Alan Zaremba
Biographic Data
| ID | 653505 |
|---|---|
| NAME | Alan Zaremba |
| GIVEN NAMES | Alan |
| FAMILY NAME | Zaremba |
| SIGNATURE | ZAREMBA A |
| AFFILIATIONS | Poznań University of Economics and Business |
| ORCID | 0000-0001-5879-9431 |
| VERIFIED | Yes |
| TOTAL WORKS | 8 |
| TOTAL CITATIONS | 18 |
| AUTHOR COUNT | 8 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1982 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 2 |
How to survive a pandemic
Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China
We are the first to examine the pricing of relative idiosyncratic risk, or price nonsynchronicity, in the Chinese equity market. Using several tests, we investigate returns on more than 2700 companies in the period 1998 to 2018. Contrary to the U.S. evidence, price nonsynchronicity negatively predicts future returns in the cross-section. A value-weighted strategy going long (short) the quintile of least (most) synchronised stocks produces a negat…
The impact of policy responses to Covid-19 on U.S. travel and leisure companies
This paper analyzes the impact of government restrictions arising from the COVID-19 pandemic on stock returns of U.S. travel and leisure companies. We demonstrate that the stringency of government restrictions has a negative impact on stock returns even after controlling for the pandemic itself. Moreover, stock prices of travel and leisure firms with a smaller size, less tangibility, and higher cash reserves are more resilient to the COVID-19 rel…
Predicting the performance of equity anomalies in frontier emerging markets
Equity anomalies in frontier markets appear and disappear over \ntime. This article aims to demonstrate the predictability of which \nof these transient anomalies will be profitable using a Markov \nswitching model. To do so, we examine 140 equity anomalies \nidentified in the literature using a unique sample of over 3,600 \nstocks from 23 frontier equity markets between 1997 and 2016. \nThe application of a Markov switching model reveals that th…
Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe
The study has investigated the impact of trading costs and short-sale constraints on the performance of 70 stock market anomalies in Emerging Europe. While over 30 of the replicated strategies – mostly related to value, momentum, technical analysis, profitability, and issuance effects – delivered significant abnormal returns, the impact of trading costs and short-sale constraints proved truly lethal to most strategies. Once we accounted for commi…
Limits to arbitrage, investor sentiment, and factor returns in international government bond markets
The perspective of behavioural finance is that anomalies in the \ncross-section of returns are driven by mispricing that arises from \ninvestor irrationality that cannot be easily arbitraged away. In this \nstudy, we examine the implications of this for international government \nbond markets. Using data for 25 countries for the years \n1992–2015, we replicate multiple factor strategies that represent \nfour major return drivers: defensive (low-r…
The momentum effect in country-level stock market anomalies
The paper investigates the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before. Based on the findings, according to which half of these return patterns serve as reliable and robust sources of returns, we provide convincing evidence that the anomalies…
International Communication
The impact of policy responses to Covid-19 on U.S. travel and leisure companies
This paper analyzes the impact of government restrictions arising from the COVID-19 pandemic on stock returns of U.S. travel and leisure companies. We demonstrate that the stringency of government restrictions has a negative impact on stock returns even after controlling for the pandemic itself. Moreover, stock prices of travel and leisure firms with a smaller size, less tangibility, and higher cash reserves are more resilient to the COVID-19 rel…
How to survive a pandemic
International Communication
The momentum effect in country-level stock market anomalies
The paper investigates the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before. Based on the findings, according to which half of these return patterns serve as reliable and robust sources of returns, we provide convincing evidence that the anomalies…
Predicting the performance of equity anomalies in frontier emerging markets
Equity anomalies in frontier markets appear and disappear over \ntime. This article aims to demonstrate the predictability of which \nof these transient anomalies will be profitable using a Markov \nswitching model. To do so, we examine 140 equity anomalies \nidentified in the literature using a unique sample of over 3,600 \nstocks from 23 frontier equity markets between 1997 and 2016. \nThe application of a Markov switching model reveals that th…
Trading costs, short sale constraints, and the performance of stock market anomalies in Emerging Europe
The study has investigated the impact of trading costs and short-sale constraints on the performance of 70 stock market anomalies in Emerging Europe. While over 30 of the replicated strategies – mostly related to value, momentum, technical analysis, profitability, and issuance effects – delivered significant abnormal returns, the impact of trading costs and short-sale constraints proved truly lethal to most strategies. Once we accounted for commi…
Limits to arbitrage, investor sentiment, and factor returns in international government bond markets
The perspective of behavioural finance is that anomalies in the \ncross-section of returns are driven by mispricing that arises from \ninvestor irrationality that cannot be easily arbitraged away. In this \nstudy, we examine the implications of this for international government \nbond markets. Using data for 25 countries for the years \n1992–2015, we replicate multiple factor strategies that represent \nfour major return drivers: defensive (low-r…
Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China
We are the first to examine the pricing of relative idiosyncratic risk, or price nonsynchronicity, in the Chinese equity market. Using several tests, we investigate returns on more than 2700 companies in the period 1998 to 2018. Contrary to the U.S. evidence, price nonsynchronicity negatively predicts future returns in the cross-section. A value-weighted strategy going long (short) the quintile of least (most) synchronised stocks produces a negat…
The impact of policy responses to Covid-19 on U.S. travel and leisure companies
This paper analyzes the impact of government restrictions arising from the COVID-19 pandemic on stock returns of U.S. travel and leisure companies. We demonstrate that the stringency of government restrictions has a negative impact on stock returns even after controlling for the pandemic itself. Moreover, stock prices of travel and leisure firms with a smaller size, less tangibility, and higher cash reserves are more resilient to the COVID-19 rel…
How to survive a pandemic
Economics (7 works) · Financial Markets and Investment Strategies (6 works) · Finance (5 works) · Financial economics (5 works) · Market Dynamics and Volatility (5 works) · Business (4 works) · Geography (4 works) · Monetary economics (4 works) · Econometrics (3 works) · Emerging markets (3 works)