Jun Tu

Singapore Management University - Lee Kong Chian School of Business

Associate Professor

50 Stamford Road

#04-01

Singapore , 178899

Singapore

SCHOLARLY PAPERS

24

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18,666

SSRN CITATIONS
Rank 6,022

SSRN RANKINGS

Top 6,022

in Total Papers Citations

181

CROSSREF CITATIONS

43

Scholarly Papers (24)

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 4,959 (2,105)
Citation 44

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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 3,071 (4,907)
Citation 8

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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, Washington University in St. LouisSaint Louis University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,750 (12,193)
Citation 21

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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 1,144 (23,409)
Citation 4

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Portfolio choice, parameter uncertainty, shrinkage, admissibility

5.

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 1,104 (24,750)
Citation 14

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

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, Washington University in St. LouisSaint Louis University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,072 (25,757)
Citation 50

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

7.

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 1,055 (26,347)
Citation 3

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

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 784 (39,935)
Citation 9

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

9.

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

Number of pages: 45 Posted: 20 Aug 2018 Last Revised: 20 May 2021
National University of Singapore (NUS) - Department of Statistics and Applied Probability, National University of Singapore, Southwest University of Finance and Economics and Singapore Management University - Lee Kong Chian School of Business
Downloads 663 (49,985)
Citation 3

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Textual Analysis; DNN Approach; Topic Tones; Information Content

10.

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 550 (63,491)
Citation 13

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Portfolio choice, Parameter uncertainty, Bayesian priors

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

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 424 (86,354)
Citation 49

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12.

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 320 (119,654)
Citation 1

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

13.

Return Cross-Predictability in Firms with Similar Employee Satisfaction

Number of pages: 62 Posted: 16 Oct 2019 Last Revised: 20 Jul 2021
Singapore Management University, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, McGill University and Singapore Management University - Lee Kong Chian School of Business
Downloads 274 (140,871)
Citation 2

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Employee satisfaction, Return predictability, Investors’ inattention, Knowledge spillover, Social transmissions

14.

Private Subsidiaries’ Information Disclosure and the Cross-Sectional Equity Returns of Public Parent Firms

Number of pages: 61 Posted: 18 Nov 2019 Last Revised: 20 Jul 2021
Georgetown University - Robert Emmett McDonough School of Business, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, Southwestern University of Finance and Economics (SWUFE) - School of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 245 (157,559)

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Private subsidiaries; public parent firms; limited attention; limits to arbitrage; return predictability.

15.

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 240 (160,747)
Citation 1

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

16.

Interest Rates, Internal Capital Markets, and Predictability in Complex Ownership Firms

AFA 2019 Atlanta Meetings Paper
Number of pages: 77 Posted: 16 Apr 2020 Last Revised: 18 Oct 2021
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, University of Edinburgh, McGill University and Singapore Management University - Lee Kong Chian School of Business
Downloads 226 (170,303)

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Macroeconomic conditions, Market inefficiency, Multinational enterprises, Ownership network

17.

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 216 (177,809)
Citation 2

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Chinese stock market; Return predictability; International investment

18.

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 185 (204,802)

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

19.

Concept Links and Return Momentum

Posted: 02 Aug 2021
Southwest University of Finance and Economics, 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

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Concept stocks; Momentum effects; Asset classifications; Category learning

20.

ESG and the Market Return

Number of pages: 58 Posted: 08 Jul 2021
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, East China University of Science and Technology (ECUST), Singapore Management University - Lee Kong Chian School of Business, The Chinese University of Hong Kong, Shenzhen and Washington University in St. Louis - John M. Olin Business School
Downloads 384

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ESG, Return Predictability, Partial Least Square, Elastic Net, Out-of-sample Forecast

21.

Media Connection and Return Comovement

Posted: 04 Jul 2019 Last Revised: 03 Aug 2021
Zilin Chen, Li Guo and Jun Tu
Southwestern University of Finance and Economics (SWUFE) - School of Finance, Fudan University - School of Economics and Singapore Management University - Lee Kong Chian School of Business

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Media Connection; Comovement; Soft Information.

22.

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

forthcoming in Management Science
Posted: 06 Jun 2019 Last Revised: 03 Dec 2020
Liya Chu, Xuezhong He, Kai Li and Jun Tu
East China University of Science and Technology (ECUST), University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Singapore Management University - Lee Kong Chian School of Business

Abstract:

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Return predictability, Investors sentiment, Economic predictors, Non-fundamental predictors

23.

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

24.

Industry Return Predictability: A Machine Learning Approach

Posted: 17 Feb 2018 Last Revised: 21 May 2019
Washington University in St. LouisSaint 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

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