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Singapore
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Singapore Management University - Lee Kong Chian School of Business
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Investor Sentiment, Asset Pricing, Return Predictability, Cash Flow, Discount Rate
Price momentum, Fundamental momentum, Twin momentum, Information diffusion, Sticky expectation
machine learning, big data, corporate bond returns, cross-sectional return predictability
Return predictability; Mean reversion; Momentum; Market risk premium; Leading economic indicator; 200-day moving average; Business cycle
Time-series momentum; Risk premium; Return predictability; Pooled regression
Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias
Forecasting, PCA, Big Data, Machine Learning, Supervised Learning
reduced rank, PCA, PLS, factors, factor model, cross section
Sentiment
Bond Return Predictability, Real Time Macro Data, Vintage, PCA, Big Data, Machine Learning
Fundamental extrapolation; Pooling extrapolation; Price extrapolation; Machine learning; Expectation
Cost behavior; sticky costs; operating costs; investor underreaction; limits to arbitrage
Momentum, Retail investors, Nominal stock prices
Disagreement, Return predictability, PLS, PCA, LASSO, Machine learning
Portfolio allocation, Mean-variance analysis, Factor model, Asset pricing
Return predictability, asset pricing, stochastic discount factor, habit formation, long-run risks, rare disaster
Presidential puzzle, political cycle, presidential economic approval rating, presidential job approval rating, sentiment
mean-variance; predictive information; portfolio averaging; asymptotic optimality; weight convergence
