50 Stamford Road
Singapore , 178899
Singapore Management University - Lee Kong Chian School of Business
in Total Papers Downloads
in Total Papers Citations
Investor Sentiment, Asset Pricing, Return Predictability, Cash Flow, Discount Rate
Return predictability; Mean reversion; Momentum; Market risk premium; Leading economic indicator; 200-day moving average; Business cycle
Portfolio choice, parameter uncertainty, shrinkage, admissibility
equity risk premium predictability, macroeconomic variables, moving-average rules, momentum, volume, sentiment, out-of-sample forecasts, asset allocation, business cycle
investments, model uncertainty, parameter uncertainty, regime switching, Bayesian analysis
Equity Risk Premium Predictability, Macroeconomic Variables, Moving-Average Rules, Momentum, Volume, Out-of-Sample Forecasts, Asset Allocation
Bond risk premium predictability, Economic variables, Technical analysis, Moving average rules, Volume, Out-of-sample forecasts, Principal components
Portfolio choice, Parameter uncertainty, Bayesian priors
Cost behavior; sticky costs; operating costs; investor underreaction; limits to arbitrage.
Complex industry interdependencies; Predictive regression; Adaptive LASSO;Central node; Industry-rotation portfolio; Business cycle; Multifactor model; Principal components; Target-relevant factors
Chinese stock market; Return predictability; International investment
Return Predictability, Implied Volatility, Out-of-sample Forecasting, Chinese Stock
Mean-variance-skewness, Asset allocation, Realized skewness, Skewness forecasting
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