.
Li, Haitao's
Scholarly Papers
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column.
Aggregate Statistics
Total 10,882
Total Citations 218
1.
Investing in Talents: Manager Characteristics and Hedge Fund Performances
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Li, Haitao University of Michigan - Stephen M. Ross School of Business
Zhao, Rui BlackRock, Inc.
Zhang, Xiaoyan Purdue University - Krannert School of Management
Posted:
03 Jun 07
Last Revised:
18 Mar 08
2,962(1,405)
11
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Zhao, Rui BlackRock, Inc.
Zhang, Xiaoyan Purdue University - Krannert School of Management
203
11
hedge fund performance, manager characteristics, hedge fund flows
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Zhao, Rui BlackRock, Inc.
Zhang, Xiaoyan Purdue University - Krannert School of Management
Posted:
03 Jun 07
Last Revised:
18 Mar 08
2,759
11
hedge fund performance, manager characteristics, hedge fund flows
2.
Corporate Use of Interest Rate Swaps: Theory and Evidence
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Mao, Connie X. Temple University - Fox School of Business and Management
Li, Haitao University of Michigan - Stephen M. Ross School of Business
875(11,573)
5
Mao, Connie X. Temple University - Fox School of Business and Management
Li, Haitao University of Michigan - Stephen M. Ross School of Business
0
Interest rate swap, Agency costs, Information Asymmetry, Bank loan, Comparative advantage
Mao, Connie X. Temple University - Fox School of Business and Management
Li, Haitao University of Michigan - Stephen M. Ross School of Business
875
5
Interest rate swap, Agency costs, Information Asymmetry, Bank loan, Comparative advantage
3.
Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence
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Jarrow, Robert A. Cornell University - Samuel Curtis Johnson Graduate School of Management
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Liu, Sheen Youngstown State University - Williamson College of Business Administration
Wu, Chunchi Universtity at Buffalo
Posted:
22 Mar 07
Last Revised:
12 Oct 08
774(13,997)
4
Jarrow, Robert A. Cornell University - Samuel Curtis Johnson Graduate School of Management
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Liu, Sheen Washington State University - Vancouver
Wu, Chunchi Universtity at Buffalo
Posted:
25 Mar 08
Last Revised:
12 Oct 08
245
4
Jarrow, Robert A. Cornell University - Samuel Curtis Johnson Graduate School of Management
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Liu, Sheen Youngstown State University - Williamson College of Business Administration
Wu, Chunchi Universtity at Buffalo
529
4
Callable bond, reduced-form
4.
Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses
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Bailey, Warren Cornell University
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Mao, Connie X. Temple University - Fox School of Business and Management
Zhong, Rui Cheung Kong Graduate School of Business and University of Texas at Arlington
Posted:
01 Apr 03
Last Revised:
27 May 03
748(14,671)
92
Bailey, Warren Cornell University
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Mao, Connie X. Temple University - Fox School of Business and Management
Zhong, Rui Cheung Kong Graduate School of Business and University of Texas at Arlington
0
Regulation Fair Disclosure, Reg FD, earnings announcements, market reaction, event study
Bailey, Warren Cornell University
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Mao, Connie X. Temple University - Fox School of Business and Management
Zhong, Rui Cheung Kong Graduate School of Business and University of Texas at Arlington
748
92
Regulation Fair Disclosure, Reg FD, earnings announcements, market reaction, event study
5.
Wu, Chunchi Universtity at Buffalo
Li, Haitao University of Michigan - Stephen M. Ross School of Business
He, Yan Indiana University Southeast - School of Business
Wang, Junbo City University of HongKong
712(15,774)
1
Information risk, Liquidity risk, PIN, asset pricing, order imbalance
6.
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Li, Haitao University of Michigan - Stephen M. Ross School of Business
584(20,952)
16
7.
Bailey, Warren Cornell University
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Mao, Connie X. Temple University - Fox School of Business and Management
Zhong, Rui Cheung Kong Graduate School of Business and University of Texas at Arlington
504(25,516)
2
Regulation FD, Fair Disclosure, earnings announcements, market reaction, event study
8.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Hong, Yongmiao Cornell University - Department of Economics
Zhao, Feng University of Texas at Dallas - Jindal School of Management
500(25,764)
10
Density forecasts, Diffusion model, GARCH, Generalized spectrum, Jumps, Out-of-sample forecasts, Nonlinear time series, Parameter estimation uncertainty, Regime-Switching, Short-term interest rate, Transition density
9.
Hong, Yongmiao Cornell University - Department of Economics
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Zhao, Feng University of Texas at Dallas - Jindal School of Management
499(25,841)
8
density forecasts, eurodollar, GARCH, intraday exchange rate, jumps, maximum likelihood estimation, nonlinear time series, out-of-sample forecasts, regime-switching
10.
Hong, Yongmiao Cornell University - Department of Economics
Li, Haitao University of Michigan - Stephen M. Ross School of Business
461(28,701)
17
Boundary bias, Continuous-time model, Generalized residual, Hellinger metric, Kernel method, Parameter estimation uncertainty, Probability integral transform, Quadratic form, Short-term interest rate, Transition density
11.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Zhang, Weina National University of Singapore (NUS) - Department of Finance
Kim, Gi Hyun The Stephen M. Ross School of Business at the University of Michigan
Posted:
16 Mar 10
Last Revised:
29 Nov 11
351(40,424)
Credit Default Swap, CDS-Bond Basis Arbitrage, Corporate Bond Returns, Basis Risk Factor, Financial Crisis, Funding Liquidity, Counterparty Risk, Limits-to-Arbitrage
12.
Hong, Yongmiao Cornell University - Department of Economics
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Egorov, Alexei V. West Virginia University - College of Business & Economics
348(40,889)
6
Density forecast, Affine term structure models, Probability integral transform, Financial risk management, Value-at-Risk, Fixed-income portfolio management
13.
Short Rate Dynamics and Regime Shifts
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Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Posted:
12 Oct 02
Last Revised:
14 Oct 09
311(46,708)
5
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
2
5
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Li, Haitao University of Michigan - Stephen M. Ross School of Business
309
5
Regime Switching, Likelihood Ratio Test, Nonlinear Drift
14.
No-Arbitrage Taylor Rules with Switching Regimes
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Li, Haitao University of Michigan - Stephen M. Ross School of Business
Li, Tao City University of Hong Kong (CityUHK) - Department of Economics & Finance
Yu, Cindy Iowa State University
Posted:
12 Jan 11
Last Revised:
11 Dec 12
251(59,631)
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Li, Tao City University of Hong Kong (CityUHK) - Department of Economics & Finance
Yu, Cindy Iowa State University
Posted:
13 Nov 12
Last Revised:
11 Dec 12
24
Taylor rule, term structure, regime-switching, MCMC
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Li, Tao City University of Hong Kong (CityUHK) - Department of Economics & Finance
Yu, Cindy Iowa State University
Posted:
12 Jan 11
Last Revised:
17 Sep 12
227
Taylor rule, Term structure, Regime-switching, MCMC
15.
Survival Bias and the Equity Premium Puzzle
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Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Posted:
25 Feb 02
Last Revised:
27 May 02
232(64,890)
18
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Li, Haitao University of Michigan - Stephen M. Ross School of Business
0
survival bias, equity premium
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Li, Haitao University of Michigan - Stephen M. Ross School of Business
232
18
survival bias, equity premium
16.
Egorov, Alexei V. West Virginia University - College of Business & Economics
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Ng, David Cornell University
229(65,757)
6
Affine term structure models, International term structure models, Approximate Maximum Likelihood, LIBOR, Euribor, Specification analysis of term structure of interest rates, Out-of-sample model evaluation.
17.
Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions
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Egorov, Alexei V. West Virginia University - College of Business & Economics
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
167(89,745)
8
Egorov, Alexei V. West Virginia University - College of Business & Economics
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
0
Maximum likelihood estimation, time-inhomogeneous diffusion, transition density, Hermite expansion
Egorov, Alexei V. West Virginia University - College of Business & Economics
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
167
8
Maximum likelihood estimation, time-inhomogeneous diffusion, transition density, Hermite expansion
18.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Xu, Yuewu Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Zhang, Xiaoyan Purdue University - Krannert School of Management
161(92,837)
7
Stochastic Discount Factor, Specification Tests, Model Selection, HJ distance, Arbitrage
19.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Kim, Gi Hyun The Stephen M. Ross School of Business at the University of Michigan
Zhang, Weina National University of Singapore (NUS) - Department of Finance
141(104,396)
Credit Default Swap, CDS-Bond Basis, Corporate Bond Return, Basis Risk Factor
20.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Ye, Xiaoxia National University of Singapore (NUS) - Risk Management Institute
36(230,844)
Gaussian dynamic term structure model, HJM, FDR, interest rate derivatives
21.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Zhao, Feng University of Texas at Dallas - Jindal School of Management
34(235,470)
CDX index and tranches, copula model, economic catastrophe risk, fat tail
22.
Yu, Cindy Iowa State University
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Wells, Martin T. Cornell University - School of Law
2(339,165)
2
Levy processes, variance gamma model, Markov Chain Monte Carlo, option pricing
23.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Zhao, Feng University of Texas at Dallas - Jindal School of Management
24.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
Wells, Martin T. Cornell University - School of Law
Yu, Cindy Iowa State University
G12, C11, C15, C32
25.
Li, Haitao University of Michigan - Stephen M. Ross School of Business
credit risk, interest rate swaps, currency swaps, contingent claim analysis
