Author Page for Jun Tu

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 5,967 (2,316)

Citation 156

Abstract:

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 3,326 (6,297)

Citation 10

Abstract:

3.

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

Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou

Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School

Downloads 1,989 (14,204)

Citation 30

Abstract:

4.

Robust Measures of Earnings Surprises

Journal of Finance, Forthcoming

Number of pages: 52 Posted: 29 Jul 2014 Last Revised: 06 May 2018

Chin-Han Chiang, Wei Dai, Jianqing Fan, Harrison G. Hong and Jun Tu

Independent, Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Bendheim Center for Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Singapore Management University - Lee Kong Chian School of Business

Downloads 1,858 (15,791)

Citation 3

Abstract:

5.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014

Christopher J. Neely, David Rapach, Jun Tu and Guofu Zhou

Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School

Downloads 1,570 (20,465)

Citation 99

Abstract:

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 1,247 (28,892)

Citation 14

Abstract:

7.

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 - John M. Olin Business School

Downloads 1,224 (29,678)

Citation 5

Abstract:

8.

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 1,160 (32,110)

Citation 3

Abstract:

9.

Topic Tones of Analyst Reports and Stock Returns: A Deep Learning Approach

Number of pages: 42 Posted: 20 Aug 2018 Last Revised: 28 Jul 2023

Hitoshi Iwasaki, Ying Chen and Jun Tu

National University of Singapore (NUS) - Department of Statistics and Applied Probability, National University of Singapore and Singapore Management University - Lee Kong Chian School of Business

Downloads 958 (42,108)

Citation 3

Abstract:

10.

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 833 (51,033)

Citation 9

Abstract:

11.

Joint News, Attention Spillover, and Market Returns

Number of pages: 70 Posted: 07 Mar 2017 Last Revised: 23 May 2022

Li Guo, Lin Peng, Yubo Tao and Jun Tu

Fudan University - School of Economics, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, University of Macau - Department of Economics and Singapore Management University - Lee Kong Chian School of Business

Downloads 604 (77,714)

Citation 3

Abstract:

12.

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 - John M. Olin Business School

Downloads 602 (77,876)

Citation 22

Abstract:

13.

The Cryptocurrency Elephant in the Room

Number of pages: 83 Posted: 29 Oct 2022 Last Revised: 08 Aug 2023

Ran Duchin, David H. Solomon, Jun Tu and Xi Wang

Boston College - Carroll School of Management, Boston College - Carroll School of Management, Singapore Management University - Lee Kong Chian School of Business and Peking University - School of Economics

Downloads 488 (101,048)

Abstract:

14.

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Downloads 454 (110,091)

Citation 49

1

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Number of pages: 52 Posted: 15 Jan 2004

Yongmiao Hong, Guofu Zhou and Jun Tu

Cornell University - Department of Economics, Washington University in St. Louis - John M. Olin Business School and Singapore Management University - Lee Kong Chian School of Business

Downloads 454 (108,967)

Citation 49

Abstract:

15.

Cross-Cryptocurrency Return Predictability

Number of pages: 41 Posted: 30 Nov 2021 Last Revised: 28 Sep 2022

Li Guo, Bo Sang, Jun Tu and Yu Wang

Fudan University - School of Economics, University of Bristol - School of Business, Singapore Management University - Lee Kong Chian School of Business and Shanghai University of Finance and Economics - School of Economics

Downloads 431 (117,031)

Citation 1

Abstract:

16.

Sentiment, Limited Attention and Factor Models

Number of pages: 65 Posted: 01 Nov 2022 Last Revised: 25 Jan 2023

Xinrui Duan, Li Guo, Frank Weikai Li and Jun Tu

Shenzhen University - Shenzhen Audencia Financial Technology Institute, Fudan University - School of Economics, Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business

Downloads 296 (176,736)

Abstract:

17.

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 280 (187,189)

Citation 1

Abstract:

18.

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

Management Science, Vol. 68, 2022, pp. 4301–4325

Number of pages: 46 Posted: 06 Jun 2019 Last Revised: 06 Jul 2022

Liya Chu, Xuezhong He, Kai Li and Jun Tu

East China University of Science and Technology (ECUST), Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Singapore Management University - Lee Kong Chian School of Business

Downloads 273 (192,131)

Citation 5

Abstract:

19.

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 257 (204,073)

Citation 4

Abstract:

20.

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 227 (230,250)

Abstract:

21.

Concept Links and Return Momentum

Qianqian Du, Dawei Liang, Zilin Chen, Jun Tu, Concept links and return momentum, Journal of Banking & Finance, Volume 134, 2022, 106329, Forthcoming, Available at: https://doi.org/10.1016/j.jbankfin.2021.106329.

Number of pages: 60 Posted: 02 Aug 2021 Last Revised: 13 Dec 2021

Qianqian Du, Dawei Liang, Zilin Chen and Jun Tu

Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics (SWUFE) - School of Finance and Singapore Management University - Lee Kong Chian School of Business

Downloads 221 (236,123)

Citation 3

Abstract:

22.

In Search of Cryptocurrency Failure

Posted: 25 Jul 2022 Last Revised: 12 Jan 2023

Donglian Ma, Jun Tu and Zhaobo Zhu

The Hong Kong Polytechnic University - Faculty of Business, Singapore Management University - Lee Kong Chian School of Business and Shenzhen University

Downloads 182 (281,563)

Abstract:

23.

Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Number of pages: 29 Posted: 09 Jan 2021

Ya Qian, Jun Tu, Alla Petukhina and Zilin Chen

Humboldt University of Berlin, Singapore Management University - Lee Kong Chian School of Business, University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business and Southwestern University of Finance and Economics (SWUFE) - School of Finance

Downloads 163 (309,563)

Abstract:

24.

Institutional Ownership and Stock Returns On Chinese Firms

Number of pages: 36 Posted: 19 Jan 2023

Min Huang, Hai Jiang, Zhiyuan Ning and Jun Tu

Guangzhou University, Jinan University, Jinan University and Singapore Management University - Lee Kong Chian School of Business

Downloads 41 (711,713)

Abstract:

25.

Institutional Ownership and Stock Returns of Chinese Firms

Number of pages: 35 Posted: 29 Jun 2023

Min Huang, Hai Jiang, Zhiyuan Ning and Jun Tu

Guangzhou University, Jinan University, Jinan University and Singapore Management University - Lee Kong Chian School of Business

Downloads 19 (888,740)

Abstract:

26.

Navigating Risk in a Digital World: Online Search and D&O Insurance Acquisitions

Posted: 13 Sep 2023

Hua Cheng, Jun Tu and Luying Wang

University of Texas at Austin, Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business

Abstract:

27.

Does Trading Volume Mitigate or Amplify Mispricing?

Posted: 31 Mar 2023 Last Revised: 13 Jun 2023

Xinrui Duan, Li Guo, Jun Tu and Luying Wang

Shenzhen University - Shenzhen Audencia Financial Technology Institute, Fudan University - School of Economics, Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business

Abstract:

28.

Analyst Sentiment: Do Analysts Support or Correct Investor Sentiment and Manager sentiment?

Posted: 29 Mar 2023 Last Revised: 02 Jun 2023

Qianqian Du, Dawei Liang, Jun Tu and Jiawen Yan

Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Southwestern University of Finance and Economics (SWUFE), Singapore Management University - Lee Kong Chian School of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management

Abstract:

29.

Media Climate Change Concern, Greenwashing, and Stock Returns

Posted: 08 Apr 2022 Last Revised: 23 Aug 2023

Liya Chu, Jun Tu and luying wang

East China University of Science and Technology (ECUST), Singapore Management University - Lee Kong Chian School of Business and affiliation not provided to SSRN

Abstract:

30.

Oil Price Shocks and Stock Market Anomalies

Financial Management, Forthcoming

Posted: 03 Oct 2021

Zhaobo Zhu, Licheng Sun, Jun Tu and Qiang Ji

Shenzhen University, Old Dominion University, Singapore Management University - Lee Kong Chian School of Business and Chinese Academy of Sciences (CAS) - Institute of Policy and Management

Abstract:

31.

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

Abstract:

32.

Industry Return Predictability: A Machine Learning Approach

Posted: 17 Feb 2018 Last Revised: 21 May 2019

David Rapach, Jack Strauss, Jun Tu and Guofu Zhou

Research Department, Federal Reserve Bank of Atlanta, University of Denver - Daniels College of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School

Jun Tu

Singapore Management University - Lee Kong Chian School of Business

Associate Professor

32

Top 2,280

24,670

Top 3,932

379

45

Scholarly Papers (32)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract: