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A performance evaluation model for global macro funds
Zaremba, Adam - In: International journal of finance & banking studies : JJFBS 3 (2014) 1, pp. 161-172
Persistent link: https://www.econbiz.de/10010532770
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A Performance Evaluation Model for Global Macro Funds
Zaremba, Adam - 2016
The paper concentrates on value and size effects in country portfolios. It contributes to academic literature threefold. First, I provide fresh evidence that the value and size effects may be useful in explaining the cross-sectional variation in country returns. The computations are based on a...
Persistent link: https://www.econbiz.de/10013006886
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Is Mutual Fund Performance Persistent? Evidence from the Polish Market?
Zaremba, Adam - 2016
consists of conclusions and recommendations. The study confirms existence of the persistence in raw returns and risk …
Persistent link: https://www.econbiz.de/10013007029
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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
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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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Inflation Hedging with Commodities : A Wavelet Analysis of Seven Centuries Worth of Data
Zaremba, Adam - 2019
We perform a test of the inflation hedging properties of commodities on the longest data series ever used for this … 2017, to detect co-movement across different times and frequencies. We demonstrate robust inflation hedging properties of …
Persistent link: https://www.econbiz.de/10012871402
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Hedging Geopolitical Risks with Different Asset Classes : A Focus on the Russian Invasion of Ukraine
Bedowska-Sojka, Barbara; Demir, Ender; Zaremba, Adam - 2022
We examine the hedging properties of different asset classes as impacted by the Russian invasion of Ukraine in 2022. We … employ wavelet coherence analysis to study the impact of geopolitical risk on various types of securities. We found that … different asset classes exhibited unequal risk sensitivity in both magnitude and timescale. Bonds and stocks displayed strong …
Persistent link: https://www.econbiz.de/10013288919
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Hedging geopolitical risks with different asset classes : a focus on the Russian invasion of Ukraine
Będowska-Sójka, Barbara; Demir, Ender; Zaremba, Adam - In: Finance research letters 50 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014233961