Machine learning, big data, and the cross-section of stock returns in international markets
2022/45/B/HS4/00451
Keywords
Descriptors
- HS4_006: Rynki finansowe, finanse międzynarodowe, finanse publiczne
Panel
HS4 – Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution
Uniwersytet Ekonomiczny w Poznaniu, Instytut Finansów
Voivodeship: wielkopolskie
Principal investigator (from the host institution)
Number of co-investigators in the project: 2
Call
OPUS 23 – announced on 2022-03-28
- Amount awarded
- 503 145 PLN
- Project start date
- 2023-01-27
- Project end date
- 2027-01-26
- Project duration
- 48 months (the same as in the proposal)
- Project status
- Pending project
Project description
Download the project description in a pdf file
Note — project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.
Information in the final report
Publication in academic press/journals (6)
-
Do Anomalies Really Predict Market Returns? New Data and New Evidence
- Authors:
- Nusret Cakici, Christian Fieberg, Daniel Metko, Adam Zaremba
- Academic press:
- Review of Finance (year: 2023, volume: 28(1), pages: 16072), Publisher: Oxford Academics
- Status:
- Published
- DOI:
- 10.1093/rof/rfad025 – link to the publication
-
Cross-country factor momentum
- Authors:
- Christian Fieberg, Daniel Metko, Adam Zaremba
- Academic press:
- Economics Letters (year: 2024, volume: 235, pages: 111552), Publisher: Elsevier
- Status:
- Published
- DOI:
- 10.1016/j.econlet.2024.111552 – link to the publication
-
Factor momentum versus price momentum: Insights from international markets
- Authors:
- Nusret Cakici, Christian Fieberg, Daniel Metko, Adam Zaremba
- Academic press:
- Journal of Banking and Finance (year: 2024, volume: 170, pages: 107332), Publisher: Elsevier
- Status:
- Published
- DOI:
- 10.1016/j.jbankfin.2024.107332 – link to the publication
-
A factor model for the cross-section of country equity risk premia
- Authors:
- Christian Fieberg, Gerrit Liedtke, Adam Zaremba, Nusret Cakici
- Academic press:
- Journal of Banking and Finance (year: 2024, volume: 171, pages: 107373), Publisher: Elsevier
- Status:
- Published
- DOI:
- 10.1016/j.jbankfin.2024.107373 – link to the publication
-
Machine learning goes global: Cross-sectional return predictability in international stock markets
- Authors:
- Nusret Cakici, Christian Fieberg, Daniel Metko, Adam Zaremba
- Academic press:
- Journal of Economic Dynamics and Control (year: 2023, volume: 155, pages: 104725), Publisher: Elsevier
- Status:
- Published
- DOI:
- 10.1016/j.jedc.2023.104725 – link to the publication
-
Factor seasonalities: International and further evidence
- Authors:
- Aleksander Mercik, Daniel Cupriak, Adam Zaremba
- Academic press:
- Finance Research Letters (year: 2023, volume: 58, Part A, pages: 104293), Publisher: Elsevier
- Status:
- Published
- DOI:
- 10.1016/j.frl.2023.104293 – link to the publication