Author Page for Allaudeen Hameed

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

Luis Goncalves-Pinto, Bruce D. Grundy, Allaudeen Hameed, Thijs van der Heijden and Yichao Zhu

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

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Citation 1

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2.

Market States and Momentum

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Citation 98

2

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 1,972 (17,871)

Citation 98

Abstract:

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.

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 1,704 (22,812)

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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

Reichman University - Interdisciplinary Center (IDC) Herzliyah, Syracuse University - Department of Finance and National University of Singapore (NUS) - Department of Finance

Downloads 1,685 (23,231)

Citation 35

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5.

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 1,669 (23,572)

Citation 95

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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

Vikas Agarwal, Brad M. Barber, Si Cheng, Allaudeen Hameed and Ayako Yasuda

Georgia State University - J. Mack Robinson College of Business, 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

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Citation 14

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7.

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

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Citation 2

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8.

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 1,068 (45,546)

Citation 5

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9.

Information, Analysts, and Stock Return Comovement

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Citation 9

2

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

Allaudeen Hameed, Randall Morck, Jianfeng Shen and Bernard Yin Yeung

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 (NUS) - NUS Business School

Downloads 941 (53,539)

Citation 8

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Information, Analysts, and Stock Return Comovement

NBER Working Paper No. w15833

Number of pages: 49 Posted: 22 Mar 2010 Last Revised: 07 Apr 2023

Allaudeen Hameed, Randall Morck, Jianfeng Shen and Bernard Yin Yeung

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 (NUS) - NUS Business School

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Citation 1

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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 993 (50,473)

Citation 88

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11.

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 College of Business and Economics

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Citation 5

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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 867 (60,885)

Citation 19

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13.

Anomalies, Option Volume, and Disagreement

Financial Management, 0 [10.1111/fima.12466]

Number of pages: 58 Posted: 28 Sep 2018 Last Revised: 20 Jul 2024

Allaudeen Hameed and Byounghyun (BH) Jeon

National University of Singapore (NUS) - Department of Finance and Marquette University

Downloads 751 (73,847)

Abstract:

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 723 (77,582)

Abstract:

15.

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,

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Citation 82

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16.

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

Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam and Sheridan Titman

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

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Citation 25

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17.

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

Number of pages: 71 Posted: 01 May 2023 Last Revised: 15 Feb 2025

Vikas Agarwal, Brad M. Barber, Si Cheng, Allaudeen Hameed, Harshini Shanker and Ayako Yasuda

Georgia State University - J. Mack Robinson College of Business, 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

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18.

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, Jennifer S. Conrad, Robert F. Dittmar and Allaudeen Hameed

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

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Citation 10

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19.

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

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Citation 23

2

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 460 (135,090)

Citation 23

Abstract:

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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20.

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 446 (141,860)

Citation 4

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21.

Preference for dividends and stock returns around the world

2022 Financial Management Association (FMA) Annual Conference

Number of pages: 79 Posted: 10 Nov 2022 Last Revised: 26 May 2025

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 385 (167,697)

Citation 1

Abstract:

22.

Information Transmission in Stock and Bond Markets

Number of pages: 46 Posted: 05 Mar 2024

Allaudeen Hameed, Sheridan Titman, Jason Wei and Huiping Zhang

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,

Downloads 345 (189,380)

Abstract:

23.

Earnings Optimism Heuristics and Long-Term Stock Returns

INSEAD Working Paper No. 2025/22/FIN

Number of pages: 61 Posted: 27 Dec 2022 Last Revised: 05 Mar 2025

Allaudeen Hameed, Massimo Massa and Zhenghui Ni

National University of Singapore (NUS) - Department of Finance, INSEAD - Finance and Renmin University of China, School of Business

Downloads 327 (200,745)

Abstract:

24.

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 308 (214,138)

Citation 19

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25.

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 308 (214,138)

Abstract:

26.

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 226 (293,301)

Citation 3

Abstract:

27.

Trading in Your Golden Years: The Effects of Early Pension Withdrawal on Individual Investments

Number of pages: 77 Posted: 23 Apr 2024 Last Revised: 13 Mar 2025

Allaudeen Hameed, Sumit Agarwal, Yuanyuan Pan and Chek Ann Tan

National University of Singapore (NUS) - Department of Finance, National University of Singapore, National university of Singapore and National University of Singapore (NUS) - Department of Finance

Downloads 161 (400,224)

Abstract:

28.

Momentum and Individual Investor Trades: Evidence from Singapore

Number of pages: 41 Posted: 10 Jul 2023 Last Revised: 19 Feb 2025

Allaudeen Hameed, Zhenghui Ni and Chek Ann Tan

National University of Singapore (NUS) - Department of Finance, Renmin University of China, School of Business and National University of Singapore (NUS) - Department of Finance

Downloads 101 (577,383)

Abstract:

29.

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 9 (1,291,974)

Citation 2

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Abstract:

30.

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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31.

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

Abstract:

32.

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

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Professor of Finance

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Scholarly Papers (32)

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

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