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An application of factor pricing models to the Polish stock market
Zaremba, Adam; Czapkiewicz, Anna; Szczygielski, Jan Jakub; … - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 9, pp. 2039-2056
Persistent link: https://www.econbiz.de/10012210940
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Common risk factors in international stock markets
Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - In: Financial markets and portfolio management 33 (2019) 3, pp. 213-241
Persistent link: https://www.econbiz.de/10012427778
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Is there momentum in factor premia? : evidence from international equity markets
Zaremba, Adam; Shemer, Jacob - In: Research in international business and finance 46 (2018), pp. 120-130
Persistent link: https://www.econbiz.de/10011983585
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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
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On the interaction between momentum effect and size effect
Alhenawi, Yasser - In: Review of financial economics : RFE 26 (2015), pp. 36-46
Persistent link: https://www.econbiz.de/10011411959
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Tests of alternative asset pricing models using individual security returns and a new multivariate F-test
Rahman, Shafiqur; Schneider, Matthew J. - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950001-1-1950001-34
Persistent link: https://www.econbiz.de/10012156138
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Does financial integration impact performance of equity anomalies?
Sharma, Gagan; Sehgal, Sanjay; Mishra, Anil V. - In: Cogent economics & finance 10 (2022) 1, pp. 1-51
- and low integration groups. Size is found to be the strongest anomaly in world markets, followed by value and liquidity …. Value and profitability effects are larger for low-integrated markets. Highly integrated markets experience short …-term momentum while many low-integrated markets exhibit mild reversals. Fama and French five-factor model outperforms capita l asset …
Persistent link: https://www.econbiz.de/10013391096
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Test of capital market integration using Fama-French three-factor model : empirical evidence from India
Sehrawat, Neeraj; Kumar, Amit; Nigam, Narander Kumar; … - In: Investment management and financial innovations 17 (2020) 2, pp. 113-127
Persistent link: https://www.econbiz.de/10012303099
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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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Cross-sectionnal patterns in Moroccan sock returns : a Fama-French perspective
Benfeddoul, Safae; Taib, Asmâa Alaoui - In: International journal of economics and financial issues … 14 (2024) 6, pp. 182-194
Persistent link: https://www.econbiz.de/10015095013