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Zaremba, Adam; Long, Huaigang; Karathanasopoulos, Andreas - In: Journal of international financial markets, … 63 (2019), pp. 1-18

Persistent link: https://www.econbiz.de/10012263330

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

Cross-sectional seasonalities in international government bond returns

Zaremba, Adam - In: Journal of banking & finance 98 (2019), pp. 80-94

Persistent link: https://www.econbiz.de/10012162242

Performance persistence of government bond factor premia

Zaremba, Adam - In: Finance research letters 22 (2017), pp. 182-189

Persistent link: https://www.econbiz.de/10011808138

Spillover and risk transmission in the components of the term structure of eurozone yield curve

Umar, Zaghum; Riaz, Yasir; Zaremba, Adam - In: Applied economics 53 (2021) 18, pp. 2141-2157

Persistent link: https://www.econbiz.de/10012500985

Limits to arbitrage, investor sentiment, and factor returns in international government bond markets

Zaremba, Adam; Szczygielski, Jan Jakub - In: Economic research 32 (2019) 1,2, pp. 1727-1743

Persistent link: https://www.econbiz.de/10012433862

Two centuries of global financial market integration : equities, government bonds, treasury bills, and currencies

Zaremba, Adam; Kambouris, George D.; Karathanasopoulos, … - In: Economics letters 182 (2019), pp. 26-29

Persistent link: https://www.econbiz.de/10012122419

The sources of momentum in international government bond returns

Zaremba, Adam; Kambouris, George - In: Applied economics 51 (2019) 8, pp. 848-857

Persistent link: https://www.econbiz.de/10012196480

Return seasonalities in government bonds and macroeconomic risk

Mikutowski, Mateusz; Karathanasopoulos, Andreas; … - In: Economics letters 176 (2019), pp. 114-116

Persistent link: https://www.econbiz.de/10012121248

Return Seasonalities in Government Bonds and Macroeconomic Risk

Mikutowski, Mateusz - 2019

We present a novel explanation of the cross-sectional seasonality anomaly in government bond returns. The macroeconomic risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We decompose the seasonality strategy payoffs into...

Persistent link: https://www.econbiz.de/10012893030