Zaremba, Adam; Czapkiewicz, Anna; Szczygielski, Jan Jakub; Kaganov, Vitaly(Routledge, 2019)
We evaluate and compare the performance of four popular factor pricing models: the capital asset pricing model, the Fama and French three-factor model, Carhart’s four-factor model, and the five-factor model of Fama and ...
Zaremba, Adam; Szczygielski, Jan Jakub(Taylor and Francis Open, 2019)
The perspective of behavioural finance is that anomalies in the
cross-section of returns are driven by mispricing that arises from
investor irrationality that cannot be easily arbitraged away. In this
study, we examine ...
Szczygielski, Jan Jakub; Karathanasopoulos, Andreas; Zaremba, Adam(Routledge, 2020)
We perform the most comprehensive test of cryptocurrency return distributions to date. We fit 58 hypothetical distributions to 15 major cryptocurrencies to establish which of these best describes cryptocurrency returns. ...
Czapkiewicz, Anna; Zaremba, Adam; Szczygielski, Jan Jakub(Routledge, 2019)
Equity anomalies in frontier markets appear and disappear over
time. This article aims to demonstrate the predictability of which
of these transient anomalies will be profitable using a Markov
switching model. To do so, ...
This study presents the first attempt to examine the cross-sectional seasonality anomaly in
cryptocurrency markets. To this end, we apply sorts and cross-sectional regressions to investigate
daily returns on 151 ...