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                    Dashan HUANG (黄大山)

​                       Associate Professor of Finance
                       Lee Kong Chian School of Business
​                       Singapore Management University
                       50 Stamford Road, #04-01
                       Singapore, 178899
                       Email: [email protected]
                       Phone: +65-6808-5476
                       Official webpage
                            Curriculum Vitae
Research Interests:
​​Asset Pricing, Behavioral Finance, Big Data, and Machine Learning
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Publications
  1. "Nominal Prices, Retail Investor Participation, and Return Momentum" with Jun Du, Yu-Jane Liu, Yushui Shi, Avanidhar Subrahmanyam, and Huacheng Zhang, accepted by Management Science.
  2. "What Difference Do New Factor Models Make in Portfolio Allocation?" with Frank J. Fabozzi, Fuwei Jiang, and Jiexun Wang, Journal of International Money and Finance 140, 102997, 2024.
  3. "Are Bond Returns Predictable with Real-Time Macro Data?" with Fuwei Jiang, Kunpeng Li, Guoshi Tong, and Guofu Zhou, Journal of Econometrics 237, 105438, 2023.       
  4. "Shrinking Factor Dimension: A Reduced-Rank Approach" with Ai He, Jiaen Li, and Guofu Zhou, Management Science 69, 5501-5522, 2023. Appendix
  5. "Presidential Economic Approval Rating and the Cross-Section of Stock Returns" with Zilin Chen, Zhi Da, and Liyao Wang, Journal of Financial Economics 147, 106-131, 2023. PEAR index (1981:04--2023:12)
  6. "Scaled PCA: A New Approach to Dimension Reduction" with Fuwei Jiang, Kunpeng Li, Guoshi Tong, and Guofu Zhou, Management Science 68, 1678-1695, 2022. Special Issue on Data-Driven Prescriptive Analytics, Appendix; MatLab code
  7. "Expected Return, Volume, and Mispricing" with Yufeng Han, Dayong Huang, and Guofu Zhou, Journal of Financial Economics 143, 1295-1315, 2022. 
  8. "Are Disagreements Agreeable? Evidence from Information Aggregation" with Jiangyuan Li and Liyao Wang, Journal of Financial Economics 141, 83-101, 2021. PLS disagreement Index (1969:12--2020:12); Appendix
  9. "Time-Series Momentum: Is It There?" with Jiangyuan Li, Liyao Wang, and Guofu Zhou, Journal of Financial Economics 135, 774-794, 2020. Data and MatLab code; Python code
  10. "Upper Bounds on Return Predictability" with Guofu Zhou, Journal of Financial and Quantitative Analysis 52, 401-425, 2017. 
  11. ​​​"Investor Sentiment Aligned: A Powerful Predictor of Stock Returns" with Fuwei Jiang, Jun Tu, and Guofu Zhou, Review of Financial Studies 28, 791-837, 2015. PLS sentiment index (1965:07--2023:12); Raw sentiment data and MatLab code
Working papers​