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

24

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97

CROSSREF CITATIONS

148

Scholarly Papers (24)

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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 Chapman University
Downloads 5,513 (1,333)
Citation 19

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market efficiency, statistical arbitrage, arbitrage, momentum, value

2.

Sensation Seeking and Hedge Funds

Journal of Finance, Forthcoming
Number of pages: 59 Posted: 10 Dec 2016 Last Revised: 20 Apr 2018
Stephen Brown, Yan Lu, Sugata Ray and Melvyn Teo
New York University (NYU) - Leonard N. Stern School of Business, University of Central Florida - College of Business Administration, University of Alabama - Department of Economics, Finance and Legal Studies and Singapore Management University - Lee Kong Chian School of Business
Downloads 4,619 (1,813)
Citation 3

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Sensation seeking, Hedge funds, Risk, Operational risk

3.

Facial Structure and Delegated Portfolio Management

Number of pages: 58 Posted: 18 Jan 2018 Last Revised: 20 Jan 2020
Yan Lu and Melvyn Teo
University of Central Florida - College of Business Administration and Singapore Management University - Lee Kong Chian School of Business
Downloads 3,840 (2,527)
Citation 1

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hedge funds, alpha, facial width-to-height, testosterone, marketing intensity

4.

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Downloads 2,086 ( 7,053)

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 2,086 (6,904)
Citation 43

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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

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

5.

Hedge Funds, Managerial Skill, and Macroeconomic Variables

Downloads 1,625 ( 10,752)
Citation 11

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
Interdisciplinary Center (IDC) Herzliyah, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,625 (10,559)
Citation 11

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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
Interdisciplinary Center (IDC) Herzliyah, Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business

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Hedge Funds, Predictability, Managerial Skills, Macroeconomic Variables

6.

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 1,483 (12,384)
Citation 26

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

7.

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 Chapman University
Downloads 1,456 (12,749)
Citation 4

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Market Efficiency, Financial Anomalies

8.

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 1,328 (14,743)
Citation 1

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

9.

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 1,263 (15,941)
Citation 22

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Style, Style investing, Return predictability

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 - College of Business Administration, University of Alabama - Department of Economics, Finance and Legal Studies and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,243 (16,308)
Citation 4

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

11.

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 832 (29,409)
Citation 15

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size, hedge funds, capacity constraints, hierarchy costs

12.

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 693 (37,757)
Citation 1

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Institutional investors, overconfidence, loss aversion

13.

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 657 (40,559)
Citation 2

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

14.

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 557 (50,371)
Citation 1

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institutional investors, past performance, loss aversion

15.

The Geography of Hedge Funds

Downloads 466 ( 63,072)

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 466 (62,409)
Citation 1

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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

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G11, G12, G23

16.

Hedge Fund Franchises

Management Science, Forthcoming
Number of pages: 54 Posted: 24 Dec 2014 Last Revised: 11 Dec 2018
William Fung, David A. Hsieh, Narayan Y. Naik and Melvyn Teo
PI Asset Management, LLC, 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 407 (74,299)
Citation 5

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hedge funds, first funds, follow-on funds, spillover, agency problems

17.

ETF Momentum

Number of pages: 53 Posted: 22 Oct 2019 Last Revised: 03 Feb 2020
Frank Weikai Li, Melvyn Teo and Chloe (Chunliu) Yang
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Fudan University - Fanhai International School of Finance (FISF)
Downloads 389 (78,230)

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ETFs, Exchange traded funds, momentum, overreaction

18.

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 339 (91,686)
Citation 2

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Hedge funds, bootstrap, alpha, persistence

19.

Public Hedge Funds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 12 Dec 2016 Last Revised: 02 Nov 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 338 (92,001)
Citation 1

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

20.

Text Sophistication and Sophisticated Investors

Number of pages: 57 Posted: 21 Aug 2019 Last Revised: 03 Feb 2020
Juha Joenväärä, Jari Karppinen, Melvyn Teo and Cristian Ioan Tiu
Aalto University School of Business, University of Oulu, Singapore Management University - Lee Kong Chian School of Business and University at Buffalo
Downloads 293 (107,623)

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hedge funds, textual analysis, text sophistication, lexical diversity, syntactic complexity, vocabulary

21.

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 290 (108,837)
Citation 3

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

22.

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 235 (135,309)
Citation 1

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analysts, hedge funds, agency, conflicts of interests

23.

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 125 (236,133)

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

24.

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 116 (248,138)

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