Journal Publications
Forthcoming
Fieberg, C., Liedtke, G., Poddig, T., Walker, T., Zaremba, A.: A Trend Factor for the Cross-Section of Cryptocurrency Returns, Journal of Financial and Quantitative Analysis, Forthcoming, (VHB BA-FI: A, ABDC: A*, SJR: Q1).
Original's Paper CTREND Factor Data here (April 2015 to May 2022)
Daily CTREND Factor Returns here (April 2015 to May 2022)
2025
Fieberg, C., Liedtke, G., Poddig, T. (2025): Recurrent Double-Conditional Factor Model, OR Spectrum, 47, pp. 205–254, (VHB OR: A, SJR: Q1).
Fieberg, C., Liedtke, G., Zaremba, A., Cakici, N. (2025): A Factor Model for the Cross-Section of Country Equity Risk Premia, Journal of Banking & Finance, 171, 107373, (VHB BA-FI: A, ABDC: A*, SJR: Q1).
Original's Paper Factor and Tangency Portfolio Data here (January 1993 to December 2021)
2024
Fieberg, C., Liedtke, G., Zaremba, A. (2024): Cryptocurrency Anomalies and Economic Constraints, International Review of Financial Analysis, 94, 103218, (VHB BA-FI: B, ABDC: A, SJR: Q1).
2023
Fieberg, C., Liedtke, G., Metko, D., Zaremba, A. (2023): Cryptocurrency Factor Momentum, Quantitative Finance, 23(12), pp. 1853-1869, (VHB BA-FI: B, ABDC: A, SJR: Q1).
Original's Paper Factor Momentum Factor Data here (January 2014 to December 2022)
Working Paper
Fieberg, C.; Liedtke, G.; Schlag, C.; Zaremba, A.: Cross-Asset Trend Spillover: A Novel Factor for Corporate Bond Returns, Available at SSRN.
Fieberg, C.; Hesse, M.; Liedtke, G.; Zaremba, A.: Predicting Financial Stability through Textual Data: Insights from Earnings Calls and Central Bank Communications, Available upon request.
Fieberg, C.; Liedtke, G.; Michael-Shetley, P.; Poddig, T.; Walker, T.: Shrinking the Cross-Section of Index Option Returns, Available upon request.
Fieberg, C.; Hornuf, L.; Liedtke, G.; Poddig, T.: Are Characteristics Covariances? A Comment on Instrumented Principal Component Analysis, Working Paper, Available at SSRN.
Zhang, X.; Wang, Y.; Walker, T.; Liedtke, G.: Institutional Ownership and Bond Pricing: Evidence from China, Available upon request.
Walker, T.; Liedtke, G.; Liu, S.; Karami; M.: The Impact of Natural Disasters on Stock Prices in China: A Comparative Analysis of State-Owned and Privately-Owned Enterprises, Available upon request.