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Melvyn Teo

Singapore Management University - Lee Kong Chian School of Business

Lee Kong Chian Professor of Finance

50 Stamford Road

Singapore, 178899

Singapore

  • Singapore Management University - Lee Kong Chian School of Business

    • Email
    • Tel: +65 6828 0735
    • Fax: +65 6822 0777
SCHOLARLY PAPERS

21

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CITATIONS
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251

Scholarly Papers (21)

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1.

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

Number of pages: 48 Posted: 25 May 2003
Robert A. Jarrow, Steve Hogan, Melvyn Teo and Mitch Warachka
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 5,090 (1,039)
Citation 17

Abstract:

market efficiency, statistical arbitrage, arbitrage, momentum, value

2.

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Downloads 1,938 ( 5,996)
Citation 86

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Number of pages: 47 Posted: 01 Nov 2005
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,938 (5,865)
Citation 87

Abstract:

hedge fund, persistence, Bayesian, alpha, backfill, incubation, bootstrap

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Journal of Financial Economics (JFE), Vol. 84, No. 1, 2007
Posted: 19 Dec 2011
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

Abstract:

Hedge fund performance, Persistence, Alpha, Factor models, Bayesian, Bootstrap

3.

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Downloads 1,554 ( 8,761)
Citation 16

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
Doron Avramov, Robert Kosowski, Narayan Y. Naik and Melvyn Teo
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
Downloads 1,554 (8,605)
Citation 16

Abstract:

hedge funds, predictability, managerial skills, macroeconomic variables

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Journal of Financial Economics, Vol. 99, Issue 3, pp. 672-692, March 2011
Posted: 22 Feb 2010 Last Revised: 15 Nov 2013
Doron Avramov, Robert Kosowski, Narayan Y. Naik and Melvyn Teo
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

Abstract:

Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables

4.

Persistence in Style-Adjusted Mutual Fund Returns

Number of pages: 39 Posted: 08 Dec 2001
Melvyn Teo and Sung-Jun Woo
Singapore Management University - Lee Kong Chian School of Business and Harvard University - Department of Economics
Downloads 1,366 (9,927)
Citation 15

Abstract:

mutual funds, style, persistence, ability, managerial ability, fund, style-adjusted, performance

5.

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

Number of pages: 54 Posted: 03 Feb 2005
Robert A. Jarrow, Melvyn Teo, Yiu Kuen Tse and Mitch Warachka
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 1,259 (10,406)
Citation 2

Abstract:

Market Efficiency, Financial Anomalies

6.

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

Number of pages: 43 Posted: 21 Jul 2003
Melvyn Teo, Francis Koh and Winston T.H. Koh
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 1,210 (12,008)
Citation 14

Abstract:

Asian hedge funds, hedge funds, style, persistence, fees

7.

Style Effects in the Cross-Section of Stock Returns

AFA 2003 Washington, DC Meetings
Number of pages: 44 Posted: 22 Oct 2001
Melvyn Teo and Sung-Jun Woo
Singapore Management University - Lee Kong Chian School of Business and Harvard University - Department of Economics
Downloads 1,174 (12,701)
Citation 26

Abstract:

Style, Style investing, Return predictability

8.

Does Size Matter in the Hedge Fund Industry?

Number of pages: 38 Posted: 23 Jan 2009
Melvyn Teo
Singapore Management University - Lee Kong Chian School of Business
Downloads 672 (26,826)
Citation 9

Abstract:

size, hedge funds, capacity constraints, hierarchy costs

9.

Strategic Interactions Between Sell-side Analysts and the Firms they Cover

Number of pages: 47 Posted: 20 Feb 2001
Melvyn Teo
Singapore Management University - Lee Kong Chian School of Business
Downloads 626 (33,133)
Citation 2

Abstract:

analysts, forecast precision, bias, repeated game, investment banking, management access, glamour stocks, Fair Disclosure.

10.

Limited Attention, Marital Events, and Hedge Funds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 18 Feb 2015 Last Revised: 20 Mar 2016
Yan Lu, Sugata Ray and Melvyn Teo
University of Central Florida-Department of Finance, University of Alabama - Department of Economics, Finance and Legal Studies and Singapore Management University - Lee Kong Chian School of Business
Downloads 615 (16,709)

Abstract:

Hedge Funds, Limited Attention, Behavioral Finance, Disposition Effect, Marriage, Divorce

11.

How Do Institutional Investors Trade

EFA 2004 Maastricht Meetings Paper No. 1751
Number of pages: 42 Posted: 01 Jul 2004
Paul G.J. O'Connell and Melvyn Teo
FDO Partners, LLC and Singapore Management University - Lee Kong Chian School of Business
Downloads 609 (31,474)

Abstract:

Institutional investors, overconfidence, loss aversion

12.

Prospect Theory and Institutional Investors

Number of pages: 40 Posted: 21 Nov 2003
Melvyn Teo and Paul G.J. O'Connell
Singapore Management University - Lee Kong Chian School of Business and FDO Partners, LLC
Downloads 517 (41,429)

Abstract:

institutional investors, past performance, loss aversion

13.

The Geography of Hedge Funds

Downloads 448 ( 52,788)
Citation 29

The Geography of Hedge Funds

Review of Financial Studies, Forthcoming
Number of pages: 38 Posted: 15 Aug 2008
Melvyn Teo
Singapore Management University - Lee Kong Chian School of Business
Downloads 448 (52,223)
Citation 29

Abstract:

hedge funds, information asymmetry, geography

The Geography of Hedge Funds

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3531-3561, 2009
Posted: 08 Sep 2009
Melvyn Teo
Singapore Management University - Lee Kong Chian School of Business

Abstract:

G11, G12, G23

14.

Is Stellar Hedge Fund Performance for Real?

Number of pages: 50 Posted: 12 Mar 2005
Robert Kosowski, Narayan Y. Naik and Melvyn Teo
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 298 (77,811)
Citation 1

Abstract:

Hedge funds, bootstrap, alpha, persistence

15.

The Liquidity Risk of Liquid Hedge Funds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 53 Posted: 08 Mar 2011
Melvyn Teo
Singapore Management University - Lee Kong Chian School of Business
Downloads 204 (107,906)
Citation 17

Abstract:

Hedge Funds, Liquidity risk, Funding liquidity, Market liquidity, Redemption gates

16.

Hedge Funds and Analyst Conflicts of Interests

Singapore Management University School of Accountancy Research Paper No. 3
Number of pages: 44 Posted: 16 Mar 2012 Last Revised: 15 Nov 2013
Melvyn Teo and Sung-Gon Chung
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - School of Accountancy
Downloads 197 (115,115)
Citation 1

Abstract:

analysts, hedge funds, agency, conflicts of interests

17.

Home Biased Analysts in Emerging Markets

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 45 Posted: 15 Sep 2005 Last Revised: 15 Nov 2013
Sandy Lai and Melvyn Teo
University of Hong Kong and Singapore Management University - Lee Kong Chian School of Business
Downloads 102 (204,925)
Citation 1

Abstract:

home bias, analyst recommendation, optimism, investment banking, emerging market

18.

Growing the Asset Management Franchise: Evidence from Hedge Fund Firms

Number of pages: 54 Posted: 24 Dec 2014 Last Revised: 22 Aug 2016
William Fung, David A. Hsieh, Narayan Y. Naik and Melvyn Teo
Maple Financial Group, Duke University - Fuqua School of Business, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 101 (86,162)
Citation 1

Abstract:

first funds, hedge fund firms, agency problems

19.

Equity Style Returns and Institutional Investor Flows

NBER Working Paper No. w10355
Number of pages: 49 Posted: 23 Mar 2004 Last Revised: 03 Sep 2009
Kenneth Froot and Melvyn Teo
National Bureau of Economic Research (NBER) and Singapore Management University - Lee Kong Chian School of Business
Downloads 94 (221,816)
Citation 14

Abstract:

20.

Public Hedge Funds

Number of pages: 51 Posted: 12 Dec 2016 Last Revised: 21 Sep 2017
Lin Sun and Melvyn Teo
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 0 (214,370)

Abstract:

Hedge funds, Initial Public Offering, Agency, Conflicts of interest, Short-termism

21.

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
Stephen Brown, Yan Lu, Sugata Ray and Melvyn Teo
New York University (NYU) - Leonard N. Stern School of Business, University of Central Florida-Department of Finance, University of Alabama - Department of Economics, Finance and Legal Studies and Singapore Management University - Lee Kong Chian School of Business
Downloads 0 (2,400)

Abstract:

Sensation seeking, Hedge funds, Risk, Operational risk

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