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Size, value, and momentum in Polish equity returns : local or international factors?

Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47

This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence...

Persistent link: https://www.econbiz.de/10012026674

And the winner is ... : a comparison of valuation measures for equity country allocation

Zaremba, Adam; Szczygielski, Jakub - In: The journal of portfolio management : a publication of … 45 (2019) 5, pp. 84-98

Persistent link: https://www.econbiz.de/10012116086

Size matters everywhere : decomposing the small country and small industry premia

Zaremba, Adam; Umutlu, Mehmet - In: The North American journal of economics and finance : a … 43 (2018), pp. 1-18

Persistent link: https://www.econbiz.de/10012036250

The cross section of international government bond returns

Zaremba, Adam; Czapkiewicz, Anna - In: Economic modelling 66 (2017), pp. 171-183

Persistent link: https://www.econbiz.de/10011813710

Seasonality in government bond returns and factor premia

Zaremba, Adam; Schabek, Tomasz - In: Research in international business and finance 41 (2017), pp. 292-302

Persistent link: https://www.econbiz.de/10011914502

Picking winners to pick your winners : The momentum effect in commodity risk factors

Zaremba, Adam; Mikutowski, Mateusz; Karathanasopoulos, … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012203145

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

Reverse splits in international stock markets : reconciling the evidence on long-term returns

Zaremba, Adam; Okoń, Szymon; Asyngier, Roman; … - In: Research in international business and finance 47 (2019), pp. 552-562

Persistent link: https://www.econbiz.de/10012135800

Ensemble models in forecasting financial markets

Karathanasopoulos, Andreas; Sovan, Mitra; Lo, Chia Chun; … - In: The journal of computational finance 23 (2019) 3, pp. 101-119

Persistent link: https://www.econbiz.de/10012162385

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