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COVID-19 vaccinations and the volatility of energy companies in international markets

Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-21

The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore … 2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the … world. The drop in volatility is statistically and economically significant and robust to many considerations. The observed …

Persistent link: https://www.econbiz.de/10012799942

Immunizing markets against the pandemic : COVID-19 vaccinations and stock volatility around the world

Rouatbi, Wael; Demir, Ender; Kizys, Renatas; Zaremba, Adam - In: International review of financial analysis 77 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012805881

Infected markets : novel coronavirus, government interventions, and stock return volatility around the globe

Zaremba, Adam; Kizys, Renatas; Aharon, David Y.; Demir, … - In: Finance research letters 35 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012439082

Strategies Can Be Expensive Too! The Value Spread and Asset Allocation in Global Equity Markets

Zaremba, Adam - 2019

Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996–2017. The value spread is a powerful and robust predictor...

Persistent link: https://www.econbiz.de/10012893034

Is there Momentum in Factor Premia? Evidence from International Equity Markets

Zaremba, Adam - 2019

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Persistent link: https://www.econbiz.de/10012893036

Merger Imbalance and Returns in International Equity Markets

Zaremba, Adam - 2017

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...

Persistent link: https://www.econbiz.de/10012968527

Country Risk and Expected Returns across Global Equity Markets

Zaremba, Adam - 2016

Assessing and pricing country risk poses a considerable challenge to tactical asset allocation across national equity markets. This research examines the relationship between the country composite risk (together with its component risks related to: sovereign credit, currency, banking sector,...

Persistent link: https://www.econbiz.de/10012992516

The quest for multidimensional financial immunity to the COVID-19 pandemic : Evidence from international stock markets

Zaremba, Adam; Kizys, Renatas; Tzouvanas, Panagiotis; … - In: Journal of international financial markets, … 71 (2021), pp. 1-30

Persistent link: https://www.econbiz.de/10012800099

Liquidity and the Cross-Section of International Stock Returns

Cakici, Nusret; Zaremba, Adam - 2021

We perform a comprehensive investigation of the illiquidity premium in international stock markets. We examine several established liquidity measures in 45 countries for the years 1990–2020. Our findings provide convincing evidence that liquidity pricing depends strongly on firm size. Although...

Persistent link: https://www.econbiz.de/10013238996

The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic : Evidence from International Stock Markets

Zaremba, Adam - 2020

What determines a country's financial immunity to a global pandemic? To answer this question, we investigate the behavior of 67 equity markets around the world during the COVID-19 outbreak in 2020. We consider a multidimensional data set that includes factors from finance, economic,...

Persistent link: https://www.econbiz.de/10012830504