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Singapore Management University Lee Kong Chian School of Business Research Paper Series

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Viewing: 1 - 50 of 250 papers

1.

Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies

Number of pages: 48 Posted: 25 May 2003
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Credit Suisse First Boston, Singapore Management University - Lee Kong Chian School of Business and University of San Diego
Downloads 5,313
2.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 10 Jul 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 3,248
3.

Sensation-Seeking Hedge Funds

12th Annual Mid-Atlantic Research Conference in Finance (MARC)
Number of pages: 44 Posted: 10 Dec 2016 Last Revised: 06 Jul 2017
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business, University of Central Florida-Department of Finance, University of Florida - Warrington College of Business Administration and Singapore Management University - Lee Kong Chian School of Business
Downloads 3,214
4.

What Doesn't Kill You Will Only Make You More Risk-Loving: Early-Life Disasters and CEO Behavior

Number of pages: 80 Posted: 11 Apr 2014 Last Revised: 01 Oct 2015
Working Paper Series
University of Miami - School of Business Administration, George Washington University - Department of Finance and University of Cambridge

Multiple version iconThere are 2 versions of this paper

Downloads 2,851
5.

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

Journal of Financial Economics, Vol. 91, pp. 24-37, January 2009
Number of pages: 45 Posted: 08 Jul 2005 Last Revised: 13 Nov 2013
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads 2,612
6.

Bond Rating Agencies and Stock Analysts: Who Knows What When?

Number of pages: 33 Posted: 02 Dec 1996
Working Paper Series
University of Oklahoma - Division of Finance, Singapore Management University - Lee Kong Chian School of Business and Bank for International Settlements
Downloads 2,282
7.

Forecasting Stock Returns in Good and Bad Times: The Role of Market States

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 2,134
8.

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Number of pages: 47 Posted: 01 Nov 2005
Working Paper Series
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,933
9.

Have We Solved the Idiosyncratic Volatility Puzzle?

Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2012-28, Fisher College of Business Working Paper No. 2012-03-028
Number of pages: 63 Posted: 18 Dec 2012 Last Revised: 02 Oct 2015
Accepted Paper Series
Ohio State University (OSU) - Department of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,774
10.

Earnings Momentum in International Markets

Number of pages: 39 Posted: 08 Apr 2003
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Stanford University - Graduate School of Business and LSV Asset Management
Downloads 1,652
11.

Conflicts of Interest and Stock Recommendations: The Effects of the Global Settlement and Related Regulations

AFA 2006 Boston Meetings Paper, Review of Financial Studies, vol. 22, no. 2, 4189-4217, 2009, AAA 2006 Financial Accounting and Reporting Section (FARS) Meeting Paper, EFA 2005 Moscow Meetings
Number of pages: 37 Posted: 03 Aug 2005 Last Revised: 14 Nov 2013
Working Paper Series
Case Western Reserve University - Weatherhead School of Management, Washington University in St. Louis - John M. Olin Business School, Singapore Management University and Ohio State University (OSU) - Fisher College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,619
12.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 82 Posted: 09 Sep 2013 Last Revised: 14 Aug 2017
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 1,613
13.

Investing in Hedge Funds: Risks, Returns and Pitfalls

Ferrell Focus Working Paper
Number of pages: 29 Posted: 25 Jun 2002
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Singapore University of Social Sciences (SUSS) and Ferrell Asset Management
Downloads 1,584
14.

Capital Structure Dynamics and Stock Returns

Number of pages: 37 Posted: 17 Mar 2006
Working Paper Series
Drexel University and Singapore Management University
Downloads 1,578
15.

Hedge Funds, Managerial Skill, and Macroeconomic Variables

AFA 2008 New Orleans Meetings Paper
Number of pages: 47 Posted: 22 Mar 2007 Last Revised: 15 Nov 2013
Working Paper Series
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,551
16.

Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide

Journal of Finance, Forthcoming
Number of pages: 78 Posted: 21 Mar 2011 Last Revised: 14 Nov 2013
Accepted Paper Series
Georgia State University, Columbia Business School - Finance and Economics, University of Florida - Department of Finance and Georgia State University - Robinson College of Business
Downloads 1,515
17.

Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?

Journal of Accounting & Economics (JAE), Vol. 58, No. 1, 2014
Number of pages: 50 Posted: 27 Mar 2012 Last Revised: 23 Jul 2014
Accepted Paper Series
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,465
18.

The Size of Venture Capital and Private Equity Fund Portfolios

Journal of Corporate Finance, Vol. 13, pp. 564-590, 2007
Number of pages: 55 Posted: 22 Nov 2006 Last Revised: 12 Nov 2013
Accepted Paper Series
University of Miami - School of Business Administration, York University - Schulich School of Business and Boston University
Downloads 1,464
19.

Persistence in Style-Adjusted Mutual Fund Returns

Number of pages: 39 Posted: 08 Dec 2001
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business and Harvard University - Department of Economics
Downloads 1,435
20.

Statistical Arbitrage and Market Efficiency: Enhanced Theory, Robust Tests and Further Applications

Number of pages: 54 Posted: 03 Feb 2005
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences and University of San Diego
Downloads 1,393
21.

Asian Hedge Funds: Return Persistence, Style, and Fund Characteristics

Number of pages: 43 Posted: 21 Jul 2003
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - School of Social Sciences
Downloads 1,274
22.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Federal Reserve Bank of St. Louis Working Paper No. 2010-008H
Number of pages: 48 Posted: 11 Mar 2010 Last Revised: 03 Feb 2014
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 1,246
23.

Style Effects in the Cross-Section of Stock Returns

AFA 2003 Washington, DC Meetings
Number of pages: 44 Posted: 22 Oct 2001
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business and Harvard University - Department of Economics
Downloads 1,235
24.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 60 Posted: 06 Dec 2015 Last Revised: 06 Apr 2017
Working Paper Series
Chinese University of Hong Kong - Department of Finance, University of Toronto, Rotman School of Management, Singapore Management University - Lee Kong Chian School of Business and Erasmus University Rotterdam
Downloads 1,217
25.

A Theory of Strategic Mergers

Review of Finance, Vol. 16, pp. 517-575, 2011
Number of pages: 54 Posted: 07 Mar 2008 Last Revised: 12 Nov 2013
Accepted Paper Series
University of Miami - School of Business Administration, Boston University and Pennsylvania State University
Downloads 1,154
26.

Can Information Be Locked-Up? Informed Trading Ahead of Macro-News Announcements

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 91 Posted: 13 May 2014 Last Revised: 27 Oct 2015
Accepted Paper Series
University of Miami - School of Business Administration, Singapore Management University - Lee Kong Chian School of Business and University of Florida - Department of Finance
Downloads 1,121
27.

Being Naive about Naive Diversification: Can Investment Theory be Consistently Useful

EFA 2008 Athens Meetings Paper
Number of pages: 49 Posted: 19 Mar 2008 Last Revised: 15 Nov 2013
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 1,038
28.

When are Analyst Recommendation Changes Influential?

Review of Financial Studies, Forthcoming, Fisher College of Business Working Paper No. 2009-03-007, Dice Center Working Paper No. 2009-7, ECGI - Finance Working Paper No. 251/2009
Number of pages: 51 Posted: 18 May 2009 Last Revised: 14 Nov 2013
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,036
29.

Mutual Fund Industry Selection and Persistence

The Review of Asset Pricing Studies, Forthcoming
Number of pages: 51 Posted: 09 Dec 2007 Last Revised: 14 Nov 2013
Accepted Paper Series
Emory University - Department of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,030
30.

Twin Momentum

Number of pages: 50 Posted: 09 Jan 2017 Last Revised: 07 Aug 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Southwestern University of Finance and Economics - Institute of Financial Studies and Washington University in St. Louis - Olin School of Business
Downloads 1,015
31.

Do Merger-Related Operating Synergies Exist?

Number of pages: 48 Posted: 02 Jan 2005 Last Revised: 12 Nov 2013
Working Paper Series
University of Miami - School of Business Administration and US Securities & Exchange Commission
Downloads 988
32.

Venture Capital and Economic Growth: An Industry Overview and Singapore's Experience

Singapore Management University, School of Economics and Social Sciences, Working Paper No. 21-2002
Number of pages: 31 Posted: 26 Feb 2003
Working Paper Series
Singapore Management University - School of Social Sciences and Singapore Management University - Lee Kong Chian School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 984
33.

The Effect of the Options Backdating Scandal on the Stock-Price Performance of 110 Accused Companies

Simon School Working Paper No. FR 06-10
Number of pages: 19 Posted: 19 Dec 2006
Working Paper Series
University of Miami - School of Business Administration, University of Rochester - Simon School and Forensic Economics
Downloads 969
34.

The Impact of the Options Backdating Scandal on Shareholders

Journal of Accounting & Economics (JAE), Vol. 47, No. 1, 2009
Number of pages: 57 Posted: 27 Mar 2008 Last Revised: 12 Nov 2013
Accepted Paper Series
University of Miami - School of Business Administration and University of Rochester - Simon School
Downloads 938
35.

Portfolio Manager Compensation and Mutual Fund Performance

Finance Down Under 2014 Building on the Best from the Cellars of Finance
Number of pages: 72 Posted: 18 Mar 2012 Last Revised: 14 May 2016
Working Paper Series
Northeastern University, University of Florida - Department of Finance and IE Business School
Downloads 897
36.

Investing in Hedge Funds: Risks, Returns and Performance Measurement

Number of pages: 34 Posted: 30 Dec 2004
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - School of Social Sciences, Singapore University of Social Sciences (SUSS) and Monash University - Department of Accounting
Downloads 890
37.

Pairwise Correlations

Number of pages: 33 Posted: 15 Mar 2011 Last Revised: 14 Nov 2013
Working Paper Series
Emory University - Department of Finance, University of Lausanne and Singapore Management University - Lee Kong Chian School of Business
Downloads 853
38.

Analysis of Limit Order Book and Order Flow

EFMA 2004 Basel Meetings Paper
Number of pages: 44 Posted: 28 May 2004
Working Paper Series
Nanyang Technological University (NTU), Massey University - Department of Economics and Finance and Singapore Management University - Lee Kong Chian School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 844
39.

Corporate Financial Policy and the Value of Cash

Number of pages: 38 Posted: 12 Jul 2004
Working Paper Series
University of Maryland - Robert H. Smith School of Business and Singapore Management University
Downloads 805
40.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 50 Posted: 22 Aug 2011 Last Revised: 13 Nov 2013
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 795
41.

Leverage Change, Debt Capacity, and Stock Prices

Number of pages: 45 Posted: 25 Mar 2008 Last Revised: 15 Nov 2013
Working Paper Series
Drexel University and Singapore Management University

Multiple version iconThere are 2 versions of this paper

Downloads 782
42.

Creditor Rights and LBOs

5th Annual Conference on Empirical Legal Studies Paper
Number of pages: 39 Posted: 23 Jan 2008 Last Revised: 17 Oct 2014
Working Paper Series
Independent, York University - Schulich School of Business, Australian National University (ANU) - College of Business and Economics and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 772
43.

Understanding Investor Sentiment: The Case of Soccer

Financial Management, Vol. 40, pp. 357-380, 2011
Number of pages: 50 Posted: 17 Feb 2009 Last Revised: 12 Nov 2013
Accepted Paper Series
University of Miami - School of Business Administration and Boston University

Multiple version iconThere are 3 versions of this paper

Downloads 765
44.

Analysts’ Industry Expertise

AFA 2010 Atlanta Meetings Paper, AAA 2010 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 55 Posted: 17 Mar 2009 Last Revised: 14 Nov 2013
Accepted Paper Series
Washington University in St. Louis - John M. Olin Business School, Case Western Reserve University - Weatherhead School of Management, Singapore Management University and Ohio State University (OSU) - Fisher College of Business
Downloads 761
45.

Does Size Matter in the Hedge Fund Industry?

Number of pages: 38 Posted: 23 Jan 2009
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads 744
46.

Momentum and Informed Trading

EFA 2008 Athens Meetings Paper
Number of pages: 34 Posted: 17 Mar 2008 Last Revised: 13 Nov 2013
Working Paper Series
National University of Singapore (NUS) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and University of San Diego
Downloads 732
47.

An Epidemiological Approach to Opinion and Price-Volume Dynamics

AFA 2012 Chicago Meetings Paper
Number of pages: 50 Posted: 13 Mar 2010 Last Revised: 13 Nov 2013
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University
Downloads 715
48.

Is Regime Switching in Stock Returns Important in Portfolio Decisions?

Working Paper, Singapore Management University
Number of pages: 46 Posted: 08 Nov 2007 Last Revised: 15 Nov 2013
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads 706
49.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 704
50.

A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit

Financial Review, Forthcoming
Number of pages: 28 Posted: 29 Aug 2006
Accepted Paper Series
American University of Sharjah - School of Business and Management, Singapore Management University - Lee Kong Chian School of Business and University of Memphis

Multiple version iconThere are 3 versions of this paper

Downloads 693