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

12

DOWNLOADS
Rank 3,159

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Top 3,159

in Total Papers Downloads

9,240

CITATIONS

0

Scholarly Papers (12)

1.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 10 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 3,722 (2,197)

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 2,522 (4,327)

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

3.

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 891 (23,082)

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

4.

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 500 (50,370)

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

5.

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 451 (57,328)

Abstract:

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

6.

Time-Series Momentum: Is It There?

Number of pages: 56 Posted: 06 May 2018 Last Revised: 10 Jun 2018
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 393 (72,445)

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Time series momentum; Risk premium; Return predictability; Partial least squares

7.

Volume and Return: The Role of Mispricing

Number of pages: 36 Posted: 16 May 2018
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 160 (175,367)

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

8.

Are Disagreements Agreeable? Evidence from Information Aggregation

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 44 Posted: 04 Dec 2017 Last Revised: 01 Apr 2018
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 156 (175,367)

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Disagreement; Market risk premium; Predictability; Information aggregation; PLS

9.

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 150 (184,375)

Abstract:

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Sentiment

10.

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

Number of pages: 54 Posted: 22 Mar 2018 Last Revised: 01 Aug 2018
Ai He, Dashan Huang and Guofu Zhou
Emory University, Goizueta Business School, Department of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 145 (188,619)

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

11.

Real Time Macro Factors in Bond Risk Premium

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 59 Posted: 23 Jan 2018 Last Revised: 17 Jul 2018
Dashan Huang, Fuwei Jiang and Guoshi Tong
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) and Renmin University
Downloads 39 (410,558)

Abstract:

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

12.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 30 Posted: 23 Jul 2018
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 111

Abstract:

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