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

17

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SSRN CITATIONS
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Top 11,534

in Total Papers Citations

88

CROSSREF CITATIONS

19

Scholarly Papers (17)

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 4,952 (2,111)
Citation 44

Abstract:

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

2.

Twin Momentum: Fundamental Trends Matter

Number of pages: 50 Posted: 09 Jan 2017 Last Revised: 07 Jun 2021
Dashan Huang, Huacheng Zhang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Southwestern University of Finance and Economics - Institute of Financial Studies and Washington University in St. Louis - John M. Olin Business School
Downloads 3,750 (3,448)
Citation 6

Abstract:

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

3.

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 3,066 (4,905)
Citation 8

Abstract:

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

4.

Time-Series Momentum: Is It There?

Journal of Financial Economics 135, 774-794, 2020
Number of pages: 61 Posted: 06 May 2018 Last Revised: 06 Oct 2020
Dashan Huang, Jiangyuan Li, Liyao Wang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics, Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences and Washington University in St. Louis - John M. Olin Business School
Downloads 1,853 (11,145)
Citation 8

Abstract:

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

5.

Different Strokes: Return Predictability Across Stocks and Bonds with Machine Learning and Big Data

Georgetown McDonough School of Business Research Paper No. 3686164, Swiss Finance Institute Research Paper No. 20-110
Number of pages: 81 Posted: 17 Sep 2020 Last Revised: 19 Feb 2021
Georgetown University - Robert Emmett McDonough School of Business, University of Lausanne, Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) and Georgetown University - Department of Finance
Downloads 1,317 (18,956)
Citation 4

Abstract:

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machine learning, big data, corporate bond returns, cross-sectional return predictability

6.

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 1,055 (26,299)
Citation 3

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

7.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 62 Posted: 23 Jul 2018 Last Revised: 17 Jun 2021
Ai He, Dashan Huang, Jiaen Li and Guofu Zhou
University of South Carolina - Darla Moore School of Business, 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 1,038 (26,925)
Citation 6

Abstract:

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

8.

Expected Return, Volume, and Mispricing

Number of pages: 81 Posted: 16 May 2018 Last Revised: 20 May 2021
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 978 (29,296)
Citation 3

Abstract:

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

9.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 38 Posted: 14 May 2019 Last Revised: 27 Jan 2021
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 779 (40,307)
Citation 6

Abstract:

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

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 765 (41,228)
Citation 6

Abstract:

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Sentiment

11.

Tests of Asset Pricing Models with A Large Number of Assets

Number of pages: 55 Posted: 22 Mar 2018 Last Revised: 20 Jul 2021
Ai He, Dashan Huang, Ming Yuan and Guofu Zhou
University of South Carolina - Darla Moore School of Business, Singapore Management University - Lee Kong Chian School of Business, Columbia University and Washington University in St. Louis - John M. Olin Business School
Downloads 722 (44,650)
Citation 1

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Pricing error, GRS

12.

Are Disagreements Agreeable? Evidence from Information Aggregation

Journal of Financial Economics (JFE) 141, 83-101, 2021
Number of pages: 53 Posted: 04 Dec 2017 Last Revised: 21 Jun 2021
Dashan Huang, Jiangyuan Li and Liyao Wang
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences
Downloads 616 (55,123)

Abstract:

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

13.

Fundamental Extrapolation and Stock Returns

European Finance Association 2020 Annual Meeting (virtual), American Finance Association 2022 Annual Meeting (Boston, Scheduled)
Number of pages: 66 Posted: 16 Oct 2020 Last Revised: 18 Jun 2021
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 608 (56,045)

Abstract:

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Fundamental Extrapolation; Return Extrapolation; Volatility; Expectation

14.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 50 Posted: 23 Jan 2018 Last Revised: 01 Feb 2021
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 605 (56,342)

Abstract:

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

15.

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 568 (60,849)
Citation 2

Abstract:

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

16.

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 557 (62,390)
Citation 2

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

17.

Presidential Economic Approval Rating and the Cross-Section of Stock Returns

Number of pages: 64 Posted: 17 Mar 2021 Last Revised: 18 Aug 2021
Zilin Chen, Zhi Da, Dashan Huang and Liyao Wang
Southwestern University of Finance and Economics (SWUFE) - School of Finance, University of Notre Dame - Mendoza College of Business, Singapore Management University - Lee Kong Chian School of Business and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences
Downloads 197 (193,307)

Abstract:

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Presidential puzzle, political cycle, presidential economic approval rating, presidential job approval rating, sentiment