Gilbert Nartea

University of Canterbury - College of Business and Law

Associate Professor

Christchurch, 8140

New Zealand

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 29,375

SSRN RANKINGS

Top 29,375

in Total Papers Downloads

3,591

TOTAL CITATIONS
Rank 24,323

SSRN RANKINGS

Top 24,323

in Total Papers Citations

21

Scholarly Papers (20)

1.

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 Nartea and Yimei Man
University of Otago - School of Business, University of Canterbury - College of Business and Law and University of Waikato, Management School
Downloads 1,139 (39,485)
Citation 1

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

2.

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

Number of pages: 43 Posted: 18 Sep 2017 Last Revised: 30 Apr 2018
Muhammad A. Cheema and Gilbert Nartea
University of Otago - School of Business and University of Canterbury - College of Business and Law
Downloads 673 (80,708)

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

3.

Persistence of Size and Value Premia and the Robustness of the Fama-French Three Factor Model in the Hong Kong Stock Market

Investment management and Financial Innovations, V5 (4), pp. 39-49, 2008.
Number of pages: 11 Posted: 30 Jul 2013
Gilbert Nartea, Christopher Gan and Ji (George) Wu
University of Canterbury - College of Business and Law, Lincoln University (NZ) and Massey University - School of Economics and Finance
Downloads 270 (232,649)
Citation 1

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asset pricing, Fama-French three-factor model, size effect, book to market effect, Hong Kong

4.

Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market

Journal of Banking and Finance, 2017
Number of pages: 48 Posted: 01 Feb 2015 Last Revised: 06 Mar 2017
Gilbert Nartea, Dongmin Kong and Ji (George) Wu
University of Canterbury - College of Business and Law, School of Economics, Huazhong University of Science and Technology and Massey University - School of Economics and Finance
Downloads 192 (323,154)
Citation 4

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Cross-section of stock returns; Extreme returns; Predictability; China

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

Number of pages: 34 Posted: 11 Apr 2017 Last Revised: 30 Apr 2018
Muhammad A. Cheema and Gilbert Nartea
University of Otago - School of Business and University of Canterbury - College of Business and Law
Downloads 187 (330,189)
Citation 2

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

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

Applied Economics, Forthcoming
Posted: 16 May 2018
Muhammad A. Cheema and Gilbert Nartea
University of Otago - School of Business and University of Canterbury - College of Business and Law

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Islamic Stocks; Cross-Sectional; Time-Series; Momentum Returns; Market Dynamics

6.

Extreme Returns in Emerging Stock Markets: Evidence of a Max Effect in South Korea

Applied Financial Economics, 2014
Number of pages: 35 Posted: 16 Aug 2013 Last Revised: 21 Feb 2014
Gilbert Nartea, Ji (George) Wu and Hongtao Liu
University of Canterbury - College of Business and Law, Massey University - School of Economics and Finance and Inland Revenue Department
Downloads 176 (349,678)

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Extreme returns, Asset pricing, Idiosyncratic volatility, South Korea

Momentum, Idiosyncratic Volatility and Market Dynamics: Evidence from China

Number of pages: 39 Posted: 07 Sep 2017
Muhammad A. Cheema and Gilbert Nartea
University of Otago - School of Business and University of Canterbury - College of Business and Law
Downloads 173 (354,414)

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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 Nartea
University of Otago - School of Business and University of Canterbury - College of Business and Law

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

8.
Downloads 117 (487,086)
Citation 3

Maxing Out in China: Optimism or Attention?

Number of pages: 14 Posted: 22 Mar 2018 Last Revised: 30 Apr 2018
Muhammad A. Cheema, Gilbert Nartea and Yimei Man
University of Otago - School of Business, University of Canterbury - College of Business and Law and University of Waikato, Management School
Downloads 117 (489,800)
Citation 3

Abstract:

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MAX premium, China, attention-grabbing, investor optimism

Maxing Out in China: Optimism or Attention?

International Review of Finance, Forthcoming
Posted: 17 May 2018
Muhammad A. Cheema, Gilbert Nartea and Yimei Man
University of Otago - School of Business, University of Canterbury - College of Business and Law and University of Waikato, Management School

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MAX Premium, China, Attention-Grabbing, Investor Optimism

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

Number of pages: 33 Posted: 10 Nov 2017
University of Otago - School of Business, University of Canterbury - College of Business and Law and Al Akhawayn University
Downloads 114 (499,707)

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

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

Applied Economics, Forthcoming
Posted: 09 Jan 2018
University of Otago - School of Business, University of Canterbury - College of Business and Law and Al Akhawayn University

Abstract:

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

10.

Does Idiosyncratic Volatility Matter in Emerging Markets? Evidence From China

Number of pages: 44 Posted: 16 Aug 2013 Last Revised: 10 Sep 2013
Gilbert Nartea, Ji (George) Wu and Zhentao Liu
University of Canterbury - College of Business and Law, Massey University - School of Economics and Finance and Xiamen University
Downloads 113 (499,914)
Citation 2

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Idiosyncratic volatility, regime-switching, emerging markets, China

11.

Investor Sentiment and the Economic Policy Uncertainty Premium

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 50 Posted: 28 May 2021
Gilbert Nartea, Hengyu Bai and Ji (George) Wu
University of Canterbury - College of Business and Law, affiliation not provided to SSRN and Massey University - School of Economics and Finance
Downloads 106 (523,836)
Citation 5

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economic policy uncertainty, investor sentiment, cross-sectional stock returns, Australian stock market

12.

Is There a Volatility Puzzle in the Hong Kong Stock Market?

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 40 Posted: 16 Jan 2013
Ji (George) Wu and Gilbert Nartea
Massey University - School of Economics and Finance and University of Canterbury - College of Business and Law
Downloads 97 (556,761)
Citation 1

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idiosyncratic volatility, total volatility, asset pricing, Hong Kong stock market

13.

Extreme Returns and the Idiosyncratic Volatility Puzzle: African Evidence

Number of pages: 39 Posted: 28 Oct 2018
Ji (George) Wu, Peter Eze, Gilbert Nartea and Jing Zhang
Massey University - School of Economics and Finance, Xiamen University, University of Canterbury - College of Business and Law and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Downloads 88 (591,605)
Citation 1

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Maximum Daily Return, Idiosyncratic Volatility, Emerging African Stock Markets

14.

Patterns and Pricing of Idiosyncratic Volatility in French Stock Market

Number of pages: 28 Posted: 24 May 2017
Zhentao Liu, Gilbert Nartea and Ji (George) Wu
Xiamen University, University of Canterbury - College of Business and Law and Massey University - School of Economics and Finance
Downloads 83 (612,654)

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Idiosyncratic volatility, regime switch model, asset pricing, France

15.

Predictive Ability of Low-Frequency Volatility Measures: Evidence from the Hong Kong Stock Markets

Finance Research Letters, 2017
Number of pages: 23 Posted: 01 Feb 2015 Last Revised: 29 Nov 2017
Christopher Gan, Gilbert Nartea and Ji (George) Wu
Lincoln University (NZ), University of Canterbury - College of Business and Law and Massey University - School of Economics and Finance
Downloads 63 (708,967)
Citation 1

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total volatility, idiosyncratic volatility, asset pricing, weekly data, Hong Kong stock market

16.

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 Nartea and Muhammad A. Cheema
University of Canterbury - College of Business and Law and University of Otago - School of Business

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Rational Speculative Bubbles, Duration Dependence, Emerging Markets, Malaysia

17.

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
University of Canterbury - College of Business and Law, University of Otago - School of Business and Al Akhawayn University

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

18.

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 Nartea
University of Otago - School of Business and University of Canterbury - College of Business and Law

Abstract:

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Momentum returns; market states; market dynamics; China

19.

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 Nartea
University of Otago - School of Business and University of Canterbury - College of Business and Law

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

20.

Persistence of Size and Value Premia and the Robustness of the Fama-French Three Factor Model: Evidence from the Hong Kong Stock Market

Investment Management and Financial Innovation, Vol. 5, No. 4, pp.39-49, 2008
Posted: 16 Oct 2010 Last Revised: 30 Aug 2011
Gilbert Nartea, Christopher Gan and Ji Wu
University of Canterbury - College of Business and Law, Lincoln University (NZ) and Institute for Financial and Accounting Studies

Abstract:

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Asset pricing, Fama-French Three-factor model, CAPM, Size effect, Book to market effect, Hong Kong