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dc.contributor.authorCheema, Muhammad
dc.contributor.authorNartea, G.
dc.date.accessioned2017-01-30T13:52:30Z
dc.date.available2017-01-30T13:52:30Z
dc.date.created2015-05-21T20:00:35Z
dc.date.issued2014
dc.identifier.citationCheema, M. and Nartea, G. 2014. Momentum returns and information uncertainty: Evidence from China. Pacific-Basin Finance Journal. 30: pp. 173-188.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/35918
dc.identifier.doi10.1016/j.pacfin.2014.10.002
dc.description.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.

dc.publisherElsevier
dc.titleMomentum returns and information uncertainty: Evidence from China
dc.typeJournal Article
dcterms.source.volume30
dcterms.source.startPage173
dcterms.source.endPage188
dcterms.source.issn0927-538X
dcterms.source.titlePacific-Basin Finance Journal
curtin.departmentCurtin Sarawak
curtin.accessStatusFulltext not available


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