Jun Tu

Singapore Management University - Lee Kong Chian School of Business

Associate Professor

50 Stamford Road

#04-01

Singapore , 178899

Singapore

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 2,292

SSRN RANKINGS

Top 2,292

in Total Papers Downloads

15,794

SSRN CITATIONS
Rank 7,753

SSRN RANKINGS

Top 7,753

in Total Papers Citations

106

CROSSREF CITATIONS

42

Scholarly Papers (21)

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 4,429 (2,092)
Citation 25

Abstract:

Loading...

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
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 2,871 (4,404)
Citation 7

Abstract:

Loading...

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, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,622 (11,401)
Citation 18

Abstract:

Loading...

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 1,120 (20,113)
Citation 5

Abstract:

Loading...

Portfolio choice, parameter uncertainty, shrinkage, admissibility

5.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012
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 1,023 (23,011)
Citation 12

Abstract:

Loading...

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

6.

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 994 (24,016)
Citation 3

Abstract:

Loading...

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

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, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 977 (24,633)
Citation 28

Abstract:

Loading...

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 769 (34,474)
Citation 4

Abstract:

Loading...

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 535 (55,676)
Citation 13

Abstract:

Loading...

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 417 (74,983)
Citation 44

Abstract:

Loading...

11.

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
Fudan University - School of Economics, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Singapore Management University - School of Economics and Singapore Management University - Lee Kong Chian School of Business
Downloads 246 (135,205)
Citation 1

Abstract:

Loading...

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

12.

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 213 (155,347)
Citation 1

Abstract:

Loading...

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

13.

Can US Economic Variables Predict the Chinese Stock Market?

Pacific-Basin Finance Journal, Forthcoming
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 202 (163,265)
Citation 1

Abstract:

Loading...

Chinese stock market; Return predictability; International investment

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 166 (194,461)

Abstract:

Loading...

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

15.

Return Cross-Predictability in Firms with Similar Employee Satisfaction

Number of pages: 60 Posted: 16 Oct 2019 Last Revised: 24 Mar 2020
Singapore Management University, McGill University, Singapore Management University - Lee Kong Chian School of Business and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 144 (218,950)
Citation 1

Abstract:

Loading...

Earnings announcements, Employment growth, Limits to Arbitrage, Market efficiency

16.

Return Predictability in Firms with Complex Ownership Network

AFA 2019 Atlanta Meetings Paper
Number of pages: 75 Posted: 16 Apr 2020 Last Revised: 01 Jun 2020
University of Edinburgh, McGill University, Singapore Management University - Lee Kong Chian School of Business and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 66 (366,831)

Abstract:

Loading...

Cross-listing, Decision-making commonality, Earnings surprises, Investors’ inattention, Limits to arbitrage

17.

Private Subsidiaries’ Information Disclosure and Cross-Sectional Returns

Posted: 18 Nov 2019 Last Revised: 16 Mar 2020
Zilin Chen, Jun Tu and Ran Zhang
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management

Abstract:

Loading...

Information disclosure, Private subsidiaries, Limited attention, Return predictability

18.

Investor Sentiment, Limits to Arbitrage, and Mispricing

Posted: 13 Nov 2019
Jun Tu and Zhaobo Zhu
Singapore Management University - Lee Kong Chian School of Business and Shenzhen University

Abstract:

Loading...

19.

Media Network and Excess Return Comovement

Posted: 04 Jul 2019 Last Revised: 14 Mar 2020
Zilin Chen, Li Guo and Jun Tu
Singapore Management University - Lee Kong Chian School of Business, Fudan University - School of Economics and Singapore Management University - Lee Kong Chian School of Business

Abstract:

Loading...

Media Network, Comovement, Centrality, Return Predictability, Media Coverage, News Tones

20.

Asset Allocation in Chinese Stock Market: The Role of Return Predictability

Journal of Portfolio Management, 2015, Vol. 41, No. 5, 71-83
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:

Loading...

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

21.

Industry Return Predictability: A Machine Learning Approach

Posted: 17 Feb 2018 Last Revised: 21 May 2019
Saint Louis University, 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

Abstract:

Loading...

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