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world

Authors:

Wael Rouatbi, Ender Demir, Renatas Kizys, Adam Zaremba

Academic press:

International Review of Financial Analysis (year: 2021, volume: 77, pages: 101819), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.irfa.2021.101819 – link to the publication

Decomposing the Earnings-to-Price Ratio and the Cross-section of International Equity- Index Returns

Authors:

Mehmet Umutlu, Pelin Bengitöz, Adam Zaremba

Academic press:

Applied Economics (year: 2021, volume: b.d., pages: b.d.), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/00036846.2021.1937499 – link to the publication

Liquidity and the cross-section of international stock returns

Authors:

Nusret Cakici, Adam Zaremba

Academic press:

Journal of Banking and Finance (year: 2021, volume: 127, pages: 106123), Publisher: Elsevier

Status:

Published

DOI:

10.1016/j.jbankfin.2021.106123 – link to the publication

An Application of Factor Pricing Models to the Polish Stock Market

Authors:

Adam Zaremba, Anna Czapkiewicz, Jan Jakub Szczygielski & Vitaly Kaganov

Academic press:

Emerging Markets Finance & Trade (year: 2019, volume: 55(9), pages: 2039-2056), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/1540496X.2018.1517042 – link to the publication

Performance Persistence in Anomaly Returns: Evidence from Frontier Markets

Authors:

Adam Zaremba

Academic press:

Emerging Markets Finance and Trade (year: 2019, volume: 56(12), pages: 2852-2873), Publisher: Taylor & Francis

Status:

Published

DOI:

10.1080/1540496X.2019.1605594 – link to the publication

Price-Based Investment Strategies: How Research Discoveries Reinvented Technical Analysis

Authors:

Adam Zaremba, Jacob Shemer

Book:

Price-Based Investment Strategies: How Research Discoveries Reinvented Technical Analysis (year: 2018, volume: N/D, pages: 1-325), Publisher: Palgrave Macmillan

Status:

Published

Predicting Country Equity Returns: Data, Methods, and Empirical Evidence

Authors:

Tomasz Miziołek, Ewa Feder-Sempach, Adam Zaremba

Book:

International Equity Exchange-Traded Funds Navigating Global ETF Market Opportunities and Risks (year: 2020, volume: Rozdział 9, pages: 309-349), Publisher: Palgrave Macmillan

Status:

Published