Similar Search Results

Limits to arbitrage, investor sentiment, and factor returns in international government bond markets

Zaremba, Adam; Szczygielski, Jan Jakub - In: Economic research 32 (2019) 1,2, pp. 1727-1743

Persistent link: https://www.econbiz.de/10012433862

Machine learning and the cross-section of cryptocurrency returns

Cakici, Nusret; Shahzad, Syed Jawad Hussain; … - In: International review of financial analysis 94 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10014543950

Machine Learning Goes Global : Cross-Sectional Return Predictability in International Stock Markets

Cakici, Nusret; Fieberg, Christian; Metko, Daniel; … - 2022

with many listed firms and high idiosyncratic risk limiting arbitrage …

Persistent link: https://www.econbiz.de/10013405067

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...

Persistent link: https://www.econbiz.de/10012842392

Idiosyncratic volatility, returns, and mispricing : no real anomaly in sight

Zaremba, Adam; Czapkiewicz, Anna; Będowska-Sójka, Barbara - In: Finance research letters 24 (2018), pp. 163-167

Persistent link: https://www.econbiz.de/10011982555

Is there momentum in factor premia? : evidence from international equity markets

Zaremba, Adam; Shemer, Jacob - In: Research in international business and finance 46 (2018), pp. 120-130

Persistent link: https://www.econbiz.de/10011983585

Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?

Zaremba, Adam; Maydybura, Alina - In: Applied economics 51 (2019) 49, pp. 5388-5397

Persistent link: https://www.econbiz.de/10012197236

Picking winners to pick your winners : The momentum effect in commodity risk factors

Zaremba, Adam; Mikutowski, Mateusz; Karathanasopoulos, … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012203145

Cross-sectional seasonalities in international government bond returns

Zaremba, Adam - In: Journal of banking & finance 98 (2019), pp. 80-94

Persistent link: https://www.econbiz.de/10012162242

Alpha momentum and alpha reversal in country and industry equity indexes

Zaremba, Adam; Umutlu, Mehmet; Karathanasopoulos, Andreas - In: Journal of empirical finance 53 (2019), pp. 144-161

Persistent link: https://www.econbiz.de/10012171632