The investor recognition hypothesis: the New Zealand case

Daniel Chai and Daniel Choi

Applied Financial Economics, 2010, vol. 20, issue 11, 891-898

Abstract: Recently, Kaniel et al. (2005) find that the Investor Recognition Hypothesis (IRH) is valid across countries. The New Zealand (NZ) stock market is among the developed countries which exhibit significant High-Volume Return Premiums (HVRP) supporting the IRH. In this article, we reexamine Kaniel et al.'s finding for the NZ stock market. We confirm that HVRP does exist in NZ stocks. However, when we classify NZ stocks into large, medium and small size categories, the HVRP exists actually only in medium sized stocks. When we further partition NZ medium size stocks into penny and nonpenny stocks, the HVRP exists only in nonpenny stocks.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603101003670682 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:20:y:2010:i:11:p:891-898

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603101003670682

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().