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

14

DOWNLOADS
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Top 2,847

in Total Papers Downloads

11,913

CITATIONS

0

Scholarly Papers (14)

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 3,834 (2,175)

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 2,598 (4,287)

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

3.

Twin Momentum: Fundamental Trends Matter

Number of pages: 55 Posted: 09 Jan 2017 Last Revised: 02 Nov 2018
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 1,688 (8,854)

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

4.

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 916 (22,910)

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

5.

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 553 (45,742)

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

6.

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 508 (50,853)

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

7.

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 469 (56,211)

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

8.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 54 Posted: 23 Jul 2018 Last Revised: 20 Oct 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 368 (75,204)

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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 249 (115,484)

Abstract:

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Sentiment

10.

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 235 (122,398)

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

11.

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

Number of pages: 53 Posted: 22 Mar 2018 Last Revised: 01 Oct 2018
Ai He, Dashan Huang and Guofu Zhou
Department of Finance, Goizueta Business School, Emory University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 194 (147,064)

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

12.

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 191 (149,226)

Abstract:

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

13.

Real Time Macro Factors in Bond Risk Premium

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 62 Posted: 23 Jan 2018 Last Revised: 13 Oct 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 101 (248,635)

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

14.

Partisan Conflict and Stock Price

Number of pages: 40 Posted: 30 Jul 2018 Last Revised: 14 Nov 2018
Dashan Huang and Liyao Wang
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - School of Economics
Downloads 9 (553,970)

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Partisan conflict, Political polarization, Political disagreement, Downside risk