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

31

DOWNLOADS
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SSRN RANKINGS

Top 3,086

in Total Papers Downloads

20,627

SSRN CITATIONS
Rank 2,875

SSRN RANKINGS

Top 2,875

in Total Papers Citations

574

CROSSREF CITATIONS

24

Scholarly Papers (31)

1.

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), RSFAS Australian National University, 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 2,108 (13,497)
Citation 1

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

2.
Downloads 1,695 (18,954)
Citation 98

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 1,695 (18,610)
Citation 98

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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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3.

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
Faculty of Business Administration, University of Macau, National University of Singapore (NUS) - Department of Finance and Duke University - Fuqua School of Business
Downloads 1,633 (20,098)
Citation 79

Abstract:

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Liquidity, Market decline, Liquidity commonality, Price reversal

4.

Slow Trading and Stock Return Predictability

AFA 2017 Chicago
Number of pages: 62 Posted: 10 Oct 2015 Last Revised: 28 Oct 2022
Allaudeen Hameed, Matthijs Lof and Matti Suominen
National University of Singapore (NUS) - Department of Finance, Aalto University and Aalto University School of Business
Downloads 1,628 (20,157)

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institutional trading, liquidity, return predictability, size premium

5.

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
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Syracuse University - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,603 (20,639)
Citation 26

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Momentum, Liquidity

6.

Private Company Valuations by Mutual Funds

Review of Finance, Vol. 27, No. 2, 2023
Number of pages: 64 Posted: 08 Nov 2017 Last Revised: 07 Apr 2023
Georgia State University, University of California, Davis, Syracuse University - Department of Finance, National University of Singapore (NUS) - Department of Finance and University of California, Davis - Graduate School of Management
Downloads 1,389 (25,670)
Citation 9

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Mutual funds, Venture capital, Private valuation, Stale prices, Financial fragility

7.

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 1,034 (39,275)
Citation 5

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Asian stock markets, momentum investment strategy, price predictability

8.

Mutual Funds and Mispriced Stocks

Management Science, Vol. 66, No. 6, 2020
Number of pages: 53 Posted: 18 May 2015 Last Revised: 09 Feb 2021
Doron Avramov, Si Cheng and Allaudeen Hameed
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Syracuse University - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 1,014 (40,428)
Citation 2

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Mutual funds; Managerial Skills; Mispricing

9.
Downloads 984 (42,170)
Citation 29

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 Business School, University of New South Wales and National University of Singapore - Business School
Downloads 896 (47,323)
Citation 7

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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: 07 Apr 2023
National University of Singapore (NUS) - Department of Finance, University of Alberta - Department of Finance and Statistical Analysis, UNSW Business School, University of New South Wales and National University of Singapore - Business School
Downloads 88 (514,495)
Citation 1

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10.

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 - The George L. Argyros School of Business & Economics
Downloads 863 (50,646)
Citation 5

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Momentum, Informed Trading, Liquidity, Uncertainty

11.

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 846 (52,045)
Citation 88

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Price Synchronicity, Security Analyst, Emerging Markets

12.

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 Faculty of Business Administration, University of Macau
Downloads 803 (55,789)
Citation 15

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Liquidity, Price Synchronicity, adverse information risk

13.

Anomalies, Option Volume, and Disagreement

Number of pages: 60 Posted: 28 Sep 2018 Last Revised: 17 Sep 2023
Allaudeen Hameed and Byounghyun Jeon
National University of Singapore (NUS) - Department of Finance and Marquette University
Downloads 613 (79,115)

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option trading volume, investor disagreement, mispricing, horizon and anomalies

14.

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 607 (80,102)

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15.

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
Syracuse University - 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 604 (80,610)
Citation 25

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monthly reversals, market efficiency, liquidity

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, Faculty of Business Administration, University of Macau and James Cook University - College of Business, Law and Governance,
Downloads 529 (95,240)
Citation 66

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Illiquidity Premium, International Markets, Commonality in Illiquidity Premium

17.

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
University of North Carolina at Chapel HillUniversity of North Carolina Kenan-Flagler Business School, Rice University and National University of Singapore (NUS) - Department of Finance
Downloads 463 (111,930)
Citation 10

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CDS, options,default probabilities, recovery

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 378 (140,151)
Citation 22

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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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19.

Investor Heterogeneity and Liquidity

Journal of Financial and Quantitative Analysis, Vol. 57, No. 7, 2022
Number of pages: 65 Posted: 10 Feb 2017 Last Revised: 28 Oct 2022
Kalok Chan, Si Cheng and Allaudeen Hameed
CUHK Business School, Syracuse University - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 309 (175,823)
Citation 3

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Liquidity, Volatility of Liquidity, Investor Heterogeneity, Illiquidity Premium

20.

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 294 (185,344)

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cross-autocorrelations, market conditions, return predictability, delay

21.

Preference for Dividends and Return Comovement

Journal of Financial Economics (JFE), 2019, Journal of Financial Economics (JFE), Vol. 132, No. 1, 2019
Number of pages: 52 Posted: 16 Feb 2015 Last Revised: 01 Mar 2022
Allaudeen Hameed and Jing Xie
National University of Singapore (NUS) - Department of Finance and University of Macau, Faculty of Business Administration, Department of Finance and Business Economics
Downloads 284 (192,029)
Citation 14

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Dividend Clientele, Return Comovement, Style Investing

22.

Do Investors Overvalue Startups? Evidence from the Junior Stakes of Mutual Funds

Number of pages: 56 Posted: 01 May 2023 Last Revised: 27 Nov 2023
Georgia State University, University of California, Davis, Syracuse University - Department of Finance, National University of Singapore (NUS) - Department of Finance, London Business School and University of California, Davis - Graduate School of Management
Downloads 277 (197,693)

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Startup valuation, Mutual funds, Venture capital, Fair value, Private valuation

23.

Preference for dividends and stock returns around the world

2022 Financial Management Association (FMA) Annual Conference
Number of pages: 72 Posted: 10 Nov 2022
Allaudeen Hameed, Jing Xie and Yuxiang Zhong
National University of Singapore (NUS) - Department of Finance, University of Macau, Faculty of Business Administration, Department of Finance and Business Economics and Huazhong University of Science and Technology
Downloads 229 (237,646)

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Dividend premium; return comovement; international studies; asset pricing

24.

Long-Term Earnings Forecasts, Managerial Distortion, and Stock Returns

INSEAD Working Paper No. 2023/40/FIN
Number of pages: 62 Posted: 27 Dec 2022 Last Revised: 27 Jul 2023
Allaudeen Hameed, Massimo Massa and Zhenghui Ni
National University of Singapore (NUS) - Department of Finance, INSEAD - Finance and National University of Singapore (NUS) - Department of Finance
Downloads 224 (242,772)

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overreaction, analyst forecasts, return predictability, earnings predictability, managerial manipulation, conglomerates

25.

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 177 (300,561)
Citation 3

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

26.

Momentum and Individual Investor Trades: Evidence from Singapore

Number of pages: 41 Posted: 10 Jul 2023 Last Revised: 12 Sep 2023
Allaudeen Hameed, Zhenghui Ni and Chek Ann Tan
National University of Singapore (NUS) - Department of Finance, National University of Singapore (NUS) - Department of Finance and National University of Singapore (NUS) - Department of Finance
Downloads 38 (763,619)

Abstract:

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momentum, retail investors, contrarian trading, underreaction

27.

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, Andrew Kenan Rose and Andrew Kenan Rose
National University of Singapore (NUS) - Department of Finance and NUS Business SchoolUniversity of California - Haas School of Business
Downloads 1 (1,085,628)
Citation 2
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carry, daily, data, deviation, interest, nominal, parity, Trade, uncovered, volatility

28.

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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29.

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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30.

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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31.

Information Transmission in Stock and Bond Markets

Number of pages: 48
National University of Singapore (NUS) - Department of Finance, University of Texas at Austin - Department of Finance, University of Toronto - Rotman School of Management and James Cook University - College of Business, Law and Governance,
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Market efficiency, information transmission, liquidity, return predictability