Search Results - "Nartea, Gilbert V"

Do extreme returns matter in emerging markets? Evidence from the Chinese stock market by Nartea, Gilbert V., Kong, Dongmin, Wu, Ji

“…Recent evidence in the U.S. and Europe indicates that stocks with high maximum daily returns in the previous month, perform poorly in the current month. We…”
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Formal and informal rural credit in the Mekong River Delta of Vietnam: Interaction and accessibility by Khoi, Phan Dinh, Gan, Christopher, Nartea, Gilbert V., Cohen, David A.

“…► We examine the factors influencing rural households’ access to credit in the Vietnamese market. ► We employ conditional mixed process estimation to capture…”
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Earnings management and earnings predictability: A quantile regression approach by Li, Leon, Hwang, Nen-Chen Richard, Nartea, Gilbert V

“…This study argues that the managerial choice of earnings management strategy could be contingent upon a firm's information asymmetry and such a strategy may…”
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Bubble footprints in the Malaysian stock market: are they rational? by Nartea, Gilbert V, Cheema, Muhammand A

“…Purpose – The purpose of this paper is to re-examine the presence of rational speculative bubbles in the Malaysian stock market in light of contradictory…”
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Measuring the economic inefficiency of Nepalese rice farms using data envelopment analysis by Dhungana, B.R, Nuthall, P.L, Nartea, G.V

“…A data envelopment analysis of a sample of 76 Nepalese rice farmers reveals average relative economic, allocative, technical, pure technical and scale…”
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The impact of microcredit on rural households in the Mekong River Delta of Vietnam by Phan, Dinh Khoi, Gan, Christopher, Nartea, Gilbert V., Cohen, David A.

“…This paper evaluates how microcredit affects rural households in the Mekong River Delta of Vietnam using the propensity score matching methods. The results…”
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Momentum returns, market states, and market dynamics: Is China different? by Cheema, Muhammad A., Nartea, Gilbert V.

“…Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in…”
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Extreme returns and the idiosyncratic volatility puzzle: African evidence by Wu, Ji, Chimezie, Eze Peter, Nartea, Gilbert V., Zhang, Jing

“…We examine the cross-sectional relationship between the expected stock return and both the maximum daily return (MAX) and the idiosyncratic volatility (IVOL)…”
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Cross-sectional and time-series momentum returns: are Islamic stocks different? by Cheema, Muhammad A., Nartea, Gilbert V.

“…We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing…”
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Maxing Out in China: Optimism or Attention? by Cheema, Muhammad A., Nartea, Gilbert V., Man, Yimei

“…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…”
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Cross‐Sectional and Time Series Momentum Returns and Market States by Cheema, Muhammad A., Nartea, Gilbert V., Man, Yimei

“…Recent evidence on momentum returns shows that the time series (TS) strategy outperforms the cross‐sectional (CS) strategy. We present new evidence that this…”
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Does idiosyncratic volatility matter in emerging markets? Evidence from China by Nartea, Gilbert V., Wu, Ji, Liu, Zhentao

“…•We find no evidence of a long-term trend in idiosyncratic volatility (IV).•The time series behavior of IV in China is episodic.•The episodic behavior is best…”
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Momentum returns and information uncertainty: Evidence from China by Cheema, Muhammad A., Nartea, Gilbert V.

“…A recent theory of information uncertainty (IU) postulates a negative (positive) relationship between IU and future returns (momentum returns). We extend this…”
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Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan by Cheema, Muhammad A., Nartea, Gilbert V., Szulczyk, Kenneth R.

“…We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock…”
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Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests by Nartea, Gilbert V., Valera, Harold Glenn A., Valera, Maria Luisa G.

“…We investigate the stationarity of the daily real stock prices in 12 Asia-Pacific countries over the period 1991–2020. The methodology employed is driven by…”
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Duration dependence test of rational speculative bubbles: a case study of Hong Kong stock market by Christopher Gan, Gilbert V. Nartea, Dou Ling Ling, Baiding Hu

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Is there a volatility effect in the Hong Kong stock market? by Nartea, Gilbert V., Wu, Ji

“…Recent studies suggest an increasing trend in return idiosyncratic volatility and a ‘puzzling’ negative relationship between idiosyncratic and total volatility…”
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Predictive ability and profitability of simple technical trading rules: Recent evidence from Southeast Asian stock markets by Yu, Hao, Nartea, Gilbert V., Gan, Christopher, Yao, Lee J.

“…This study investigates whether the moving average and trading range breakout rules can forecast stock price movements and outperform a simple buy-and-hold…”
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Searching for rational bubble footprints in the Singaporean and Indonesian stock markets by Nartea, Gilbert V., Cheema, Muhammad A., Szulczyk, Kenneth R.

“…We re-examine the presence of rational speculative bubbles in the Singaporean and Indonesian stock markets in light of contradictory results in the literature…”
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Extreme returns in emerging stock markets: evidence of a MAX effect in South Korea by Nartea, Gilbert V., Wu, Ji, Liu, Hong Tao

“…We investigate the significance of extreme positive returns (MAX) in the cross-sectional pricing of stocks in South Korea. Our results provide important…”
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