Adam Zaremba

Poznań University of Economics and Business

al. Niepodległości 10

Poznań, 61-875

Poland

http://adamzaremba.pl

Montpellier Business School

Associate Professor of Finance

2300 Avenue des Moulins

Montpellier, Occitanie 34000

France

  • Poznań University of Economics and Business

  • Montpellier Business School

SCHOLARLY PAPERS

79

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Top 15,689

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38

CROSSREF CITATIONS

28

Scholarly Papers (79)

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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 783 (34,822)
Citation 4

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

2.

Combining Equity Country Selection Strategies

Downloads 484 ( 65,219)

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 403 (80,582)

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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 81 (339,756)

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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 439 (73,486)
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 396 (82,898)
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 391 (84,147)
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

6.

Short-Term Momentum (Almost) Everywhere

Number of pages: 64 Posted: 14 Mar 2019
Adam Zaremba, Andreas Karathanasopoulos and Huaigang Long
Pozna? University of Economics and Business, University of Dubai and Zhejiang University
Downloads 353 (94,812)
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

7.

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 343 (97,868)
Citation 1

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

8.

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

Number of pages: 59 Posted: 24 Jan 2019 Last Revised: 26 Jun 2020
Adam Zaremba, Robert J. Bianchi and Mateusz Mikutowski
Pozna? University of Economics and Business, Griffith University and Poznan University of Economics and Business
Downloads 328 (102,855)
Citation 1

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

9.

Alpha Momentum and Alpha Reversal in Country and Industry Equity Indexes

Number of pages: 62 Posted: 29 Aug 2018
Adam Zaremba, Mehmet Umutlu and Andreas Karathanasopoulos
Pozna? University of Economics and Business, Yasar University - Department of International Trade and Finance and University of Dubai
Downloads 282 (121,092)
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.

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 246 (139,451)

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

11.

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
Pozna? University of Economics and Business
Downloads 239 (143,352)

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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

12.

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 233 (146,922)
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

13.

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 227 (150,679)
Citation 1

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

14.

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 206 (165,014)
Citation 1

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

15.

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

Number of pages: 61 Posted: 22 Jun 2020
Adam Zaremba, Renatas Kizys, Panagiotis Tzouvanas, David Y. Aharon and Ender Demir
Pozna? University of Economics and Business, Southampton Business School, University of Sussex, Ono Academic College and Istanbul Medeniyet University
Downloads 198 (171,375)
Citation 1

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

16.

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 198 (171,375)
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

17.

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 196 (172,985)

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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

18.

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 191 (177,024)
Citation 2

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

19.

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 190 (177,916)
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

20.

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 176 (190,387)
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

21.

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 160 (206,645)
Citation 5

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

22.

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 158 (208,815)

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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

23.

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
Adam Zaremba, Szymon Okoń, Andrzej Nowak and Przemyslaw Konieczka
Pozna? University of Economics and Business, Poznan University of Economics, Poznan University of Economics and Warsaw School of Economics (SGH)
Downloads 158 (208,815)

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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

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 138 (233,192)
Citation 1

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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.

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

Number of pages: 45 Posted: 29 Aug 2019
Adam Zaremba, Adam Szyszka, Andreas Karathanasopoulos and Mateusz Mikutowski
Pozna? University of Economics and Business, Warsaw School of Economics, University of Dubai and Poznan University of Economics and Business
Downloads 132 (241,522)
Citation 1

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

26.

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 126 (250,191)

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

27.

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 120 (259,608)
Citation 3

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

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 116 (266,044)

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

29.

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 111 (274,519)
Citation 1

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

30.

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 110 (276,243)

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

31.

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 (278,019)
Citation 4

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

32.

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
Adam Zaremba, David Y. Aharon, Ender Demir, Renatas Kizys and Dariusz Zawadka
Pozna? University of Economics and Business, Ono Academic College, Istanbul Medeniyet University, Southampton Business School and Poznan University of Economics - Department of Investment and Capital Markets
Downloads 107 (281,566)

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

33.

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 99 (296,853)
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

34.

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 99 (296,853)
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

35.

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 99 (296,853)

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

36.

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 98 (298,754)

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

37.

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
Adam Zaremba, Renatas Kizys and Muhammad Wajid Raza
Pozna? University of Economics and Business, Southampton Business School and Shadeed Benazir Bhutto University, Dir, Pakistan
Downloads 97 (300,731)
Citation 3

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

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 95 (304,846)
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.

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
Adam Zaremba, Szymon Okoń, Roman Asyngier and Lucia Schroeter
Pozna? University of Economics and Business, Poznan University of Economics, Maria Curie-Sk?odowska University and University of Dubai
Downloads 91 (313,319)

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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

40.

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 89 (317,666)

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

41.

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 89 (317,666)

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

42.

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
Adam Zaremba, Alina Maydybura, Anna Czapkiewicz and Marina Arnaut
Pozna? University of Economics and Business, University of Dubai, AGH University of Science and Technology and University of Dubai
Downloads 87 (322,248)

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

43.

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 87 (322,248)

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

44.

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 86 (324,540)

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

45.

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 81 (336,577)

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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

46.

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 (344,067)
Citation 2

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

47.

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 75 (351,916)
Citation 2

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

48.

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 64 (383,123)

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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

49.

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 (386,346)

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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

50.

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 63 (386,346)

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stock market, stock recommendations, analysts, Warsaw Stock Exchange

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 60 (395,765)
Citation 5

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

52.

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 (395,765)
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

53.

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 59 (399,095)

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futures, risk premium, forward curve

54.

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

Finance Research Letters, Forthcoming
Number of pages: 13 Posted: 19 Sep 2017
Adam Zaremba, Anna Czapkiewicz and Barbara Bedowska-Sojka
Pozna? University of Economics and Business, AGH University of Science and Technology and affiliation not provided to SSRN
Downloads 51 (426,835)
Citation 1

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

55.

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 50 (430,494)

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fundamental indexation, value investing, trading costs, emerging markets

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 47 (441,959)
Citation 5

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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.

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

Number of pages: 35 Posted: 11 Dec 2019 Last Revised: 23 Sep 2020
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
Downloads 44 (453,872)

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

58.

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 43 (458,026)
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mergers and acquisitions, country-selection strategies, country-level effects, international asset pricing, return predictability, corporate-behavioral finance

59.

Return Seasonalities in Government Bonds and Macroeconomic Risk

Economics Letters, 2019, 176, 114-116
Number of pages: 8 Posted: 28 Feb 2019
Mateusz Mikutowski, Andreas Karathanasopoulos and Adam Zaremba
Poznan University of Economics and Business, University of Dubai and Pozna? University of Economics and Business
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government bonds, return seasonality, macroeconomic risk, asset pricing, calendar anomalies

60.

An Application of Factor Pricing Models to the Polish Stock Market

Number of pages: 41 Posted: 02 Sep 2018
Adam Zaremba, Anna Czapkiewicz, Jan Szczygielski and Vitaly Kaganov
Pozna? University of Economics and Business, AGH University of Science and Technology, University of Pretoria and Poznan University of Economics and Business
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Asset Pricing, Factor Models, Cross-Section of Returns, Poland, Polish Stock Market, Equity Anomalies, Size, Value, Momentum, Profitability, Asset Growth

61.

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

62.

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

63.

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

64.

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 22 (565,595)
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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

65.

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

Number of pages: 19 Posted: 31 Jul 2020
Muhammad Wajid Raza, Tahir Suleman and Adam Zaremba
Shadeed Benazir Bhutto University, Dir, Pakistan, Wellington Institute of Technology and Pozna? University of Economics and Business
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Political risk, International portfolio diversification, Shariah-compliant portfolios, Performance evaluation, Shariah-compliant investments

66.

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
Adam Zaremba, Renatas Kizys and David Y. Aharon
Pozna? University of Economics and Business, Southampton Business School and Ono Academic College
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COVID-19 pandemic, coronavirus outbreak, government policy responses, containment and closure, economic support, sovereign bonds, government bond market volatility

67.

Ensemble Models in Forecasting Financial Markets

Journal of Computational Finance, Forthcoming
Number of pages: 19 Posted: 02 Apr 2019
Andreas Karathanasopoulos, Mitra Sovan, Chia Chun Lo, Adam Zaremba and Mohammed Osman
University of Dubai, affiliation not provided to SSRN, 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

https://doi.org/10.3905/joi.2016.25.4.097
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

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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 94 (428,828)

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