Journal Publications
Selected Publications
Fieberg, C., Liedtke, G., Poddig, T., Walker, T., Zaremba, A. (2025): A Trend Factor for the Cross-Section of Cryptocurrency Returns, Journal of Financial and Quantitative Analysis, 60(7), pp. 3116-3153. (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)
Updated weekly CTREND Factor Data here (Januaray 2016 to February 2026)
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)
2026
Fieberg, C.; Hesse, M.; Liedtke, G.; Zaremba, A. (2026): Predicting Financial Stability through TopicGPT: Insights from Earnings Calls and Central Bank Communications, Journal of Banking & Finance, 183, 107598 (VHB BA-FI: A, ABDC: A*, SJR: Q1).
Wang, Y., Zhang, X., Walker, T., Liedtke, G. (2026): Institutional ownership and bond pricing: Evidence from China, Emerging Markets Review, 70, 101396 (ABDC: A, SJR: Q1).
2025
Fieberg, C., Liedtke, G., Poddig, T., Walker, T., Zaremba, A. (2025): A Trend Factor for the Cross-Section of Cryptocurrency Returns, Journal of Financial and Quantitative Analysis, 60(7), pp. 3116-3153. (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)
Updated weekly CTREND Factor Data here (Januaray 2016 to February 2026)
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
Liedtke, G.: Recurrent Neural Networks Meet Asset Pricing, Available at SSRN.
Fieberg, C.; Liedtke, G.; Schlag, C.; Zaremba, A.: Cross-Asset Trend Spillover: A Novel Factor for Corporate Bond Returns, Available at SSRN.
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.
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.