Jun Tu

Singapore Management University - Lee Kong Chian School of Business

Associate Professor

50 Stamford Road

#04-01

Singapore , 178899

Singapore

SCHOLARLY PAPERS

16

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14,529

CITATIONS
Rank 7,754

SSRN RANKINGS

Top 7,754

in Total Papers Citations

60

Scholarly Papers (16)

1.

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
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 4,020 (2,119)

Abstract:

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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
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 2,702 (4,208)

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

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
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,526 (10,957)
Citation 10

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

4.

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 1,096 (18,358)
Citation 1

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Portfolio choice, parameter uncertainty, shrinkage, admissibility

5.

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
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 952 (22,614)

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

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
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 948 (22,762)

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

7.

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 - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 896 (24,758)
Citation 5

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

8.

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 761 (31,076)
Citation 6

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

9.

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 526 (50,706)
Citation 6

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Portfolio choice, Parameter uncertainty, Bayesian priors

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 - John M. Olin Business School and Singapore Management University - Lee Kong Chian School of Business
Downloads 409 (68,520)
Citation 32

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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
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 188 (157,108)

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

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), Singapore Management University - Lee Kong Chian School of Business and Department of Statistics and Finance, University of Science and Technology of China
Downloads 186 (158,677)

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Chinese stock market; Return predictability; International investment

13.

News Co-Occurrence, Attention Spillover, and Return Predictability

Number of pages: 53 Posted: 07 Mar 2017 Last Revised: 08 Dec 2018
Li Guo, Lin Peng, Yubo Tao and Jun Tu
Singapore Management University, Lee Kong Chian School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, School of Economics, Singapore Management University and Singapore Management University - Lee Kong Chian School of Business
Downloads 172 (170,188)

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Investors attention; Network; Return predictability; Short-sales constraint; Media coverage; News tones; Heterogeneous belief.

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 147 (194,338)

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

15.

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

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

16.

Industry Return Predictability: A Machine Learning Approach

Posted: 17 Feb 2018 Last Revised: 21 May 2019
Saint Louis University - Richard A. Chaifetz 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 - John M. Olin Business School

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Predictive regression; LASSO; Post-selection inference; Network analysis; Industry-rotation portfolio; Multifactor model; Gradual information dffusion