Adam Zaremba

Montpellier Business School

Associate Professor of Finance

2300 Avenue des Moulins

Montpellier, Occitanie 34000

France

http://sites.google.com/view/adamzaremba

Poznan University of Economics and Business

al. Niepodległości 10

Poznań, 61-875

Poland

University of Cape Town

Cape Town

South Africa

SCHOLARLY PAPERS

95

DOWNLOADS
Rank 1,920

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Top 1,920

in Total Papers Downloads

30,130

SSRN CITATIONS
Rank 6,026

SSRN RANKINGS

Top 6,026

in Total Papers Citations

274

CROSSREF CITATIONS

31

Scholarly Papers (95)

1.

ChatGPT: Unlocking the Future of NLP in Finance

Modern Finance, 2023, Vol 1, No. 1, pp. 93-98. https://doi.org/10.61351/mf.v1i1.43
Number of pages: 9 Posted: 13 Jan 2023 Last Revised: 15 Nov 2023
Adam Zaremba and Ender Demir
Montpellier Business School and Istanbul Medeniyet University
Downloads 5,425 (3,059)
Citation 22

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Natural Language Processing (NLP), ChatGPT, GPT (Generative Pretraining Transformer), finance, financial applications, ethical considerations, regulatory considerations, future research directions.

2.

Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets

Number of pages: 54 Posted: 28 Jun 2022 Last Revised: 16 Mar 2023
Fordham university, City University of Applied Sciences, University of Bremen and Montpellier Business School
Downloads 1,509 (24,202)
Citation 10

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machine learning, return predictability, international stock markets, the cross-section of stock returns, forecast combination, asset pricing, firm size

3.

Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

Business and Economics Research Journal, 2016, vol. 7, no. 1, pp. 31-46.
Number of pages: 16 Posted: 23 Jul 2014 Last Revised: 09 Apr 2016
Adam Zaremba
Montpellier Business School
Downloads 1,062 (40,318)
Citation 4

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commodity futures, financialization, momentum, term structure, backwardation, contango, double-sort strategy

4.

Did David Win a Battle or the War Against Goliath? Dynamic Return and Volatility Connectedness between the GameStop Stock and the High Short Interest Indices

Number of pages: 18 Posted: 18 Mar 2021
Ono Academic College, University of Southampton, Southampton Business School, Department of Banking and Finance, Zayed University - College of Business and Montpellier Business School
Downloads 1,011 (43,254)

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Static and Dynamic Connectedness, GameStop, Short-Interest Index, Stock Returns, Return Volatility, Spillovers, WallStreetBets

5.

Short-Term Momentum (Almost) Everywhere

Number of pages: 64 Posted: 14 Mar 2019
Montpellier Business School, University of Dubai and Zhejiang University
Downloads 882 (52,252)
Citation 7

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short-term momentum, short-term reversal, early asset prices, long-term historical returns, equities, government bonds, treasury bills, currency, commodities

6.

Pockets of Predictability: A Replication

Journal of Finance, Forthcoming
Number of pages: 21 Posted: 16 Feb 2024
Fordham university, City University of Applied Sciences, University of Bremen, University of Bremen and Montpellier Business School
Downloads 827 (57,371)
Citation 1

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return predictability, stock market, time-varying expected returns, out-of-sample forecasts, kernel regression, market timing

7.

Recency Bias and the Cross-Section of International Stock Returns

Number of pages: 61 Posted: 01 May 2021 Last Revised: 28 Nov 2022
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 784 (61,392)
Citation 1

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chronological return ordering, recency bias, behavioral finance, the cross-section of stock returns, asset pricing, return predictability, international markets

8.

Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence

Number of pages: 59 Posted: 24 Jan 2019 Last Revised: 26 Jun 2020
Montpellier Business School, Griffith UniversityGriffith University and Poznan University of Economics and Business
Downloads 700 (71,129)
Citation 2

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long-run reversal, commodity markets, early commodity prices, long-term historical returns, mean reversion, trading strategies

9.

Alpha Momentum and Alpha Reversal in Country and Industry Equity Indexes

Number of pages: 62 Posted: 29 Aug 2018
Montpellier Business School, Edinburgh Napier University, The Business School, Accounting and Finance Subject Group and University of Dubai
Downloads 625 (82,065)
Citation 4

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alpha momentum, alpha reversal, international investment, country momentum, country reversal, industry momentum, industry reversal, asset pricing, the cross-section of returns return predictability, equity anomalies

10.

Machine Learning and the Cross-Section of Cryptocurrency Returns

Number of pages: 65 Posted: 11 Dec 2022 Last Revised: 17 May 2023
Fordham university, Montpellier Business School, Poznań University of Economics and Business and Montpellier Business School
Downloads 578 (90,580)

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cryptocurrency markets, machine learning, return predictability, limits to arbitrage, asset pricing, the cross-section of returns

11.

Responsible Investing: ESG Ratings and the Cross-Section of International Stock Returns

Number of pages: 39 Posted: 11 Oct 2021 Last Revised: 10 Jan 2022
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 549 (96,674)
Citation 1

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corporate social responsibility, sustainable investing, environmental, social, and governance ratings, ESG, the cross-section of stock returns, international markets, return predictability, asset pricing, size premium, small firm effect

12.

The Momentum Effect in Country-Level Stock Market Anomalies

Economic Research, 2018, 31(1), 703-721
Number of pages: 20 Posted: 13 Feb 2019
Adam Zaremba
Montpellier Business School
Downloads 532 (100,530)
Citation 7

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country-level patterns; equity anomalies, factor investing; international diversification; momentum; returns predictability

13.

A Trend Factor for the Cross-Section of Cryptocurrency Returns

Number of pages: 74 Posted: 09 Nov 2023 Last Revised: 30 Nov 2023
City University of Applied Sciences, University of Bremen, University of Bremen, Concordia University, Quebec and Montpellier Business School
Downloads 528 (101,715)
Citation 4

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cryptocurrency markets, asset pricing, anomalies, return predictability, technical analysis, the cross-section of returns

14.

Salience Theory and the Cross-Section of Stock Returns: International and Further Evidence

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 17 Dec 2020 Last Revised: 19 Oct 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 520 (103,418)

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salience theory, probability weighting, microcaps, asset pricing, firm size, return predictability, equity anomalies, international markets, replication

15.

Size, Value, Profitability, and Investment Effects in International Stock Returns: Are They Really There?

Journal of Investing, Forthcoming
Number of pages: 36 Posted: 25 May 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 502 (107,923)
Citation 1

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Five-Factor Model, Size, Value, Profitability, Investment, Asset Pricing, International Stock Markets, Small-Minus-Big (SMB), High-Minus-Low (HML), Robust-Minus-Weak (RMW), Conservative-Minus-Aggressive (CMA)

16.

Small-Minus-Big Predicts Betting-Against-Beta: Implications for International Equity Allocation and Market Timing

This article has been accepted for publication in INVESTMENT ANALYSTS JOURNAL, published by Taylor & Francis.
Number of pages: 35 Posted: 19 Aug 2018 Last Revised: 27 Oct 2020
Adam Zaremba
Montpellier Business School
Downloads 497 (109,290)
Citation 2

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Small-Firm Premium, Size Effect, Low-Beta Anomaly, Small-Minus-Big, Betting-Against-Beta, SMB, BAB, Asset Pricing, Factor Timing, International Equity Allocation

17.

Strategies Can Be Expensive Too! The Value Spread and Asset Allocation in Global Equity Markets

Applied Economics, 2018, 50 (60): 6529-6546
Number of pages: 39 Posted: 01 Mar 2019
Adam Zaremba and Mehmet Umutlu
Montpellier Business School and Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 492 (110,571)
Citation 3

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value spread, country-level anomalies, country-selection strategies, asset allocation, asset pricing, international investment, return predictability, equity anomalies, the cross-section of returns

18.

Size, value, and momentum in Polish equity returns: Local or international factors?

Number of pages: 30 Posted: 17 Feb 2014 Last Revised: 22 Jul 2017
Adam Zaremba and Przemyslaw Konieczka
Montpellier Business School and Warsaw School of Economics (SGH)
Downloads 449 (123,257)
Citation 5

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value effect, size effect, momentum effect, Fama-French three-factor model, Carhart-four-factor model, Polish market, asset pricing, market segmentation

19.

The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic: Evidence from International Stock Markets

Number of pages: 61 Posted: 22 Jun 2020
Montpellier Business School, University of Southampton, Southampton Business School, Department of Banking and Finance, University of Portsmouth - Department of Accounting and Finance, Ono Academic College and Istanbul Medeniyet University
Downloads 413 (135,808)
Citation 4

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COVID-19, Economy, Financial Immunity, Fundamentals, Government Interventions, Policy Responses, Healthcare, International Stock Markets, Institutions, National Culture, Governance, Novel Coronavirus

20.

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Number of pages: 50 Posted: 19 Sep 2019
Adam Zaremba
Montpellier Business School
Downloads 403 (139,751)
Citation 6

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cross section of country equity returns, country-level stock market anomalies, empirical asset pricing, international equity markets, return predictability

21.

Factor Seasonalities: International and Further Evidence

Number of pages: 14 Posted: 26 Jun 2023
Wroclaw University of Economics and Business, Wroclaw University of Economics and Business and Montpellier Business School
Downloads 387 (146,273)

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equity anomalies, return-predictability, seasonality, factor timing, the cross-section of stock returns, factor investing

22.

Twitter-Based Uncertainty and Cryptocurrency Returns

Number of pages: 26 Posted: 22 Mar 2021
Ono Academic College, Istanbul Medeniyet University, Teesside University and Montpellier Business School
Downloads 372 (152,866)

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Uncertainty, Twitter, Cryptocurrency, Bitcoin, Quantile-in-Quantile, Directional test, Granger-causality, Copula

23.

Inflation, Business Cycles, and Commodity Investing in Financialized Markets

Business and Economics Research Journal Volume 6 Number 1 2015
Number of pages: 18 Posted: 02 Feb 2014 Last Revised: 23 Feb 2015
Adam Zaremba
Montpellier Business School
Downloads 372 (152,866)
Citation 2

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commodities, inflation hedging, macroeconomic determinants, business cycle, financialization

24.

Herding for Profits: Market Breadth and the Cross-Section of Global Equity Returns

Number of pages: 45 Posted: 29 Aug 2019
Montpellier Business School, Warsaw School of Economics, University of Dubai and Poznan University of Economics and Business
Downloads 356 (160,459)
Citation 2

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Herding, Market Breadth, Return Predictability, Asset Pricing, Portfolio Allocation

25.

The January Seasonality and the Performance of Country-Level Value and Momentum Strategies

Copernican Journal of Finance & Accounting, volume 4, issue 2, pp.195-209, 2015
Number of pages: 16 Posted: 12 May 2016
Adam Zaremba
Montpellier Business School
Downloads 342 (167,520)

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January Effect; Turn-Of-The-Year Effect; Value; Momentum; Country-Level Anomalies; International Investments; Cross Section of Stock Returns; Asset Pricing

26.

Hedging Geopolitical Risks with Different Asset Classes: A Focus on the Russian Invasion of Ukraine

Number of pages: 15 Posted: 16 May 2022
Poznań University of Economics and Business, Istanbul Medeniyet University and Montpellier Business School
Downloads 339 (169,099)

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geopolitical risk hedging, Russia-Ukraine war, invasion, financial markets, wavelet coherence analysis, co-movement

27.

Is there Momentum in Factor Premia? Evidence from International Equity Markets

Research in International Business and Finance (2018) Volume 46 Pages 120-130
Number of pages: 22 Posted: 01 Mar 2019
Adam Zaremba and Koby Shemer
Montpellier Business School and AlphaBeta
Downloads 325 (176,989)
Citation 2

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momentum, factor premium, asset pricing, value, size, quality, low-volatility, style momentum, performance persistence, international equity markets, market efficiency, return predictability

28.

Mergers and Acquisitions: Evidence on Post-Announcement Performance from CEE Stock Markets

Journal of Business Economics and Management, 2016, 17(2), 251-266
Number of pages: 20 Posted: 10 Nov 2014 Last Revised: 10 May 2016
Adam Zaremba and Michał Płotnicki
Montpellier Business School and Warsaw School of Economics (SGH) - Collegium of World Economy
Downloads 313 (184,048)
Citation 1

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event study, mergers and acquisitions, short-term performance, long-run performance, Central and Eastern Europe, stock market, abnormal returns

29.

Liquidity and the Cross-Section of International Stock Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 38 Posted: 02 Mar 2020 Last Revised: 20 Mar 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 301 (191,963)

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illiquidity premium, liquidity effect, international markets, microcaps, Amihud’s measure, turnover ratio, bid-ask spread, zero-return days, asset pricing, return predictability

30.

The Long-Run Reversal in the Long Run: Insights from Two Centuries of International Equity Returns

Number of pages: 59 Posted: 29 Aug 2019 Last Revised: 09 Sep 2020
Montpellier Business School, University of Southampton, Southampton Business School, Department of Banking and Finance and Shadeed Benazir Bhutto University, Dir, Pakistan
Downloads 285 (203,087)
Citation 10

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long-term reversal, long-run reversal, country equity indices, early security data, equity anomalies, asset pricing, return predictability

31.

Do Anomalies Really Predict Market Returns? New Data and New Evidence

Review of Finance, Forthcoming
Number of pages: 48 Posted: 01 Sep 2023
Fordham university, City University of Applied Sciences, University of Bremen and Montpellier Business School
Downloads 283 (204,555)
Citation 1

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equity anomalies, return predictability, machine learning, international stock markets, equity premium

32.

The Cross Section of International Government Bond Returns

Number of pages: 48 Posted: 05 Oct 2016 Last Revised: 13 Feb 2019
Adam Zaremba and Anna Czapkiewicz
Montpellier Business School and AGH University of Science and Technology
Downloads 277 (209,116)
Citation 5

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asset pricing, government bonds, sovereign bonds, fixed-income securities, international markets, cross section of returns, value, momentum, credit risk, volatility

33.

Country Risk and Expected Returns across Global Equity Markets

Number of pages: 40 Posted: 12 May 2016 Last Revised: 02 Dec 2016
Adam Zaremba
Montpellier Business School
Downloads 274 (211,537)
Citation 5

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Country Risk; Sovereign Risk; Political Risk; Currency Risk; Banking Sector Risk; Economic Risk; Country Asset Allocation; Country Selection Strategies; Return Predictability; International Asset Pricing; Cross-Section of Returns; International Diversification

34.

COVID-19, Government Policy Responses, and Stock Market Liquidity around the World: A Note

Number of pages: 18 Posted: 24 Jun 2020 Last Revised: 03 Aug 2020
Montpellier Business School, Ono Academic College, Istanbul Medeniyet University, University of Southampton, Southampton Business School, Department of Banking and Finance and Poznan University of Economics - Department of Investment and Capital Markets
Downloads 270 (214,663)
Citation 1

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novel coronavirus, COVID-19, stock market liquidity, turnover ratio, non-pharmaceutical interventions, government policy responses, international financial markets

35.

Are Value, Size and Momentum Premiums in CEE Emerging Markets Only Illusionary?

Finance a úvěr-Czech Journal of Economics and Finance, 65(1), 84-104
Number of pages: 21 Posted: 08 Jan 2014 Last Revised: 02 Feb 2015
Adam Zaremba and Przemyslaw Konieczka
Montpellier Business School and Warsaw School of Economics (SGH)
Downloads 263 (220,319)
Citation 8

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value, size, momentum, cross-section of stock returns, liquidity, transaction costs, CEE markets, emerging markets

36.

The Sources of Momentum in International Government Bond Returns

Applied Economics, 2019, 51 (8), 848-857
Number of pages: 22 Posted: 01 Mar 2019
Adam Zaremba and George D. Kambouris
Montpellier Business School and University of Dubai - Dubai Business School
Downloads 244 (237,289)

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government bonds, sovereign bonds, currencies, foreign exchange, momentum, asset pricing, return predictability

37.

Seasonality in Government Bond Returns and Factor Premia

Number of pages: 25 Posted: 31 Aug 2016 Last Revised: 07 Dec 2016
Adam Zaremba and Tomasz Schabek
Montpellier Business School and University of Lodz - Faculty of Economics and Sociology
Downloads 243 (238,245)

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seasonal anomalies, calendar anomalies, January effect, sell in May and go away, Halloween indicator, government bonds, sovereign bonds, fixed-income securities

38.

When Bad News is Good News: Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns

Number of pages: 50 Posted: 17 Dec 2020 Last Revised: 20 Dec 2020
Adam Zaremba, Nusret Cakici and Ender Demir
Montpellier Business School, Fordham university and Istanbul Medeniyet University
Downloads 241 (240,167)
Citation 13

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Geopolitical Risk Index, the Cross-Section of Stock Returns, Emerging Markets, Equity Anomalies, Asset Pricing, Return Predictability, Overreaction, Availability Heuristic, Salience

39.

Cross-Country Factor Momentum

Economics Letters, 2024, vol. 235, 111552
Number of pages: 9 Posted: 11 Apr 2024
Christian Fieberg, Daniel Metko and Adam Zaremba
City University of Applied Sciences, University of Bremen and Montpellier Business School
Downloads 240 (241,190)
Citation 1

Abstract:

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factor momentum, equity anomalies, return predictability, factor timing, international stock markets

40.

How to Survive a Pandemic: The Corporate Resiliency of Travel and Leisure Companies to the COVID-19 Outbreak

Tourism Management, Forthcoming
Number of pages: 25 Posted: 23 Dec 2020
Poznan University of Economics and Business, Poznan University of Economics and Business, Istanbul Medeniyet University and Montpellier Business School
Downloads 229 (252,303)
Citation 5

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COVID-19, novel coronavirus, tourism and leisure, stock market, corporate immunity, policy responses, containment and closure

41.

The Low Price Anomaly: the Intriguing Case of the Polish Stock Market

Inzinerine Ekonomika-Engineering Economics, 2016, 27(2), 163-174.
Number of pages: 12 Posted: 15 May 2015 Last Revised: 10 May 2016
Montpellier Business School, Poznan University of Economics, Poznan University of Economics and Warsaw School of Economics (SGH)
Downloads 229 (252,303)

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low-price effect, Polish stock market, Warsaw Stock Exchange, cross-section of stock returns, splits, catering theory, share prices, stock market anomalies, behavioral finance, factor investing, NewConnect, lottery stocks

42.

Misery on Main Street, Victory on Wall Street: Economic Discomfort and the Cross-Section of Global Stock Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 53 Posted: 17 Dec 2020 Last Revised: 09 Jan 2023
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 225 (256,548)

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equity indices, international markets, asset pricing, equity anomalies, return predictabil-ity, the cross-section of stock returns, the misery index, inflation, unemployment, mar-ket segmentation

43.

Accounting vs Market Information: What Matters More for Stock Return Predictability?

Number of pages: 57 Posted: 30 Nov 2023 Last Revised: 03 Jan 2024
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 211 (273,675)

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stock market, return predictability, the cross-section of stock returns, machine learning, accounting data, market data

44.

Seasonality in the Cross Section of Factor Premia

Investment Analysts Journal, 2017, 3, 165-199
Number of pages: 25 Posted: 28 Feb 2019
Adam Zaremba
Montpellier Business School
Downloads 189 (301,164)
Citation 2

Abstract:

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seasonal anomalies, calendar anomalies, factor premium, asset pricing, value, momentum, size, quality, low-volatility, international equity markets, market efficiency, return predictability

45.

Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices

Romanian Journal of Economic Forecasting, 2016, 19(1), 88-103.
Number of pages: 16 Posted: 15 May 2015 Last Revised: 10 May 2016
Adam Zaremba
Montpellier Business School
Downloads 181 (312,936)
Citation 4

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long-term reversal, stock market indices, country stock markets, country-level anomalies, international markets, asset pricing, investment strategies

46.

Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns?

Number of pages: 14 Posted: 18 May 2022 Last Revised: 31 May 2022
Zhejiang University, Istanbul Medeniyet University, Poznań University of Economics and Business, Montpellier Business School and Montpellier Business School
Downloads 173 (325,809)
Citation 12

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cryptocurrencies, the cross-section of returns, asset pricing, geopolitical risk, return predictability

47.

Beware of the Crash Risk: Tail Beta and the Cross-Section of Stock Returns in China

Number of pages: 30 Posted: 08 Apr 2019 Last Revised: 03 May 2019
Huaigang Long, Adam Zaremba and Yuexiang Jiang
Zhejiang University, Montpellier Business School and Zhejiang University - College of Economics
Downloads 168 (334,220)
Citation 1

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Systematic Tail Risk, Tail Beta, Extreme Value Theory, China, Equity Market, Asset Pricing, Return Predictability, Low-Risk Anomaly

48.

Paper Profits or Real Money? Trading Costs and Stock Market Anomalies in Country Equity Indices

Number of pages: 40 Posted: 20 Sep 2017 Last Revised: 13 Feb 2019
Adam Zaremba and Laura Andreu
Montpellier Business School and University of Zaragoza - Faculty of Business and Economics
Downloads 168 (334,220)
Citation 9

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Transaction Costs, Implementation Shortfall, Exchange Traded Funds, Country Equity Indices, Trading Cost Mitigation, Quantitative Strategies, Asset Pricing, International Investment, Return Predictability, Equity Anomalies, Cross-Section of Returns

49.

Digesting Anomalies in Emerging European Markets: A Comparison of Factor Pricing Models

Emerging Markets Review, 2017, 31, 1-15
Number of pages: 32 Posted: 28 Feb 2019
Adam Zaremba and Anna Czapkiewicz
Montpellier Business School and AGH University of Science and Technology
Downloads 161 (346,680)
Citation 6

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asset pricing, factor models, anomalies, emerging European markets, emerging markets, cross section of returns, size, value, momentum, profitability, asset growth

50.

Reverse Splits in International Stock Markets: Reconciling the Evidence on Long-Term Returns

Number of pages: 29 Posted: 11 Aug 2016 Last Revised: 27 Aug 2018
Montpellier Business School, Poznan University of Economics, Maria Curie-Skłodowska University and University of Dubai
Downloads 158 (352,228)

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reverse split, share consolidation, long-run returns, international markets, long-term event study, equity anomalies, stock market integration, penny stocks, micro-caps

51.

Decomposing the Earnings-to-Price Ratio and the Cross-section of International Equity-Index Returns

Applied Economics
Number of pages: 33 Posted: 11 Dec 2019 Last Revised: 08 Jun 2021
Mehmet Umutlu, Pelin Bengitoz and Adam Zaremba
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group, Yasar University - Deparment of International Trade and Finance and Montpellier Business School
Downloads 157 (354,144)

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International Portfolio Management, E/P Decomposition, Value Effect, Equity Anomalies, Index Returns, Return Predictability

52.

Term Spreads and the COVID-19 Pandemic: Evidence from International Sovereign Bond Markets

Finance Research Letters, Forthcoming
Number of pages: 11 Posted: 11 Nov 2020 Last Revised: 31 Mar 2021
Montpellier Business School, University of Southampton, Southampton Business School, Department of Banking and Finance, Ono Academic College and Zayed University - College of Business
Downloads 151 (365,601)
Citation 9

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COVID-19 pandemic, coronavirus, policy responses, government bonds, sovereign bond, term spread, term structure, interest rates

53.

An Application of Factor Pricing Models to the Polish Stock Market

Number of pages: 41 Posted: 02 Sep 2018 Last Revised: 12 Oct 2021
Montpellier Business School, AGH University of Science and Technology, Department of Financial Management, University of PretoriaDepartment of Accounting and Financial Management,Newcastle Business School, Northumbria University and Poznan University of Economics and Business
Downloads 151 (365,601)
Citation 1

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Asset Pricing, Factor Models, Cross-Section of Returns, Poland, Polish Stock Market, Equity Anomalies, Size, Value, Momentum, Profitability, Asset Growth

54.

Idiosyncratic Volatility and the Cross-Section of Anomaly Returns: Is Risk Your Ally?

Number of pages: 17 Posted: 16 Aug 2018
Adam Zaremba and Alina Maydybura
Montpellier Business School and University of Dubai
Downloads 151 (365,601)

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equity anomalies, idiosyncratic risk, idiosyncratic volatility, asset allocation, asset pricing, return predictability, the cross-section of stock returns

55.

The Temperature Effect and Sovereign Bond Returns

Number of pages: 41 Posted: 28 Dec 2021
University of Southampton, Southampton Business School, Department of Banking and Finance, Montpellier Business School, Zayed University - College of Business and Montpellier Business School
Downloads 150 (367,592)

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air temperature, sovereign bond returns, international government bond markets, mac-roeconomic channels, behavioral paradigm, energy demand-based view, asset pricing anomalies, risk aversion, seasonal affective disorder

56.

False Discoveries in the Anomaly Research: New Insights from the Stock Exchange of Melbourne (1927-1987)

Number of pages: 47 Posted: 10 Mar 2021 Last Revised: 21 Apr 2021
Fordham university, Montpellier Business School, Griffith UniversityGriffith University and Monash University
Downloads 149 (369,623)

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equity anomalies, replication, factor investing, financial history, Australia, Melbourne Stock Exchange, asset pricing, return predictability, cross-section of returns, false discoveries, p-hacking, data mining

57.

Immunizing Markets against the Pandemic: COVID–19 Vaccinations and Stock Volatility around the World

Number of pages: 29 Posted: 30 Mar 2021 Last Revised: 01 Apr 2021
Montpellier Business School, Istanbul Medeniyet University, University of Southampton, Southampton Business School, Department of Banking and Finance and Montpellier Business School
Downloads 144 (379,955)
Citation 15

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COVID-19 pandemic, novel coronavirus, vaccinations, stock market volatility, international equity markets

58.

Combining Equity Country Selection Strategies

Contemporary Economics, Vol. 11, No. 1, pp. 107-126, 2017
Number of pages: 20 Posted: 23 May 2018
Adam Zaremba
Montpellier Business School
Downloads 142 (384,188)

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country selection strategies, asset pricing, cross section of stock returns, value investing, momentum, skewness preference, liquidity premium, turnover ratio, international investments

59.

Explaining Equity Anomalies In Frontier Markets: A Horserace of Factor Pricing Models

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 51 Posted: 28 May 2019
Montpellier Business School, University of Dubai, AGH University of Science and Technology and University of Dubai
Downloads 139 (390,585)

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equity anomalies, frontier stock markets, empirical asset pricing, factor models, the cross-section of returns

60.

Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns

Number of pages: 45 Posted: 10 Jan 2023
Yiming Dai, Huaigang Long, Adam Zaremba and Yanjian Zhu
Zhejiang University, Zhejiang University, Montpellier Business School and Zhejiang University
Downloads 126 (421,536)

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Relative signal jump variance; asset pricing; realized variance; limits-to-arbitrage; limited investor attention

61.

Who Should be Afraid of Infections? Pandemic Exposure and the Cross-Section of Stock Returns

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 57 Posted: 20 May 2020 Last Revised: 15 Mar 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 126 (421,536)
Citation 6

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pandemic, epidemic, COVID-19, novel coronavirus, pandemic index, asset pricing, the cross-section of stock returns, return predictability

62.

Where Have the Profits Gone? Market Efficiency and the Disappearing Equity Anomalies in Country and Industry Returns

Journal of Banking and Finance, Vol. 121, No. 105966, 2020
Number of pages: 52 Posted: 02 Mar 2021
Adam Zaremba, Mehmet Umutlu and Alina Maydybura
Montpellier Business School, Edinburgh Napier University, The Business School, Accounting and Finance Subject Group and University of Dubai
Downloads 125 (424,091)
Citation 7

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equity anomalies, return predictability, international investment, country returns, industry returns, investor learning, market efficiency, value, size, momentum, low-risk, seasonality, long-run reversal, behavioural finance, structural breaks

63.

Inflation Hedging with Commodities: A Wavelet Analysis of Seven Centuries Worth of Data

Economics Letters, Forthcoming
Number of pages: 11 Posted: 28 May 2019
Adam Zaremba, Zaghum Umar and Mateusz Mikutowski
Montpellier Business School, Zayed University - College of Business and Poznan University of Economics and Business
Downloads 125 (424,091)

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inflation hedging, commodity markets, early commodity prices, wavelet analysis

64.

Is the Abnormal Post-IPO Underperformance Really Abnormal? The Evidence from CEE Emerging Markets

Number of pages: 30 Posted: 01 Sep 2014
Adam Zaremba and Adam Szyszka
Montpellier Business School and Warsaw School of Economics
Downloads 124 (426,742)
Citation 1

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IPO, long-run underperformance, Central and Eastern Europe, asset pricing, cross-section of stock returns, CEE markets, value effect, size effect, momentum effect

65.

Trading Costs, Short Sale Constraints, and the Performance of Stock Market Anomalies in Emerging Europe

Economic Research, 2019, 32 (1), 403-422
Number of pages: 21 Posted: 12 May 2016 Last Revised: 17 Apr 2019
Adam Zaremba and Jerzy Nikorowski
Montpellier Business School and BGŻ BNP Paribas
Downloads 123 (429,287)

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Stock Market Anomalies, Trading Costs, Short-Sale Constraints, Liquidity, Investment Strategies, Eastern Europe, Emerging Markets, Market Efficiency, Asset Pricing, Predicting Returns, Cross Section of Stock Returns

66.

IPOs – Not So Much Money Left on the Table. The Cost Compensation Hypothesis

Argumenta Oeconomica, 2011, vol. 1, no. 26, pp. 149-175.
Number of pages: 28 Posted: 05 Nov 2013 Last Revised: 21 Dec 2014
Adam Zaremba and Karol Kaminski
Montpellier Business School and Poznan University of Economics
Downloads 123 (429,287)

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IPO underpricing, initial public offering, Polish stock market, Warsaw Stock Exchange, cost compensation hypothesis

67.

The Dividend Premium in the CEE Stock Market

Procedia Economics and Finance, 2015, vol. 32, pp. 42–49
Number of pages: 8 Posted: 10 Nov 2014 Last Revised: 12 May 2016
Przemyslaw Konieczka and Adam Zaremba
Warsaw School of Economics (SGH) and Montpellier Business School
Downloads 122 (432,014)

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dividend yields, cross-section of stock returns, portfolio optimization, mean-variance spanning, CEE stock market

68.

Volatility in International Sovereign Bond Markets: The Role of Government Policy Responses to the COVID-19 Pandemic

Number of pages: 21 Posted: 28 Oct 2020 Last Revised: 30 Nov 2020
Montpellier Business School, University of Southampton, Southampton Business School, Department of Banking and Finance and Ono Academic College
Downloads 117 (445,721)
Citation 2

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COVID-19 pandemic, coronavirus outbreak, government policy responses, containment and closure, economic support, sovereign bonds, government bond market volatility

69.

Common Investor Coverage and Excess Return Comovement: Evidence from Seeking Alpha

Number of pages: 38 Posted: 01 Mar 2023
Central University of Finance and Economics (CUFE) - China Economics and Management Academy, Nottingham University Business School China, Zhejiang University, Zhejiang University and Montpellier Business School
Downloads 116 (448,574)

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Common investor coverage, return comovement, excess comovement, Seeking Alpha, retail investor

70.

Size Matters Everywhere: Decomposing the Small Country and Small Industry Premia

Forthcoming in The North American Journal of Economics and Finance
Number of pages: 67 Posted: 14 Sep 2017
Adam Zaremba and Mehmet Umutlu
Montpellier Business School and Edinburgh Napier University, The Business School, Accounting and Finance Subject Group
Downloads 110 (466,716)
Citation 2

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country size effect, industry size effect, small country premium, size premium, asset pricing, international investment, return predictability, decomposition

71.

Fundamental Indexation in European Emerging Markets

Number of pages: 15 Posted: 12 May 2016 Last Revised: 16 Jun 2016
Tomasz Miziołek and Adam Zaremba
University of Lodz and Montpellier Business School
Downloads 105 (482,661)

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fundamental indexation, value investing, trading costs, emerging markets

72.

Performance Persistence in Anomaly Returns: Evidence from Frontier Markets

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 42 Posted: 30 Oct 2017 Last Revised: 03 May 2019
Adam Zaremba
Montpellier Business School
Downloads 101 (495,950)
Citation 5

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Momentum, Stock Market Anomalies, Performance Persistence, Frontier Markets, Emerging Markets, Market Efficiency, Return Predictability

73.

Quality Investing in CEE Emerging Markets

Business, Management and Education, vol. 12, no. 2, pp. 159-180.
Number of pages: 22 Posted: 15 May 2015
Adam Zaremba
Montpellier Business School
Downloads 93 (523,457)

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cross-section of stock returns; quality investing; CEE stock market; Central and Eastern Europe; gross profitability premium; liquidity premium; leverage; bid-ask spread; accruals

74.

The Profitability of Following Analyst Recommendations on the Polish Stock Market

Financial Internet Quarterly "e-Finanse", 2015, vol. 11, no. 1, pp. 22 - 31; DOI: 10.14636/1734-039X_11_1_003.
Number of pages: 10 Posted: 13 May 2014 Last Revised: 29 Jun 2015
Adam Zaremba and Przemyslaw Konieczka
Montpellier Business School and Warsaw School of Economics (SGH)
Downloads 93 (523,457)

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stock market, stock recommendations, analysts, Warsaw Stock Exchange

75.

Risk-Based Explanation for the Country-Level Size and Value Effects

Finance Research Letters, Forthcoming
Number of pages: 17 Posted: 12 May 2016
Adam Zaremba
Montpellier Business School
Downloads 91 (530,740)
Citation 3

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Value Premium, Size Premium, Small-Market Effect, Country Selection Strategies, Country-Level Anomalies, International Asset Pricing, Pricing of Risk, Country Risk

76.

Return Seasonalities in Government Bonds and Macroeconomic Risk

Economics Letters, 2019, 176, 114-116
Number of pages: 8 Posted: 28 Feb 2019
Poznan University of Economics and Business, University of Dubai and Montpellier Business School
Downloads 90 (534,456)

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government bonds, return seasonality, macroeconomic risk, asset pricing, calendar anomalies

77.

Idiosyncratic Volatility, Returns, and Mispricing: No Real Anomaly in Sight

Finance Research Letters, Forthcoming
Number of pages: 13 Posted: 19 Sep 2017
Montpellier Business School, AGH University of Science and Technology and Poznań University of Economics and Business
Downloads 83 (565,850)
Citation 1

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Idiosyncratic Volatility, Low-Risk Anomaly, Abnormal Returns, Return Predictability, Mispricing, Stock Market Anomalies, Monte Carlo Simulation

78.

Political Risk and Portfolio Performance: Implications for Shariah-Compliant Investors

Number of pages: 19 Posted: 31 Jul 2020
Shadeed Benazir Bhutto University, Dir, Pakistan, Wellington Institute of Technology and Montpellier Business School
Downloads 77 (586,955)

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Political risk, International portfolio diversification, Shariah-compliant portfolios, Performance evaluation, Shariah-compliant investments

79.

Limits to Arbitrage, Investor Sentiment, and Factor Returns in International Government Bond Markets

Economic Research-Ekonomska Istraživanja, Forthcoming
Number of pages: 22 Posted: 28 Feb 2019
Montpellier Business School and Department of Financial Management, University of PretoriaDepartment of Accounting and Financial Management,Newcastle Business School, Northumbria University
Downloads 77 (586,955)

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international markets, government bonds, anomalies, limits to arbitrage, investor sentiment, return predictability

80.

Performance Persistence of Government Bond Factor Premia

Finance Research Letters, 2017, 22, 182-189
Number of pages: 23 Posted: 28 Feb 2019
Adam Zaremba
Montpellier Business School
Downloads 74 (600,066)

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momentum, performance persistence, government bonds, international investments, return predictability, factor investing, sovereign bonds, value, credit risk, volatility

81.

Real Estate Climate Index and Aggregate Stock Returns: Evidence from China

Number of pages: 48 Posted: 29 Apr 2022 Last Revised: 09 May 2022
Zhejiang University - College of Economics, Zhejiang University, Zhejiang University, Montpellier Business School and Zhejiang University
Downloads 72 (609,287)

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Real estate climate index; Return predictability; Asset allocation; Predictive regression; Equity risk premium; Cash flow channel; Firm fundamentals; Substitution effect

82.

Market Segmentation and International Diversification Across Country and Industry Portfolios

Research in International Business and Finance, 2023
Number of pages: 40 Posted: 14 Apr 2023
Mehmet Umutlu, Seher Gören Yargi and Adam Zaremba
Edinburgh Napier University, The Business School, Accounting and Finance Subject Group, Yasar University and Montpellier Business School
Downloads 71 (613,973)

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International portfolio diversification, Industry diversification, Country diversification, Partial segmentation and integration, Index return correlations

83.

Merger Imbalance and Returns in International Equity Markets

Investment Analysts Journal, Forthcoming
Number of pages: 31 Posted: 11 Aug 2016 Last Revised: 22 Feb 2017
Adam Zaremba and Przemysław Grobelny
Montpellier Business School and Poznan University of Economics
Downloads 68 (628,335)
Citation 2

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mergers and acquisitions, country-selection strategies, country-level effects, international asset pricing, return predictability, corporate-behavioral finance

84.

Does Realized Skewness Predict the Cross-Section of Chinese Equity Returns?

Number of pages: 18 Posted: 29 Jun 2023
Zhejiang University, Zhejiang University - College of Economics, Zhejiang University of Finance and Economics (ZUFE) - School of Finance, affiliation not provided to SSRN and Montpellier Business School
Downloads 65 (643,183)
Citation 1

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realized skewness, return predictability, Chinese stock market, asset pricing, relative signed jump variance

85.

The Cross-Section of Returns in Frontier Equity Markets: Integrated or Segmented Pricing?

Emerging Markets Review, Forthcoming
Number of pages: 54 Posted: 04 Mar 2019
Adam Zaremba and Alina Maydybura
Montpellier Business School and University of Dubai
Downloads 57 (685,959)
Citation 2

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frontier equity markets, factor models, asset pricing, stock market integration and segmentation, the cross-section of returns, size, value, momentum, profitability, investment

86.

Real Estate Climate Index and Aggregate Stock Returns: Evidence from China

Number of pages: 46 Posted: 07 May 2022
Zhejiang University - College of Economics, Zhejiang University, Zhejiang University of Finance and Economics (ZUFE) - School of Finance, Montpellier Business School and Zhejiang University
Downloads 54 (703,348)
Citation 1

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Real estate climate index, return predictability, Asset allocation, Predictive regression, Equity risk premium, Cash flow channel

87.

Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns

Number of pages: 46 Posted: 29 Jan 2023
Yiming Dai, Huaigang Long, Adam Zaremba and Yanjian Zhu
Zhejiang University, Zhejiang University of Finance and Economics (ZUFE) - School of Finance, Montpellier Business School and Zhejiang University
Downloads 47 (747,027)

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Relative signal jump variance, Asset Pricing, realized variance, limits-to-arbitrage, limited investor attention

88.

Stock Returns Under the Shadow of the Covid-19 Pandemic:  Evidence from China

Number of pages: 62 Posted: 03 Jun 2023
Wenyu Zhou, Yujun Zhou, Adam Zaremba and Huaigang Long
Zhejiang University, Zhejiang University, Montpellier Business School and Zhejiang University of Finance and Economics (ZUFE) - School of Finance
Downloads 34 (842,724)

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COVID-19, zero-COVID policy, Chinese stock market, stock returns, spatial spillover

89.

Predicting Returns with Machine Learning Across Horizons, Firms Size, and Time

The Journal of Financial Data Science, Fall 2023, 5 (4) 119 - 144 DOI: 10.3905/jfds.2023.1.139
Posted: 28 Aug 2023
Fordham university, City University of Applied Sciences, University of Bremen and Montpellier Business School

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machine learning, return predictability, the cross-section of stock returns, asset pricing, firm size, equity anomalies, long-short portfolios, long-run returns

90.

Share Issuance and Expected Returns Around the World

Posted: 21 May 2019
Adam Zaremba and Szymon Okoń
Montpellier Business School and Poznan University of Economics

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share issuance, asset pricing, hot issue market, IPO, initial public offerings, return predictability, asset pricing, country-level anomalies, country selection strategies, cross section of stock returns

91.

Nothing Lasts Forever (And Everywhere): Fundamental Indexation at the Global Level

Journal of Index Investing, 2017, 8 (3), 6-20
Posted: 28 Feb 2019
Adam Zaremba and Tomasz Miziołek
Montpellier Business School and University of Lodz

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fundamental indexation, international diversification, emerging markets, frontier markets, country-level anomalies, value premium, size premium, small-country effect, the cross-section of returns, return predictability

92.

And the Winner Is…A Comparison of Valuation Measures for Country Asset Allocation

Journal of Portfolio Management, Forthcoming
Posted: 11 Feb 2018 Last Revised: 13 Feb 2019
Montpellier Business School and Department of Financial Management, University of PretoriaDepartment of Accounting and Financial Management,Newcastle Business School, Northumbria University

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Value Investing, Valuation Ratios, EBITDA-to-EV Ratio, Enterprise Multiples, International Investments, Country-Level Equity Anomalies, Cross-Sectional Returns, Return Predictability, Exchange Traded Funds, ETFs

93.

Do Quantitative Country Selection Strategies Really Work?

Journal of Investment Strategies, 2016, 5(2), 1-33.
Posted: 15 May 2015 Last Revised: 10 May 2016
Adam Zaremba and Przemyslaw Konieczka
Montpellier Business School and Warsaw School of Economics (SGH)

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value, size, momentum, quality, volatility, country-level effects, inter-market effects, cross-section of returns, factor returns, international diversification, asset pricing

94.

Value, Size, Momentum and Unique Role of Microcaps in CEE Market Stock Returns

Eastern European Economics, 53(3), 221-241, DOI: 10.1080/00128775.2015.1034059
Posted: 31 Jul 2014 Last Revised: 24 Jul 2015
Adam Zaremba
Montpellier Business School

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asset-pricing, CEE markets, cross-section of stock returns, market segmentation, microcaps, momentum, multifactor models, size premium, value premium

95.

Is Financialization Killing Commodity Investments?

Journal of Alternative Investments, Vol. 18, No. 1, 2015, pp. 66-91
Posted: 05 Nov 2013 Last Revised: 03 Jul 2015
Adam Zaremba
Montpellier Business School

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commodities, roll yields, financialization, mean-variance spanning, strategic asset allocation

Other Papers (2)

Total Downloads: 519
1.

Interest Rate Changes and the Cross-Section of Global Equity Returns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 68 Posted: 27 Feb 2021 Last Revised: 09 Jan 2023
Montpellier Business School, Fordham university, Griffith UniversityGriffith University and Zhejiang University
Downloads 437 (165,322)

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government bonds, country equity indexes, interest rates, international stock markets, asset pricing, return predictability, the cross-section of stock returns

2.

A Factor Model for the Cross-Section of Country Equity Risk Premia

Number of pages: 33 Posted: 06 Oct 2022
Christian Fieberg, Gerrit Liedtke and Adam Zaremba
City University of Applied Sciences, University of Bremen and Montpellier Business School
Downloads 82

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instrumental principal component analysis, IPCA, international asset pricing, factor model, return predictability, equity anomalies, country equity risk premium, the cross-section of stock returns