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The cross-section of stock returns in frontier emerging markets

2016/23/B/HS4/00731

Keywords:

cross section of stock returns frontier markets asset pricing factor models equity anomalies

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: 2

Call: OPUS 12 - announced on 2016-09-15

Amount awarded: 212 620 PLN

Project start date (Y-m-d): 2017-07-25

Project end date (Y-m-d): 2021-05-24

Project duration:: 46 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 (24)
  • Book publications / chapters in book publications (2)
  1. 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 (rok: 2019, tom: 55(9), strony: 2039-2056), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/1540496X.2018.1517042 - link to the publication
  2. 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 (rok: 2021, tom: 97, strony: 348-364), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.econmod.2020.04.006 - link to the publication
  3. 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 (rok: 2021, tom: 77, strony: 101819), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.irfa.2021.101819 - link to the publication
  4. Is there an illiquidity premium in frontier markets?
    Authors:
    Szymon Stereńczak, Adam Zaremba, Zaghum Umar
    Academic press:
    Emerging Markets Review (rok: 2019, tom: 42(100673), strony: 45310), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ememar.2019.100673 - link to the publication
  5. Oil shocks and equity markets: The case of GCC and BRICS economies
    Authors:
    Zaghum Umar, Nader Trabelsi, Adam Zaremba
    Academic press:
    Energy Economics (rok: 2021, tom: 96, strony: 105155), Wydawca: Elsveier
    Status:
    Published
    DOI:
    10.1016/j.eneco.2021.105155 - link to the publication
  6. Performance Persistence in Anomaly Returns: Evidence from Frontier Markets
    Authors:
    Adam Zaremba
    Academic press:
    Emerging Markets Finance and Trade (rok: 2019, tom: 56(12), strony: 2852-2873), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/1540496X.2019.1605594 - link to the publication
  7. 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 (rok: 2021, tom: 56, strony: 101359), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ribaf.2020.101359 - link to the publication
  8. The Cross Section of Country Equity Returns: A Review of Empirical Literature
    Authors:
    Adam Zaremba
    Academic press:
    Journal of Risk and Financial Management (rok: 2019, tom: 12(165), strony: 45317), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/jrfm12040165 - link to the publication
  9. 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 (rok: 2020, tom: 121, strony: 105966), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2020.105966 - link to the publication
  10. 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 (rok: 2019, tom: 51(44), strony: 4870-4881), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/00036846.2019.1602717 - link to the publication
  11. 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 (rok: 2020, tom: 62, strony: 101024), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.pacfin.2018.05.006 - link to the publication
  12. 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 (rok: 2021, tom: 84, strony: 104281), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.tourman.2020.104281 - link to the publication
  13. 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 (rok: 2019, tom: 31(2), strony: 3077-3093), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/1331677X.2019.1653782 - link to the publication
  14. Price nonsynchronicity, idiosyncratic risk, and the expected stock returns in China
    Authors:
    Huaigang Long, Adam Zaremba, Yuexiang Jiang
    Academic press:
    Economic Research-Ekonomska Istraživanja (rok: 2020, tom: 33(1), strony: 160-181), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/1331677X.2019.1710229 - link to the publication
  15. The cross-section of returns in frontier equity markets: Integrated or segmented pricing?
    Authors:
    Adam Zaremba, Alina Maydybura
    Academic press:
    Emerging Markets Review (rok: 2019, tom: 38, strony: 219-238), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ememar.2019.02.003 - link to the publication
  16. 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 (rok: 2020, tom: -, strony: -), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/10293523.2020.1723854 - link to the publication
  17. 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 (rok: 2021, tom: b.d., strony: b.d.), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/00036846.2021.1937499 - link to the publication
  18. 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 (rok: 2019, tom: -, strony: -), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/1540496X.2019.1612361 - link to the publication
  19. Idiosyncratic volatility and the cross-section of anomaly returns: is risk your Ally?
    Authors:
    Adam Zaremba, Alina Maydybura
    Academic press:
    Applied Economics (rok: 2019, tom: 51(49), strony: 5388-5397), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/00036846.2019.1613505 - link to the publication
  20. 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 (rok: 2020, tom: 35, strony: 101597), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2020.101597 - link to the publication
  21. Liquidity and the cross-section of international stock returns
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of Banking and Finance (rok: 2021, tom: 127, strony: 106123), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2021.106123 - link to the publication
  22. 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 (rok: 2021, tom: 71, strony: 101284), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2021.101284 - link to the publication
  23. Idiosyncratic risk and cross-section of stock returns in European emerging markets
    Authors:
    Tomasz Wójtowicz, Anna Czapkiewicz, Adam Zaremba
    Academic press:
    Economic Modelling , Wydawca: Elsevier
    Status:
    Submitted
    DOI:
    brak - link to the publication
  24. When Bad News is Good News: Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
    Authors:
    Adam Zaremba, Nusret Cakici, Ender Demir
    Academic press:
    Journal of Financial Stability , Wydawca: Elsevier
    Status:
    Submitted
    DOI:
    brak - link to the publication
  1. 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 (rok: 2018, tom: N/D, strony: 1-325), Wydawca: Palgrave Macmillan
    Status:
    Published
  2. 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 (rok: 2020, tom: Rozdział 9, strony: 309-349), Wydawca: Palgrave Macmillan
    Status:
    Published

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