Adam Zaremba

Poznań University of Economics and Business

al. Niepodległości 10

Poznań, 61-875

Poland

http://adamzaremba.pl

University of Dubai

Academic City

Dubai, 14143

United Arab Emirates

http://adamzaremba.pl/

SCHOLARLY PAPERS

79

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9,019

SSRN CITATIONS
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SSRN RANKINGS

Top 14,611

in Total Papers Citations

38

CROSSREF CITATIONS

26

Scholarly Papers (79)

1.

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
Pozna? University of Economics and Business
Downloads 752 (34,316)
Citation 4

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

Combining Equity Country Selection Strategies

Number of pages: 42 Posted: 10 Jun 2015 Last Revised: 27 Jan 2017
Adam Zaremba
Pozna? University of Economics and Business
Downloads 395 (77,191)

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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

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
Pozna? University of Economics and Business
Downloads 78 (328,236)

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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

3.

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
Pozna? University of Economics and Business
Downloads 431 (70,295)
Citation 6

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

4.

Quality Investing and the Cross-Section of Country Returns

Studies in Economics and Finance, 2016, vol. 33, no. 2
Number of pages: 30 Posted: 27 Dec 2013 Last Revised: 10 May 2016
Adam Zaremba
Pozna? University of Economics and Business
Downloads 389 (79,292)
Citation 2

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quality investing, quality premium, profitability premium, international stock markets, cross-section of country returns, leverage

5.

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
Pozna? University of Economics and Business and Warsaw School of Economics (SGH)
Downloads 385 (80,237)
Citation 4

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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

6.

Portfolio Diversification with Commodities in Times of Financialization

International Journal of Finance & Banking Studies, 2015, vol. 4, no. 1, pp. 18-36
Number of pages: 19 Posted: 05 Nov 2013 Last Revised: 05 Mar 2015
Adam Zaremba
Pozna? University of Economics and Business
Downloads 336 (93,871)
Citation 1

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commodities, finacialization, mean-variance spanning, strategic asset allocation, alternative investments

7.

Short-Term Momentum (Almost) Everywhere

Number of pages: 64 Posted: 14 Mar 2019
Pozna? University of Economics and Business, University of Dubai and Zhejiang University
Downloads 291 (109,901)
Citation 1

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

8.

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

Number of pages: 85 Posted: 24 Jan 2019 Last Revised: 25 Jan 2020
Pozna? University of Economics and Business, Griffith University and Poznan University of Economics and Business
Downloads 257 (125,276)
Citation 1

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

9.

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
Pozna? University of Economics and Business and Warsaw School of Economics (SGH) - Collegium of World Economy
Downloads 243 (132,565)

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

10.

Country Selection Strategies Based on Quality

Managerial Finance, 2015, 12, 1336-1356.
Number of pages: 41 Posted: 12 Dec 2014 Last Revised: 10 May 2016
Adam Zaremba
Pozna? University of Economics and Business
Downloads 228 (141,086)
Citation 4

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quality investing, leverage, cash-to-assets ratio, profitability, inter-market effects, cross-section of returns, factor returns, international diversification, country selection strategies, factor investing

11.

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
Pozna? University of Economics and Business
Downloads 225 (142,908)
Citation 1

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

12.

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

Number of pages: 54 Posted: 19 Aug 2018 Last Revised: 25 Aug 2018
Adam Zaremba
Pozna? University of Economics and Business
Downloads 212 (151,209)
Citation 1

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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

13.

Skewness Preference Across Countries

Business and Economic Horizons, 2015, 11(2), 115-130.
Number of pages: 16 Posted: 15 May 2015 Last Revised: 26 Dec 2015
Adam Zaremba and Andrzej Nowak
Pozna? University of Economics and Business and Poznan University of Economics
Downloads 200 (159,770)
Citation 1

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skewness preference, country-level effects, inter-market effects, asset pricing, international markets, prospect theory

14.

Factor Returns in the Polish Equity Market

Procedia - Social and Behavioral Sciences, 2014, vol. 110, pp. 1073–1081
Number of pages: 9 Posted: 05 Nov 2013 Last Revised: 10 May 2016
Adam Zaremba and Przemyslaw Konieczka
Pozna? University of Economics and Business and Warsaw School of Economics (SGH)
Downloads 190 (167,431)
Citation 2

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factor returns, momentum, size, value, liquidity, Warsaw Stock Exchamge

15.

Alpha Momentum and Alpha Reversal in Country and Industry Equity Indexes

Number of pages: 62 Posted: 29 Aug 2018
Pozna? University of Economics and Business, Yasar University - Department of International Trade and Finance and University of Dubai
Downloads 187 (169,878)
Citation 2

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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

16.

Is There a Low-Risk Anomaly Across Countries?

Eurasian Economic Review, 2016, 69(1), 45-65.
Number of pages: 21 Posted: 31 Dec 2014 Last Revised: 10 May 2016
Adam Zaremba
Pozna? University of Economics and Business
Downloads 187 (169,878)
Citation 4

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low risk anomaly, beta, standard deviation, value at risk, idiosyncratic volatility, inter-market effects, cross-section of returns, factor returns, international diversification, country selection strategies, factor investing

17.

Country Risk and Expected Returns across Global Equity Markets

Number of pages: 40 Posted: 12 May 2016 Last Revised: 02 Dec 2016
Adam Zaremba
Pozna? University of Economics and Business
Downloads 186 (170,696)
Citation 4

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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

18.

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
Pozna? University of Economics and Business
Downloads 181 (174,994)

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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

19.

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
Pozna? University of Economics and Business and AGH University of Science and Technology
Downloads 169 (185,791)
Citation 2

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

20.

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
Pozna? University of Economics and Business and Warsaw School of Economics (SGH)
Downloads 155 (200,020)
Citation 5

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

21.

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
Pozna? University of Economics and Business and University of Lodz - Faculty of Economics and Sociology
Downloads 153 (202,213)

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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

22.

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
Pozna? University of Economics and Business, Poznan University of Economics, Poznan University of Economics and Warsaw School of Economics (SGH)
Downloads 150 (205,549)

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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

23.

Fama and French Meet Datastream: Size, Value, Profitability, and Investment Factors in International Stock Returns

Number of pages: 55 Posted: 16 Oct 2019
Nusret Cakici and Adam Zaremba
Fordham University and Pozna? University of Economics and Business
Downloads 127 (234,654)
Citation 1

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Datastream, 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).

24.

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
Pozna? University of Economics and Business and Yasar University - Department of International Trade and Finance
Downloads 122 (241,802)
Citation 2

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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

25.

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
Pozna? University of Economics and Business
Downloads 114 (254,092)
Citation 3

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

26.

Low Price Effect on the Polish Market

Financial Internet Quarterly „e-Finanse” 2014, vol. 10, no, 1, pp. 69-85
Number of pages: 17 Posted: 05 Jan 2014 Last Revised: 10 May 2016
Adam Zaremba and Radosław Żmudziński
Pozna? University of Economics and Business and Poznan University of Economics
Downloads 109 (262,236)
Citation 4

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low price effect, Warsaw Stock Exchange, Polish market, stock market anomaly

27.

Underpricing of Newly Issued Corporate Bonds in the CEE Markets

European Journal of Economics and Management, 2014, vol. 1, no. 1, pp. 6-16
Number of pages: 11 Posted: 05 Nov 2013 Last Revised: 22 Aug 2014
Adam Zaremba
Pozna? University of Economics and Business
Downloads 109 (262,236)

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corporate bonds, undepricing anomaly, new issues, IPOs, CEE markets

28.

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
Pozna? University of Economics and Business and University of Dubai - Dubai Business School
Downloads 108 (263,980)

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

29.

IPO Underpricing Puzzle: The Election Gimmick Hypothesis

Copernican Journal of Finance & Accounting, 2014, vol. 3, no. 2, pp. 167–181.
Number of pages: 15 Posted: 15 Dec 2013 Last Revised: 24 Nov 2014
Adam Zaremba and Radosław Żmudziński
Pozna? University of Economics and Business and Poznan University of Economics
Downloads 106 (267,485)

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IPO underpricing, political cycles, stock market anomalies, Warsaw Stock Exchange, Polish stock market

30.

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

Number of pages: 45 Posted: 29 Aug 2019
Pozna? University of Economics and Business, Warsaw School of Economics, University of Dubai and Poznan University of Economics and Business
Downloads 98 (282,139)
Citation 1

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

31.

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
Pozna? University of Economics and Business and Warsaw School of Economics
Downloads 98 (282,139)
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

32.

The Buyback Anomaly on the Polish Capital Market

Finanse, Rynki Finansowe, Ubezpieczenia nr 38/2011, pp. 481-494, Wydawnictwo Naukowe Uniwersytetu Szczecińskiego, Szczecin 2011, ISSN 1640-6818, ISSN 1733-2842
Number of pages: 15 Posted: 29 Mar 2013 Last Revised: 06 Nov 2013
Adam Szyszka and Adam Zaremba
Warsaw School of Economics and Pozna? University of Economics and Business
Downloads 96 (285,989)

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buyback, stock repurchase, event study, market efficiency, corporate behavioral finance

33.

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 Pozna? University of Economics and Business
Downloads 94 (289,869)

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

34.

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
Pozna? University of Economics and Business and University of Zaragoza - Faculty of Business and Economics
Downloads 93 (291,898)
Citation 8

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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

35.

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

Number of pages: 50 Posted: 19 Sep 2019
Adam Zaremba
Pozna? University of Economics and Business
Downloads 88 (302,201)

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

36.

Post-IPO Underperformance and the Cross-Section of Stock Returns at the Warsaw Stock Exchange

Number of pages: 19 Posted: 18 Mar 2014 Last Revised: 10 Jul 2014
Adam Zaremba and Adam Szyszka
Pozna? University of Economics and Business and Warsaw School of Economics
Downloads 88 (302,201)

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IPO, long-run underperformance, asset pricing, cross-section of stock returns, Polish stock market

37.

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
Pozna? University of Economics and Business, Poznan University of Economics, Maria Curie-Sk?odowska University and University of Dubai
Downloads 87 (304,375)

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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

38.

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
Pozna? University of Economics and Business and AlphaBeta
Downloads 84 (311,045)
Citation 1

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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

39.

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
Pozna? University of Economics and Business and Poznan University of Economics
Downloads 81 (317,915)

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

40.

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
Pozna? University of Economics and Business and BG? BNP Paribas
Downloads 80 (320,224)

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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

41.

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
Pozna? University of Economics and Business and University of Dubai
Downloads 78 (324,977)

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

42.

Paper Profits from Value, Size and Momentum: Evidence from the Polish Market

Financial Internet Quarterly „e-Finanse” 2015, vol.11 / nr 3, s. 58-69
Number of pages: 12 Posted: 08 Jan 2014 Last Revised: 10 May 2016
Adam Zaremba and Przemyslaw Konieczka
Pozna? University of Economics and Business and Warsaw School of Economics (SGH)
Downloads 78 (324,977)
Citation 2

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value, size, momentum, cross-section of stock returns, liquidity, transaction costs, Warsaw Stock Exchange, WSE, Polish stock market

43.

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
Pozna? University of Economics and Business, University of Dubai, AGH University of Science and Technology and University of Dubai
Downloads 76 (329,991)

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

44.

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, Pozna? University of Economics and Business and Zhejiang University - College of Economics
Downloads 69 (348,159)

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

45.

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
Pozna? University of Economics and Business and Yasar University - Department of International Trade and Finance
Downloads 69 (348,159)
Citation 3

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

46.

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
Pozna? University of Economics and Business
Downloads 63 (365,291)

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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

47.

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
Pozna? University of Economics and Business and Warsaw School of Economics (SGH)
Downloads 62 (368,307)

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stock market, stock recommendations, analysts, Warsaw Stock Exchange

48.

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: 08 Dec 2019
Pozna? University of Economics and Business, Southampton Business School and Shadeed Benazir Bhutto University, Dir, Pakistan
Downloads 60 (374,335)
Citation 2

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

49.

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
Pozna? University of Economics and Business
Downloads 60 (374,335)
Citation 1

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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

50.

Sources of Return in the Index Futures Markets

Contemporary Economics, Volume 5, Issue 2, pp. 54-71, 2011
Number of pages: 18 Posted: 24 Oct 2012
Adam Zaremba
Pozna? University of Economics and Business
Downloads 57 (383,837)

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futures, risk premium, forward curve

51.

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
Pozna? University of Economics and Business
Downloads 56 (386,973)
Citation 4

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

52.

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
Pozna? University of Economics and Business
Downloads 53 (396,929)

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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

53.

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

Finance Research Letters, Forthcoming
Number of pages: 13 Posted: 19 Sep 2017
Pozna? University of Economics and Business, AGH University of Science and Technology and Poznan University of Economics - Faculty of Informatics and Electronic Economy
Downloads 49 (410,712)
Citation 1

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

54.

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 Pozna? University of Economics and Business
Downloads 47 (417,937)

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fundamental indexation, value investing, trading costs, emerging markets

55.

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
Pozna? University of Economics and Business and Poznan University of Economics
Downloads 42 (437,075)
Citation 2

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

56.

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
Pozna? University of Economics and Business and AGH University of Science and Technology
Downloads 41 (441,088)
Citation 3

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

57.

Momentum Spillover from Government Bonds to Equity Markets

Number of pages: 74 Posted: 27 Dec 2019
Adam Zaremba, Robert J. Bianchi and Huaigang Long
Pozna? University of Economics and Business, Griffith University and Zhejiang University
Downloads 34 (470,981)

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government bonds, equity indices, momentum spillover, international markets, asset pricing, equity anomalies, return predictability, the cross-section of stock returns

58.

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 Pozna? University of Economics and Business
Downloads 34 (470,981)

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

59.

An Application of Factor Pricing Models to the Polish Stock Market

Number of pages: 41 Posted: 02 Sep 2018
Pozna? University of Economics and Business, AGH University of Science and Technology, University of Pretoria and Poznan University of Economics and Business
Downloads 34 (470,981)

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

60.

Illiquidity and the Cross-Section of International Stock Returns

Number of pages: 57 Posted: 02 Mar 2020
Nusret Cakici and Adam Zaremba
Fordham University and Pozna? University of Economics and Business
Downloads 33 (475,674)

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Illiquidity Premium, International Markets, Micro-caps, Amihud’s Measure, Turnover Ratio, Bid-Ask Spread, Co-movements in Illiquidity Premium, Seasonality in Illiquidity Premium

61.

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
Adam Zaremba and Jan Szczygielski
Pozna? University of Economics and Business and University of Pretoria
Downloads 31 (485,208)

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

62.

Performance Persistence of Government Bond Factor Premia

Finance Research Letters, 2017, 22, 182-189
Number of pages: 23 Posted: 28 Feb 2019
Adam Zaremba
Pozna? University of Economics and Business
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momentum, performance persistence, government bonds, international investments, return predictability, factor investing, sovereign bonds, value, credit risk, volatility

63.

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

Number of pages: 46 Posted: 11 Dec 2019
Mehmet Umutlu, Pelin Bengitoz and Adam Zaremba
Yasar University - Department of International Trade and Finance, Yasar University - Deparment of International Trade and Finance and Pozna? University of Economics and Business
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International Investment, E/P Decomposition, Value Effect, Equity Anomalies, Index Returns, Return Predictability

64.

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
Pozna? University of Economics and Business, Zayed University - College of Business and Poznan University of Economics and Business
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inflation hedging, commodity markets, early commodity prices, wavelet analysis

65.

Illiquidity and the Cross-Section of Stock Returns in Emerging Markets

Number of pages: 41 Posted: 02 Mar 2020
Nusret Cakici and Adam Zaremba
Fordham University and Pozna? University of Economics and Business
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Illiquidity Premium, Emerging Markets, Firm Size, Amihud’s Measure, Turnover Ratio, Bid-Ask Spread, Liquidity Effect, Cross-Section of Stock Returns, Asset Pricing, Return Predictability

66.

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
Pozna? University of Economics and Business and University of Dubai
Downloads 18 (559,787)
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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

67.

Ensemble Models in Forecasting Financial Markets

Journal of Computational Finance, Forthcoming
Number of pages: 19 Posted: 02 Apr 2019
University of Dubai, University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Mohammad bin Salman College, Pozna? University of Economics and Business and University of Dubai
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forecasting, multilayer perception (MLP), recurrent neural network (RNN), radial basis function (RBF), optimizers

68.

Share Issuance and Expected Returns Around the World

Posted: 21 May 2019
Adam Zaremba and Szymon Okoń
Pozna? University of Economics and Business 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

69.

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
Pozna? University of Economics and Business 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

70.

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
Adam Zaremba and Jan Szczygielski
Pozna? University of Economics and Business and University of Pretoria

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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

71.

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
Pozna? University of Economics and Business 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

72.

Country Selection Strategies Based on Value, Size and Momentum

Investment Analyst Journal, 44(3), 171-198, DOI: 10.1080/10293523.2015.1060747
Posted: 10 Nov 2014 Last Revised: 27 Jul 2015
Adam Zaremba
Pozna? University of Economics and Business

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value, size, momentum, country-level effects, intermarket effects, cross-section of returns, factor returns, international diversification

73.

Financial Results Fluctuations as a Determinant of a Business Value Increase

Modern Managerial Finance, edited by Waldemar Frąckowiak & Cezary Kochalski, Poznan University of Economics Press, Poznań 2010
Posted: 04 Aug 2014
Dariusz Zawadka and Adam Zaremba
Poznan University of Economics - Department of Investment and Capital Markets and Pozna? University of Economics and Business

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business valuation, financial results forecast

74.

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
Pozna? University of Economics and Business

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

75.

Value, Size and Momentum Across Countries

Indian Journal of Finance, 2014, vol. 8, no. 9, pp. 7-31.
Posted: 07 Jan 2014 Last Revised: 22 Dec 2014
Adam Zaremba and Przemyslaw Konieczka
Pozna? University of Economics and Business and Warsaw School of Economics (SGH)

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value premium, size premium, momentum effect, cross-section of inter-country returns, global asset allocation

76.

Country Value Premiums and Financial Crises

International Journal of Finance & Banking Studies, Vol.3 No.1, pp. 12-50, 2014
Posted: 06 Jan 2014 Last Revised: 10 May 2016
Adam Zaremba
Pozna? University of Economics and Business

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inter-country variation in stock returns, value premium, financial crisis

77.

A Performance Evaluation Model for Global Macro Funds

International Journal of Finance & Banking Studies, Vol.3 No.1, pp. 161-171, 2014
Posted: 30 Dec 2013 Last Revised: 10 May 2016
Adam Zaremba
Pozna? University of Economics and Business

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Fama-French model, value premium, size premium, country returns, cross section of returns, hedge funds, investment performance

78.

Is Mutual Fund Performance Persistent? Evidence from the Polish Market?

Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia 2010 | nr 25 | 155-164
Posted: 05 Nov 2013 Last Revised: 10 May 2016
Adam Zaremba
Pozna? University of Economics and Business

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mutual funds, performance persistence, Polish financial market

79.

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
Pozna? University of Economics and Business

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

Other Papers (1)

Total Downloads: 88
1.

Cross-Sectional Seasonalities in International Government Bond Returns

Journal of Banking and Finance, 2019, 89, 80-94
Number of pages: 56 Posted: 01 Aug 2018 Last Revised: 13 Feb 2019
Adam Zaremba
Pozna? University of Economics and Business
Downloads 88 (428,828)

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return seasonalities, seasonal anomalies, calendar anomalies, government bonds, sovereign bonds, fixed-income securities, asset pricing, return predictability