Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

Delete all

Machine learning, big data, and the cross-section of stock returns in international markets

2022/45/B/HS4/00451

Keywords:

machine learning big data return predictability the cross-section of stock returns international financial markets equity anomalies asset pricing

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: 2

Call: OPUS 23 - announced on 2022-03-28

Amount awarded: 503 145 PLN

Project start date (Y-m-d): 2023-01-27

Project end date (Y-m-d): 2026-01-26

Project duration:: 36 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 (4)
  1. 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 (rok: 2023, tom: 28(1), strony: 16072), Wydawca: Oxford Academics
    Status:
    Published
    DOI:
    10.1093/rof/rfad025 - link to the publication
  2. 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 (rok: 2023, tom: 155, strony: 104725), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jedc.2023.104725 - link to the publication
  3. Cross-country factor momentum
    Authors:
    Christian Fieberg, Daniel Metko, Adam Zaremba
    Academic press:
    Economics Letters (rok: 2024, tom: 235, strony: 111552), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.econlet.2024.111552 - link to the publication
  4. Factor seasonalities: International and further evidence
    Authors:
    Aleksander Mercik, Daniel Cupriak, Adam Zaremba
    Academic press:
    Finance Research Letters (rok: 2023, tom: 58, Part A, strony: 104293), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.frl.2023.104293 - link to the publication

O Narodowym Centrum Nauki

Finansowanie nauki

Współpraca zagraniczna

Centrum prasowe

Deklaracja dostępności
Przetwarzanie danych osobowych
Polityka cookies

Partnerzy