Dashan Huang

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: dashanhuang@smu.edu.sg

Official webpage | CV

Research Interests

Asset Pricing, Behavioral Finance, Big Data, and Machine Learning.

Publications

  1. "Optimal Conditional Mean-Variance Portfolio Averaging" with Lipeng Yao and Xinyu Zhang, Management Science, accepted.
  2. "Extrapolation: Price vs. Value" with Huacheng Zhang, Guofu Zhou, and Yingzi Zhu, Journal of Portfolio Management, accepted.
  3. "Nominal Prices, Retail Investor Participation, and Return Momentum" with Jun Du, Yu-Jane Liu, Yushui Shi, Avanidhar Subrahmanyam, and Huacheng Zhang, Management Science 72, 2064-2089, 2026.
  4. "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.
  5. "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.
  6. "Shrinking Factor Dimension: A Reduced-Rank Approach" with Ai He, Jiaen Li, and Guofu Zhou, Management Science 69, 5501-5522, 2023. Appendix
  7. "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)
  8. "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
  9. "Expected Return, Volume, and Mispricing" with Yufeng Han, Dayong Huang, and Guofu Zhou, Journal of Financial Economics 143, 1295-1315, 2022.
  10. "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
  11. "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
  12. "Upper Bounds on Return Predictability" with Guofu Zhou, Journal of Financial and Quantitative Analysis 52, 401-425, 2017.
  13. "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