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

Working Papers

2022

1. Government Interventions and Sovereign Bond Market Volatility during COVID 19: A Quantile Analysis
   Working Papers, HAL 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
2. Seven centuries of commodity co-movement: a wavelet analysis approach
   Applied Economics Letters, 2022, 29, (4), 355-359 View citations (5)
3. Term spreads and the COVID-19 pandemic: Evidence from international sovereign bond markets
   Finance Research Letters, 2022, 44, (C) View citations (18)
4. Twitter-Based uncertainty and cryptocurrency returns
   Research in International Business and Finance, 2022, 59, (C) View citations (28)
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) View citations (34)

2021

6. COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets
   JRFM, 2021, 14, (12), 1-21 View citations (9)
7. 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 (53)
8. Commodity financialisation and price co-movement: Lessons from two centuries of evidence
   Finance Research Letters, 2021, 38, (C) View citations (21)
9. 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 (19)
10. Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
    Applied Economics, 2021, 53, (54), 6213-6230
11. 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)
12. FINANCIAL RESILIENCE TO THE COVID-19 PANDEMIC: THE ROLE OF BANKING MARKET STRUCTURE
    Applied Economics, 2021, 53, (39), 4481-4504 View citations (15)
13. 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)
14. Herding for profits: Market breadth and the cross-section of global equity returns
    Economic Modelling, 2021, 97, (C), 348-364 View citations (3)
15. 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)
16. Liquidity and the cross-section of international stock returns
    Journal of Banking & Finance, 2021, 127, (C) View citations (14)
17. Long-run reversal in commodity returns: Insights from seven centuries of evidence
    Journal of Banking & Finance, 2021, 133, (C)
18. Oil shocks and equity markets: The case of GCC and BRICS economies
    Energy Economics, 2021, 96, (C) View citations (42)
19. 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)
20. Spillover and risk transmission in the components of the term structure of eurozone yield curve
    Applied Economics, 2021, 53, (18), 2141-2157 View citations (15)
21. The alpha momentum effect in commodity markets
    Energy Economics, 2021, 93, (C) View citations (4)
22. 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)
23. Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets
    International Review of Financial Analysis, 2021, 78, (C) View citations (12)
24. 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)
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

26. Business sentiment and the cross-section of global equity returns
    Pacific-Basin Finance Journal, 2020, 61, (C) View citations (5)
27. Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?
    Pacific-Basin Finance Journal, 2020, 62, (C)
28. Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe
    Finance Research Letters, 2020, 35, (C) View citations (229)
29. Is there an illiquidity premium in frontier markets?
    Emerging Markets Review, 2020, 42, (C) View citations (20)
30. One shape fits all? A comprehensive examination of cryptocurrency return distributions
    Applied Economics Letters, 2020, 27, (19), 1567-1573 View citations (7)
31. Performance Persistence in Anomaly Returns: Evidence from Frontier Markets
    Emerging Markets Finance and Trade, 2020, 56, (12), 2852-2873 View citations (3)
32. Seasonality in the Cross-Section of Cryptocurrency Returns
    Finance Research Letters, 2020, 35, (C) View citations (20)
33. 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)
34. 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

35. Alpha momentum and alpha reversal in country and industry equity indexes
    Journal of Empirical Finance, 2019, 53, (C), 144-161 View citations (8)
36. An Application of Factor Pricing Models to the Polish Stock Market
    Emerging Markets Finance and Trade, 2019, 55, (9), 2039-2056 View citations (4)
37. 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)
38. Cross-sectional seasonalities in international government bond returns
    Journal of Banking & Finance, 2019, 98, (C), 80-94 View citations (8)
39. Idiosyncratic volatility and the cross-section of anomaly returns: is risk your Ally?
    Applied Economics, 2019, 51, (49), 5388-5397 View citations (2)
40. Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data
    Economics Letters, 2019, 181, (C), 90-94 View citations (44)
41. 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)
42. 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)
43. Return seasonalities in government bonds and macroeconomic risk
    Economics Letters, 2019, 176, (C), 114-116 View citations (2)
44. Reverse splits in international stock markets: Reconciling the evidence on long-term returns
    Research in International Business and Finance, 2019, 47, (C), 552-562
45. Short-term momentum (almost) everywhere
    Journal of International Financial Markets, Institutions and Money, 2019, 63, (C) View citations (11)
46. The Cross Section of Country Equity Returns: A Review of Empirical Literature
    JRFM, 2019, 12, (4), 1-26 View citations (11)
47. The cross-section of returns in frontier equity markets: Integrated or segmented pricing?
    Emerging Markets Review, 2019, 38, (C), 219-238 View citations (10)
48. The sources of momentum in international government bond returns
    Applied Economics, 2019, 51, (8), 848-857 View citations (1)
49. 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

50. 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)
51. Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight
    Finance Research Letters, 2018, 24, (C), 163-167 View citations (2)
52. 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)
53. 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)
54. 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)
55. 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

56. Combining Equity Country Selection Strategies
    Contemporary Economics, 2017, 11, (1) View citations (1)
57. Digesting anomalies in emerging European markets: A comparison of factor pricing models
    Emerging Markets Review, 2017, 31, (C), 1-15 View citations (23)
58. Fundamental Indexation in European Emerging Markets
    Journal for Economic Forecasting, 2017, (1), 23-37 View citations (4)
59. Performance persistence of government bond factor premia
    Finance Research Letters, 2017, 22, (C), 182-189 View citations (5)
60. Seasonality in government bond returns and factor premia
    Research in International Business and Finance, 2017, 41, (C), 292-302 View citations (4)
61. 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)
62. The cross section of international government bond returns
    Economic Modelling, 2017, 66, (C), 171-183 View citations (8)

2016

63. Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices
    Journal for Economic Forecasting, 2016, (1), 88-103 View citations (3)
64. 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)
65. 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)
66. 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)
67. 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)
68. Paper profits from value, size and momentum: evidence from the Polish market
    "e-Finanse", 2016, 11, (3), 58-69
69. Quality investing and the cross-section of country returns
    Studies in Economics and Finance, 2016, 33, (2), 281-301 View citations (1)
70. Risk-based explanation for the country-level size and value effects
    Finance Research Letters, 2016, 18, (C), 226-233 View citations (8)
71. 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

72. Inflation, Business Cycles, and Commodity Investing in Financialized Markets
    Business and Economics Research Journal, 2015, 6, (1), 1-18 View citations (1)
73. LOW RISK ANOMALY IN THE CEE STOCK MARKETS
    Journal for Economic Forecasting, 2015, (3), 81-102
74. Portfolio Diversification with Commodities in Times of Financialization
    International Journal of Finance & Banking Studies, 2015, 4, (1), 18-36
75. Skewness preference across countries
    Business and Economic Horizons (BEH), 2015, 11, (2), 16 View citations (3)
    Also in Business and Economic Horizons (BEH), 2015, 11, (2), 115-130 (2015) View citations (3)
76. THE PROFITABILITY OF FOLLOWING ANALYST RECOMMENDATIONS ON THE POLISH STOCK MARKET
    "e-Finanse", 2015, 11, (1), 22-31
77. 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

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

2011

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

2010

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

Books

2020

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

2018

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

2017

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

2015

4. 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

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