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Do anomalies really predict market returns? : new data and new evidence

Cakici, Nusret; Fieberg, Christian; Metko, Daniel; … - In: Review of finance : journal of the European Finance … 28 (2024) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10014527106

Is tail risk priced in the cross-section of Chinese mutual fund returns?

Yang, Liuyong; Long, Yijia; Long, Huaigang; Zaremba, Adam; … - In: Finance research letters 50 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014245291

Interest rate changes and the cross-section of global equity returns

Zaremba, Adam; Cakici, Nusret; Bianchi, Robert; Long, … - In: Journal of economic dynamics & control 147 (2023), pp. 1-32

Persistent link: https://www.econbiz.de/10014249731

Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns

Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

Persistent link: https://www.econbiz.de/10014258401

Recency bias and the cross-section of international stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of international financial markets, … 84 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014333637

Does realized skewness predict the cross-section of Chinese stock returns?

Dai, Yiming; Jiang, Yuexiang; Long, Huaigang; Wang, Hui; … - In: Finance research letters 58 (2023) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10014583518

Cross-country factor momentum

Fieberg, Christian; Metko, Daniel; Zaremba, Adam - In: Economics letters 235 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015071373

Up or down? : short-term reversal, momentum, and liquidity effects in cryptocurrency markets

Zaremba, Adam; Bilgin, Mehmet Huseyin; Long, Huaigang; … - In: International review of financial analysis 78 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10013253483

Long-run reversal in commodity returns : insights from seven centuries of evidence

Zaremba, Adam; Bianchi, Robert; Mikutowski, Mateusz - In: Journal of banking & finance 133 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10013256444

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