Recently, Kaniel et al. (2005) find that the Investor Recognition Hypothesis (IRH) is valid across countries. The New Zealand (NZ) stock market is among the developed countries which exhibit significant High-Volume Return Premiums (HVRP) supporting the IRH. In this article, we reexamine Kaniel et al.'s finding for the NZ stock market. We confirm that HVRP does exist in NZ stocks. However, when we classify NZ stocks into large, medium and small size categories, the HVRP exists actually only in medium sized stocks. When we further partition NZ medium size stocks into penny and nonpenny stocks, the HVRP exists only in nonpenny stocks.