Allaudeen

HAMEED, Allaudeen

Professor
Tang Peng Yeu Professor in Finance


FINANCE

(65) 6516 3034
allaudeen@nus.edu.sg
BIZ1 7-74
Curriculum Vitae

Bio

Allaudeen Hameed is Tang Peng Yeu Professor in Finance at the National University of Singapore (NUS) Business School. Dr Hameed has also held visiting positions at the Chinese University of Hong Kong, University of North Carolina at Chapel Hill and the University of Texas at Austin. 

Dr Hameed`s research intere....

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Recognition & Awards

  • FMA Consortium on Institutional Trading Best Paper Award - 2018
  • FMA European Conference Best Paper Award - 2016
  • Inquire Europe Research Grant - 2016
  • Outstanding Researcher Award, NUS Business School - 2015
  • SGF (Six Swiss Exchange) Best Paper Award for "Time-Varying Momentum Payoffs and Illiquidity" - 2014
  • University of North Carolina (Chapel Hill) Kenan-Flagler Alumni Award (Ph D) - 2011
  • CICF Best Paper Award for "Stock Price Synchronicity and Liquidity" - 2008
  • Outstanding Researcher Award, NUS Business School - 2003
  • National University of Singapore Overseas Scholarship to pursue a doctoral degree at the University of North Carolina, Chapel Hill, USA, 1988-1992
  • Nominated for the 1995 Smith-Breeden Outstanding Paper Award for "Volume and Autocorrelations in Short Horizon Individual Security Returns", Journal of Finance, Sept 1994.
  • Stock Exchange of Thailand Competitive Research Award at the APFA/PACAP Finance Conference, Taiwan, 1996 for "The Effects of Consolidated Trading on Market Quality: Evidence from Singapore".
  • NUS Best Paper Award for the paper on "Profitability of Momentum Strategies in International Equity Markets" (with Kalok Chan and Wilson Tong)

Educational Qualifications

  • Ph.D., Finance, University of North Carolina at Chapel Hill, 1993
  • BBA (Hons), Second Class Upper Division, National University of Singapore, 1984

Academic Experience

  • Tang Peng Yeu Chair Professor, National University of Singapore, 2018 - current
  • Professor, National University of Singapore, 2006 - current
  • Provosts Chair, National University of Singapore, 2009 - 2018
  • Visiting Professor, Chinese University of Hong Kong, 2016
  • Visiting Scholar, University of Texas, Austin, 2011 - 2013
  • Associate Professor, National University of Singapore, 2000 - 2006
  • Visiting Scholar, Duke University, 2005
  • Visiting Associate Professor of Finance, University of North Carolina at Chapel Hill, 1998 - 2003
  • Visiting Scholar, University of Wisconsin-Milwaukee, 2000
  • Senior Lecturer, National University of Singapore, 1997 - 1999
  • Lecturer, National University of Singapore, 1993 - 1996
  • Senior Tutor, National University of Singapore, 1985 - 1988

Corporate Experience

  • Executive Teaching, Kalbe General Management Program, 2010 - 2011
  • Executive Teaching, NUS General Management Program, 2003 - 2011
  • Executive Teaching, Exel Young Leaders Program, 2004 - 2006
  • Executive Teaching, Samsung - General Management Program, 2000 - 2006
  • Board Member, Central Provident Fund (CPF), Singapore, 2001 - 2004
  • Executive Teaching, Port of Singapore Authority (PSA) Executive Program, 2000 - 2004
  • Executive Teaching, Accounting and Finance For non-financial managers, 1999 - 2000
  • Executive Teaching, Financial Management Program (NUS), 1998 - 2000
  • Consultant, Economic Analysis Associates

Selected Publications

Goncalves-Pinto, Luis Filipe, Bruce Grundy, Hameed, Allaudeen, Thijs van der Heijden and Yichao Zhu (2019), "Why do option prices predict stock returns? The role of price pressure in the stock market", Management Science, (forthcoming)
Doron Avramov, Si Cheng and Hameed, Allaudeen (2019), "Mutual Funds and Mispriced Stocks", Management Science, (forthcoming)
Hameed, Allaudeen and Byounghyun Jeon (2019), "Disagreement, Option Volume and Anomalies"
Hameed, Allaudeen and Haifeng Wu (2019), "Decomposing Momentum"
Hameed, Allaudeen, Tan, Seow Kuan, Ruth, Zhang, Weina and Marshall Too (2019), "Xiaomi Corporation: Initial Public Offering", CEIBS Case Centre

Selected Publications

24

Journals

6

Papers

1

Others

Journal Articles

Goncalves-Pinto, Luis Filipe, Bruce Grundy, Hameed, Allaudeen, Thijs van der Heijden and Yichao Zhu (2019), "Why do option prices predict stock returns? The role of price pressure in the stock market", Management Science, (forthcoming)
Doron Avramov, Si Cheng and Hameed, Allaudeen (2019), "Mutual Funds and Mispriced Stocks", Management Science, (forthcoming)
Hameed, Allaudeen and Jing Xie (2018), "Preference for Dividends and Return Comovement", Journal of Financial Economics
Hameed, Allaudeen and Andrew Rose (2018), "Exchange Rate Behavior with Negative Interest Rates: Some Early Negative Observations", Pacific Economic Review, 23, 1, 27-42, Pacific Economic Review
Hameed, Allaudeen, S Cheng, A Subrahmanyam and S Titman (2017), "Short-Term Reversals: The Effects of Past Returns and Institutional Exits ", Journal of Financial and Quantitative Analysis, 52, 1, 143-173
Hameed, Allaudeen, D Avramov and S Cheng (2016), "Time-Varying Liquidity and Momentum Profits", Journal of Financial and Quantitative Analysis
Amihud Y, Hameed, Allaudeen, Kang W J and Zhang H P (2016), "Stock Liquidity and the Cost of Equity Capital in Global Markets", Journal of Applied Corporate Finance, 27, 4, 68-74
Hameed, Allaudeen, Y Amihud, W Kang and H Zhang (2015), "The Illiquidity Premium: International Evidence", Journal of Financial Economics, 117, 2, 350-368
Hameed, Allaudeen, Morck R, Yeung, Yin, Bernard and Shen J F (2015), "Information, Analysts and Stock Returns Comovement ", Review of Financial Studies, 28, 3153-3187
Hameed, Allaudeen and M Mian (2015), "Industries and Stock Return Reversals", Journal of Financial and Quantitative Analysis
Hameed, Allaudeen, K Chan and KANG WENJIN (2013), "Stock Price Synchronicity and Liquidity", Journal of Financial Markets, 16, 3, 414-438
Hameed, Allaudeen, KANG WENJIN and S Viswanathan (2010), "Stock Market Declines and Liquidity", Journal of Finance , 65, 1, 257-293
Yuanto Kusnadi and Hameed, Allaudeen (2006), "Stock Return Autocorrelations, Cross-Autocorrelations and Market Conditions in Japan", The Journal of Business , 79, 6, 3029-3056
Hameed, Allaudeen and K Chan (2006), "Stock Price Synchronicity and Analyst Following in Emerging Markets", Journal of Financial Economics, 80, 1, 115-149
Hameed, Allaudeen, M Cooper and R Gutierrez (2004), "Market states and momentum", Journal of Finance , 59, 3, 1345-1365
K Chan, Hameed, Allaudeen and ST Lau (2003), "What if Trading Location is different from Business Location: Evidence from the Jardine Group", Journal of Finance , 58, 3, 1221-1246
Hameed, Allaudeen and Yuanto Kusnadi (2002), "Momentum strategies: Evidence from the Pacific Basin stock markets", Journal of Financial Research, Journal of Financial Research
Kalok Chan, Wilson Tong and Hameed, Allaudeen (2000), "Profitability of Momentum Strategies in International Equity Markets", Journal of Financial and Quantitative Analysis, 35, 2, 153-172
Hameed, Allaudeen and Serena Ting (2000), "Trading volume and short-horizon contrarian profits: Evidence from the Malaysian market", Pacific Basin Financial Journal, 8, 1, 67-84
Eric Terry and Hameed, Allaudeen (1998), "The Effect of Tick Size on Price Clustering and Trading Volume", Journal of Business Finance & Accounting , 25, 7-8, 849-867
Hameed, Allaudeen and Guan Hua Lim (1998), "Underpricing and firm quality in initial public offerings: Evidence from Singapore", Journal of Business Finance & Accounting , 25, -34, 455-468
Mark Flannery, Rich Harjes and Hameed, Allaudeen (1997), "Expected Returns, Time Varying Risk Premia and Interest Rate Risk", Journal of Banking and Finance, 21, 3, 315-335
Hameed, Allaudeen (1997), "Time-Varying Factors and Cross-Autocorrelations in Short-Horizon Stock Returns", Journal of Financial Research, 20, 4, 435-458, Winter
Hameed, Allaudeen, Jennifer Conrad and Cathy Niden (1994), "Volume and Autocorrelations in Short Horizon Individual Security Returns", Journal of Finance , 49, 4, 1305-1329

Working Papers

Hameed, Allaudeen and Byounghyun Jeon (2019), "Disagreement, Option Volume and Anomalies"
Hameed, Allaudeen and Haifeng Wu (2019), "Decomposing Momentum"
Hameed, Allaudeen, Lof, Matthijs and Suominen, Matti (2018), "Slow Trading and Stock Return Predictability"
Agarwal, Vikas, Barber, Brad M, Cheng, Si, Hameed, Allaudeen and Yasuda, Ayako (2018), "Private Company Valuations by Mutual Funds"
Hameed, Allaudeen, Kalok Chan and Si Cheng (2018), "Investor Heterogeneity and Liquidity"
J Conrad, R Dittmar and Hameed, Allaudeen (2017), "Implied Default Probabilities and Recovery Rates from Option Prices"

Others

Hameed, Allaudeen, Tan, Seow Kuan, Ruth, Zhang, Weina and Marshall Too (2019), "Xiaomi Corporation: Initial Public Offering", CEIBS Case Centre

Research / Teaching Areas

Trading Strategies

Efficient Markets

International Finance

Liquidity

Corporate Finance

Empirical Investments

Courses

  • Empirical Investments (PhD Seminar)
  • Corporate Finance

Membership & Professional Activities

  • Council Member, Society for Financial Studies (2017-2020)
  • Senior Fellow , Asian Bureau of Financial and Economic Research (ABFER)
  • Editor, International Review of Finance (Blackwell Publishing)
  • Associate Editor, Financial Management
  • Associate Editor, Pacific-Basin Finance Journal (North-Holland)
  • Associate Editor, Journal of Applied Finance (2007-2014)
  • Co-Chair, Singapore International Conference on Finance, 2007-2011
  • Executive Board Member, Asian Finance Association, 2000-2009
  • Ad-hoc Referee, Journal of Finance; Review of Financial Studies; Journal of Financial and Quantitative Analysis; Journal of Financial Markets, Journal of Banking and Finance; Financial Analyst Journal, Journal of Financial Research, Journal of Empirical Finance, Journal of Applied Econometrics
  • External Referee, Hong Kong Government Research Grant Applications
  • Review committee member or Session Chair, for several conferences including American Finance Association, Western Finance Association, European Finance Association; China International Finance Conference; Asia-Pacific Finance Conference.
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