Liyao Wang

Singapore Management University - School of Economics

PhD Student

90 Stamford Road

Singapore, 178903

Singapore

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Time-Series Momentum: Is It There?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50 Posted: 06 May 2018 Last Revised: 15 Apr 2019
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 897 (24,881)

Abstract:

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Time-series momentum; Risk premium; Return predictability; Pooled regression

2.

Are Disagreements Agreeable? Evidence from Information Aggregation

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 60 Posted: 04 Dec 2017 Last Revised: 20 Jun 2019
Dashan Huang, Jiangyuan Li and Liyao Wang
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University, Lee Kong Chian School of Business, Students and Singapore Management University - School of Economics
Downloads 237 (126,744)

Abstract:

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