Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Professor of Finance

Mochtar Riady Building

15 Kent Ridge Drive

Singapore, 119245

Singapore

http://www.bschool.nus.edu.sg/staff_profile/cv.asp?ID=3

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 2,593

SSRN RANKINGS

Top 2,593

in Total Papers Downloads

10,792

CITATIONS
Rank 1,975

SSRN RANKINGS

Top 1,975

in Total Papers Citations

282

Scholarly Papers (22)

1.

Stock Market Declines and Liquidity

Journal of Finance, Forthcoming, AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper
Number of pages: 49 Posted: 09 Mar 2006 Last Revised: 13 Nov 2008
Wenjin Kang, Allaudeen Hameed and S. Viswanathan
Renmin University of China - Hanqing Institute, National University of Singapore (NUS) - Department of Finance and Duke University - Fuqua School of Business
Downloads 1,367 (9,280)
Citation 54

Abstract:

Liquidity, Market decline, Liquidity commonality, Price reversal

2.
Downloads 1,271 ( 11,172)
Citation 97

Market States and Momentum

Number of pages: 38 Posted: 12 Feb 2002
University of Oregon, University of Utah - David Eccles School of Business and National University of Singapore (NUS) - Department of Finance
Downloads 1,271 (10,923)
Citation 97

Abstract:

Momentum, Reversals, Behavioral Theories

Market States and Momentum

Journal of Finance, Forthcoming
Posted: 13 Oct 2003
University of Oregon, University of Utah - David Eccles School of Business and National University of Singapore (NUS) - Department of Finance

Abstract:

3.

Time-Varying Liquidity and Momentum Profits

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 05 Jul 2013 Last Revised: 23 Mar 2015
Doron Avramov, Si Cheng and Allaudeen Hameed
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 987 (16,525)

Abstract:

Momentum, Liquidity

4.

Momentum Strategies: Evidence from the Pacific Basin Stock Markets

Number of pages: 30 Posted: 07 Dec 2000
Allaudeen Hameed and Yuanto Kusnadi
National University of Singapore (NUS) - Department of Finance and Singapore Management University - School of Accountancy
Downloads 909 (17,896)
Citation 20

Abstract:

Asian stock markets, momentum investment strategy, price predictability

5.

Momentum and Informed Trading

EFA 2008 Athens Meetings Paper
Number of pages: 34 Posted: 17 Mar 2008 Last Revised: 13 Nov 2013
Allaudeen Hameed, Dong Hong and Mitch Warachka
National University of Singapore (NUS) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and University of San Diego
Downloads 694 (25,994)
Citation 3

Abstract:

Momentum, Informed Trading, Liquidity, Uncertainty

6.
Downloads 691 ( 27,816)
Citation 5

Information, Analysts, and Stock Return Comovement

AFA 2011 Denver Meetings Paper
Number of pages: 54 Posted: 14 Mar 2010 Last Revised: 14 Sep 2015
National University of Singapore (NUS) - Department of Finance, National Bureau of Economic Research (NBER), UNSW Australia Business School, School of Banking and Finance and National University of Singapore - Business School
Downloads 637 (30,627)
Citation 5

Abstract:

Analysts; Return comovement; Information spillover; Earnings forecasts; Bellwether firms

Information, Analysts, and Stock Return Comovement

NBER Working Paper No. w15833
Number of pages: 49 Posted: 22 Mar 2010
National University of Singapore (NUS) - Department of Finance, National Bureau of Economic Research (NBER), UNSW Australia Business School, School of Banking and Finance and National University of Singapore - Business School
Downloads 54 (305,978)
Citation 5

Abstract:

7.

Stock Price Synchronicity and Liquidity

Number of pages: 38 Posted: 18 Mar 2008 Last Revised: 01 Jan 2013
Kalok Chan, Allaudeen Hameed and Wenjin Kang
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Renmin University of China - Hanqing Institute
Downloads 669 (29,113)
Citation 2

Abstract:

Liquidity, Price Synchronicity, adverse information risk

8.

Stock Price Synchronicity and Analyst Coverage in Emerging Markets

Number of pages: 40 Posted: 04 Feb 2003
Allaudeen Hameed and Kalok Chan
National University of Singapore (NUS) - Department of Finance and CUHK Business School
Downloads 635 (27,752)
Citation 62

Abstract:

Price Synchronicity, Security Analyst, Emerging Markets

9.

Industries and Stock Return Reversals

Number of pages: 59 Posted: 28 Nov 2012
Allaudeen Hameed and G. Mujtaba Mian
National University of Singapore (NUS) - Department of Finance and Zayed University
Downloads 379 (60,122)
Citation 9

Abstract:

What If Trading Location is Different from Business Location? Evidence from the Jardine Group

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 10 Dec 2001
Kalok Chan, Allaudeen Hameed and Sie Ting Lau
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Nanyang Technological University (NTU) - Division of Banking & Finance
Downloads 322 (72,247)
Citation 25

Abstract:

What if Trading Location Is Different from Business Location? Evidence from the Jardine Group

Journal of Finance, Vol. 58, pp. 1221-1246, June 2003
Posted: 06 Aug 2003
Kalok Chan, Allaudeen Hameed and Sie Ting Lau
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Nanyang Technological University (NTU) - Division of Banking & Finance

Abstract:

11.

Cross-Market and Cross-Firm Effects in Implied Default Probabilities and Recovery Values

AFA 2012 Chicago Meetings Paper
Number of pages: 38 Posted: 19 Mar 2011
Jennifer S. Conrad, Robert F. Dittmar and Allaudeen Hameed
University of North Carolina Kenan-Flagler Business School, University of Michigan, Stephen M. Ross School of Business and National University of Singapore (NUS) - Department of Finance
Downloads 246 (83,347)

Abstract:

CDS, options,default probabilities, recovery

12.

Stock Return Cross-Autocorrelations and Market Conditions in Japan

Number of pages: 41 Posted: 27 Jul 2003
Allaudeen Hameed and Yuanto Kusnadi
National University of Singapore (NUS) - Department of Finance and Singapore Management University - School of Accountancy
Downloads 246 (92,446)
Citation 1

Abstract:

cross-autocorrelations, market conditions, return predictability, delay

13.

Short-Term Reversals: The Effects of Institutional Exits and Past Returns

Journal of Financial and Quantitative Analysis (JFQA), 2016
Number of pages: 56 Posted: 03 Feb 2014 Last Revised: 02 Jun 2015
Chinese University of Hong Kong - Department of Finance, National University of Singapore (NUS) - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and University of Texas at Austin - Department of Finance
Downloads 206 (67,910)

Abstract:

monthly reversals, market efficiency, liquidity

14.

The Illiquidity Premium: International Evidence

Journal of Financial Economics (JFE), Vol. 117, No. 2, 2015
Number of pages: 52 Posted: 28 Jan 2013 Last Revised: 27 Jan 2016
Yakov Amihud, Allaudeen Hameed, Wenjin Kang and Huiping Zhang
New York University - Stern School of Business, National University of Singapore (NUS) - Department of Finance, Renmin University of China - Hanqing Institute and James Cook University - College of Business, Law and Governance,
Downloads 196 (122,342)
Citation 1

Abstract:

Illiquidity Premium, International Markets, Commonality in Illiquidity Premium

15.

Mutual Funds and Mispriced Stocks

Number of pages: 66 Posted: 18 May 2015 Last Revised: 19 Aug 2016
Doron Avramov, Si Cheng and Allaudeen Hameed
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 166 (59,003)

Abstract:

Overpricing, mutual funds, managerial skill, sentiment, fund flows

16.

Dividend Clientele and Return Comovement

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 48 Posted: 16 Feb 2015 Last Revised: 25 Nov 2016
Allaudeen Hameed and Jing Xie
National University of Singapore (NUS) - Department of Finance and Hong Kong Polytechnic University School of Accounting and Finance
Downloads 16 (445,526)

Abstract:

Dividend Clientele, Return Comovement, Style Investing

17.

Exchange Rate Behavior with Negative Interest Rates: Some Early Negative Observations

CEPR Discussion Paper No. DP11498
Number of pages: 45 Posted: 20 Sep 2016
Allaudeen Hameed and Andrew K. Rose
National University of Singapore (NUS) - Department of Finance and University of California - Haas School of Business
Downloads 0 (521,934)

Abstract:

carry, daily, data, deviation, interest, nominal, parity, Trade, uncovered, volatility

18.

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

FIRN Research Paper No. 2695145
Number of pages: 91 Posted: 24 Nov 2015 Last Revised: 03 Nov 2016
National University of Singapore, University of Melbourne, National University of Singapore (NUS) - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 0 (61,500)

Abstract:

Price Pressure, Put-Call Parity, Return Predictability, Informed Trading

19.

Slow Trading and Stock Return Predictability

Number of pages: 53 Posted: 10 Oct 2015 Last Revised: 26 Nov 2016
Allaudeen Hameed, Matthijs Lof and Matti Suominen
National University of Singapore (NUS) - Department of Finance, Aalto University and Aalto University School of Business
Downloads 0 (20,993)

Abstract:

institutional trading, liquidity, return predictability, size premium

20.

Momentum Strategies: Evidence from Pacific Basin Stock Markets

Journal of Financial Research (2002), Vol 25, 383-397
Posted: 01 Aug 2001
Allaudeen Hameed and Yuanto Kusnadi
National University of Singapore (NUS) - Department of Finance and Singapore Management University - School of Accountancy

Abstract:

21.

Profitability of Momentum Strategies in the International Equity Markets

Journal of Financial and Quantitative Analysis, Vol. 35, No. 2, June 2000
Posted: 14 Sep 2000
Kalok Chan, Allaudeen Hameed and Wilson H.S. Tong
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Hong Kong Polytechnic University - School of Accounting and Finance

Abstract:

22.

Time Varying Factors and Cross-Autocorrelations in Short Horizon Stock Returns

J. OF FINANCIAL RESEARCH
Posted: 17 Mar 1997
Allaudeen Hameed
National University of Singapore (NUS) - Department of Finance

Abstract:

Other Papers (1)

Total Downloads: 38    Citations: 2
1.

Stock Price Synchronicity and Liquidity

Number of pages: 39 Posted: 13 Mar 2008 Last Revised: 08 Feb 2009
Wenjin Kang, Kalok Chan and Allaudeen Hameed
Renmin University of China - Hanqing Institute, CUHK Business School and National University of Singapore (NUS) - Department of Finance
Downloads 0 (29,113)
Citation 2

Abstract:

Price Synchronicity, Liquidity