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    Momentum returns and information uncertainty: Evidence from China

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    Authors
    Cheema, Muhammad
    Nartea, G.
    Date
    2014
    Type
    Journal Article
    
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    Citation
    Cheema, M. and Nartea, G. 2014. Momentum returns and information uncertainty: Evidence from China. Pacific-Basin Finance Journal. 30: pp. 173-188.
    Source Title
    Pacific-Basin Finance Journal
    DOI
    10.1016/j.pacfin.2014.10.002
    ISSN
    0927-538X
    School
    Curtin Sarawak
    URI
    http://hdl.handle.net/20.500.11937/35918
    Collection
    • Curtin Research Publications
    Abstract

    A recent theory of information uncertainty (IU) postulates a negative(positive) relationship between IU and future returns (momentumreturns). We extend this theory by showing that its predictions couldbe conditioned by differences in behavioral biases induced by culture.We find that greater IU does not necessarily result in lower futurereturns in China unlike in the U.S. In fact for some IU proxies, high IUfirms have higher future returns. Second, we confirm earlier evidenceof a weak momentum effect in the Chinese stock market which isconsistent with the low level of individualism among Chinese investorsreported in the literature. Thirdwe find thatmomentumreturns of firmswith greater IU are not necessarily higher than firms with lower IU.

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