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Details about Adam Zaremba

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Homepage:http://adamzaremba.pl/
Workplace:Uniwersytet Ekonomiczny w Poznaniu (Poznan University of Economics), (more information at EDIRC)
Montpellier Business School, (more information at EDIRC)

Access statistics for papers by Adam Zaremba.

Last updated 2022-08-24. Update your information in the RePEc Author Service.

Short-id: pza419


Jump to Journal Articles Books Edited books Chapters

Working Papers

2022

  1. Government Interventions and Sovereign Bond Market Volatility during COVID 19: A Quantile Analysis
    Working Papers, HAL Downloads View citations (1)

Journal Articles

2022

  1. Sail Away to a Safe Harbor? COVID-19 Vaccinations and the Volatility of Travel and Leisure Companies
    JRFM, 2022, 15, (4), 1-21 Downloads
  2. Seven centuries of commodity co-movement: a wavelet analysis approach
    Applied Economics Letters, 2022, 29, (4), 355-359 Downloads View citations (5)
  3. Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
    Finance Research Letters, 2022, 44, (C) Downloads View citations (17)
  4. Twitter-Based uncertainty and cryptocurrency returns
    Research in International Business and Finance, 2022, 59, (C) Downloads View citations (26)
  5. When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns
    Journal of Financial Stability, 2022, 58, (C) Downloads View citations (33)

2021

  1. COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets
    JRFM, 2021, 14, (12), 1-21 Downloads View citations (9)
  2. COVID-19, government policy responses, and stock market liquidity around the world: A note
    Research in International Business and Finance, 2021, 56, (C) Downloads View citations (50)
  3. Commodity financialisation and price co-movement: Lessons from two centuries of evidence
    Finance Research Letters, 2021, 38, (C) Downloads View citations (20)
  4. Comovements between heavily shorted stocks during a market squeeze: Lessons from the GameStop trading frenzy
    Research in International Business and Finance, 2021, 58, (C) Downloads View citations (18)
  5. Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
    Applied Economics, 2021, 53, (54), 6213-6230 Downloads
  6. Explaining Equity Anomalies in Frontier Markets: A Horserace of Factor Pricing Models
    Emerging Markets Finance and Trade, 2021, 57, (13), 3604-3633 Downloads View citations (2)
  7. FINANCIAL RESILIENCE TO THE COVID-19 PANDEMIC: THE ROLE OF BANKING MARKET STRUCTURE
    Applied Economics, 2021, 53, (39), 4481-4504 Downloads View citations (15)
  8. False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)
    Pacific-Basin Finance Journal, 2021, 70, (C) Downloads View citations (2)
  9. Herding for profits: Market breadth and the cross-section of global equity returns
    Economic Modelling, 2021, 97, (C), 348-364 Downloads View citations (3)
  10. Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world
    International Review of Financial Analysis, 2021, 77, (C) Downloads View citations (48)
  11. Liquidity and the cross-section of international stock returns
    Journal of Banking & Finance, 2021, 127, (C) Downloads View citations (14)
  12. Long-run reversal in commodity returns: Insights from seven centuries of evidence
    Journal of Banking & Finance, 2021, 133, (C) Downloads
  13. Oil shocks and equity markets: The case of GCC and BRICS economies
    Energy Economics, 2021, 96, (C) Downloads View citations (36)
  14. Patterns of Spillover in Energy, Agricultural, and Metal Markets: A Connectedness Analysis for Years 1780-2020
    Finance Research Letters, 2021, 43, (C) Downloads View citations (21)
  15. Spillover and risk transmission in the components of the term structure of eurozone yield curve
    Applied Economics, 2021, 53, (18), 2141-2157 Downloads View citations (14)
  16. The alpha momentum effect in commodity markets
    Energy Economics, 2021, 93, (C) Downloads View citations (4)
  17. 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) Downloads View citations (33)
  18. Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets
    International Review of Financial Analysis, 2021, 78, (C) Downloads View citations (11)
  19. Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic
    Finance Research Letters, 2021, 43, (C) Downloads View citations (25)
  20. 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) Downloads View citations (9)

2020

  1. Business sentiment and the cross-section of global equity returns
    Pacific-Basin Finance Journal, 2020, 61, (C) Downloads View citations (4)
  2. Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?
    Pacific-Basin Finance Journal, 2020, 62, (C) Downloads
  3. Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe
    Finance Research Letters, 2020, 35, (C) Downloads View citations (223)
  4. Is there an illiquidity premium in frontier markets?
    Emerging Markets Review, 2020, 42, (C) Downloads View citations (20)
  5. One shape fits all? A comprehensive examination of cryptocurrency return distributions
    Applied Economics Letters, 2020, 27, (19), 1567-1573 Downloads View citations (7)
  6. Performance Persistence in Anomaly Returns: Evidence from Frontier Markets
    Emerging Markets Finance and Trade, 2020, 56, (12), 2852-2873 Downloads View citations (3)
  7. Seasonality in the Cross-Section of Cryptocurrency Returns
    Finance Research Letters, 2020, 35, (C) Downloads View citations (19)
  8. 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 Downloads View citations (13)
  9. Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns
    Journal of Banking & Finance, 2020, 121, (C) Downloads View citations (19)

2019

  1. Alpha momentum and alpha reversal in country and industry equity indexes
    Journal of Empirical Finance, 2019, 53, (C), 144-161 Downloads View citations (8)
  2. An Application of Factor Pricing Models to the Polish Stock Market
    Emerging Markets Finance and Trade, 2019, 55, (9), 2039-2056 Downloads View citations (4)
  3. Beware of the crash risk: Tail beta and the cross-section of stock returns in China
    Applied Economics, 2019, 51, (44), 4870-4881 Downloads View citations (2)
  4. Cross-sectional seasonalities in international government bond returns
    Journal of Banking & Finance, 2019, 98, (C), 80-94 Downloads View citations (8)
  5. Idiosyncratic volatility and the cross-section of anomaly returns: is risk your Ally?
    Applied Economics, 2019, 51, (49), 5388-5397 Downloads View citations (1)
  6. Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data
    Economics Letters, 2019, 181, (C), 90-94 Downloads View citations (44)
  7. Picking winners to pick your winners: The momentum effect in commodity risk factors
    The North American Journal of Economics and Finance, 2019, 50, (C) Downloads View citations (2)
  8. Price range and the cross-section of expected country and industry returns
    International Review of Financial Analysis, 2019, 64, (C), 174-189 Downloads View citations (3)
  9. Return seasonalities in government bonds and macroeconomic risk
    Economics Letters, 2019, 176, (C), 114-116 Downloads View citations (2)
  10. Reverse splits in international stock markets: Reconciling the evidence on long-term returns
    Research in International Business and Finance, 2019, 47, (C), 552-562 Downloads
  11. Short-term momentum (almost) everywhere
    Journal of International Financial Markets, Institutions and Money, 2019, 63, (C) Downloads View citations (10)
  12. The Cross Section of Country Equity Returns: A Review of Empirical Literature
    JRFM, 2019, 12, (4), 1-26 Downloads View citations (11)
  13. The cross-section of returns in frontier equity markets: Integrated or segmented pricing?
    Emerging Markets Review, 2019, 38, (C), 219-238 Downloads View citations (10)
  14. The sources of momentum in international government bond returns
    Applied Economics, 2019, 51, (8), 848-857 Downloads View citations (1)
  15. Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies
    Economics Letters, 2019, 182, (C), 26-29 Downloads View citations (7)

2018

  1. Country Risk and Expected Returns Across Global Equity Markets
    Czech Journal of Economics and Finance (Finance a uver), 2018, 68, (4), 374-398 Downloads View citations (2)
  2. Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight
    Finance Research Letters, 2018, 24, (C), 163-167 Downloads View citations (2)
  3. Is there momentum in factor premia? Evidence from international equity markets
    Research in International Business and Finance, 2018, 46, (C), 120-130 Downloads View citations (6)
  4. Paper profits or real money? Trading costs and stock market anomalies in country ETFs
    International Review of Financial Analysis, 2018, 56, (C), 181-192 Downloads View citations (5)
  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 Downloads View citations (6)
  6. Strategies can be expensive too! The value spread and asset allocation in global equity markets
    Applied Economics, 2018, 50, (60), 6529-6546 Downloads View citations (6)

2017

  1. Combining Equity Country Selection Strategies
    Contemporary Economics, 2017, 11, (1) Downloads View citations (1)
  2. Digesting anomalies in emerging European markets: A comparison of factor pricing models
    Emerging Markets Review, 2017, 31, (C), 1-15 Downloads View citations (21)
  3. Fundamental Indexation in European Emerging Markets
    Journal for Economic Forecasting, 2017, (1), 23-37 Downloads View citations (4)
  4. Performance persistence of government bond factor premia
    Finance Research Letters, 2017, 22, (C), 182-189 Downloads View citations (4)
  5. Seasonality in government bond returns and factor premia
    Research in International Business and Finance, 2017, 41, (C), 292-302 Downloads View citations (4)
  6. Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?
    International Journal of Management and Economics, 2017, 53, (3), 26-47 Downloads View citations (2)
  7. The cross section of international government bond returns
    Economic Modelling, 2017, 66, (C), 171-183 Downloads View citations (8)

2016

  1. Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices
    Journal for Economic Forecasting, 2016, (1), 88-103 Downloads View citations (3)
  2. 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 Downloads View citations (16)
  3. Is the Abnormal Post-IPO Underperformance Really Abnormal? The Evidence from CEE Emerging Markets
    Emerging Markets Finance and Trade, 2016, 52, (12), 2721-2739 Downloads View citations (2)
  4. Is there momentum in equity anomalies? Evidence from the Polish emerging market
    Research in International Business and Finance, 2016, 38, (C), 546-564 Downloads View citations (7)
  5. Mergers and acquisitions: Evidence on post-announcement performance from CEE stock markets
    Journal of Business Economics and Management, 2016, 17, (2), 251-266 Downloads View citations (2)
  6. Paper profits from value, size and momentum: evidence from the Polish market
    "e-Finanse", 2016, 11, (3), 58-69 Downloads
  7. Quality investing and the cross-section of country returns
    Studies in Economics and Finance, 2016, 33, (2), 281-301 Downloads View citations (1)
  8. Risk-based explanation for the country-level size and value effects
    Finance Research Letters, 2016, 18, (C), 226-233 Downloads View citations (8)
  9. Strategies Based on Momentum and Term Structure in Financialized Commodity Markets
    Business and Economics Research Journal, 2016, 7, (1), 31-46 Downloads View citations (3)

2015

  1. Inflation, Business Cycles, and Commodity Investing in Financialized Markets
    Business and Economics Research Journal, 2015, 6, (1), 1-18 Downloads View citations (1)
  2. LOW RISK ANOMALY IN THE CEE STOCK MARKETS
    Journal for Economic Forecasting, 2015, (3), 81-102 Downloads
  3. Portfolio Diversification with Commodities in Times of Financialization
    International Journal of Finance & Banking Studies, 2015, 4, (1), 18-36 Downloads
  4. Skewness preference across countries
    Business and Economic Horizons (BEH), 2015, 11, (2), 115-130 Downloads View citations (3)
    Also in Business and Economic Horizons (BEH), 2015, 11, (2), 16 (2015) Downloads View citations (3)
  5. THE PROFITABILITY OF FOLLOWING ANALYST RECOMMENDATIONS ON THE POLISH STOCK MARKET
    "e-Finanse", 2015, 11, (1), 22-31 Downloads
  6. The January seasonality and the performance of country-level value and momentum strategies
    Copernican Journal of Finance & Accounting, 2015, 4, (2), 195-209 Downloads View citations (4)

2014

  1. A Performance Evaluation Model for Global Macro Funds
    International Journal of Finance & Banking Studies, 2014, 3, (1), 161-172 Downloads View citations (1)
  2. Country Value Premiums and Financial Crises
    International Journal of Finance & Banking Studies, 2014, 3, (1), 12-50 Downloads
  3. IPO Initial Underpricing Anomaly: the Election Gimmick Hypothesis
    Copernican Journal of Finance & Accounting, 2014, 3, (2), 167-181 Downloads View citations (1)
  4. THE LOW PRICE EFFECT ON THE POLISH MARKET
    "e-Finanse", 2014, 10, (1), 69-85 Downloads View citations (3)

2011

  1. Sources of Return in the Index Futures Markets
    Contemporary Economics, 2011, 5, (2) Downloads

2010

  1. Are Managed Futures Indices Telling Truth? Biases in CTA Databases and Proposals of Potential Enhancements
    Contemporary Economics, 2010, 4, (4) Downloads

Books

2020

  1. International Equity Exchange-Traded Funds
    Springer Books, Springer View citations (1)

2018

  1. Price-Based Investment Strategies
    Springer Books, Springer View citations (2)

2017

  1. Country Asset Allocation
    Palgrave Macmillan Books, Palgrave Macmillan View citations (1)

2015

  1. 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

  1. Eurasian Business and Economics Perspectives
    Eurasian Studies in Business and Economics, Springer

Chapters

2020

  1. A Factor Model for Country-Level Equity Returns
    Springer
  2. A Tale of Two States: An Application of a Markov Switching Model to Anomaly Returns
    Springer

2015

  1. Active Investment Strategies in Commodity Markets
    Palgrave Macmillan
  2. Asset Allocation in Commodity Markets
    Palgrave Macmillan
  3. Commodity Investments in Financialized Markets—a Study
    Palgrave Macmillan View citations (1)
  4. Conclusions
    Palgrave Macmillan
  5. Financialization of Commodity Markets
    Palgrave Macmillan View citations (3)
    See also Book The Financialization of Commodity Markets, Palgrave Macmillan (2015) View citations (3) (2015)
  6. Passive Investment Strategies in Commodity Markets
    Palgrave Macmillan
  7. Performance Measurement of Commodity Investments
    Palgrave Macmillan
 
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