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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
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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
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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
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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
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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
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Idiosyncratic Volatility, Returns, and Mispricing : No Real Anomaly in Sight
Zaremba, Adam - 2017
Recent empirical evidence has shown that the relationship between idiosyncratic volatility and a stock's expected …
Persistent link: https://www.econbiz.de/10012947736
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Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns
Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023
WWe 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/10014254828
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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
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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
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Government Interventions and Sovereign Bond Market Volatility during COVID-19 : A Quantile Analysis
Albulescu, Claudiu; Grecu, Eugenia; Zaremba, Adam; … - 2021
We test the interaction between COVID-19 governments' interventions, COVID-19- induced uncertainty, and the volatility … that containment and closure policies tend to amplify volatility. Furthermore, the price variability is augmented by the …
Persistent link: https://www.econbiz.de/10013233700