Fuwei Jiang

Central University of Finance and Economics (CUFE)

Assistant Professor of Finance

39 South College Road

Haidian District

Beijing, Beijing 100081

China

SCHOLARLY PAPERS

22

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Ideas:
“  I am working on investor sentiment, return predictability, big-data & machine-learning asset pricing, and China market  ”

Scholarly Papers (22)

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 3,942 (2,165)

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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 2,668 (4,255)

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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), University of Georgia, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,579 (10,218)

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

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 943 (22,622)

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

5.

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 933 (22,944)

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

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 730 (31,973)

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

Economic Policy Uncertainty in China and Stock Market Expected Returns

Accounting & Finance, Vol. 57, Issue 5, pp. 1265-1286, 2017
Number of pages: 22 Posted: 27 Mar 2018
Jian Chen, Fuwei Jiang and Guoshi Tong
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) and Renmin University
Downloads 1 (655,673)
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Return predictability, Economic policy uncertainty, Out‐of‐sample forecasting, Asset allocation, Chinese stock market

7.

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 431 (64,065)

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

8.

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 359 (79,484)

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

9.

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 331 (87,278)

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

10.

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 Department of Statistics and Finance, University of Science and Technology of China
Downloads 186 (156,732)

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Chinese stock market; Return predictability; International investment

11.

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 184 (158,264)

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

12.

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

Number of pages: 46 Posted: 07 Mar 2017 Last Revised: 23 Jan 2019
Jian Chen, Fuwei Jiang, Shuyu Xue and Jiaquan Yao
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE), Singapore Management University and Jinan University - Management School
Downloads 176 (165,474)

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Return Predictability, International Stock Markets, Skewness, Market Crash

13.

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

Journal of Portfolio Management, 2015, Vol. 41, No. 5, 71-83
Number of pages: 30 Posted: 04 May 2016 Last Revised: 17 Jul 2017
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
Downloads 171 (168,938)

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

14.

It Takes Two to Tango: Fundamental Timing in Stock Market

Number of pages: 41 Posted: 29 Oct 2018
Fuwei Jiang, Xinlin Qi, Guohao Tang and Nan Huang
Central University of Finance and Economics (CUFE), Industrial and Commercial Bank of China (ICBC), Global Market Dept., Hunan University - College of Finance and Statistics and Harvest Fund Management Co., Ltd.
Downloads 146 (193,110)

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

15.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 52 Posted: 23 Jan 2018 Last Revised: 05 Mar 2019
Dashan Huang, Fuwei Jiang, Guoshi Tong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 144 (199,732)

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

16.

Ensemble Machine Learning and Stock Return Predictability

The 4th International Workshop on Financial Markets and Nonlinear Dynamics ( Paris, May 31, 2019)
Number of pages: 50 Posted: 08 Jan 2019 Last Revised: 13 Mar 2019
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 140 (200,935)

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Equity Premium Prediction, Machine Learning, Forecast Combination, Parameter Uncertainty, Diversification

17.

Forecasting Stock Returns with Model Uncertainty and Parameter Instability

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 43 Posted: 21 Sep 2017 Last Revised: 25 Nov 2018
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 127 (217,142)

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Market Efficiency, Asset Pricing, Equity premia predictability, Forecast Combination, Model uncertainty, Parameter instability, WALS

18.

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 117 (229,484)

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

19.

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 93 (268,820)

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

20.

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 69 (320,924)

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

21.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 22
Dashan Huang, Fuwei Jiang, Guoshi Tong and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 6

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C22, C23, C53

22.

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 1 (624,264)
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