Gilbert Nartea

University of Canterbury - College of Business and Law

Associate Professor

Christchurch, 8140

New Zealand

SCHOLARLY PAPERS

21

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CITATIONS
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3

Scholarly Papers (21)

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 Waikato New Zealand, University of Canterbury - College of Business and Law and University of Waikato, Management School
Downloads 889 (22,312)

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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 Nartea and Yimei Man
University of Waikato New Zealand, University of Canterbury - College of Business and Law and University of Waikato, Management School

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

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 Waikato New Zealand and University of Canterbury - College of Business and Law
Downloads 173 (156,255)

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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 Waikato New Zealand and University of Canterbury - College of Business and Law

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

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 Waikato New Zealand and University of Canterbury - College of Business and Law
Downloads 111 (224,491)

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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 Waikato New Zealand and University of Canterbury - College of Business and Law

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

4.

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 Waikato New Zealand and University of Canterbury - College of Business and Law

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

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 Waikato New Zealand, University of Canterbury - College of Business and Law and University of Waikato, Management School
Downloads 52 (352,334)

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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 Waikato New Zealand, 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
Muhammad A. Cheema, Gilbert Nartea and Kenneth Szulczyk
University of Waikato New Zealand, University of Canterbury - College of Business and Law and Curtin University, Malaysia
Downloads 52 (352,334)

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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
Muhammad A. Cheema, Gilbert Nartea and Kenneth Szulczyk
University of Waikato New Zealand, University of Canterbury - College of Business and Law and Curtin University, Malaysia

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

7.

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 41 (318,661)

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Idiosyncratic volatility, regime-switching, emerging markets, China

8.

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 39 (257,486)

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

9.

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 29 (289,600)

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Extreme returns, Asset pricing, Idiosyncratic volatility, South Korea

10.

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 27 (352,833)

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

11.

Measuring the Economic Inefficiency of Nepalese Rice Farms Using Data Envelopment Analysis

Australian Journal of Agricultural & Resource Economics, Vol. 48, No. 2, pp. 347-369, June 2004
Number of pages: 23 Posted: 07 Aug 2004
University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics, Lincoln University (NZ) - Applied Management and Computing Division and University of Canterbury - College of Business and Law
Downloads 26 (444,267)
Citation 1
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12.

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 Finance, Zhongnan University of Economics and Law and Massey University - School of Economics and Finance
Downloads 13 (270,756)

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

13.

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 12 (439,305)

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

14.

Should Farmers Invest in Financial Assets as a Risk Management Strategy? Some Evidence from New Zealand

Australian Journal of Agricultural and Resource Economics, Vol. 52, No. 2, pp. 183-202, June 2008
Number of pages: 20 Posted: 08 May 2008
Gilbert Nartea and Paul Webster
University of Canterbury - College of Business and Law and affiliation not provided to SSRN
Downloads 2 (572,783)
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15.

Idiosyncratic Volatility and Cross‐Sectional Stock Returns in Southeast Asian Stock Markets

Accounting & Finance, Vol. 51, Issue 4, pp. 1031-1054, 2011
Number of pages: 24 Posted: 03 Nov 2011
Gilbert Nartea, Bert D. Ward and Lee J. Yao
University of Canterbury - College of Business and Law, Lincoln University (MO) and Loyola University New Orleans
Downloads 1 (582,997)
Citation 2
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Cross‐sectional returns, Idiosyncratic volatility, Southeast Asian markets

16.

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 Waikato New Zealand and University of Canterbury - College of Business and Law
Downloads 0 (44,580)

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

17.

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 Waikato New Zealand

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Rational Speculative Bubbles, Duration Dependence, Emerging Markets, Malaysia

18.

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 0 (397,044)

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Idiosyncratic volatility, regime switch model, asset pricing, France

19.

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 Nartea, Muhammad A. Cheema and Kenneth Szulczyk
University of Canterbury - College of Business and Law, University of Waikato New Zealand and Curtin University, Malaysia

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

20.

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 Waikato New Zealand and University of Canterbury - College of Business and Law

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Momentum returns; market states; market dynamics; China

21.

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