Gilbert V. Nartea

University of Canterbury

Christchurch , 8140

New Zealand

SCHOLARLY PAPERS

21

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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 V. Nartea and Yimei Man
University of Waikato, University of Canterbury and University of Waikato, Management School
Downloads 832 (23,218)

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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 102 (229,953)

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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.

Does Idiosyncratic Volatility Matter in Emerging Markets? Evidence From China

Number of pages: 44 Posted: 16 Aug 2013 Last Revised: 10 Sep 2013
Gilbert V. Nartea, Ji (George) Wu and Zhentao Liu
University of Canterbury, Massey University - School of Economics and Finance and Xiamen University
Downloads 41 (310,736)

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Idiosyncratic volatility, regime-switching, emerging markets, China

5.

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 V. Nartea, Christopher Gan and Ji (George) Wu
University of Canterbury, Lincoln University (NZ) and Massey University - School of Economics and Finance
Downloads 39 (253,875)

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

6.

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 (400,924)

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

7.

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 V. Nartea, Ji (George) Wu and Hongtao Liu
University of Canterbury, Massey University - School of Economics and Finance and Inland Revenue Department
Downloads 29 (300,630)

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Extreme returns, Asset pricing, Idiosyncratic volatility, South Korea

8.

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 V. Nartea
Massey University - School of Economics and Finance and University of Canterbury
Downloads 27 (367,345)

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

9.

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
Basanta R. Dhungana, Peter L. Nuthall and Gilbert V. Nartea
University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics, Lincoln University (NZ) - Applied Management and Computing Division and University of Canterbury
Downloads 26 (427,723)
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10.

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 V. Nartea, Dongmin Kong and Ji (George) Wu
University of Canterbury, School of Finance, Zhongnan University of Economics and Law and Massey University - School of Economics and Finance
Downloads 13 (284,357)

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

11.

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 V. Nartea and Ji (George) Wu
Lincoln University (NZ), University of Canterbury and Massey University - School of Economics and Finance
Downloads 12 (448,027)

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

12.

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 V. Nartea and Paul Webster
University of Canterbury and affiliation not provided to SSRN
Downloads 2 (552,332)
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13.

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 V. Nartea, Bert D. Ward and Lee J. Yao
University of Canterbury, Lincoln University (MO) and Loyola University New Orleans
Downloads 1 (562,732)
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Cross‐sectional returns, Idiosyncratic volatility, Southeast Asian markets

14.

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 (228,571)

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

15.

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

16.

Patterns and Pricing of Idiosyncratic Volatility in French Stock Market

Number of pages: 28 Posted: 24 May 2017
Zhentao Liu, Gilbert V. Nartea and Ji (George) Wu
Xiamen University, University of Canterbury and Massey University - School of Economics and Finance
Downloads 0 (400,924)

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Idiosyncratic volatility, regime switch model, asset pricing, France

17.

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 (152,371)

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

18.

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

19.

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 (60,859)

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Sentiment dynamics, Hard to value stocks, Max effect

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 V. Nartea
University of Waikato and University of Canterbury

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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 V. Nartea, Christopher Gan and Ji Wu
University of Canterbury, 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