Jun Tu

Singapore Management University - Lee Kong Chian School of Business

50 Stamford Road

#04-01

Singapore , 178899

Singapore

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 2,297

in Total Papers Downloads

12,290

CITATIONS
Rank 7,786

SSRN RANKINGS

Top 7,786

in Total Papers Citations

60

Scholarly Papers (14)

1.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 27 Apr 2017
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 2,158 (2,421)

Abstract:

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: 49 Posted: 14 Dec 2012 Last Revised: 03 Feb 2016
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 1,443 (5,080)

Abstract:

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

3.

Being Naive about Naive Diversification: Can Investment Theory be Consistently Useful

EFA 2008 Athens Meetings Paper
Number of pages: 49 Posted: 19 Mar 2008 Last Revised: 15 Nov 2013
Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 976 (16,257)
Citation 1

Abstract:

Portfolio choice, parameter uncertainty, shrinkage, admissibility

4.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Federal Reserve Bank of St. Louis Working Paper No. 2010-008H
Number of pages: 48 Posted: 11 Mar 2010 Last Revised: 03 Feb 2014
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 958 (12,244)
Citation 10

Abstract:

equity risk premium predictability, macroeconomic variables, moving-average rules, momentum, volume, sentiment, out-of-sample forecasts, asset allocation, business cycle

5.

Is Regime Switching in Stock Returns Important in Portfolio Decisions?

Working Paper, Singapore Management University
Number of pages: 46 Posted: 08 Nov 2007 Last Revised: 15 Nov 2013
Jun Tu
Singapore Management University - Lee Kong Chian School of Business
Downloads 653 (28,440)
Citation 6

Abstract:

investments, model uncertainty, parameter uncertainty, regime switching, Bayesian analysis

6.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 602 (29,125)
Citation 5

Abstract:

Equity Risk Premium Predictability, Macroeconomic Variables, Moving-Average Rules, Momentum, Volume, Out-of-Sample Forecasts, Asset Allocation

7.

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
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 554 (24,449)
Citation 1

Abstract:

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

8.

Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty

Number of pages: 45 Posted: 05 Mar 2007 Last Revised: 15 Nov 2013
Jun Tu and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 476 (44,927)
Citation 6

Abstract:

Portfolio choice, Parameter uncertainty, Bayesian priors

9.

Cost Behavior and Stock Returns

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 54 Posted: 01 Jul 2014 Last Revised: 19 Apr 2017
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 397 (27,627)

Abstract:

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

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

14th Annual Conference on Financial Economics and Accounting (FEA)
Number of pages: 52 Posted: 15 Jan 2004
Cornell University - Department of Economics, Washington University in St. Louis - Olin School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 390 (59,955)
Citation 31

Abstract:

11.

Industry Interdependencies and Cross-Industry Return Predictability

Number of pages: 49 Posted: 19 Feb 2015 Last Revised: 13 Dec 2015
Saint Louis University - John Cook School of Business, University of Denver - Reiman School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 217 (38,293)

Abstract:

Complex industry interdependencies; Predictive regression; Adaptive LASSO;Central node; Industry-rotation portfolio; Business cycle; Multifactor model; Principal components; Target-relevant factors

12.

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
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and University of Science and Technology of China
Downloads 118 (156,066)

Abstract:

Chinese stock market; Return predictability; International investment

13.

International Volatility Risk and Chinese Stock Return Predictability

Number of pages: 42 Posted: 17 Feb 2015 Last Revised: 30 Jan 2017
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) - School of Finance, Xiamen University - School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 39 (178,095)

Abstract:

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

14.

Lotto, How to Win? Skew Timing Strategies

Number of pages: 46 Posted: 04 May 2016
Jian Chen, Yangshu Liu and Jun Tu
Xiamen University - School of Economics, Xiamen University - School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 0 (204,504)

Abstract:

Mean-variance-skewness, Asset allocation, Realized skewness, Skewness forecasting