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Where Have the Profits Gone? Market Efficiency and the Disappearing Equity Anomalies in Country and Industry Returns
Zaremba, Adam; Umutlu, Mehmet; Maydybura, Alina - 2021
We are the first to demonstrate the decline in the cross-sectional predictability of country and industry returns in recent years. We examine 53 anomalies in country and industry indices from 64 markets for the years 1973–2018. The profitability of the strategies has significantly decreased...
Persistent link: https://www.econbiz.de/10013244614
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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 …
Persistent link: https://www.econbiz.de/10014352071
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Idiosyncratic Volatility and the Cross-Section of Anomaly Returns : Is Risk Your Ally?
Zaremba, Adam - 2018
Due to arbitrage risk asymmetries, the relationship between idiosyncratic risk and expected returns is positive … of idiosyncratic risk from the alternative models and throughout different periods …
Persistent link: https://www.econbiz.de/10012913480
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Is Geopolitical Risk Priced in the Cross-Section of Cryptocurrency Returns?
Long, Huaigang; Demir, Ender; Bedowska-Sojka, Barbara; … - 2022
We examine the role of geopolitical risk in the cross-sectional pricing of cryptocurrencies. We calculate … cryptocurrency exposure to changes in the geopolitical risk index and document that coins with the lowest geopolitical beta … outperform those with high geopolitical beta. Our findings suggest that risk-averse investors require additional compensation as …
Persistent link: https://www.econbiz.de/10013406340
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Twitter-Based Uncertainty and Cryptocurrency Returns
Aharon, David Y.; Demir, Ender; Lau, Chi Keung Marco; … - 2021
We explore the relationship between two novel Twitter-based measures of economic and market uncertainty and the performance of four major cryptocurrencies. Using a battery of methods - quantile regressions, Granger-causality in distributions using copula functions, and directional predictability...
Persistent link: https://www.econbiz.de/10013238455
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One shape fits all? : a comprehensive examination of cryptocurrency return distributions
Szczygielski, Jan Jakub; Karathanasopoulos, Andreas; … - In: Applied economics letters 27 (2020) 19, pp. 1567-1573
Persistent link: https://www.econbiz.de/10012315670
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Inflation, Business Cycles, and Commodity Investing in Financialized Markets
Zaremba, Adam - In: Business and Economics Research Journal 6 (2015) 1, pp. 1-18
Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and non-financialized...
Persistent link: https://www.econbiz.de/10011240247
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Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?
Zaremba, Adam; Konieczka, Przemyslaw - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 1, pp. 84-104
The answer to the question posed in the title is mostly yes. Using sorting and cross-section, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...
Persistent link: https://www.econbiz.de/10011147544
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THE LOW PRICE EFFECT ON THE POLISH MARKET
Zaremba, Adam; Rados³aw ¯mudziñski - In: "e-Finanse" 10 (2014) 1, pp. 69-85
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....
Persistent link: https://www.econbiz.de/10010780754
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The low price effect on the Polish market
Zaremba, Adam; Żmudziński, Radosław - In: e-Finanse: Financial Internet Quarterly 10 (2014) 1, pp. 69-85
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....
Persistent link: https://www.econbiz.de/10011551421