18.11.2021 18:55

KHAS Finance Webinars - Dr. Adam Zaremba

The guest of the Finance Webinars series organized by Kadir Has University International Trade and Finance Department is Dr. Adam Zaremba from Montpellier Business School, France and Poznan University of Economics and Business, Poland on November 23, Tuesday.  

Investors often focus on recent information only, underestimating the relevance of data from the distant past. In consequence, the ordering of historical returns reliably predicts future stock performance in the cross-section. Using data from 49 countries, we comprehensively examine this anomaly within international markets. The average return differential between the high and low deciles of global stocks sorted on chronological return ordering equals 0.91% per month. The effect is distinctly robust among the biggest companies but exhibits substantial international heterogeneity. The mispricing prevails in countries characterized by high individualism and shareholder protection. Furthermore, it is concentrated following down markets and periods of excessive volatility.

About the speaker: Adam Zaremba serves as Associate Professor of Finance at Montpellier Business School (France) and Poznan University of Economics and Business (Poland). His research interests include asset pricing, investments, and financial markets. His works have been published in top finance journals, such as Journal of Financial EconomicsJournal of Banking and Finance, or Energy Economics. He has worked as an economist, investment advisor, and portfolio manager for investment management companies. Dr. Zaremba has also written numerous practitioner articles and several books on financial markets.

The webinar will be in English.

Date: November 23, 2021, Tuesday at 17.00 (GMT+3)   
Title: Recency Bias and the Cross-Section of International Stock Returns
Zoom Meeting ID: 820 1467 6969
Zoom Link: https://us02web.zoom.us/j/82014676969