Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Risk premia in international government bond markets

2015/19/B/HS4/00378

Keywords:

government bonds asset pricing cross section of stock returns international financial 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, Instytut Finansów

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: OPUS 10 - announced on 2015-09-15

Amount awarded: 244 721 PLN

Project start date (Y-m-d): 2016-06-09

Project end date (Y-m-d): 2020-12-08

Project duration:: 54 months (the same as in the proposal)

Project status: Project settled

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 (12)
  1. The cross section of international government bond returns
    Authors:
    Adam Zaremba, Anna Czapkiewicz
    Academic press:
    Economic Modelling (rok: 2017, tom: 66, strony: 171-183), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.econmod.2017.06.011 - link to the publication
  2. The sources of momentum in international government bond returns
    Authors:
    Adam Zaremba, George Kambouris
    Academic press:
    Applied Economics (rok: 2019, tom: 51 (8), strony: 848-857), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/00036846.2018.1524132 - link to the publication
  3. Cross-sectional return seasonalities in international government bond returns
    Authors:
    Adam Zaremba
    Academic press:
    Journal of Banking and Finance (rok: 2019, tom: 89, strony: 80-94), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2018.11.004 - link to the publication
  4. Spillover and Risk Transmission in the Components of the Term Structure of Eurozone Yield Curve
    Authors:
    Zaghum Umar, Yasir Riaz, Adam Zaremba
    Academic press:
    Applied Economics (rok: 2021, tom: 53(18), strony: 2141-2157), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/00036846.2020.1856322 - link to the publication
  5. Term Spreads and the COVID-19 Pandemic: Evidence from International Sovereign Bond M arkets
    Authors:
    Adam Zaremba, Renatas Kizys§, David Y. Aharon, Zaghum Umar
    Academic press:
    Finance Research Letters (rok: 2021, tom: N/A, strony: N/A), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2021.102042 - link to the publication
  6. Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies
    Authors:
    Adam Zaremba, George D. Kambouris, Andreas Karathanasopoulos
    Academic press:
    Economics Letters (rok: 2019, tom: 182, strony: 26-29), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.econlet.2019.05.043 - link to the publication
  7. Volatility in International Sovereign Bond Markets: The Role of Government Policy Responses to the COVID-19 Pandemic
    Authors:
    Adam Zaremba, Renatas Kizys §, David Y. Aharon
    Academic press:
    Finance Research Letters (rok: 2021, tom: N/A, strony: N/A), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2021.102011 - link to the publication
  8. Limits to arbitrage, investor sentiment, and factor returns in international government bond markets
    Authors:
    Adam Zaremba, Jan Jakub Szczygielski
    Academic press:
    Economic Research (rok: 2019, tom: 32(1), strony: 1727-1741), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/1331677X.2019.1638286 - link to the publication
  9. Seasonality in government bond returns and factor premia
    Authors:
    Adam Zaremba, Tomasz Schabek
    Academic press:
    Research in International Business and Finance (rok: 2017, tom: 41, strony: 292-302), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ribaf.2017.04.036 - link to the publication
  10. Performance persistence of government bond factor premia
    Authors:
    Adam Zaremba
    Academic press:
    Finance Research Letters, (rok: 2017, tom: 22, strony: 182-189), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2016.12.022 - link to the publication
  11. Return seasonalities in government bonds and macroeconomic risk
    Authors:
    Mateusz Mikutowski, Andreas Karathanasopoulos, Adam Zaremba
    Academic press:
    Economics Letters (rok: 2019, tom: 176, strony: 114-116), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.econlet.2019.01.012 - link to the publication
  12. Short-term momentum (almost) everywhere
    Authors:
    Adam Zaremba, Huaigang Long, Andreas Karathanasopoulos
    Academic press:
    Journal of International Financial Markets, Institutions and Money (rok: 2019, tom: 63 (101140), strony: 45309), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2019.101140 - link to the publication

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