Similar Search Results

Cross-Sectional and Time-Series Momentum Returns and Market Dynamics : Evidence from Japan

Cheema, Muhammad A. - 2017

We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and times-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the...

Persistent link: https://www.econbiz.de/10012943991

Momentum returns and information uncertainty : evidence from China

Cheema, Muhammad A.; Nartea, Gilbert V. - In: Pacific-Basin finance journal 30 (2014), pp. 173-188

Persistent link: https://www.econbiz.de/10010496355

Momentum returns, market states, and market dynamics : is China different?

Cheema, Muhammad A.; Nartea, Gilbert V. - In: International review of economics & finance : IREF 50 (2017), pp. 85-97

Persistent link: https://www.econbiz.de/10011754113

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

Cheema, Muhammad A.; Nartea, Gilbert V.; Szulczyk, … - In: Applied economics 50 (2018) 23, pp. 2600-2612

Persistent link: https://www.econbiz.de/10011850297

Momentum, idiosyncratic volatility and market dynamics : evidence from China

Cheema, Muhammad A.; Nartea, Gilbert V. - In: Pacific-Basin finance journal 46 (2017), pp. 109-123

Persistent link: https://www.econbiz.de/10011800947

Momentum returns, market states, and financial crisis : evidence from China and Hong Kong

Cheema, Muhammad A.; Nartea, Gilbert V. - In: Information efficiency and anomalies in Asian equity …, (pp. 138-157). 2017

Persistent link: https://www.econbiz.de/10011928446

Investor sentiment dynamics, the cross-section of stock returns and the MAX effect

Cheema, Muhammad A.; Nartea, Gilbert V. - 2017

Persistent link: https://www.econbiz.de/10011886525

Cross-sectional and time-series momentum returns and market dynamics : are Islamic stocks different?

Cheema, Muhammad A.; Nartea, Gilbert V. - 2017

Persistent link: https://www.econbiz.de/10011886549

Cross-sectional and time-series momentum returns : are Islamic stocks different?

Cheema, Muhammad A.; Nartea, Gilbert V. - In: Applied economics 50 (2018) 54, pp. 5830-5845

Persistent link: https://www.econbiz.de/10012062915

Momentum, Idiosyncratic Volatility and Market Dynamics : Evidence from China

Cheema, Muhammad A. - 2017

Recent evidence on the relation between momentum and idiosyncratic volatility (IV) in the U.S. is mixed. We verify the relation between momentum and IV in China and find at best, no relation supporting the view that idiosyncratic risk is not a significant arbitrage cost for momentum returns....

Persistent link: https://www.econbiz.de/10012947155