Melvyn Teo

Singapore Management University - Lee Kong Chian School of Business

Lee Kong Chian Professor of Finance

50 Stamford Road

Singapore, 178899

Singapore

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 894

SSRN RANKINGS

Top 894

in Total Papers Downloads

22,798

CITATIONS
Rank 2,262

SSRN RANKINGS

Top 2,262

in Total Papers Citations

250

Scholarly Papers (21)

1.

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

Number of pages: 48 Posted: 25 May 2003
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 (1,017)
Citation 17

Abstract:

market efficiency, statistical arbitrage, arbitrage, momentum, value

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Number of pages: 47 Posted: 01 Nov 2005
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,933 (5,751)
Citation 86

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
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

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
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 1,551 (8,433)
Citation 15

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
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 (9,770)
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
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 (10,235)
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 (11,849)
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 (12,426)
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 (26,560)
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 (32,600)
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 Florida - Warrington College of Business Administration and Singapore Management University - Lee Kong Chian School of Business
Downloads 615 (16,632)

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 (31,093)

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 (40,769)

Abstract:

institutional investors, past performance, loss aversion

13.
Downloads 448 ( 51,856)
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 (51,298)
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
Imperial College Business School, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 298 (76,661)
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 (109,385)
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 (113,720)
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 (203,024)
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
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 (87,635)
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
Kenneth Froot and Melvyn Teo
National Bureau of Economic Research (NBER) and Singapore Management University - Lee Kong Chian School of Business
Downloads 94 (218,430)
Citation 14

Abstract:

20.

Public Hedge Funds

Number of pages: 47 Posted: 12 Dec 2016 Last Revised: 25 Jul 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 (221,469)

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 Florida - Warrington College of Business Administration and Singapore Management University - Lee Kong Chian School of Business
Downloads 0 (2,434)

Abstract:

Sensation seeking, Hedge funds, Risk, Operational risk