Details about Adam Zaremba
Access statistics for papers by Adam Zaremba.
Last updated 2022-08-24. Update your information in the RePEc Author Service.
Short-id: pza419
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Working Papers
2022
- Government Interventions and Sovereign Bond Market Volatility during COVID 19: A Quantile Analysis
Working Papers, HAL View citations (1)
Journal Articles
2022
- Sail Away to a Safe Harbor? COVID-19 Vaccinations and the Volatility of Travel and Leisure Companies
JRFM, 2022, 15, (4), 1-21
- Seven centuries of commodity co-movement: a wavelet analysis approach
Applied Economics Letters, 2022, 29, (4), 355-359 View citations (5)
- Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
Finance Research Letters, 2022, 44, (C) View citations (17)
- Twitter-Based uncertainty and cryptocurrency returns
Research in International Business and Finance, 2022, 59, (C) View citations (26)
- When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns
Journal of Financial Stability, 2022, 58, (C) View citations (33)
2021
- COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets
JRFM, 2021, 14, (12), 1-21 View citations (9)
- COVID-19, government policy responses, and stock market liquidity around the world: A note
Research in International Business and Finance, 2021, 56, (C) View citations (50)
- Commodity financialisation and price co-movement: Lessons from two centuries of evidence
Finance Research Letters, 2021, 38, (C) View citations (20)
- Comovements between heavily shorted stocks during a market squeeze: Lessons from the GameStop trading frenzy
Research in International Business and Finance, 2021, 58, (C) View citations (18)
- Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
Applied Economics, 2021, 53, (54), 6213-6230
- Explaining Equity Anomalies in Frontier Markets: A Horserace of Factor Pricing Models
Emerging Markets Finance and Trade, 2021, 57, (13), 3604-3633 View citations (2)
- FINANCIAL RESILIENCE TO THE COVID-19 PANDEMIC: THE ROLE OF BANKING MARKET STRUCTURE
Applied Economics, 2021, 53, (39), 4481-4504 View citations (15)
- False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)
Pacific-Basin Finance Journal, 2021, 70, (C) View citations (2)
- Herding for profits: Market breadth and the cross-section of global equity returns
Economic Modelling, 2021, 97, (C), 348-364 View citations (3)
- Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world
International Review of Financial Analysis, 2021, 77, (C) View citations (48)
- Liquidity and the cross-section of international stock returns
Journal of Banking & Finance, 2021, 127, (C) View citations (14)
- Long-run reversal in commodity returns: Insights from seven centuries of evidence
Journal of Banking & Finance, 2021, 133, (C)
- Oil shocks and equity markets: The case of GCC and BRICS economies
Energy Economics, 2021, 96, (C) View citations (36)
- Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020
Finance Research Letters, 2021, 43, (C) View citations (21)
- Spillover and risk transmission in the components of the term structure of eurozone yield curve
Applied Economics, 2021, 53, (18), 2141-2157 View citations (14)
- The alpha momentum effect in commodity markets
Energy Economics, 2021, 93, (C) View citations (4)
- The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets
Journal of International Financial Markets, Institutions and Money, 2021, 71, (C) View citations (33)
- Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets
International Review of Financial Analysis, 2021, 78, (C) View citations (11)
- Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic
Finance Research Letters, 2021, 43, (C) View citations (25)
- Who should be afraid of infections? Pandemic exposure and the cross-section of stock returns
Journal of International Financial Markets, Institutions and Money, 2021, 72, (C) View citations (9)
2020
- Business sentiment and the cross-section of global equity returns
Pacific-Basin Finance Journal, 2020, 61, (C) View citations (4)
- Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?
Pacific-Basin Finance Journal, 2020, 62, (C)
- Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe
Finance Research Letters, 2020, 35, (C) View citations (223)
- Is there an illiquidity premium in frontier markets?
Emerging Markets Review, 2020, 42, (C) View citations (20)
- One shape fits all? A comprehensive examination of cryptocurrency return distributions
Applied Economics Letters, 2020, 27, (19), 1567-1573 View citations (7)
- Performance Persistence in Anomaly Returns: Evidence from Frontier Markets
Emerging Markets Finance and Trade, 2020, 56, (12), 2852-2873 View citations (3)
- Seasonality in the Cross-Section of Cryptocurrency Returns
Finance Research Letters, 2020, 35, (C) View citations (19)
- The long-run reversal in the long run: Insights from two centuries of international equity returns
Journal of Empirical Finance, 2020, 55, (C), 177-199 View citations (13)
- Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns
Journal of Banking & Finance, 2020, 121, (C) View citations (19)
2019
- Alpha momentum and alpha reversal in country and industry equity indexes
Journal of Empirical Finance, 2019, 53, (C), 144-161 View citations (8)
- An Application of Factor Pricing Models to the Polish Stock Market
Emerging Markets Finance and Trade, 2019, 55, (9), 2039-2056 View citations (4)
- Beware of the crash risk: Tail beta and the cross-section of stock returns in China
Applied Economics, 2019, 51, (44), 4870-4881 View citations (2)
- Cross-sectional seasonalities in international government bond returns
Journal of Banking & Finance, 2019, 98, (C), 80-94 View citations (8)
- Idiosyncratic volatility and the cross-section of anomaly returns: is risk your Ally?
Applied Economics, 2019, 51, (49), 5388-5397 View citations (1)
- Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data
Economics Letters, 2019, 181, (C), 90-94 View citations (44)
- Picking winners to pick your winners: The momentum effect in commodity risk factors
The North American Journal of Economics and Finance, 2019, 50, (C) View citations (2)
- Price range and the cross-section of expected country and industry returns
International Review of Financial Analysis, 2019, 64, (C), 174-189 View citations (3)
- Return seasonalities in government bonds and macroeconomic risk
Economics Letters, 2019, 176, (C), 114-116 View citations (2)
- Reverse splits in international stock markets: Reconciling the evidence on long-term returns
Research in International Business and Finance, 2019, 47, (C), 552-562
- Short-term momentum (almost) everywhere
Journal of International Financial Markets, Institutions and Money, 2019, 63, (C) View citations (10)
- The Cross Section of Country Equity Returns: A Review of Empirical Literature
JRFM, 2019, 12, (4), 1-26 View citations (11)
- The cross-section of returns in frontier equity markets: Integrated or segmented pricing?
Emerging Markets Review, 2019, 38, (C), 219-238 View citations (10)
- The sources of momentum in international government bond returns
Applied Economics, 2019, 51, (8), 848-857 View citations (1)
- Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies
Economics Letters, 2019, 182, (C), 26-29 View citations (7)
2018
- Country Risk and Expected Returns Across Global Equity Markets
Czech Journal of Economics and Finance (Finance a uver), 2018, 68, (4), 374-398 View citations (2)
- Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight
Finance Research Letters, 2018, 24, (C), 163-167 View citations (2)
- Is there momentum in factor premia? Evidence from international equity markets
Research in International Business and Finance, 2018, 46, (C), 120-130 View citations (6)
- Paper profits or real money? Trading costs and stock market anomalies in country ETFs
International Review of Financial Analysis, 2018, 56, (C), 181-192 View citations (5)
- Size matters everywhere: Decomposing the small country and small industry premia
The North American Journal of Economics and Finance, 2018, 43, (C), 1-18 View citations (6)
- Strategies can be expensive too! The value spread and asset allocation in global equity markets
Applied Economics, 2018, 50, (60), 6529-6546 View citations (6)
2017
- Combining Equity Country Selection Strategies
Contemporary Economics, 2017, 11, (1) View citations (1)
- Digesting anomalies in emerging European markets: A comparison of factor pricing models
Emerging Markets Review, 2017, 31, (C), 1-15 View citations (21)
- Fundamental Indexation in European Emerging Markets
Journal for Economic Forecasting, 2017, (1), 23-37 View citations (4)
- Performance persistence of government bond factor premia
Finance Research Letters, 2017, 22, (C), 182-189 View citations (4)
- Seasonality in government bond returns and factor premia
Research in International Business and Finance, 2017, 41, (C), 292-302 View citations (4)
- Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?
International Journal of Management and Economics, 2017, 53, (3), 26-47 View citations (2)
- The cross section of international government bond returns
Economic Modelling, 2017, 66, (C), 171-183 View citations (8)
2016
- Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices
Journal for Economic Forecasting, 2016, (1), 88-103 View citations (3)
- Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies
Journal of Behavioral and Experimental Finance, 2016, 9, (C), 136-163 View citations (16)
- Is the Abnormal Post-IPO Underperformance Really Abnormal? The Evidence from CEE Emerging Markets
Emerging Markets Finance and Trade, 2016, 52, (12), 2721-2739 View citations (2)
- Is there momentum in equity anomalies? Evidence from the Polish emerging market
Research in International Business and Finance, 2016, 38, (C), 546-564 View citations (7)
- Mergers and acquisitions: Evidence on post-announcement performance from CEE stock markets
Journal of Business Economics and Management, 2016, 17, (2), 251-266 View citations (2)
- Paper profits from value, size and momentum: evidence from the Polish market
"e-Finanse", 2016, 11, (3), 58-69
- Quality investing and the cross-section of country returns
Studies in Economics and Finance, 2016, 33, (2), 281-301 View citations (1)
- Risk-based explanation for the country-level size and value effects
Finance Research Letters, 2016, 18, (C), 226-233 View citations (8)
- Strategies Based on Momentum and Term Structure in Financialized Commodity Markets
Business and Economics Research Journal, 2016, 7, (1), 31-46 View citations (3)
2015
- Inflation, Business Cycles, and Commodity Investing in Financialized Markets
Business and Economics Research Journal, 2015, 6, (1), 1-18 View citations (1)
- LOW RISK ANOMALY IN THE CEE STOCK MARKETS
Journal for Economic Forecasting, 2015, (3), 81-102
- Portfolio Diversification with Commodities in Times of Financialization
International Journal of Finance & Banking Studies, 2015, 4, (1), 18-36
- Skewness preference across countries
Business and Economic Horizons (BEH), 2015, 11, (2), 115-130 View citations (3)
Also in Business and Economic Horizons (BEH), 2015, 11, (2), 16 (2015) View citations (3)
- THE PROFITABILITY OF FOLLOWING ANALYST RECOMMENDATIONS ON THE POLISH STOCK MARKET
"e-Finanse", 2015, 11, (1), 22-31
- The January seasonality and the performance of country-level value and momentum strategies
Copernican Journal of Finance & Accounting, 2015, 4, (2), 195-209 View citations (4)
2014
- A Performance Evaluation Model for Global Macro Funds
International Journal of Finance & Banking Studies, 2014, 3, (1), 161-172 View citations (1)
- Country Value Premiums and Financial Crises
International Journal of Finance & Banking Studies, 2014, 3, (1), 12-50
- IPO Initial Underpricing Anomaly: the Election Gimmick Hypothesis
Copernican Journal of Finance & Accounting, 2014, 3, (2), 167-181 View citations (1)
- THE LOW PRICE EFFECT ON THE POLISH MARKET
"e-Finanse", 2014, 10, (1), 69-85 View citations (3)
2011
- Sources of Return in the Index Futures Markets
Contemporary Economics, 2011, 5, (2)
2010
- Are Managed Futures Indices Telling Truth? Biases in CTA Databases and Proposals of Potential Enhancements
Contemporary Economics, 2010, 4, (4)
Books
2020
- International Equity Exchange-Traded Funds
Springer Books, Springer View citations (1)
2018
- Price-Based Investment Strategies
Springer Books, Springer View citations (2)
2017
- Country Asset Allocation
Palgrave Macmillan Books, Palgrave Macmillan View citations (1)
2015
- The Financialization of Commodity Markets
Palgrave Macmillan Books, Palgrave Macmillan View citations (3)
See also Chapter Financialization of Commodity Markets, Palgrave Macmillan Books, Palgrave Macmillan (2015) View citations (3) (2015)
Edited books
2022
- Eurasian Business and Economics Perspectives
Eurasian Studies in Business and Economics, Springer
Chapters
2020
- A Factor Model for Country-Level Equity Returns
Springer
- A Tale of Two States: An Application of a Markov Switching Model to Anomaly Returns
Springer
2015
- Active Investment Strategies in Commodity Markets
Palgrave Macmillan
- Asset Allocation in Commodity Markets
Palgrave Macmillan
- Commodity Investments in Financialized Markets—a Study
Palgrave Macmillan View citations (1)
- Conclusions
Palgrave Macmillan
- Financialization of Commodity Markets
Palgrave Macmillan View citations (3)
See also Book The Financialization of Commodity Markets, Palgrave Macmillan (2015) View citations (3) (2015)
- Passive Investment Strategies in Commodity Markets
Palgrave Macmillan
- Performance Measurement of Commodity Investments
Palgrave Macmillan
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