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Sources of return in the index futures markets
Zaremba, Adam - In: Contemporary economics 5 (2011) 2, pp. 54-71
The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in...
Persistent link: https://www.econbiz.de/10009244093
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Liquidity and the cross-section of international stock returns
Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012820574
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Who should be afraid of infections? : Pandemic exposure and the cross-section of stock returns
Cakici, Nusret; Zaremba, Adam - In: Journal of international financial markets, … 72 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10012801522
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Political uncertainty, COVID-19 pandemic and stock market volatility transmission
Apostolakis, George N.; Floros, Christos; Gillas, … - In: Journal of international financial markets, … 74 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012803182
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What drives the January seasonality in the illiquidity premium? : evidence from international stock markets
Zaremba, Adam; Cakici, Nusret - In: The journal of investment strategies 10 (2021) 1, pp. 43-66
Persistent link: https://www.econbiz.de/10012805362
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Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate
Olayeni, Olaolu Richard; Tiwari, Aviral Kumar; Wohar, … - In: Energy economics 92 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012518924
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Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
Umutlu, Mehmet; Bengitöz, Pelin; Zaremba, Adam - In: Applied economics 53 (2021) 54, pp. 6213-6230
Persistent link: https://www.econbiz.de/10012650394
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Explaining equity anomalies in frontier markets : a horserace of factor pricing models
Zaremba, Adam; Maydybura, Alina; Czapkiewicz, Anna; … - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 13, pp. 3604-3633
Persistent link: https://www.econbiz.de/10012623456
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Day-of-the-week effect and spread determinants : some international evidence from equity markets
Gillas, Konstantinos Gkillas; Vortelinos, Dimitrios I.; … - In: International review of economics & finance : IREF 71 (2021), pp. 268-288
Persistent link: https://www.econbiz.de/10012627781
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Linking U.S. state-level housing market returns, and the consumption-(dis)aggregate wealth ratio
Balcilar, Mehmet; Gupta, Rangan; Sousa, Ricardo M.; … - In: International review of economics & finance : IREF 71 (2021), pp. 779-810
Persistent link: https://www.econbiz.de/10012630699