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

18

DOWNLOADS
Rank 1,418

SSRN RANKINGS

Top 1,418

in Total Papers Downloads

40,163

TOTAL CITATIONS
Rank 3,908

SSRN RANKINGS

Top 3,908

in Total Papers Citations

419

Scholarly Papers (18)

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, Xiamen University, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students and Washington University in St. Louis - John M. Olin Business School
Downloads 7,081 (2,169)
Citation 258

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, University of Edinburgh Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 5,354 (3,517)
Citation 5

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

3.

Predicting Corporate Bond Returns: Merton Meets Machine Learning

Georgetown McDonough School of Business Research Paper No. 3686164, Swiss Finance Institute Research Paper No. 20-110
Number of pages: 70 Posted: 17 Sep 2020 Last Revised: 25 Aug 2022
Georgetown University - McDonough School of Business, University of Lausanne, Singapore Management University - Lee Kong Chian School of Business, Xiamen University and McDonough School of Business, Georgetown University
Downloads 4,976 (4,012)
Citation 26

Abstract:

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

4.

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, Xiamen University, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students and Washington University in St. Louis - John M. Olin Business School
Downloads 3,476 (7,265)
Citation 10

Abstract:

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

5.

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 and Washington University in St. Louis - John M. Olin Business School
Downloads 2,818 (10,058)
Citation 8

Abstract:

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

6.

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 2,303 (13,947)
Citation 26

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

7.

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, Xiamen University, Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 2,145 (15,613)
Citation 43

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

8.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 48 Posted: 23 Jul 2018 Last Revised: 21 Mar 2022
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 - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 2,096 (16,201)
Citation 16

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

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 1,571 (25,439)
Citation 9

Abstract:

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Sentiment

10.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 74 Posted: 23 Jan 2018 Last Revised: 03 Mar 2023
Singapore Management University - Lee Kong Chian School of Business, Xiamen University, Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 1,557 (25,780)

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

11.

Fundamental Extrapolation and Stock Returns

European Finance Association 2020 Annual Meeting; American Finance Association 2022 Annual Meeting
Number of pages: 66 Posted: 16 Oct 2020 Last Revised: 28 Sep 2024
Dashan Huang, Huacheng Zhang, Guofu Zhou and Yingzi Zhu
Singapore Management University - Lee Kong Chian School of Business, University of Edinburgh Business School, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,321 (32,863)

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Fundamental extrapolation; Pooling extrapolation; Price extrapolation; Machine learning; Expectation

12.

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, Xiamen University, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students and Washington University in St. Louis - John M. Olin Business School
Downloads 1,225 (36,642)
Citation 3

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

13.

Nominal Prices, Retail Investor Participation, and Return Momentum

Management Science, forthcoming
Number of pages: 80 Posted: 29 Jul 2022 Last Revised: 22 Sep 2024
Peking University - Guanghua School of Management, Singapore Management University - Lee Kong Chian School of Business, Peking University - Guanghua School of Management, Monash University - Department of Banking and Finance, University of California, Los Angeles (UCLA) - Finance Area and University of Edinburgh Business School
Downloads 1,140 (40,869)
Citation 6

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Momentum, Retail investors, Nominal stock prices

14.

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
Downloads 970 (51,230)

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

15.

What Difference Do New Factor Models Make in Portfolio Allocation?

Number of pages: 48 Posted: 22 Mar 2016 Last Revised: 21 Nov 2023
Johns Hopkins University - Carey Business School, Singapore Management University - Lee Kong Chian School of Business, Xiamen University and Independent
Downloads 772 (69,864)
Citation 7

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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 651 (87,039)
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

Journal of Financial Economics (JFE), Vol. 147, No. 1, 2023
Number of pages: 74 Posted: 17 Mar 2021 Last Revised: 08 Nov 2022
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
Downloads 480 (127,313)

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

18.

Optimal Conditional Mean-Variance Portfolio Averaging

Number of pages: 35 Posted: 18 Apr 2024
Lipeng Yao, Xinyu Zhang and Dashan Huang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences and Singapore Management University - Lee Kong Chian School of Business
Downloads 227 (286,121)

Abstract:

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mean-variance; predictive information; portfolio averaging; asymptotic optimality; weight convergence