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Is there momentum in equity anomalies? : evidence from the Polish emerging market

Zaremba, Adam; Szyszka, Adam - In: Research in international business and finance 38 (2016), pp. 546-564

Persistent link: https://www.econbiz.de/10011640746

Alpha momentum and alpha reversal in country and industry equity indexes

Zaremba, Adam; Umutlu, Mehmet; Karathanasopoulos, Andreas - In: Journal of empirical finance 53 (2019), pp. 144-161

Persistent link: https://www.econbiz.de/10012171632

Are momentum crashes pervasive regardless of strategy? : evidence from the foreign exchange market

Grobys, Klaus; Haga, Jesper - In: Applied economics letters 24 (2017) 20, pp. 1499-1503

Persistent link: https://www.econbiz.de/10011853099

Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk

Grobys, Klaus - In: Quantitative finance 18 (2018) 7, pp. 1233-1247

Persistent link: https://www.econbiz.de/10011911534

Recency bias and the cross-section of international stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of international financial markets, … 84 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014333637

The alpha momentum effect in commodity markets

Zaremba, Adam; Mikutowski, Mateusz; Szczygielski, Jan Jakub - In: Energy economics 93 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012643310

Are Momentum Crashes Pervasive Regardless of Strategy? Evidence from the Foreign Exchange Market

Grobys, Klaus - 2016

This paper studies the option-like behavior of popular momentum strategies implemented in foreign exchange markets. The results confirm those of Daniel and Moskowitz (2013) in finding strong option-like behavior for both momentum measures, based on the cumulative return from 12 and 6 months...

Persistent link: https://www.econbiz.de/10012987786

Risk-managed industry momentum and momentum crashes

Grobys, Klaus; Ruotsalainen, Joni; Äijö, Janne - In: Quantitative finance 18 (2018) 10, pp. 1715-1733

Persistent link: https://www.econbiz.de/10012261906

Limits to arbitrage, investor sentiment, and factor returns in international government bond markets

Zaremba, Adam; Szczygielski, Jan Jakub - In: Economic research 32 (2019) 1,2, pp. 1727-1743

Persistent link: https://www.econbiz.de/10012433862

Where have the profits gone? : market efficiency and the disappearing equity anomalies in country and industry returns

Zaremba, Adam; Umutlu, Mehmet; Maydybura, Alina - In: Journal of banking & finance 121 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012521610