Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Factor premia across asset classes: Insights from two centuries worth of data

2019/33/B/HS4/01021

Keywords:

premie czynnikowe premia za ryzyko ilościowe strategie giełdowe wczesne dane z rynków finansowych dane długoterminowe akcje obligacje surowce waluty bony skarbowe

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.

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Adam Zaremba 

Number of co-investigators in the project: 1

Call: OPUS 17 - announced on 2019-03-15

Amount awarded: 343 862 PLN

Project start date (Y-m-d): 2020-02-24

Project end date (Y-m-d): 2024-08-23

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

Project status: Project completed

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 (36)
  1. Market segmentation and international diversification across country and industry portfolios
    Authors:
    Mehmet Umutlu, Seher Goren Yargi, Adam Zaremba
    Academic press:
    Research in International Business and Finance (rok: 2023, tom: 65, strony: 101954), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.ribaf.2023.101954 - link to the publication
  2. ESG investing in good and bad times: An international study
    Authors:
    Huaigang Long, Mardy Chiah, Nusret Cakici, Adam Zaremba, Mehmet Huseyin Bilgin
    Academic press:
    Journal of International Financial Markets, Institutions and Money (rok: 2024, tom: 91, strony: 101916), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2023.101916 - link to the publication
  3. Composite equity issuance and the cross-section of country and industry returns
    Authors:
    Huaigang Long, Mardy Chiah, Adam Zaremba, Zaghum Umar
    Academic press:
    Applied Economics (rok: 2023, tom: -, strony: -), Wydawca: Taylor & Francis
    Status:
    Accepted for publication
    DOI:
    10.1080/00036846.2022.2161992 - link to the publication
  4. Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020
    Authors:
    Zaghum Umar, Yasir Riaz, Adam Zaremba
    Academic press:
    Finance Research Letters (rok: 2021, tom: 43, strony: 101999), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2021.101999 - link to the publication
  5. Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of International Financial Markets, Institutions & Money (rok: 2021, tom: 71, strony: 101333), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2021.101333 - link to the publication
  6. Long-run reversal in commodity returns: Insights from seven centuries of evidence
    Authors:
    Adam Zaremba, Robert J. Bianchi, Mateusz Mikutowski
    Academic press:
    Journal of Banking and Finance (rok: 2021, tom: 133, strony: 106238), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2021.106238 - link to the publication
  7. Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of International Financial Markets, Institutions & Money (rok: 2021, tom: 71, strony: 101333), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2021.101333 - link to the publication
  8. Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020
    Authors:
    Zaghum Umar, Yasir Riaz, Adam Zaremba
    Academic press:
    Finance Research Letters (rok: 2021, tom: 43, strony: 101999), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2021.101999 - link to the publication
  9. Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns
    Authors:
    Huaigang Long, Adam Zaremba, Wenyu Zhou, Elie Bouri
    Academic press:
    Journal of Financial Markets (rok: 2022, tom: 61, strony: 100736), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.finmar.2022.100736 - link to the publication
  10. Salience theory and the cross-section of stock returns: International and further evidence
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of Financial Economics (rok: 2021, ), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.010 - link to the publication
  11. Air temperature and sovereign bond returns
    Authors:
    Renatas Kizys, Wael Rouatbi, Zaghum Umar, Adam Zaremba
    Academic press:
    Financial Markets, Institutions & Instruments (rok: 2024, tom: in press, strony: -), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1111/fmii.12192 - link to the publication
  12. Interest rate changes and the cross-section of global equity returns
    Authors:
    Adam Zaremba, Nusret Cakici, Robert J. Bianchi, Huaigang Long
    Academic press:
    Journal of Economic Dynamics and Control (rok: 2023, tom: 147, strony: 104596), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jedc.2023.104596 - link to the publication
  13. Composite equity issuance and the cross-section of country and industry returns
    Authors:
    Huaigang Long, Mardy Chiah, Adam Zaremba, Zaghum Umar
    Academic press:
    Applied Economics (rok: 2023, tom: -, strony: -), Wydawca: Taylor & Francis
    Status:
    Accepted for publication
    DOI:
    10.1080/00036846.2022.2161992 - link to the publication
  14. Recency bias and the cross-section of international stock returns
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of International Financial Markets, Institutions and Money (rok: 2023, tom: 84, strony: 101738), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2023.101738 - link to the publication
  15. Inflation Hedging in the Long Run: Practical Perspectives from Seven Centuries of Commodity Prices
    Authors:
    Adam Zaremba, Jan J. Szczygielski, Zaghum Umar, Mateusz Mikutowski
    Academic press:
    Journal of Alternative Investments (rok: 2021, tom: 24(1), strony: 119-134), Wydawca: Portfolio Management Research
    Status:
    Published
    DOI:
    10.3905/jai.2021.1.136 - link to the publication
  16. Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of International Financial Markets, Institutions & Money (rok: 2021, tom: 71, strony: 101333), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2021.101333 - link to the publication
  17. Long-run reversal in commodity returns: Insights from seven centuries of evidence
    Authors:
    Adam Zaremba, Robert J. Bianchi, Mateusz Mikutowski
    Academic press:
    Journal of Banking and Finance (rok: 2021, tom: 133, strony: 106238), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2021.106238 - link to the publication
  18. Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of Banking and Finance (rok: 2023, tom: 149, strony: 106760), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2023.106760 - link to the publication
  19. Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of Banking and Finance (rok: 2023, tom: 149, strony: 106760), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2023.106760 - link to the publication
  20. Salience theory and the cross-section of stock returns: International and further evidence
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of Financial Economics (rok: 2021, ), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.010 - link to the publication
  21. Long-run reversal in commodity returns: Insights from seven centuries of evidence
    Authors:
    Adam Zaremba, Robert J. Bianchi, Mateusz Mikutowski
    Academic press:
    Journal of Banking and Finance (rok: 2021, tom: 133, strony: 106238), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jbankfin.2021.106238 - link to the publication
  22. False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927-1987)
    Authors:
    Nusret Cakici, Adam Zaremba, Robert J. Bianchi, Nga Pham
    Academic press:
    Pacific-Basin Finance Journal (rok: 2021, tom: 70, strony: 101675), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.pacfin.2021.101675 - link to the publication
  23. Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020
    Authors:
    Zaghum Umar, Yasir Riaz, Adam Zaremba
    Academic press:
    Finance Research Letters (rok: 2021, tom: 43, strony: 101999), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2021.101999 - link to the publication
  24. Trade competitiveness and the aggregate returns in global stock markets
    Authors:
    Mardy Chiah, Huaigang Long, Adam Zaremba, Zaghum Umar
    Academic press:
    Journal of Economic Dynamids and Control (rok: 2023, tom: 148, strony: 104618), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jedc.2023.104618 - link to the publication
  25. Changes in shares outstanding and country stock returns around the world
    Authors:
    Huaigang Long, Mardy Chiah, Adam Zaremba, Zaghum Umar
    Academic press:
    Journal of International Financial Markets, Institutions & Money (rok: 2024, tom: 90, strony: 101883), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2023.101883 - link to the publication
  26. Seven centuries of commodity co-movement: A wavelet analysis approach
    Authors:
    Zaghum Umar, Adam Zaremba, Deni Olson
    Academic press:
    Applied Economic Letters (rok: 2022, tom: 29(4), strony: 355-359), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/13504851.2020.1869151 - link to the publication
  27. Seven centuries of commodity co-movement: A wavelet analysis approach
    Authors:
    Zaghum Umar, Adam Zaremba, Deni Olson
    Academic press:
    Applied Economic Letters (rok: 2022, tom: 29(4), strony: 355-359), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/13504851.2020.1869151 - link to the publication
  28. Interest rate changes and the cross-section of global equity returns
    Authors:
    Adam Zaremba, Nusret Cakici, Robert J. Bianchi, Huaigang Long
    Academic press:
    Journal of Economic Dynamics and Control (rok: 2023, tom: 147, strony: 104596), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jedc.2023.104596 - link to the publication
  29. False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927-1987)
    Authors:
    Nusret Cakici, Adam Zaremba, Robert J. Bianchi, Nga Pham
    Academic press:
    Pacific-Basin Finance Journal (rok: 2021, tom: 70, strony: 101675), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.pacfin.2021.101675 - link to the publication
  30. Salience theory and the cross-section of stock returns: International and further evidence
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of Financial Economics (rok: 2021, ), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.010 - link to the publication
  31. Inflation Hedging in the Long Run: Practical Perspectives from Seven Centuries of Commodity Prices
    Authors:
    Adam Zaremba, Jan J. Szczygielski, Zaghum Umar, Mateusz Mikutowski
    Academic press:
    Journal of Alternative Investments (rok: 2021, tom: 24(1), strony: 119-134), Wydawca: Portfolio Management Research
    Status:
    Published
    DOI:
    10.3905/jai.2021.1.136 - link to the publication
  32. False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927-1987)
    Authors:
    Nusret Cakici, Adam Zaremba, Robert J. Bianchi, Nga Pham
    Academic press:
    Pacific-Basin Finance Journal (rok: 2021, tom: 70, strony: 101675), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.pacfin.2021.101675 - link to the publication
  33. Machine learning goes global: Cross-sectional return predictability in international stock markets
    Authors:
    Nusret Cakici, Christian Fieber, Daniel Metko, Adam Zaremba
    Academic press:
    Journal of Economic Dynamics and Control (rok: 2023, tom: 155, strony: 104725), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jedc.2023.104725 - link to the publication
  34. Recency bias and the cross-section of international stock returns
    Authors:
    Nusret Cakici, Adam Zaremba
    Academic press:
    Journal of International Financial Markets, Institutions and Money (rok: 2023, tom: 84, strony: 101738), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.intfin.2023.101738 - link to the publication
  35. Trade competitiveness and the aggregate returns in global stock markets
    Authors:
    Mardy Chiah, Huaigang Long, Adam Zaremba, Zaghum Umar
    Academic press:
    Journal of Economic Dynamids and Control (rok: 2023, tom: 148, strony: 104618), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jedc.2023.104618 - link to the publication
  36. Inflation Hedging in the Long Run: Practical Perspectives from Seven Centuries of Commodity Prices
    Authors:
    Adam Zaremba, Jan J. Szczygielski, Zaghum Umar, Mateusz Mikutowski
    Academic press:
    Journal of Alternative Investments (rok: 2021, tom: 24(1), strony: 119-134), Wydawca: Portfolio Management Research
    Status:
    Published
    DOI:
    10.3905/jai.2021.1.136 - link to the publication

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