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

14

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14,071

CITATIONS
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Top 6,904

in Total Papers Citations

81

Scholarly Papers (14)

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 4,068 (2,107)
Citation 60

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 2,718 (4,224)
Citation 8

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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 2,179 (6,111)
Citation 3

Abstract:

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

4.

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 955 (22,756)

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

5.

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 925 (23,972)
Citation 3

Abstract:

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

6.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 62 Posted: 23 Jul 2018 Last Revised: 31 Jan 2019
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 595 (43,842)
Citation 5

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

7.

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 522 (51,701)
Citation 9

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

8.

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 491 (55,985)

Abstract:

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

9.

Volume and Return: Fuel of Mispricing

Number of pages: 67 Posted: 16 May 2018 Last Revised: 08 Mar 2019
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 416 (68,415)
Citation 2

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

10.

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 391 (73,895)
Citation 1

Abstract:

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Sentiment

11.

Failure of Factor Models in Explaining Individual Stock Returns: Evidence from a Predictability Test

Number of pages: 53 Posted: 22 Mar 2018 Last Revised: 01 Oct 2018
Ai He, Dashan Huang and Guofu Zhou
Department of Finance, Goizueta Business School, Emory University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 267 (112,616)
Citation 1

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Pricing error, Characteristic, Lottery, Expectation extrapolation, Limits-to-arbitrage

12.

Are Disagreements Agreeable? Evidence from Information Aggregation

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 60 Posted: 04 Dec 2017 Last Revised: 20 Jun 2019
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 240 (125,650)

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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: 52 Posted: 23 Jan 2018 Last Revised: 05 Mar 2019
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 194 (154,118)

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: 21 Posted: 14 May 2019
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 110 (246,541)
Citation 1

Abstract:

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