My research focuses on empirical asset pricing with special emphasis on stock market anomalies. These are patterns in stock markets such as momentum, volatility effects, and extreme return effects that do not conform with that predicted by the traditional asset pricing models. I also work in the area of microfinance especially in emerging and developing markets.
- Wu J., Chimezie EP., Nartea GV. and Zhang J. (2019) Extreme returns and the idiosyncratic volatility puzzle: African evidence. Applied Economics 51(58): 6264-6279. http://dx.doi.org/10.1080/00036846.2019.1631442.
- Cheema M. and Nartea GV. (2018) Cross-sectional and time-series momentum returns: are Islamic stocks different? Applied Economics 50(54): 5830-5845. http://dx.doi.org/10.1080/00036846.2018.1488068.
- Cheema MA., Nartea GV. and Man Y. (2018) Maxing Out in China: Optimism or Attention? International Review of Finance http://dx.doi.org/10.1111/irfi.12241.
- Cheema MA., Nartea GV. and Szulczyk KR. (2018) Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan. Applied Economics 50(23): 2600-2612. http://dx.doi.org/10.1080/00036846.2017.1403560.
- Liu Z., Nartea GV. and Wu J. (2018) Patterns and Pricing of Idiosyncratic Volatility in the French Stock Market. Theoretical Economics Letters 08(01): 79-97. http://dx.doi.org/10.4236/tel.2018.81005.