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), 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

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Citation 1

Abstract:

2.

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 1,551 (14,275)

Citation 30

Abstract:

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 1,494 (15,157)

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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

Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance

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Citation 14

Abstract:

5.

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 1,444 (15,702)

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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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

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Citation 5

Abstract:

7.

Information, Analysts, and Stock Return Comovement

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Citation 10

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 - Business School

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Citation 7

Abstract:

Information, Analysts, and Stock Return Comovement

NBER Working Paper No. w15833

Number of pages: 49 Posted: 22 Mar 2010 Last Revised: 07 Apr 2021

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 - Business School

Downloads 63 (426,299)

Citation 1

Abstract:

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

Interdisciplinary Center (IDC) Herzliyah, Chinese University of Hong Kong - Department of Finance and National University of Singapore (NUS) - Department of Finance

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Citation 2

Abstract:

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 - The George L. Argyros School of Business & Economics

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Citation 5

Abstract:

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

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Citation 55

Abstract:

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

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Citation 2

Abstract:

12.

Private Company Valuations by Mutual Funds

Number of pages: 51 Posted: 08 Nov 2017 Last Revised: 20 Feb 2021

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

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

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Citation 1

Abstract:

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

Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam and Sheridan Titman

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 520 (66,194)

Citation 9

Abstract:

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

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Citation 10

Abstract:

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

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Abstract:

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,

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Citation 18

Abstract:

17.

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

Number of pages: 59 Posted: 28 Sep 2018 Last Revised: 19 Feb 2021

Allaudeen Hameed and Byounghyun Jeon

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

Downloads 371 (98,884)

Abstract:

18.

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

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Citation 14

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 338 (109,157)

Citation 14

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

Abstract:

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 274 (137,445)

Abstract:

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 237 (158,665)

Abstract:

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 83 (361,448)

Citation 3

Abstract:

22.

Investor Heterogeneity and Liquidity

Number of pages: 65 Posted: 10 Feb 2017 Last Revised: 13 Feb 2021

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 70 (398,074)

Abstract:

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 (765,181)

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Abstract:

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 (776,775)

Citation 2

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Abstract:

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

Abstract:

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

Abstract:

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

Allaudeen Hameed

National University of Singapore (NUS) - Department of Finance

Professor of Finance

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Scholarly Papers (27)

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

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

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Other Papers (1)

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