Our school’s Associate Professor Jiang Fuwei visited the Lee Kong Chian School of Business (LKCSB) of Singapore Management University (SMU) on July 24-30, 2019 upon invitation, and conducted collaborative research with Prof. Dashan Huang from LKCSB. A premier university in Asia, SMU is internationally recognized for its world-class research and distinguished teaching in the area of business and social sciences. LKCSB is a dynamic Asian business school.

During his stay in Singapore, Prof. Jiang Fuwei mainly carried out collaborative research with Prof. Dashan Huang on two papers submitted to Management Science, a first-class international journal on management, including “What Difference Do New Factor Models Make in Portfolio Allocation?” and “Scaled PCA: A New Method for Dimension Reduction”. In recent years, literature on asset pricing has come up with lots of new factor models, such as Fama-French5, Hou-Xue-Zhang4, and Stambaugh-Yuan4. For the first project, Prof. Jiang Fuwei and Prof. Dashan Huang systemically compared the marginal importance of new factors from the investment management perspective. For the second project, they mainly focused on how to analyze the merits and demerits of sPCA, a data dimension reduction method, from the perspective of econometrics and numerical simulation.

Overall, this academic visit allowed the two professors to have in-depth discussions, with new progress made in their co-authored papers. And the research so conducted also boosted bilateral academic exchanges and laid the foundation for deeper academic collaboration.