Fuwei Jiang

Central University of Finance and Economics (CUFE)

Professor of Finance

39 South College Road

Haidian District

Beijing, Beijing 100081

China

SCHOLARLY PAPERS

39

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25,478

SSRN CITATIONS
Rank 1,673

SSRN RANKINGS

Top 1,673

in Total Papers Citations

188

CROSSREF CITATIONS

561

Ideas:
“  I am working on financial textual data and machine learning with applications in return predictability, asset pricing, investor sentiment, and international/China markets  ”

Scholarly Papers (39)

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 5,488 (2,179)
Citation 44

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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 3,215 (5,538)
Citation 8

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

3.

Manager Sentiment and Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 21 Sep 2015 Last Revised: 13 Sep 2017
Central University of Finance and Economics (CUFE), Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,766 (7,068)
Citation 24

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Manager Sentiment, Textual Tone, Investor Sentiment, Asset Pricing, Return Predictability

4.

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 2,526 (8,154)
Citation 4

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

5.

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 1,244 (24,691)
Citation 6

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

6.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 50 Posted: 22 Aug 2011 Last Revised: 13 Nov 2013
Jeremy Goh, 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 1,184 (26,426)
Citation 14

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Bond risk premium predictability, Economic variables, Technical analysis, Moving average rules, Volume, Out-of-sample forecasts, Principal components

7.

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 1,108 (29,193)
Citation 3

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

8.

Economic Policy Uncertainty in China and Stock Market Expected Returns

Number of pages: 33 Posted: 13 Jul 2016 Last Revised: 18 Jul 2017
Jian Chen, Fuwei Jiang and Guoshi Tong
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) and Renmin University
Downloads 1,005 (33,446)
Citation 5

Abstract:

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Return Predictability, Economic Policy Uncertainty, Out-of-sample Forecasting, Asset Allocation, Chinese Stock Market

9.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 79 Posted: 23 Jan 2018 Last Revised: 31 May 2022
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 925 (37,707)

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

10.

Equity Premium Prediction with Bagged Machine Learning

AFA 2020, AsianFA 2019, AMES 2019, FMND 2019
Number of pages: 56 Posted: 08 Jan 2019 Last Revised: 05 Dec 2020
Ben Jacobsen, Fuwei Jiang and Hongwei Zhang
Tilburg University - TIAS School for Business and Society, Central University of Finance and Economics (CUFE) and Tilburg University - TIAS School for Business and Society
Downloads 729 (51,950)
Citation 2

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Equity premium, Out-of-sample prediction, Instability, Machine learning, Weighted bagging

11.

Patents, Innovation, and Performance of Venture Capital-backed IPOs

Number of pages: 55 Posted: 08 Dec 2013 Last Revised: 17 Jan 2015
Jerry Cao, Fuwei Jiang and Jay R. Ritter
Independent, Central University of Finance and Economics (CUFE) and University of Florida - Department of Finance, Insurance and Real Estate
Downloads 593 (67,874)
Citation 10

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Initial public offerings, Venture capital, Patents, Innovation, Long-run performance

12.

Monetary Policy Uncertainty and Bond Risk Premium

Number of pages: 41 Posted: 29 Aug 2016 Last Revised: 17 Jan 2017
Fuwei Jiang and Guoshi Tong
Central University of Finance and Economics (CUFE) and Renmin University
Downloads 548 (74,903)
Citation 4

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Bond Return Predictability, Monetary Policy Uncertainty, Out-of-sample Forecasting

13.

Q-Theory, Mispricing, and Profitability Premium: Evidence from China

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 54 Posted: 04 Aug 2015 Last Revised: 17 Jan 2017
Fuwei Jiang, Xinlin Qi and Guohao Tang
Central University of Finance and Economics (CUFE), Industrial and Commercial Bank of China (ICBC), Global Market Dept. and Hunan University - College of Finance and Statistics
Downloads 472 (89,862)
Citation 3

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Profitability premium, Chinese stock market, Investment frictions, Q-theory, Mispricing

14.

Forecasting Stock Returns with Model Uncertainty and Parameter Instability

Journal of Applied Econometrics, Forthcoming
Number of pages: 35 Posted: 21 Sep 2017 Last Revised: 08 Dec 2019
Hongwei Zhang, Qiang He, Ben Jacobsen and Fuwei Jiang
Tilburg University - TIAS School for Business and Society, Central University of Finance and Economics (CUFE), Tilburg University - TIAS School for Business and Society and Central University of Finance and Economics (CUFE)
Downloads 401 (108,680)
Citation 1

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Market Efficiency, Asset Pricing, Equity Premia Predictability, Forecast Combination, Model Uncertainty, Parameter Instability, WALS

15.

Boosting Portfolio Choice in the Big Data Era

AFA 2021 Annual Meeting, Forthcoming
Number of pages: 48 Posted: 17 Dec 2019 Last Revised: 04 Sep 2020
Hongwei Zhang, Ben Jacobsen and Fuwei Jiang
Tilburg University - TIAS School for Business and Society, Tilburg University - TIAS School for Business and Society and Central University of Finance and Economics (CUFE)
Downloads 318 (140,174)

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Portfolio Selection, Machine Learning, Boosting

16.

It Takes Two to Tango: Fundamental Timing in Stock Market

International Journal of Finance & Economics, Forthcoming
Number of pages: 41 Posted: 29 Oct 2018 Last Revised: 14 Oct 2020
Guohao Tang, Fuwei Jiang, Xinlin Qi and Nan Huang
Hunan University - College of Finance and Statistics, Central University of Finance and Economics (CUFE), Industrial and Commercial Bank of China (ICBC), Global Market Dept. and Harvest Fund Management Co., Ltd.
Downloads 287 (155,829)

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Value Investing, Trend Following, Fundamental Timing Strategy, Chinese Stock Market

17.

The World Predictive Power of U.S. Equity Market Skewness

Journal of International Money and Finance, Vol. 96, 2019
Number of pages: 47 Posted: 07 Mar 2017 Last Revised: 22 Jun 2019
Jian Chen, Fuwei Jiang, Shuyu Xue and Jiaquan Yao
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE), Southwestern University of Finance and Economics (SWUFE) and Jinan University - Management School
Downloads 275 (162,925)
Citation 1

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Return Predictability, International Stock Markets, Skewness, Market Crash

18.

International Volatility Risk and Chinese Stock Return Predictability

Journal of International Money and Finance, 2017, Vol. 70, 183-203
Number of pages: 42 Posted: 17 Feb 2015 Last Revised: 18 Jul 2017
Jian Chen, Fuwei Jiang, Yangshu Liu and Jun Tu
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE), Xiamen University - School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 262 (171,050)
Citation 1

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Return Predictability, Implied Volatility, Out-of-sample Forecasting, Chinese Stock

19.

Firm Characteristics and Chinese Stocks

Number of pages: 41 Posted: 19 Jul 2018
Fuwei Jiang, Guohao Tang and Guofu Zhou
Central University of Finance and Economics (CUFE), Hunan University - College of Finance and Statistics and Washington University in St. Louis - John M. Olin Business School
Downloads 243 (184,080)
Citation 2

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Partial Least Square, Firm Characteristics, Systematic Factor, Chinese Stock Market

20.

Intangible Assets Aligned: In Search of Firm Value Creation

Number of pages: 56 Posted: 29 Sep 2020 Last Revised: 11 Apr 2022
Cunfei Liao, Fuwei Jiang, Fujing Jin and Guohao Tang
Nanjing University of Science and Technology - School of Economics and Management, Central University of Finance and Economics (CUFE), Central University of Finance and Economics (CUFE) and Hunan University - College of Finance and Statistics
Downloads 238 (187,868)

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Intangible assets, I-SCORE, Partial least squares, Risk-based theory, Sentiment

21.

Can US Economic Variables Predict the Chinese Stock Market?

Pacific-Basin Finance Journal, Forthcoming , 24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 32 Posted: 27 Aug 2011 Last Revised: 13 Nov 2013
Jeremy Goh, Fuwei Jiang, Jun Tu and Yuchen Wang
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 Anhui University of Finance and Economics
Downloads 235 (190,197)
Citation 2

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Chinese stock market; Return predictability; International investment

22.

Factor Momentum in the Chinese Stock Market

Number of pages: 59 Posted: 30 Jun 2022 Last Revised: 26 Oct 2022
Tian Ma, Cunfei Liao and Fuwei Jiang
School of Economics, Minzu University of China, Nanjing University of Science and Technology - School of Economics and Management and Central University of Finance and Economics (CUFE)
Downloads 213 (208,628)

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Factor momentum, Chinese stock market, Mispricing, Factor premium, Factor timing

23.

Forecasting Inflation with Economic Narratives and Machine Learning

Number of pages: 60 Posted: 04 Aug 2022 Last Revised: 01 Sep 2022
Cornell University - Department of Economics, Central University of Finance and Economics (CUFE), Peking University and Chinese Academy of Sciences (CAS) - School of Economics and Management
Downloads 208 (214,155)

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Economic Narratives, Inflation Forecasting, Textual Analysis, Machine Learning

24.

Dissecting the Effectiveness of Firm Financial Strength in Predicting Chinese Stock Market

31st Australasian Finance and Banking Conference 2018
Number of pages: 33 Posted: 27 Jan 2018 Last Revised: 13 Jul 2018
Fuwei Jiang, Fujing Jin and Guohao Tang
Central University of Finance and Economics (CUFE), Central University of Finance and Economics (CUFE) and Hunan University - College of Finance and Statistics
Downloads 141 (298,001)
Citation 1

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Financial strength, Chinese stock market, Investment frictions, Q-theory, Mispricing

25.

A New Firm-level Investor Sentiment

Number of pages: 49 Posted: 28 Sep 2022 Last Revised: 05 Oct 2022
Guohao Tang, Yiyong Wu and Fuwei Jiang
Hunan University - College of Finance and Statistics, Hunan University - College of Finance and Statistics and Central University of Finance and Economics (CUFE)
Downloads 140 (298,001)

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Firm-Level Sentiment, Speculative demand, Beta Divergence, Noise Trader

26.

How Is Illiquidity Priced in the Chinese Stock Market?

Number of pages: 63 Posted: 22 Mar 2021 Last Revised: 23 Nov 2022
Jun Liu, Kai Wu, Fuwei Jiang and Zhiqi Shen
Tilburg University - TIAS School for Business and Society, Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) and Guosheng Securities
Downloads 124 (328,588)

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stock liquidity, illiquidity premium, multivariate decomposition

27.

Chinese Stock Market Volatility and the Role of U.S. Economic Variables

Pacific-Basin Finance Journal, 2016, No. 39, 70-83
Number of pages: 37 Posted: 04 May 2016 Last Revised: 17 Jul 2017
Jian Chen, Fuwei Jiang, Hongyi Li and Weidong Xu
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE), The Chinese University of Hong Kong and Zhejiang University - School of Management
Downloads 101 (376,388)
Citation 3

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Volatility Forecasting, U.S. Economic Variables, Out-of-sample Forecasting, Combination Forecast, Chinese Stock Market

28.

Fundamental Characteristics, Machine Learning and Stock Price Crash Risk

Number of pages: 63 Posted: 13 Jul 2022
Tian Ma, Fuwei Jiang and Feifei Zhu
School of Economics, Minzu University of China, Central University of Finance and Economics (CUFE) and Central University of Finance and Economics
Downloads 90 (404,971)

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Crash risk; machine learning; fundamental characteristics; big data

29.

Timing the Factor Zoo via Deep Learning: Evidence from China

Number of pages: 45 Posted: 19 Oct 2022 Last Revised: 08 Nov 2022
Tian Ma, Cunfei Liao and Fuwei Jiang
School of Economics, Minzu University of China, Nanjing University of Science and Technology - School of Economics and Management and Central University of Finance and Economics (CUFE)
Downloads 78 (444,025)

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Factor timing, Deep learning, Neural network, Chinese stock market, Mispricing

30.

Market Liquidity and Price Disparity: Evidence from Chinese Cross-Listed Firms

Number of pages: 50 Posted: 08 Jan 2021 Last Revised: 15 Apr 2021
Jun Liu, Kai Wu, Fuwei Jiang and Botao Fan
Tilburg University - TIAS School for Business and Society, Central University of Finance and Economics (CUFE) - School of Finance, Central University of Finance and Economics (CUFE) and China Securities Co., Ltd.
Downloads 63 (505,778)

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market liquidity, price disparity, the law of one price

31.

A Latent Factor Model for the Chinese Stock Market

Number of pages: 84 Posted: 26 Sep 2022
Tian Ma and Fuwei Jiang
School of Economics, Minzu University of China and Central University of Finance and Economics (CUFE)
Downloads 53 (535,353)

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Big Data, Instrumented Principal Component Analysis, Latent Factors, Cross Section of Returns, China's stock market

32.

Weather Sentiment and Stock Returns. Evidence from China

Number of pages: 29 Posted: 13 Jul 2022 Last Revised: 02 Nov 2022
Tian Ma and Fuwei Jiang
School of Economics, Minzu University of China and Central University of Finance and Economics (CUFE)
Downloads 51 (544,345)

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Weather sentiment; Chinese stock market; PLS method; Return prediction

33.

Global, Developed and Emerging Stock Market: Which Characteristic Matters?

Number of pages: 44 Posted: 10 Aug 2022 Last Revised: 14 Oct 2022
Tian Ma, Cunfei Liao and Fuwei Jiang
School of Economics, Minzu University of China, Nanjing University of Science and Technology - School of Economics and Management and Central University of Finance and Economics (CUFE)
Downloads 49 (553,653)

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Global market; Developed and emerging market; IPCA; Characteristic importance

34.

Stock Return Predictability in Frequency Domain

Number of pages: 65 Posted: 02 Nov 2022 Last Revised: 28 Nov 2022
Jie Kang, Fuwei Jiang and Zhifeng Dai
Central University of Finance and Economics, Central University of Finance and Economics (CUFE) and Changsha University of Science and Technology
Downloads 47 (563,119)

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Asset Allocation, Machine learning, Out-of-sample forecast, Stock return, Wavelet decomposition

35.

Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market

International Review of Finance, Vol. 19, Issue 1, pp. 191-206, 2019
Number of pages: 16 Posted: 06 Mar 2019
Fuwei Jiang, Guoshi Tong and Guokai Song
Central University of Finance and Economics (CUFE), Renmin University and Renmin University of China
Downloads 29 (666,991)

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36.

Measuring Real-time Economic Condition with Economic Narratives

Number of pages: 50 Posted: 24 Oct 2022
Fuwei Jiang, Kunpeng Li, Lingchao Meng and Bowen Xue
Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Peking University and Chinese Academy of Sciences (CAS) - School of Economics and Management
Downloads 25 (704,146)

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Economic Condition, Nowcasting, Economic News, News Topics, Textual Analysis

37.

International stock return predictability: The role of U.S. volatility risk

Number of pages: 74
Yizhe Deng, Fuwei Jiang, Yunqi Wang and Ti Zhou
China Investment Corporation (CIC), Central University of Finance and Economics (CUFE), Southern University of Science and Technology and Southern University of Science and Technology
Downloads 4

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International equity markets, Risk-return tradeoff, U.S. forward variances, Volatility spillover, ICAPM

38.

Deep Learning, Textual Sentiment, and Financial Market

Posted: 20 Oct 2022
Central University of Finance and Economics (CUFE), Central University of Finance and Economics (CUFE) - School of Finance, Peking University and Central University of Finance and Economics (CUFE) - School of Finance

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Textual Sentiment, Deep Learning, Sentiment Dictionary, Asset Pricing, Financial Market

39.

Asset Allocation in Chinese Stock Market: The Role of Return Predictability

Journal of Portfolio Management, 2015, Vol. 41, No. 5, 71-83 , https://doi.org/10.3905/jpm.2014.41.5.071
Posted: 20 May 2019
Jian Chen, Fuwei Jiang and Jun Tu
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) and Singapore Management University - Lee Kong Chian School of Business

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Chinese Stock Market, Asset Allocation, Return Predictability, Combination Forecast