Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Professor of Finance

Mochtar Riady Building

15 Kent Ridge Drive

Singapore, 119245

Singapore

http://bizfaculty.nus.edu.sg/faculty-details/?profId=1

SCHOLARLY PAPERS

27

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Top 2,394

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15,629

SSRN CITATIONS
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SSRN RANKINGS

Top 5,155

in Total Papers Citations

218

CROSSREF CITATIONS

24

Scholarly Papers (27)

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
School of Finance, Shanghai University of Finance and Economics, National University of Singapore (NUS) - Department of Finance and Duke University - Fuqua School of Business
Downloads 1,525 (12,990)
Citation 25

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Liquidity, Market decline, Liquidity commonality, Price reversal

2.

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

Forthcoming in Management Science, FIRN Research Paper No. 2695145
Number of pages: 61 Posted: 24 Nov 2015 Last Revised: 05 Jun 2019
University of New South Wales (UNSW), 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 1,482 (13,586)
Citation 1

Abstract:

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

3.

Slow Trading and Stock Return Predictability

AFA 2017 Chicago
Number of pages: 45 Posted: 10 Oct 2015 Last Revised: 13 Oct 2018
Allaudeen Hameed, Matthijs Lof and Matti Suominen
National University of Singapore (NUS) - Department of Finance, Aalto University and Aalto University School of Business
Downloads 1,463 (13,880)

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institutional trading, liquidity, return predictability, size premium

4.

Time-Varying Liquidity and Momentum Profits

Journal of Financial and Quantitative Analysis, Vol. 51, No. 6, 2016
Number of pages: 49 Posted: 05 Jul 2013 Last Revised: 12 Sep 2019
Doron Avramov, Si Cheng and Allaudeen Hameed
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,410 (14,704)
Citation 10

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Momentum, Liquidity

5.
Downloads 1,403 ( 14,813)
Citation 92

Market States and Momentum

Number of pages: 38 Posted: 12 Feb 2002
Roberto C. Gutierrez, Michael J. Cooper and Allaudeen Hameed
University of Oregon, University of Utah - David Eccles School of Business and National University of Singapore (NUS) - Department of Finance
Downloads 1,403 (14,520)
Citation 92

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Momentum, Reversals, Behavioral Theories

Market States and Momentum

Posted: 13 Oct 2003
Roberto C. Gutierrez, Michael J. Cooper and Allaudeen Hameed
University of Oregon, University of Utah - David Eccles School of Business and National University of Singapore (NUS) - Department of Finance

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6.

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 987 (25,100)
Citation 5

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Asian stock markets, momentum investment strategy, price predictability

7.
Downloads 843 ( 31,487)
Citation 12

Information, Analysts, and Stock Return Comovement

The Review of Financial Studies (2015), Vol. 28 (11): 3153-3187., AFA 2011 Denver Meetings Paper
Number of pages: 54 Posted: 14 Mar 2010 Last Revised: 03 Jun 2017
National University of Singapore (NUS) - Department of Finance, University of Alberta - Department of Finance and Statistical Analysis, UNSW Australia Business School, School of Banking and Finance and National University of Singapore - Business School
Downloads 784 (34,215)
Citation 12

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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 Last Revised: 30 Mar 2010
National University of Singapore (NUS) - Department of Finance, University of Alberta - Department of Finance and Statistical Analysis, UNSW Australia Business School, School of Banking and Finance and National University of Singapore - Business School
Downloads 59 (404,420)

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8.

Mutual Funds and Mispriced Stocks

Management Science, Forthcoming
Number of pages: 53 Posted: 18 May 2015 Last Revised: 12 Sep 2019
Doron Avramov, Si Cheng and Allaudeen Hameed
Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 798 (33,882)
Citation 2

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Mutual funds; Managerial Skills; Mispricing

9.

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 Chapman University
Downloads 797 (33,940)
Citation 5

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Momentum, Informed Trading, Liquidity, Uncertainty

10.

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 773 (35,407)
Citation 51

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Price Synchronicity, Security Analyst, Emerging Markets

11.

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 School of Finance, Shanghai University of Finance and Economics
Downloads 739 (37,631)
Citation 2

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Liquidity, Price Synchronicity, adverse information risk

12.

Private Company Valuations by Mutual Funds

Number of pages: 57 Posted: 08 Nov 2017 Last Revised: 05 Sep 2019
Georgia State University, University of California, Davis, Chinese University of Hong Kong - Department of Finance, National University of Singapore (NUS) - Department of Finance and University of California, Davis - Graduate School of Management
Downloads 556 (54,703)

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Mutual funds, Venture capital, Entrepreneurial firm, Private valuation, Stale prices

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 500 (62,606)
Citation 8

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monthly reversals, market efficiency, liquidity

14.

Implied Default Probabilities and Recovery Rates from Option Prices

AFA 2012 Chicago Meetings Paper
Number of pages: 56 Posted: 19 Mar 2011 Last Revised: 30 Oct 2017
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 409 (79,852)
Citation 9

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CDS, options,default probabilities, recovery

15.

Decomposing Momentum

Number of pages: 57 Posted: 18 Jun 2019
Allaudeen Hameed and Haifeng Wu
National University of Singapore (NUS) - Department of Finance and affiliation not provided to SSRN
Downloads 378 (87,465)

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16.

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, School of Finance, Shanghai University of Finance and Economics and James Cook University - College of Business, Law and Governance,
Downloads 352 (95,001)
Citation 11

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Illiquidity Premium, International Markets, Commonality in Illiquidity Premium

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

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 335 (99,690)
Citation 13

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

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

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18.

Why Does Option Volume Predict Stock Returns? The Role of Investor Disagreement and Mispriced Stocks

Number of pages: 62 Posted: 28 Sep 2018 Last Revised: 20 Jul 2020
Allaudeen Hameed and Byounghyun Jeon
National University of Singapore (NUS) - Department of Finance and Marquette University
Downloads 278 (122,785)

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anomaly, mispricing, option trading volume, investor disagreement

19.

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 272 (125,621)

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cross-autocorrelations, market conditions, return predictability, delay

20.

Preference for Dividends and Return Comovement

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 16 Feb 2015 Last Revised: 22 Apr 2018
Allaudeen Hameed and Jing Xie
National University of Singapore (NUS) - Department of Finance and Hong Kong Polytechnic University - School of Accounting and Finance
Downloads 222 (153,790)

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Dividend Clientele, Return Comovement, Style Investing

21.

Measuring Corporate Bond Liquidity in Emerging Market Economies: Price- vs Quantity-Based Measures

BIS Paper No. 102e
Number of pages: 18 Posted: 22 May 2019
Allaudeen Hameed, Jean Helwege, Ran Li and Frank Packer
National University of Singapore (NUS) - Department of Finance, UC Riverside, World Bank and Bank for International Settlements (BIS)
Downloads 69 (368,054)

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corporate bonds, bond liquidity, Islamic and conventional bonds, Malaysia

22.

Investor Heterogeneity and Liquidity

Number of pages: 64 Posted: 10 Feb 2017 Last Revised: 04 May 2020
Kalok Chan, Si Cheng and Allaudeen Hameed
CUHK Business School, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 35 (492,758)

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Liquidity, Volatility of Liquidity, Investor Heterogeneity, Illiquidity Premium

23.

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

Pacific Economic Review, Vol. 23, Issue 1, pp. 27-42, 2018
Number of pages: 16 Posted: 20 Feb 2018
Allaudeen Hameed and Andrew Kenan Rose
National University of Singapore (NUS) - Department of Finance and University of California - Haas School of Business
Downloads 2 (708,775)
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24.

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 Kenan Rose
National University of Singapore (NUS) - Department of Finance and University of California - Haas School of Business
Downloads 1 (721,089)
Citation 1
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carry, daily, data, deviation, interest, nominal, parity, Trade, uncovered, volatility

25.

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

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26.

Profitability of Momentum Strategies in the International Equity Markets

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

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27.

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

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Other Papers (1)

Total Downloads: 59
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
School of Finance, Shanghai University of Finance and Economics, CUHK Business School and National University of Singapore (NUS) - Department of Finance
Downloads 59

Abstract:

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Price Synchronicity, Liquidity