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When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find … that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical …
Persistent link: https://www.econbiz.de/10014352071
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COVID-19, Government Policy Responses, and Stock Market Liquidity around the World : A Note
Zaremba, Adam - 2020
Unprecedented non-pharmaceutical interventions targeted to curb the spread of COVID-19 exerted a dramatic impact on the global economy and financial markets. This study is the first attempt to investigate the influence of these government policy responses on global stock market liquidity. To...
Persistent link: https://www.econbiz.de/10012830703
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Are Value, Size and Momentum Premiums in CEE Emerging Markets Only Illusionary?
Zaremba, Adam - 2015
The answer to the question posed in the title is mostly yes. Using sorting and crosssection, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...
Persistent link: https://www.econbiz.de/10013034458
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Quality Investing in CEE Emerging Markets
Zaremba, Adam - 2015
Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation...
Persistent link: https://www.econbiz.de/10013022746
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Trading Costs, Short Sale Constraints, and the Performance of Stock Market Anomalies in Emerging Europe
Zaremba, Adam - 2019
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 –...
Persistent link: https://www.econbiz.de/10012903346
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Return Seasonalities in Government Bonds and Macroeconomic Risk
Mikutowski, Mateusz - 2019
risk premia may accrue unevenly during the calendar year, and the pattern may be transferred to government bond prices. We … for the predicted component, linking the sources of the phenomenon with macroeconomic risk factors …
Persistent link: https://www.econbiz.de/10012893030
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Hedging Geopolitical Risks with Different Asset Classes : A Focus on the Russian Invasion of Ukraine
Bedowska-Sojka, Barbara; Demir, Ender; Zaremba, Adam - 2022
employ wavelet coherence analysis to study the impact of geopolitical risk on various types of securities. We found that … different asset classes exhibited unequal risk sensitivity in both magnitude and timescale. Bonds and stocks displayed strong …, silver, and oil proved the most resistant to geopolitical risk fluctuations. Hence, they may serve as the best hedge against …
Persistent link: https://www.econbiz.de/10013288919
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When bad news is good news : geopolitical risk and the cross-section of emerging market stock returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender; Long, Huaigang - In: Journal of financial stability 58 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013417457
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Austritt Griechenlands aus der Europäischen Währungsunion: Historische Erfahrungen, makroökonomische Konsequenzen und organisatorische Umsetzung
Born, Benjamin; Buchen, Teresa; Carstensen, Kai; … - In: Ifo Schnelldienst 65 (2012) 10, pp. 09-37
Ist der Austritt Griechenlands aus der Währungsunion, verbunden mit einer externen Abwertung der neuen Währung, eine gangbare Alternative zur derzeitigen Strategie der internen Abwertung, verbunden mit öffentlichem Kapitaltransfer? Das ifo Institut vergleicht in dem Beitrag die...
Persistent link: https://www.econbiz.de/10011148738
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Target-Kredite, Leistungsbilanzsalden und Kapitalverkehr: Der Rettungsschirm der EZB
Sinn, Hans-Werner; Wollmershäuser, Timo - ifo Leibniz-Institut für Wirtschaftsforschung an der … - 2011
Die Europäische Währungsunion steckt in einer tiefen Zahlungsbilanzkrise. Insbesondere Griechenland, Irland, Portugal und Spanien wiesen in der Vergangenheit Leistungsbilanzdefizite auf, die sich bis März 2011 auf 314 Milliarden Euro akkumulierten. Dies entspricht dem Stand der aggregierten...
Persistent link: https://www.econbiz.de/10009144511