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.
- Li L., Hwang NCR. and Nartea GV. (2021) Earnings management and earnings predictability: A quantile regression approach. Australian Journal of Management 46(3): 389-408. http://dx.doi.org/10.1177/0312896220945759.
- Nartea GV., Valera HGA. and Valera MLG. (2021) Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests. International Review of Economics and Finance 73: 214-230. http://dx.doi.org/10.1016/j.iref.2020.12.038.
- Cheema MA., Nartea GV. and Man Y. (2020) Maxing Out in China: Optimism or Attention? International Review of Finance 20(4): 961-971. http://dx.doi.org/10.1111/irfi.12241.
- Nartea GV., Bai H. and Wu J. (2020) Investor sentiment and the economic policy uncertainty premium. Pacific Basin Finance Journal 64 http://dx.doi.org/10.1016/j.pacfin.2020.101438.
- 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.