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

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

29

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154

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151

Scholarly Papers (29)

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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 - The George L. Argyros School of Business & Economics
Downloads 5,637 (1,982)
Citation 23

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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 J. Brown, Yan Lu, Sugata Ray and Melvyn Teo
New York University - 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 4,988 (2,488)
Citation 10

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Sensation seeking, Hedge funds, Risk, Operational risk

3.

Do Alpha Males Deliver Alpha? Facial Width-to-Height Ratio and Hedge Funds

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 66 Posted: 18 Jan 2018 Last Revised: 15 Dec 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 4,445 (3,043)
Citation 4

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hedge funds, alpha, facial width-to-height, testosterone, downside risk, fire sales, marriage, fatherhood, marketing intensity

4.

Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis

Downloads 2,208 ( 9,590)
Citation 60

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 2,208 (9,419)
Citation 60

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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 1,699 ( 14,708)

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 1,699 (14,462)
Citation 14

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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 1,537 (17,143)
Citation 27

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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 - The George L. Argyros School of Business & Economics
Downloads 1,522 (17,396)
Citation 4

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Market Efficiency, Financial Anomalies

8.

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 1,431 (19,074)
Citation 9

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

9.

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 1,388 (19,952)
Citation 1

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

10.

Responsible Hedge Funds

Review of Finance, forthcoming
Number of pages: 62 Posted: 23 Jun 2020 Last Revised: 02 May 2022
Hao Liang, Lin Sun and Melvyn Teo
Singapore Management University - Lee Kong Chian School of Business, Fudan University and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,326 (21,365)
Citation 3

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Principles for Responsible Investment, Greenwash, Hedge Funds, Walk the Talk, Agency Problems, Operational Risk, ESG, Stewardship

11.

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 1,319 (21,529)
Citation 25

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Style, Style investing, Return predictability

12.

Diverse Hedge Funds

Number of pages: 70 Posted: 18 Feb 2021 Last Revised: 06 Jun 2022
Yan Lu, Narayan Y. Naik and Melvyn Teo
University of Central Florida - College of Business Administration, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 978 (33,321)

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Diversity, Homophily, Nationality, Experience, Education, Gender, Race, Ethnicity, Behavioral biases, Capacity constraints, Performance persistence, Operational risk

13.

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 975 (33,431)
Citation 17

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size, hedge funds, capacity constraints, hierarchy costs

14.

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 968 (33,734)
Citation 1

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ETFs, Exchange traded funds, momentum, overreaction

15.

How Do Institutional Investors Trade

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 835 (41,498)
Citation 1

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Institutional investors, overconfidence, loss aversion

16.

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 672 (55,351)
Citation 2

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

17.

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 573 (67,839)

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institutional investors, past performance, loss aversion

18.

The Vocabulary of Hedge Funds

Number of pages: 57 Posted: 21 Aug 2019 Last Revised: 28 Jun 2021
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 492 (81,919)

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hedge funds, textual analysis, lexical diversity, vocabulary, linguistic skills, corporate disclosures, cognitive ability, lexical richness

19.

The Geography of Hedge Funds

Downloads 479 ( 84,575)

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 479 (83,805)
Citation 8

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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

20.

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 465 (87,697)
Citation 6

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

21.

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
Fudan University and Singapore Management University - Lee Kong Chian School of Business
Downloads 433 (95,280)
Citation 1

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

22.

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 357 (118,694)

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Hedge funds, bootstrap, alpha, persistence

23.

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 322 (132,677)
Citation 10

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

24.

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 242 (177,189)
Citation 1

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analysts, hedge funds, agency, conflicts of interests

25.

Race, Discrimination, and Hedge Funds

Number of pages: 55 Posted: 08 Apr 2022 Last Revised: 25 Jul 2022
Yan Lu, Narayan Y. Naik and Melvyn Teo
University of Central Florida - College of Business Administration, London Business School - Institute of Finance and Accounting and Singapore Management University - Lee Kong Chian School of Business
Downloads 186 (227,003)

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Race, Racial bias, Discrimination, Barriers to entry, Minorities, Homophily, Education, Hedge funds, Asian, Black, Latino

26.

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 137 (290,586)
Citation 2

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

27.

Equity Style Returns and Institutional Investor Flows

NBER Working Paper No. w10355
Number of pages: 49 Posted: 23 Mar 2004 Last Revised: 18 Apr 2022
Kenneth Froot and Melvyn Teo
Harvard University Graduate School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 134 (295,563)

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28.

The Passive World of Active Investing

Number of pages: 52 Posted: 09 Feb 2022 Last Revised: 26 May 2022
Lin Sun and Melvyn Teo
Fudan University and Singapore Management University - Lee Kong Chian School of Business
Downloads 99 (365,602)

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passive investing, hedge funds, ETFs, agency problems, incentive alignment, misconduct

29.

Foreign Talent and Hedge Funds

SMU Cox School of Business Research Paper No. 22-05
Number of pages: 54 Posted: 09 Feb 2022 Last Revised: 22 Mar 2022
Jun Chen, Shenje Hshieh, Melvyn Teo and Feng Zhang
Renmin University of China - School of Business, City University of Hong Kong, Singapore Management University - Lee Kong Chian School of Business and Southern Methodist University (SMU) - Finance Department
Downloads 99 (365,602)

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Foreign labor, H-1B, Visa, Systematic, Quantitative, Race, Ethnicity, Diversity, Homophily, STEM, Education

Other Papers (1)

Total Downloads: 53
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1.

Hedge Funds and Their Prime Broker Analysts

Number of pages: 47 Posted: 06 Apr 2021 Last Revised: 26 Apr 2021
Sung Gon Chung, Manoj Kulchania and Melvyn Teo
Wayne State University, Wayne State University - Finance Group and Singapore Management University - Lee Kong Chian School of Business
Downloads 53 (584,931)

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