Faculty Profile

TU Jun's photo
Lee Kong Chian School of Business

TU Jun

(On Leave)
Full-time Faculty
Associate Professor of Finance

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2004 Ph.D., Finance, Olin School of Business, Washington University
2001 M.S.B.A., Finance, Olin School of Business, Washington University

Current Position(s) Held

2012 - Now Associate Professor of Finance
Lee Kong Chian School of Business, Singapore Management University
2004 - 2012 Assistant Professor of Finance
Lee Kong Chian School of Business, Singapore Management University

Awards, Recognition and Honors

  • The ASX Prize at the 28th Australasian Finance and Banking Conference, 2015
  • The Best Paper Award in Investments at the 2015 FMA European Conference, 2015
  • Sing Lun Fellowship, 2011-2012
  • The TCFA Best Paper award in Investment, 2010
  • Pacific Basin Finance Journal Prize (First Prize), July 2006
  • Lee Foundation Fellowship for Research Excellence at SMU, 2005 - 2006
  • Research Assistantship, Washington University in St. Louis , 2002 - 2003

Research Interests

  • Behavioural Finance
  • Empirical Asset Pricing
  • Fintech
  • Corporate Finance
  • Big Data and Machine Learning
  • Textual Analysis

Selected Journal Articles (Refereed)

  1. “Robust Measures of Earnings Surprises” by Jun Tu, Chin-Han Chiang, Wei Dai, Jianqing Fan and Harrison Hong, Forthcoming at the Journal of Finance
  2. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns" by Jun Tu, Dashan Huang, Fuwei Jiang and Guofu Zhou, Review of Financial Studies 28 (3), 2015, 791-837
  3. "Forecasting the Equity Risk Premium: The Role of Technical Indicators" by Jun Tu , Christopher J. Neely, David E. Rapach and Guofu Zhou, Management Science 60(7), 2014, 1772-1791
  4. "Markowitz Meets Talmud: A Combination of Sophisticated and Naive Diversification Strategies'' by Jun Tu and Guofu ZHOU, 01/2011, Journal of Financial Economics 99, 204-215
  5. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty” by Jun TU and Guofu ZHOU,  08/2010, Journal of Financial and Quantitative Analysis, 45 (4), 959 - 986.
  6. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?'', by Jun TU, 07/2010,  56,  Management Science, 1198-1215.
  7. "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation", by Yongmiao HONG, Jun TU, and Guofu ZHOU, 09/2007 , 20 , 5, Review of Financial Studies, 1547-1581
  8. "Data-Generating Process Uncertainty: What Difference Does It Make in Portfolio Decisions?", by Jun TU and Guofu ZHOU, 2004 , 72 , Journal of Financial Economics, 385-421

Professional Services

  • Associate Editor, Journal of Economic Dynamics and Control, 2018 - present
  • Associate Editor, Emerging Markets Finance and Trade, 2015 - present

Research Advisor/ Co-research Advisor to

  • BIAN Xueying, PhD in Economics
  • WANG Luying, PhD in Business (Finance)
  • CAI Ying, (ying.cai.2017[at]ckdba.smu.edu.sg), CKGSB-SMU DBA