Faculty Profile

Education

Current Position(s) Held

Research Interests

• Empirical Asset Pricing
• Hedge Funds
• Behavioral Finance

Service To The Profession

• Session Chair, China International Conference in Finance, Beijing 2024
• Track Chair, European Finance Association Meeting, Bratislava 2024
• Track Chair, European Finance Association Meeting, Amsterdam 2023
• Track Chair, European Finance Association Meeting, Barcelona 2022
• Track Chair, European Finance Association Meeting, Milan 2021

Awards, Recognition & Honors

• Third Prize, The 9th Higher Education Outstanding Scientific Research Output Award (Humanities and Social Sciences), Ministry of Education, People's Republic of China, 2024
• Dean’s Teaching Honors List - LKCSB Postgraduate Programmes, SMU, 2019–2022
• Jack Treynor Prize, Q-Group, 2017
• Lee Kong Chian Professorship, SMU, 2016 - Now
• Singapore Ministry of Education Tier 2 grant, MOE, 2015-2017
• Distinguished Teacher Award Nominee, SMU, 2011
• Lee Kuan Yew Fellowship for Research Excellence, SMU, 2009-2010.
• Best Paper presented at Inquire UK, Inquire UK, 2009.
• Commonfund Prize for Best Paper, European Finance Association, 2007
• Research Excellence on Alternative Investments and Hedge Funds in Asia, INSEAD and AIMA, 2006
• Lee Foundation Fellowship for Research Excellence, SMU, 2002 - 2003
• Derek Bok Center Certificate of Distinction in Teaching, Harvard, September 2001 - May 2002
• Dean's List, College of Arts and Sciences, Cornell University, 1994 - 1997
• Public Service Commission Overseas Merit Scholarship, Government of Singapore, 1994 - 1998

Journal Articles (Refereed)

1. Diverse Hedge Funds (with Yan Lu and Narayan Y. Naik), Review of Financial Studies 37, 639–683, February 2024.
2. Responsible Hedge Funds (with Hao Liang and Lin Sun), Review of Finance 26, 1585–1633, November 2022. 
3. Do Alpha Males Deliver Alpha? Facial Width-to-Height Ratio and Hedge Funds (with Yan Lu), Journal of Financial and Quantitative Analysis 57, 1727–1770, August 2022.
4. Hedge Fund Franchises (with William Fung, David Hsieh, and Narayan Y. Naik), Management Science 67, 1199–1226, February 2021.
5. Public Hedge Funds (with Lin Sun), Journal of Financial Economics 131, 44–60, January 2019.
6. Sensation Seeking and Hedge Funds (with Stephen Brown, Yan Lu, and Sugata Ray), Journal of Finance 73, 2871–2914, December 2018.
7. Limited Attention, Marital Events, and Hedge Funds (with Yan Lu and Sugata Ray), Journal of Financial Economics 122, 607–624, December 2016.
8. The Liquidity Risk of Liquid Hedge Funds, Journal of Financial Economics 100, 24–44, April 2011.
9. Hedge Funds, Managerial Skill, and Macroeconomic Variables (with Doron Avramov, Robert Kosowski, and Narayan Y. Naik), Journal of Financial Economics 99, 672–692, March 2011.
10. The Geography of Hedge Funds, Review of Financial Studies 22, 3531–3561, September 2009.
11. Institutional Investors, Past Performance, and Dynamic Loss Aversion (with Paul O’Connell), Journal of Financial and Quantitative Analysis 44, 155–188, February 2009.
12. Style Investing and Institutional Investors (with Kenneth Froot), Journal of Financial and Quantitative Analysis 43, 883–906, December 2008.
13. Home Biased Analysts in Emerging Markets (with Sandy Lai), Journal of Financial and Quantitative Analysis 43, 685–716, September 2008.
14. Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis (with Robert Kosowski and Narayan Y. Naik), Journal of Financial Economics 84, 229–264, April 2007.
15. Style Effects in the Cross-section of Stock Returns (with Sung-Jun Woo), Journal of Financial Economics 74, 367–398, November 2004.
16. Testing Market Efficiency using Statistical Arbitrage with Applications to Momentum and Value Strategies (with Steve Hogan, Robert Jarrow, and Mitch Warachka), Journal of Financial Economics 73, 525–565, September 2004.

Research Advisor/ Co-research Advisor to

• Lenz TAN Koon Bin, (lenztan.2018[at]phdgm.smu.edu.sg), PhD(GM)