Dashan Huang

Singapore Management University - Lee Kong Chian School of Business

Assistant Professor

50 Stamford Road

Singapore , 178899

Singapore

http://dashanhuang.weebly.com/

SCHOLARLY PAPERS

15

DOWNLOADS
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SSRN RANKINGS

Top 2,047

in Total Papers Downloads

16,845

SSRN CITATIONS
Rank 16,449

SSRN RANKINGS

Top 16,449

in Total Papers Citations

35

CROSSREF CITATIONS

22

Scholarly Papers (15)

1.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Review of Financial Studies 28, 791-837, 2015
Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 30 Jan 2019
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 4,389 (2,090)
Citation 21

Abstract:

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Investor Sentiment, Asset Pricing, Return Predictability, Cash Flow, Discount Rate

2.

Forecasting Stock Returns in Good and Bad Times: The Role of Market States

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,851 (4,386)
Citation 7

Abstract:

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Return predictability; Mean reversion; Momentum; Market risk premium; Leading economic indicator; 200-day moving average; Business cycle

3.

Twin Momentum: Fundamental Trends Matter

Number of pages: 64 Posted: 09 Jan 2017 Last Revised: 10 Jan 2019
Dashan Huang, Huacheng Zhang, Guofu Zhou and Yingzi Zhu
Singapore Management University - Lee Kong Chian School of Business, Southwestern University of Finance and Economics - Institute of Financial Studies, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,755 (4,653)
Citation 5

Abstract:

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Price momentum, Fundamental momentum, Twin momentum, Information diffusion, Sticky expectation

4.

Time-Series Momentum: Is It There?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 06 May 2018 Last Revised: 15 Apr 2019
Dashan Huang, Jiangyuan Li, Liyao Wang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University, Lee Kong Chian School of Business, Students, Singapore Management University - School of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 1,364 (14,727)
Citation 7

Abstract:

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Time-series momentum; Risk premium; Return predictability; Pooled regression

5.

Cost Behavior and Stock Returns

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 49 Posted: 01 Jul 2014 Last Revised: 14 Jul 2017
Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 990 (23,793)
Citation 3

Abstract:

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Cost behavior; sticky costs; operating costs; investor underreaction; limits to arbitrage

6.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 88 Posted: 23 Jul 2018 Last Revised: 09 Feb 2020
Dashan Huang, Jiaen Li and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 771 (33,914)
Citation 6

Abstract:

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reduced rank, PCA, PLS, factors, factor model, cross section

7.

Sentiment Across Asset Markets

Number of pages: 45 Posted: 11 Jun 2018 Last Revised: 24 Jun 2018
Singapore Management University - Lee Kong Chian School of Business, University of Jyväskylä - School of Business and Economics, University of Missouri, Columbia and Washington University in St. Louis - John M. Olin Business School
Downloads 554 (52,510)
Citation 3

Abstract:

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Sentiment

8.

Upper Bounds on Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Vol. 52, No. 2, 2017
Number of pages: 46 Posted: 18 Apr 2014 Last Revised: 24 Apr 2017
Dashan Huang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 533 (55,165)
Citation 3

Abstract:

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Return predictability, asset pricing, stochastic discount factor, habit formation, long-run risks, rare disaster

9.

Expected Return, Volume and Mispricing

Number of pages: 49 Posted: 16 May 2018 Last Revised: 26 Jan 2020
Yufeng Han, Dashan Huang, Dayong Huang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Singapore Management University - Lee Kong Chian School of Business, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 531 (55,437)
Citation 2

Abstract:

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

10.

What Difference Do New Factor Models Make in Portfolio Allocation?

Number of pages: 54 Posted: 22 Mar 2016 Last Revised: 22 Sep 2016
Frank J. Fabozzi, Dashan Huang and Jiexun Wang
EDHEC Business School, Singapore Management University - Lee Kong Chian School of Business and Independent
Downloads 530 (55,561)
Citation 1

Abstract:

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Portfolio allocation, Mean-variance analysis, Factor model, Asset pricing

11.

New Factors Wanted: Evidence of Profitability from Pricing Residuals

Number of pages: 78 Posted: 22 Mar 2018 Last Revised: 02 Mar 2020
Ai He, Dashan Huang and Guofu Zhou
University of South Carolina - Darla Moore School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 437 (70,530)

Abstract:

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Pricing error, prospect theory, lottery demand, expectation extrapolation, limits-to-arbitrage

12.

Are Disagreements Agreeable? Evidence from Information Aggregation

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 04 Dec 2017 Last Revised: 28 Apr 2020
Dashan Huang, Jiangyuan Li and Liyao Wang
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University, Lee Kong Chian School of Business, Students and Singapore Management University - School of Economics
Downloads 338 (95,080)

Abstract:

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Disagreement, Return predictability, PLS, PCA, LASSO, Machine learning

13.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 56 Posted: 23 Jan 2018 Last Revised: 04 May 2020
Dashan Huang, Fuwei Jiang, Guoshi Tong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 334 (96,325)

Abstract:

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Bond Return Predictability, Real Time Macro Data, Vintage, PCA, Big Data, Machine Learning

14.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 50 Posted: 14 May 2019 Last Revised: 02 Apr 2020
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 301 (108,038)
Citation 2

Abstract:

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Forecasting, PCA, Big Data, Machine Learning, Supervised Learning

15.

Winners from Winners: A Tale of Risk Factors

Number of pages: 41 Posted: 17 Nov 2019 Last Revised: 13 Apr 2020
Washington University in St. Louis - John M. Olin Business School, Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis, College of Arts & Sciences, Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 167 (191,089)

Abstract:

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Model comparison, Factor models, Anomaly, Discount factor, Portfolio analysis