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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

Strategies can be expensive too! The value spread and asset allocation in global equity markets

Zaremba, Adam; Umutlu, Mehmet - In: Applied economics 50 (2018) 60, pp. 6529-6546

Persistent link: https://www.econbiz.de/10012063443

Is there a low-risk anomaly across countries?

Zaremba, Adam - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 45-65

Persistent link: https://www.econbiz.de/10011441281

Return seasonalities in government bonds and macroeconomic risk

Mikutowski, Mateusz; Karathanasopoulos, Andreas; … - In: Economics letters 176 (2019), pp. 114-116

Persistent link: https://www.econbiz.de/10012121248

Beware of the crash risk : tail beta and the cross-section of stock returns in China

Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881

Persistent link: https://www.econbiz.de/10012197122

When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns

Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020

Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...

Persistent link: https://www.econbiz.de/10014352071

Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China

Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Economic research 33 (2020) 1,1, pp. 160-181

Persistent link: https://www.econbiz.de/10013173486

When bad news is good news : geopolitical risk and the cross-section of emerging market stock returns

Zaremba, Adam; Cakici, Nusret; Demir, Ender; Long, Huaigang - In: Journal of financial stability 58 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013417457