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

19

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

Scholarly Papers (19)

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 3,762 (2,185)

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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 2,553 (4,288)

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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 1,253 (13,940)

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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 899 (23,036)

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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 888 (23,446)

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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 662 (34,868)

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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 (629,144)
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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 402 (66,422)

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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 342 (80,183)

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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 305 (91,207)

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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 180 (154,524)

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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 174 (159,359)

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

12.

The World Price of Skewness Risk

Number of pages: 36 Posted: 07 Mar 2017 Last Revised: 12 Jul 2018
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 159 (172,288)

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Return Predictability, International Stock Markets, Skewness, Crash Risk

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 151 (180,004)

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

14.

Real Time Macro Factors in Bond Risk Premium

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 58 Posted: 23 Jan 2018 Last Revised: 02 Sep 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 69 (308,275)

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

15.

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

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 65 (318,218)

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

16.

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 61 (328,748)

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

17.

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 52 (354,826)

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

18.

It Takes Two to Tango: Fundamental Timing in Stock Market

Number of pages: 41
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 affiliation not provided to SSRN
Downloads 3

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Value investing, Trend following, Fundamental timing strategy, Chinese stock market

19.

Ensemble Learning and Stock Return Predictability

Asian Finance Association (AsianFA) 2018 Conference
Posted: 21 Sep 2017 Last Revised: 17 Aug 2018
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

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Market Efficiency, Asset Pricing, Behavioral Finance, Stock Return Prediction, Model Averaging, Model Uncertainty, Parameter Instability, Shrinkage