Dayong Huang

Dayong Huang

Professor

Publications

Working Papers

  1. “Environmental Sustainability and Stock Returns”, with William Brown, Xiaoli Gao, Yufeng Han, and Fang Wang, 2023.
  2. “Option-traders, Reversals and Stock Returns”, with Yufeng Han and Xiao Xiao, 2023.

Published Papers

  1. “Managerial Extrapolation: Who and When”, with Lijun Lei, Mengmeng Wang, and Yuhang Xing, Forthcoming at Management Science. 2024.
  2. “Short Selling Efficiency”, with Yong Chen and Zhi Da, 2022. Journal of Financial Economics 145, 387-408. Winner of 2020 Global Association of Risk Professionals Research Award.
  3. “Expected Return, Volume and Mispricing”, with Yufeng Han, Dashan Huang, and Guofu Zhou, 2022. Journal of Financial Economics 143, 1295-1315.
  4. “The Effect of Oil Shocks on Industry Returns”, with Jay Li and Kai Wu, 2021. Journal of Commodity Markets 24, 100172
  5. “Anomalies Enhanced: A Portfolio Rebalance Approach”, with Yufeng Han and Guofu Zhou, 2021, Financial Management 50, 371-424.
  6. “Corporate Disclosure Quality and Institutional Investors’ Holdings During Market Downturns”, with Hua Chen and Yan Luo, 2020. Journal of Corporate Finance 60, 1010523.
  7. “Limits to Arbitrage: The Long and Short of It”, With Yong Chen and Zhi Da, 2019, Review of Financial Studies 32, 1608-1646.
  8. “Profitability and Stock Returns in Production-Based Asset Pricing with Decreasing Returns to Scale”, Ronald Balvers, with Li Gu, 2017, Journal of Money, Credit, and Banking 49, 1621-1651.
  9. “Industrial Electricity Usage and Stock Returns”, with Zhi Da and Hayong Yun, 2017, Journal of Financial and Quantitative Analysis 52, 37-69. Winner of the 2017 Sharpe Award by JFQA.
  10. “The Effect of Growth in Labor Hours per Worker on Future Stock Returns, Hiring, and Profitability”, with Li Gu, 2017, Review of Finance 21, 2249-2276.
  11. “Inflation Illusion and Stock Returns”, with William Brown and Fang Wang, 2016, Journal of Empirical Finance 35, 14-24.
  12. “Consumption, Money, Intertemporal Substitution and Cross-Sectional Asset Returns”, with Li Gu, 2013, Journal of Financial Research 36, 115-146.
  13. “Transitory Market States and The Joint Occurrence of Momentum and Mean Reversion”, with Ronald Balvers and Ou Hu, 2012, Journal of Financial Research 35, 471-495.
  14. “Sales Order Backlogs and Momentum Profits”, with Li Gu, 2010, Journal of Banking and Finance 34, 1564-1575.
  15. “Technology Prospects and The Cross-Section of Stock Returns”, with Po-Hsuan Hsu, 2010, Journal of Empirical Finance 17, 39-53. Recipient of the Best Paper Award in Investments, 2008 FMA.
  16. “Cash, Investments and Asset Returns”, with Fang Wang, 2009, Journal of Banking and Finance 33, 2301-2311.
  17. “Money and the (C)CAPM”, with Ronald Balvers, 2009, Journal of Financial and Quantitative Analysis 44, 337-368.
  18. “Evaluation of Linear Asset Pricing Models by Implied Portfolio Performance”, with Ronald Balvers, 2009, Journal of Banking and Finance 33, 1586-1596.
  19. “Productivity-Based Asset Pricing: Theory and Evidence”, with Ronald Balvers, 2007, Journal of Financial Economics 86, 405-445.
  20. “Market States and International Momentum Trading Strategies”, 2006, Quarterly Review of Economics and Finance July, 437-446.