Dashan Huang

Singapore Management University - Lee Kong Chian School of Business

Assistant Professor

50 Stamford Road

Singapore , 178899

Singapore

http://dashanhuang.weebly.com/

SCHOLARLY PAPERS

18

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21,080

SSRN CITATIONS
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SSRN RANKINGS

Top 14,460

in Total Papers Citations

57

CROSSREF CITATIONS

21

Scholarly Papers (18)

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
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 4,752 (2,115)
Citation 45

Abstract:

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Investor Sentiment, Asset Pricing, Return Predictability, Cash Flow, Discount Rate

2.

Twin Momentum: Fundamental Trends Matter

Number of pages: 64 Posted: 09 Jan 2017 Last Revised: 10 Jan 2019
Dashan Huang, Huacheng Zhang, Guofu Zhou and Yingzi Zhu
Singapore Management University - Lee Kong Chian School of Business, Southwestern University of Finance and Economics - Institute of Financial Studies, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 3,373 (3,780)
Citation 5

Abstract:

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Price momentum, Fundamental momentum, Twin momentum, Information diffusion, Sticky expectation

3.

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 2,996 (4,692)
Citation 8

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

4.

Time-Series Momentum: Is It There?

Journal of Financial Economics 135, 774-794, 2020
Number of pages: 61 Posted: 06 May 2018 Last Revised: 06 Oct 2020
Dashan Huang, Jiangyuan Li, Liyao Wang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics, Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences and Washington University in St. Louis - John M. Olin Business School
Downloads 1,708 (11,757)
Citation 8

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Time-series momentum; Risk premium; Return predictability; Pooled regression

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
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 1,035 (25,254)
Citation 3

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

6.

Shrinking Factor Dimension: A Reduced-Rank Approach

Number of pages: 88 Posted: 23 Jul 2018 Last Revised: 09 Feb 2020
Dashan Huang, Jiaen Li and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 935 (29,302)
Citation 7

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reduced rank, PCA, PLS, factors, factor model, cross section

7.

Different Strokes: Return Predictability Across Stocks and Bonds with Machine Learning and Big Data

Georgetown McDonough School of Business Research Paper No. 3686164, Swiss Finance Institute Research Paper No. 20-110
Number of pages: 81 Posted: 17 Sep 2020 Last Revised: 19 Feb 2021
Georgetown University - Robert Emmett McDonough School of Business, University of Lausanne, Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) and Georgetown University - Department of Finance
Downloads 780 (37,642)
Citation 5

Abstract:

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machine learning, big data, corporate bond returns, cross-sectional return predictability

8.

Expected Return, Volume, and Mispricing

Number of pages: 73 Posted: 16 May 2018 Last Revised: 19 Aug 2020
Yufeng Han, Dashan Huang, Dayong Huang and Guofu Zhou
University of North Carolina (UNC) at Charlotte - Finance, Singapore Management University - Lee Kong Chian School of Business, University of North Carolina (UNC) at Greensboro - Bryan School of Business & Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 767 (38,539)
Citation 2

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Turnover, Trading Volume, Mispricing, Disagreement, Expectation Bias

9.

Sentiment Across Asset Markets

Number of pages: 45 Posted: 11 Jun 2018 Last Revised: 24 Jun 2018
Singapore Management University - Lee Kong Chian School of Business, University of Jyväskylä - School of Business and Economics, University of Missouri, Columbia and Washington University in St. Louis - John M. Olin Business School
Downloads 702 (43,453)
Citation 4

Abstract:

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Sentiment

10.

An Economic Specification Test of Asset Pricing Models with A Large Number of Assets

Number of pages: 80 Posted: 22 Mar 2018 Last Revised: 02 Jun 2020
Ai He, Dashan Huang and Guofu Zhou
University of South Carolina - Darla Moore School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 580 (55,794)
Citation 1

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Pricing error, prospect theory, lottery demand, expectation extrapolation, limits-to-arbitrage

11.

Scaled PCA: A New Approach to Dimension Reduction

Number of pages: 38 Posted: 14 May 2019 Last Revised: 27 Jan 2021
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 568 (57,217)
Citation 1

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Forecasting, PCA, Big Data, Machine Learning, Supervised Learning

12.

What Difference Do New Factor Models Make in Portfolio Allocation?

Number of pages: 54 Posted: 22 Mar 2016 Last Revised: 22 Sep 2016
Frank J. Fabozzi, Dashan Huang and Jiexun Wang
EDHEC Business School, Singapore Management University - Lee Kong Chian School of Business and Independent
Downloads 551 (59,505)
Citation 2

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Portfolio allocation, Mean-variance analysis, Factor model, Asset pricing

13.

Upper Bounds on Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Vol. 52, No. 2, 2017
Number of pages: 46 Posted: 18 Apr 2014 Last Revised: 24 Apr 2017
Dashan Huang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 545 (60,332)
Citation 2

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Return predictability, asset pricing, stochastic discount factor, habit formation, long-run risks, rare disaster

14.

Are Disagreements Agreeable? Evidence from Information Aggregation

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 53 Posted: 04 Dec 2017 Last Revised: 22 Jan 2021
Dashan Huang, Jiangyuan Li and Liyao Wang
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences
Downloads 524 (63,539)

Abstract:

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Disagreement, Return predictability, PLS, PCA, LASSO, Machine learning

15.

Are Bond Returns Predictable with Real-Time Macro Data?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 50 Posted: 23 Jan 2018 Last Revised: 01 Feb 2021
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Capital University of Economics and Business, Renmin University and Washington University in St. Louis - John M. Olin Business School
Downloads 488 (69,237)

Abstract:

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Bond Return Predictability, Real Time Macro Data, Vintage, PCA, Big Data, Machine Learning

16.

Fundamental Extrapolation and Stock Returns

Number of pages: 66 Posted: 16 Oct 2020 Last Revised: 22 Mar 2021
Dashan Huang, Huacheng Zhang, Guofu Zhou and Yingzi Zhu
Singapore Management University - Lee Kong Chian School of Business, Southwestern University of Finance and Economics - Institute of Financial Studies, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 454 (75,881)
Citation 1

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Fundamental Extrapolation; Return Extrapolation; Volatility; Expectation

17.

Winners from Winners: A Tale of Risk Factors

Number of pages: 41 Posted: 17 Nov 2019 Last Revised: 13 Apr 2020
Washington University in St. Louis - John M. Olin Business School, Singapore Management University - Lee Kong Chian School of Business, Washington University in St. Louis, College of Arts & Sciences, Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 244 (149,669)

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Model comparison, Factor models, Anomaly, Discount factor, Portfolio analysis

18.

Another Presidential Puzzle? Presidential Economic Approval Rating and the Cross-Section of Stock Returns

Number of pages: 54 Posted: 17 Mar 2021
Zilin Chen, Zhi Da, Dashan Huang and Liyao Wang
Singapore Management University - Lee Kong Chian School of Business, University of Notre Dame - Mendoza College of Business, Singapore Management University - Lee Kong Chian School of Business and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences
Downloads 78 (364,581)

Abstract:

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Presidential puzzle, political cycle, presidential economic approval rating, presidential job approval rating, sentiment