Browsing by Author "Nartea, Gilbert V."

Now showing items 1-5 of 10

  • Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan

    Cheema, Muhammad A.; Nartea, Gilbert V.; Szulczyk, Kenneth R. (Taylor & Francis (Routledge), 2017)
    We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant ...
  • Cross-sectional and time-series momentum returns and market states

    Cheema, Muhammad A.; Nartea, Gilbert V.; Man, Yimei (John Wiley & Sons Ltd., 2017)
    Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-sectional (CS) strategy. We present new evidence that this happens only when the market continues in the same state, UP or ...
  • Cross-sectional and time-series momentum returns: are Islamic stocks different?

    Cheema, Muhammad A.; Nartea, Gilbert V. (Routledge, 2018)
    We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioural theories that aim to explain momentum returns. Our results ...
  • Investor sentiment dynamics, the cross-section of stock returns and the MAX effect

    Cheema, Muhammad A.; Nartea, Gilbert V. (2018)
    Recent evidence shows that investor sentiment is a contrarian predictor of stock returns with speculative stocks earning lower (higher) future returns than safe stocks following high (low) sentiment states. We extend this ...
  • Maxing Out in China: Optimism or Attention?

    Cheema, Muhammad A.; Nartea, Gilbert V.; Man, Yimei (2018)
    Bali et al. (2011) document a maximum daily returns (MAX) premium in the US where stocks with the highest MAX underperform stocks with the lowest MAX in the subsequent month. However, the source of this MAX premium is ...

Gilbert V. Nartea has 3 co-authors in Research Commons.