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 5,299

in Total Papers Citations

297

CROSSREF CITATIONS

20

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 5,980 (2,319)
Citation 156

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 4,697 (3,542)
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, Central University of Finance and Economics (CUFE) and McDonough School of Business, Georgetown University
Downloads 3,847 (4,944)
Citation 12

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, 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 3,328 (6,313)
Citation 10

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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 2,507 (9,829)
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 1,991 (14,230)
Citation 22

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

7.

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 1,819 (16,387)
Citation 9

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

8.

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 1,615 (19,709)
Citation 28

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

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 1,404 (24,335)
Citation 6

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, 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 1,316 (26,750)

Abstract:

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

11.

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 1,162 (32,155)
Citation 3

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

12.

Fundamental Extrapolation and Stock Returns

European Finance Association 2020 Annual Meeting; American Finance Association 2022 Annual Meeting
Number of pages: 67 Posted: 16 Oct 2020 Last Revised: 04 Oct 2023
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 1,143 (32,889)

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Fundamental Extrapolation; Return Extrapolation; Volatility; Expectation

13.

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 834 (51,325)

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

14.

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, Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) and Independent
Downloads 660 (69,679)
Citation 3

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

15.

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 613 (76,431)
Citation 2

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

16.

Retail Investors and Momentum

Number of pages: 75 Posted: 29 Jul 2022 Last Revised: 27 Dec 2022
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 566 (84,651)

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Momentum, Retail investors, Nominal stock prices

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 350 (148,559)

Abstract:

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