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Browsing Economic and Management Sciences by Author "Zaremba, Adam"
Now showing items 1-6 of 6
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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 ...
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Szczygielski, Jan Jakub; Brummer, L.M., 1940-; Wolmarans, Hendrik Petrus; Zaremba, Adam (Routledge, 2020)We investigate whether macroeconomic factors adequately proxy for systematic influences in stock returns within the South African context. We also investigate whether a commonly used solution to factor omission in macroeconomic ...
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Limits to arbitrage, investor sentiment, and factor returns in international government bond markets 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 ...
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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. ...
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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, ...
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Long, Huaigang; Zaremba, Adam; Demir, Ender; Szczygielski, Jan Jakub; Vasenin, Mikhail (Elsevier, 2020-07)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 ...
Now showing items 1-6 of 6