Muhammad A. Cheema

University of Waikato

Te Raupapa

Private Bag 3105

Hamilton, 3240

New Zealand

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

Cross-Sectional and Time-Series Momentum Returns and Market States

Number of pages: 13 Posted: 16 Mar 2017 Last Revised: 15 May 2017
Muhammad A. Cheema, Gilbert V. Nartea and Yimei Man
University of Waikato, University of Canterbury and University of Waikato, Management School
Downloads 832 (23,214)

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momentum returns, cross-sectional, time-series, market states

Cross-Sectional and Time-Series Momentum Returns and Market States

International Review of Finance, Forthcoming
Posted: 24 Jul 2017 Last Revised: 30 Jul 2017
Muhammad A. Cheema, Gilbert V. Nartea and Yimei Man
University of Waikato, University of Canterbury and University of Waikato, Management School

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momentum returns, cross-sectional, time-series, market state

Momentum, Idiosyncratic Volatility and Market Dynamics: Evidence from China

Number of pages: 39 Posted: 07 Sep 2017
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Canterbury
Downloads 101 (229,904)

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momentum; idiosyncratic volatility; market dynamics; arbitrage cost; overconfidence

Momentum, Idiosyncratic Volatility and Market Dynamics: Evidence from China

Pacific-Basin Finance Journal, Vol. 46, No. A, 2017
Posted: 25 Sep 2017
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Canterbury

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momentum; idiosyncratic volatility; market dynamics; arbitrage cost; overconfidence

3.

Momentum Returns and Information Uncertainty: Evidence from China

Pacific-Basin Finance Journal, Vol. 30, 2014
Posted: 07 Mar 2013 Last Revised: 02 May 2017
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Canterbury

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Momentum returns; Information uncertainty; Cultural differences; Behavioral biases; China

4.

Three Essays on Momentum Returns

Number of pages: 145 Posted: 30 Oct 2013
Muhammad A. Cheema
University of Waikato
Downloads 36 (265,357)

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Momentum returns, market states, Global financial crisis, information uncertainty, retail investors, long-term reversal, idiosyncratic volatility

5.

Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Evidence from Japan

Number of pages: 33 Posted: 10 Nov 2017
Muhammad A. Cheema, Gilbert V. Nartea and Kenneth R. Szulczyk
University of Waikato, University of Canterbury and Universiti Utara Malaysia
Downloads 32 (400,851)

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Momentum Returns, Time-Series, Cross-Sectional, Market States, Idiosyncratic Volatility

6.

Is Investor Sentiment a Reliable Predictor in China?

Number of pages: 8 Posted: 29 Nov 2017 Last Revised: 16 Dec 2017
Muhammad A. Cheema, Yimei Man and Kenneth R. Szulczyk
University of Waikato, University of Waikato, Management School and Universiti Utara Malaysia
Downloads 0 (335,792)

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Investor Sentiment, Return Predictability, Boom and Bust, China

7.

Investor Sentiment Dynamics, the Cross-Section of Stock Returns and the MAX Effect

Number of pages: 44 Posted: 18 Sep 2017
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Canterbury
Downloads 0 (228,524)

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sentiment dynamics, cross-section, arbitrage, asset pricing, maximum returns

8.

Momentum and Market Dynamics: Are Chinese B and H Shares Different?

Number of pages: 9 Posted: 13 Sep 2017
Muhammad A. Cheema
University of Waikato
Downloads 0 (288,836)

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momentum, market dynamics, A shares, B shares, H shares

9.

Bubble Footprints in the Malaysian Stock Market: Are They Rational?

International Journal of Accounting and Information Management , Vol. 22, No. 3, 2014
Posted: 01 Aug 2017
Gilbert V. Nartea and Muhammad A. Cheema
University of Canterbury and University of Waikato

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Rational Speculative Bubbles, Duration Dependence, Emerging Markets, Malaysia

10.

Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Are Islamic Stocks Different?

Number of pages: 35 Posted: 11 Apr 2017 Last Revised: 19 Nov 2017
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Canterbury
Downloads 0 (152,331)

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Islamic stocks; Cross-sectional; Time-series; Momentum returns; Market dynamics

11.

Searching for Rational Bubble Footprints in the Singaporean and Indonesian Stock Markets

Journal of Economics and Finance, Vol. 41, No. 3, 2017
Posted: 10 Apr 2017 Last Revised: 10 Jun 2017
Gilbert V. Nartea, Muhammad A. Cheema and Kenneth R. Szulczyk
University of Canterbury, University of Waikato and Universiti Utara Malaysia

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Duration, Dependence, Rational, Speculative Bubbles, Singapore, Indonesia

12.

Investor Sentiment Dynamics, the Cross-Section of Stock Returns and the MAX Effect

Number of pages: 44 Posted: 10 Apr 2017 Last Revised: 28 Nov 2017
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Canterbury
Downloads 0 (60,846)

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Sentiment dynamics, Hard to value stocks, Max effect

13.

Momentum Returns, Market States, and Market Dynamics: Is China Different?

International Review of Economics & Finance, Vol. 50, 2017
Posted: 27 Mar 2017 Last Revised: 14 Apr 2017
Muhammad A. Cheema and Gilbert V. Nartea
University of Waikato and University of Canterbury

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Momentum returns; market states; market dynamics; China