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

25

DOWNLOADS
Rank 827

SSRN RANKINGS

Top 827

in Total Papers Downloads

30,770

SSRN CITATIONS
Rank 4,592

SSRN RANKINGS

Top 4,592

in Total Papers Citations

114

CROSSREF CITATIONS

150

Scholarly Papers (25)

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 Chapman University
Downloads 5,540 (1,408)
Citation 20

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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 4,700 (1,902)
Citation 5

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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 3,911 (2,615)
Citation 3

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

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 2,100 (7,339)
Citation 49

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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
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

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
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 1,640 (11,085)
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
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 1,492 (13,089)
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
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 1,463 (13,501)
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 1,334 (15,599)
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 1,272 (16,751)
Citation 24

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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 1,262 (16,960)
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 845 (30,563)
Citation 17

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size, hedge funds, capacity constraints, hierarchy costs

12.

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 714 (38,465)
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 (43,049)
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 558 (53,180)
Citation 1

Abstract:

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institutional investors, past performance, loss aversion

15.

ETF Momentum

Number of pages: 53 Posted: 22 Oct 2019 Last Revised: 03 Feb 2020
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 541 (55,363)

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ETFs, Exchange traded funds, momentum, overreaction

16.
Downloads 466 ( 66,657)

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 (66,004)
Citation 3

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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

17.

Hedge Fund Franchises

Management Science, Forthcoming
Number of pages: 54 Posted: 24 Dec 2014 Last Revised: 11 Dec 2018
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 429 (73,714)
Citation 5

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

18.

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 358 (91,000)
Citation 1

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

19.

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 340 (96,484)
Citation 2

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Hedge funds, bootstrap, alpha, persistence

20.

Text Sophistication and Sophisticated Investors

Number of pages: 57 Posted: 21 Aug 2019 Last Revised: 03 Feb 2020
Aalto University School of Business, University of Oulu, Singapore Management University - Lee Kong Chian School of Business and University at Buffalo
Downloads 322 (102,519)

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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 300 (110,715)
Citation 8

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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 237 (141,339)
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 126 (244,870)

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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 119 (255,682)

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25.

Socially Responsible Hedge Funds

Number of pages: 59 Posted: 23 Jun 2020
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 44 (444,540)

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Principles for Responsible Investment, Socially Responsible, Hedge Funds, Green-washing, Walk the Talk, Agency Problems, Operational Risk, ESG