al. Niepodległości 10
Poznań, 61-875
Poland
http://adamzaremba.pl
Academic City
Dubai, 14143
United Arab Emirates
http://adamzaremba.pl/
Poznań University of Economics and Business
University of Dubai
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commodity futures, financialization, momentum, term structure, backwardation, contango, double-sort strategy
country selection strategies, asset pricing, cross section of stock returns, value investing, momentum, skewness preference, liquidity premium, turnover ratio, international investments
country-level patterns; equity anomalies, factor investing; international diversification; momentum; returns predictability
quality investing, quality premium, profitability premium, international stock markets, cross-section of country returns, leverage
value effect, size effect, momentum effect, Fama-French three-factor model, Carhart-four-factor model, Polish market, asset pricing, market segmentation
commodities, finacialization, mean-variance spanning, strategic asset allocation, alternative investments
short-term momentum, short-term reversal, early asset prices, long-term historical returns, equities, government bonds, treasury bills, currency, commodities
long-run reversal, commodity markets, early commodity prices, long-term historical returns, mean reversion, trading strategies
event study, mergers and acquisitions, short-term performance, long-run performance, Central and Eastern Europe, stock market, abnormal returns
quality investing, leverage, cash-to-assets ratio, profitability, inter-market effects, cross-section of returns, factor returns, international diversification, country selection strategies, factor investing
commodities, inflation hedging, macroeconomic determinants, business cycle, financialization
Small-Firm Premium, Size Effect, Low-Beta Anomaly, Small-Minus-Big, Betting-Against-Beta, SMB, BAB, Asset Pricing, Factor Timing, International Equity Allocation
skewness preference, country-level effects, inter-market effects, asset pricing, international markets, prospect theory
factor returns, momentum, size, value, liquidity, Warsaw Stock Exchamge
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
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
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
January Effect; Turn-Of-The-Year Effect; Value; Momentum; Country-Level Anomalies; International Investments; Cross Section of Stock Returns; Asset Pricing
asset pricing, government bonds, sovereign bonds, fixed-income securities, international markets, cross section of returns, value, momentum, credit risk, volatility
value, size, momentum, cross-section of stock returns, liquidity, transaction costs, CEE markets, emerging markets
seasonal anomalies, calendar anomalies, January effect, sell in May and go away, Halloween indicator, government bonds, sovereign bonds, fixed-income securities
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
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).
value spread, country-level anomalies, country-selection strategies, asset allocation, asset pricing, international investment, return predictability, equity anomalies, the cross-section of returns
long-term reversal, stock market indices, country stock markets, country-level anomalies, international markets, asset pricing, investment strategies
low price effect, Warsaw Stock Exchange, Polish market, stock market anomaly
corporate bonds, undepricing anomaly, new issues, IPOs, CEE markets
government bonds, sovereign bonds, currencies, foreign exchange, momentum, asset pricing, return predictability
IPO underpricing, political cycles, stock market anomalies, Warsaw Stock Exchange, Polish stock market
Herding, Market Breadth, Return Predictability, Asset Pricing, Portfolio Allocation
IPO, long-run underperformance, Central and Eastern Europe, asset pricing, cross-section of stock returns, CEE markets, value effect, size effect, momentum effect
buyback, stock repurchase, event study, market efficiency, corporate behavioral finance
dividend yields, cross-section of stock returns, portfolio optimization, mean-variance spanning, CEE stock market
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
cross section of country equity returns, country-level stock market anomalies, empirical asset pricing, international equity markets, return predictability
IPO, long-run underperformance, asset pricing, cross-section of stock returns, Polish stock market
reverse split, share consolidation, long-run returns, international markets, long-term event study, equity anomalies, stock market integration, penny stocks, micro-caps
momentum, factor premium, asset pricing, value, size, quality, low-volatility, style momentum, performance persistence, international equity markets, market efficiency, return predictability
IPO underpricing, initial public offering, Polish stock market, Warsaw Stock Exchange, cost compensation hypothesis
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
equity anomalies, idiosyncratic risk, idiosyncratic volatility, asset allocation, asset pricing, return predictability, the cross-section of stock returns
value, size, momentum, cross-section of stock returns, liquidity, transaction costs, Warsaw Stock Exchange, WSE, Polish stock market
equity anomalies, frontier stock markets, empirical asset pricing, factor models, the cross-section of returns
Systematic Tail Risk, Tail Beta, Extreme Value Theory, China, Equity Market, Asset Pricing, Return Predictability, Low-Risk Anomaly
country size effect, industry size effect, small country premium, size premium, asset pricing, international investment, return predictability, decomposition
cross-section of stock returns; quality investing; CEE stock market; Central and Eastern Europe; gross profitability premium; liquidity premium; leverage; bid-ask spread; accruals
stock market, stock recommendations, analysts, Warsaw Stock Exchange
long-term reversal, long-run reversal, country equity indices, early security data, equity anomalies, asset pricing, return predictability
Value Premium, Size Premium, Small-Market Effect, Country Selection Strategies, Country-Level Anomalies, International Asset Pricing, Pricing of Risk, Country Risk
futures, risk premium, forward curve
Momentum, Stock Market Anomalies, Performance Persistence, Frontier Markets, Emerging Markets, Market Efficiency, Return Predictability
seasonal anomalies, calendar anomalies, factor premium, asset pricing, value, momentum, size, quality, low-volatility, international equity markets, market efficiency, return predictability
Idiosyncratic Volatility, Low-Risk Anomaly, Abnormal Returns, Return Predictability, Mispricing, Stock Market Anomalies, Monte Carlo Simulation
fundamental indexation, value investing, trading costs, emerging markets
mergers and acquisitions, country-selection strategies, country-level effects, international asset pricing, return predictability, corporate-behavioral finance
asset pricing, factor models, anomalies, emerging European markets, emerging markets, cross section of returns, size, value, momentum, profitability, asset growth
government bonds, equity indices, momentum spillover, international markets, asset pricing, equity anomalies, return predictability, the cross-section of stock returns
government bonds, return seasonality, macroeconomic risk, asset pricing, calendar anomalies
Asset Pricing, Factor Models, Cross-Section of Returns, Poland, Polish Stock Market, Equity Anomalies, Size, Value, Momentum, Profitability, Asset Growth
Illiquidity Premium, International Markets, Micro-caps, Amihud’s Measure, Turnover Ratio, Bid-Ask Spread, Co-movements in Illiquidity Premium, Seasonality in Illiquidity Premium
international markets, government bonds, anomalies, limits to arbitrage, investor sentiment, return predictability
momentum, performance persistence, government bonds, international investments, return predictability, factor investing, sovereign bonds, value, credit risk, volatility
International Investment, E/P Decomposition, Value Effect, Equity Anomalies, Index Returns, Return Predictability
inflation hedging, commodity markets, early commodity prices, wavelet analysis
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
frontier equity markets, factor models, asset pricing, stock market integration and segmentation, the cross-section of returns, size, value, momentum, profitability, investment
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forecasting, multilayer perception (MLP), recurrent neural network (RNN), radial basis function (RBF), optimizers
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
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
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
value, size, momentum, quality, volatility, country-level effects, inter-market effects, cross-section of returns, factor returns, international diversification, asset pricing
value, size, momentum, country-level effects, intermarket effects, cross-section of returns, factor returns, international diversification
business valuation, financial results forecast
asset-pricing, CEE markets, cross-section of stock returns, market segmentation, microcaps, momentum, multifactor models, size premium, value premium
value premium, size premium, momentum effect, cross-section of inter-country returns, global asset allocation
inter-country variation in stock returns, value premium, financial crisis
Fama-French model, value premium, size premium, country returns, cross section of returns, hedge funds, investment performance
mutual funds, performance persistence, Polish financial market
commodities, roll yields, financialization, mean-variance spanning, strategic asset allocation
return seasonalities, seasonal anomalies, calendar anomalies, government bonds, sovereign bonds, fixed-income securities, asset pricing, return predictability
