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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
anomaly cannot be captured by other established asset pricing effects and remains robust to many considerations. Furthermore …
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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Did David Win a Battle or the War Against Goliath? Dynamic Return and Volatility Connectedness between the GameStop Stock and the High Short Interest Indices
Aharon, David Y.; Kizys, Renatas; Umar, Zaghum; … - 2021
volatility connectedness among the GameStop stock, the U.S. stock market, and the novel market-wide and sectoral short … of return and volatility spillovers from other companies shorted in the market. This result agrees with a view that short …
Persistent link: https://www.econbiz.de/10013239066
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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
anomaly cannot be captured by other established asset pricing effects and remains robust to many considerations. Furthermore …
Persistent link: https://www.econbiz.de/10014258401
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Did David win a battle or the war against Goliath? : dynamic return and volatility connectedness between the GameStop stock and the high short interest indices
Aharon, David Y.; Kizys, Renatas; Umar, Zaghum; … - In: Research in international business and finance 64 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014266177
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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
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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
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The cross section of country equity returns : a review of empirical literature
Zaremba, Adam - In: Journal of risk and financial management : JRFM 12 (2019) 4/165, pp. 1-26
The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique...
Persistent link: https://www.econbiz.de/10012171448
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Is the abnormal post-IPO underperformance really abnormal? : the evidence from CEE emerging markets
Zaremba, Adam; Szyszka, Adam - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2721-2739
Persistent link: https://www.econbiz.de/10011675587
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Machine learning goes global : cross-sectional return predictability in international stock markets
Cakici, Nusret; Fieberg, Christian; Metko, Daniel; … - In: Journal of economic dynamics & control 155 (2023), pp. 1-32
Persistent link: https://www.econbiz.de/10014479641