Adam Zaremba

Montpellier Business School

Associate Professor of Finance

2300 Avenue des Moulins

Montpellier, Occitanie 34000

France

Poznan University of Economics and Business

al. Niepodległości 10

Poznań, 61-875

Poland

http://adamzaremba.pl

SCHOLARLY PAPERS

103

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16,987

SSRN CITATIONS
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Top 11,581

in Total Papers Citations

68

CROSSREF CITATIONS

36

Scholarly Papers (103)

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
Montpellier Business School
Downloads 904 (36,055)
Citation 4

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

2.

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 828 (40,769)

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

3.

Short-Term Momentum (Almost) Everywhere

Number of pages: 64 Posted: 14 Mar 2019
Montpellier Business School, University of Dubai and Zhejiang University
Downloads 641 (57,319)
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

Combining Equity Country Selection Strategies

Number of pages: 42 Posted: 10 Jun 2015 Last Revised: 27 Jan 2017
Adam Zaremba
Montpellier Business School
Downloads 435 (91,404)

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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
Montpellier Business School
Downloads 97 (364,415)

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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

5.

Empirical Asset Pricing via Machine Learning: The Global Edition

Number of pages: 79 Posted: 09 Feb 2022 Last Revised: 28 Mar 2022
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 528 (73,264)

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machine learning, factor investing, the cross-section of country stock returns, equity risk premia, international markets, return predictability, forecast combination

6.

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 524 (73,931)
Citation 2

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

7.

Recency Bias and the Cross-Section of International Stock Returns

Number of pages: 54 Posted: 01 May 2021 Last Revised: 06 Nov 2021
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 513 (75,695)
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.

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 482 (81,658)
Citation 7

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

9.

Alpha Momentum and Alpha Reversal in Country and Industry Equity Indexes

Number of pages: 62 Posted: 29 Aug 2018
Montpellier Business School, Yasar University - Department of International Trade and Finance and University of Dubai
Downloads 442 (90,481)
Citation 3

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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.

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
Montpellier Business School
Downloads 430 (93,458)
Citation 2

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

11.

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 411 (98,481)
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

12.

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 Sussex, Ono Academic College and Istanbul Medeniyet University
Downloads 381 (107,424)
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

13.

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
Montpellier Business School
Downloads 376 (109,058)
Citation 2

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

14.

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 308 (135,851)

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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

15.

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 Yasar University - Department of International Trade and Finance
Downloads 270 (155,104)
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

16.

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 269 (156,278)

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

17.

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 269 (155,706)
Citation 2

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

18.

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 266 (157,450)

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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

19.

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 263 (159,292)

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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

20.

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 262 (159,888)
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

21.

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 260 (161,747)
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)

22.

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
Montpellier Business School
Downloads 260 (161,108)
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

23.

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 233 (179,235)
Citation 1

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

24.

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
Montpellier Business School and Poznan University of Economics
Downloads 230 (181,403)
Citation 1

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

25.

Yield Curve Shifts and the Cross-Section of Global Equity Returns

Number of pages: 52 Posted: 27 Feb 2021 Last Revised: 10 Jan 2022
Montpellier Business School, Fordham university, Griffith UniversityGriffith University and Zhejiang University
Downloads 228 (182,917)

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

26.

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 226 (184,423)
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

27.

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 223 (186,717)
Citation 2

Abstract:

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

28.

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 211 (196,718)
Citation 3

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

29.

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 203 (203,923)
Citation 2

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

30.

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
Montpellier Business School
Downloads 200 (206,684)
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

31.

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 199 (207,625)
Citation 8

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

32.

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
Montpellier Business School and Warsaw School of Economics (SGH)
Downloads 198 (208,553)
Citation 2

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

33.

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 182 (224,654)

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

34.

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 182 (224,654)

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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

35.

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 181 (225,694)

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

36.

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 178 (228,931)

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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

37.

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 172 (235,768)

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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

38.

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 165 (244,062)

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

39.

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 158 (253,142)
Citation 5

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

40.

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 158 (253,142)
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

41.

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 146 (269,867)
Citation 3

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

42.

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

Number of pages: 49 Posted: 17 Dec 2020 Last Revised: 20 Dec 2020
Nusret Cakici and Adam Zaremba
Fordham university and Montpellier Business School
Downloads 144 (272,855)

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Equity Indices, International Markets, Asset Pricing, Equity Anomalies, Return Predictability, the Cross-Section of Stock Returns, the Misery Index, Economic Discomfort Index, Unemployment, Inflation

43.

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 132 (291,645)

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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

44.

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
Montpellier Business School
Downloads 132 (291,645)
Citation 2

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

45.

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 124 (305,599)
Citation 1

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

46.

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
Montpellier Business School and Poznan University of Economics
Downloads 122 (309,289)

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

47.

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 112 (328,696)
Citation 1

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

48.

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
Montpellier Business School and Poznan University of Economics
Downloads 112 (328,696)
Citation 4

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

49.

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 110 (332,851)
Citation 2

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

50.

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 108 (336,974)

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

51.

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 Montpellier Business School
Downloads 108 (336,974)

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

52.

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 107 (339,129)
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

53.

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 106 (341,244)

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

54.

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 105 (343,389)

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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

55.

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 104 (345,542)

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

56.

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 103 (347,717)
Citation 1

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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

57.

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 103 (347,717)
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

58.

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-Sk?odowska University and University of Dubai
Downloads 100 (354,624)

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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

59.

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 99 (356,912)

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

60.

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 97 (361,605)

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

61.

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 BG? BNP Paribas
Downloads 95 (366,270)

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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

62.

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
Montpellier Business School and Warsaw School of Economics
Downloads 93 (371,347)

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

63.

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

Number of pages: 15 Posted: 16 May 2022
Pozna? University of Economics and Business, Istanbul Medeniyet University and Montpellier Business School
Downloads 90 (386,858)

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

64.

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 88 (384,164)
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

65.

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 82 (400,700)
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

66.

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 Yasar University - Department of International Trade and Finance
Downloads 82 (400,700)
Citation 2

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

67.

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
Yasar University - Department of International Trade and Finance, Yasar University - Deparment of International Trade and Finance and Montpellier Business School
Downloads 80 (406,410)

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

68.

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
Montpellier Business School and Warsaw School of Economics (SGH)
Downloads 80 (406,410)
Citation 2

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

69.

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 75 (421,509)

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

70.

Government Interventions and Sovereign Bond Market Volatility during COVID-19: A Quantile Analysis

Number of pages: 14 Posted: 12 Apr 2021
Management Department, Politehnica University of Timisoara, Management Department, Politehnica University of Timisoara, Montpellier Business School and Ono Academic College
Downloads 74 (424,653)
Citation 1

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COVID-19, government bond price volatility, government policy responses, international financial markets, containment and closure, economic support, panel quantile regression.

71.

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 70 (437,655)

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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

72.

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 70 (437,655)

Abstract:

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stock market, stock recommendations, analysts, Warsaw Stock Exchange

73.

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 69 (441,021)
Citation 3

Abstract:

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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

74.

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 66 (451,245)
Citation 5

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

75.

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
Montpellier Business School
Downloads 65 (454,778)

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futures, risk premium, forward curve

76.

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 64 (458,301)

Abstract:

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fundamental indexation, value investing, trading costs, emerging markets

77.

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 60 (473,153)
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

78.

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 59 (480,870)

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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

79.

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 59 (477,016)

Abstract:

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

80.

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 Pozna? University of Economics and Business
Downloads 59 (477,016)
Citation 1

Abstract:

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

81.

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, Yasar University - Department of International Trade and Finance and University of Dubai
Downloads 55 (492,489)
Citation 1

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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

82.

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 46 (531,312)

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

83.

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 46 (531,312)

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

84.

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 44 (540,736)
Citation 2

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

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 32 (603,700)
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.

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 27 (634,801)

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

87.

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

Number of pages: 14 Posted: 18 May 2022 Last Revised: 23 May 2022
Zhejiang University, Istanbul Medeniyet University, Pozna? University of Economics and Business, Montpellier Business School and Montpellier Business School
Downloads 17 (732,312)

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

88.

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, affiliation not provided to SSRN, Montpellier Business School and Zhejiang University
Downloads 12 (749,635)

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

89.

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 6 (804,126)

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

90.

Ensemble Models in Forecasting Financial Markets

Journal of Computational Finance, Forthcoming
Number of pages: 19 Posted: 02 Apr 2019
University of Dubai, University of Westminster, Mohammad bin Salman College, Montpellier Business School and University of Dubai
Downloads 2 (844,597)
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forecasting, multilayer perception (MLP), recurrent neural network (RNN), radial basis function (RBF), optimizers

91.

What Drives the January Seasonality in the Illiquidity Premium? Evidence from International Stock Markets

Journal of Investment Strategies, Vol. 10, No. 1
Number of pages: 24 Posted: 30 Jun 2021
Adam Zaremba and Nusret Cakici
Montpellier Business School and Fordham university
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illiquidity premium; liquidity; size effect; small-firm premium; January effect; seasonality; international markets; Amihud’s ratio.

92.

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

93.

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

94.

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

95.

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)

Abstract:

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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

96.

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
Montpellier Business School

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

97.

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 Montpellier Business School

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business valuation, financial results forecast

98.

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

Abstract:

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

99.

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
Montpellier Business School 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

100.

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
Montpellier Business School

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

101.

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
Montpellier Business School

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

102.

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
Montpellier Business School

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mutual funds, performance persistence, Polish financial market

103.

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 (1)

Total Downloads: 110
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
Montpellier Business School
Downloads 110 (428,828)

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