Jun Li

University of Texas at Dallas

Associate Professor

800 West Campbell Road, SM 31

Richardson, TX 75080

United States

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 6,985

in Total Papers Downloads

6,307

CITATIONS
Rank 10,684

SSRN RANKINGS

Top 10,684

in Total Papers Citations

72

Scholarly Papers (11)

1.

Investor Attention, Psychological Anchors, and Stock Return Predictability

Journal of Financial Economics (JFE), Vol. 104, pp. 401-419, May 2012
Number of pages: 46 Posted: 19 Nov 2009 Last Revised: 20 Mar 2012
Jun Li and Jianfeng Yu
University of Texas at Dallas and Tsinghua University - PBC School of Finance
Downloads 1,359 (13,485)
Citation 1

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Under-reaction, Over-reaction, Anchor, Behavioral Finance

2.

Government Spending, Political Cycles and the Cross Section of Stock Returns

Number of pages: 54 Posted: 19 Mar 2010 Last Revised: 10 Oct 2011
University of Minnesota, The Wharton School, University of Pennsylvania and University of Texas at Dallas
Downloads 1,016 (20,963)
Citation 5

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Cross-Sectional Asset Pricing, Government Spending, Political Cycles, Input-Output Analysis.

Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor

Fisher College of Business Working Paper No. 2012-03-025, Charles A. Dice Center Working Paper No. 2012-25
Number of pages: 58 Posted: 02 Oct 2012 Last Revised: 17 Dec 2016
University of Minnesota, University of Minnesota, University of Texas at Dallas and Georgetown University - Robert Emmett McDonough School of Business
Downloads 939 (23,128)
Citation 3

Abstract:

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Labor Heterogeneity, Labor Skill, Labor Hiring, Investment, Stock Return Predictability, Cross-Sectional Asset Pricing, q-theory, Adjustment cost shocks

Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor

NBER Working Paper No. w21487
Number of pages: 56 Posted: 25 Aug 2015
University of Minnesota, University of Minnesota, University of Texas at Dallas and University of Toronto - Rotman School of Management
Downloads 9 (610,522)

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4.

Explaining Momentum and Value Simultaneously

Number of pages: 49 Posted: 23 Nov 2012 Last Revised: 08 Feb 2015
Jun Li
University of Texas at Dallas
Downloads 634 (40,520)
Citation 5

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Momentum, Value, Investment-based asset pricing

5.

Expected Investment Growth and the Cross Section of Stock Returns

Number of pages: 57 Posted: 09 Dec 2016 Last Revised: 18 Dec 2018
Jun Li and Huijun Wang
University of Texas at Dallas and University of Melbourne
Downloads 550 (48,810)
Citation 2

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Expected investment growth, cross-sectional stock returns, financial distress

6.

The Opposing Effects of Information Complexity and Information Content on Return Volatility

Number of pages: 51 Posted: 09 Dec 2014 Last Revised: 12 Jan 2018
University of Minnesota, University of Texas at Dallas, University of Minnesota and Georgetown University - Robert Emmett McDonough School of Business
Downloads 453 (62,290)
Citation 2

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Learning; Complexity; Information; Volatility dynamics

Aggregate Expected Investment Growth and Stock Market Returns

Asian Finance Association (AsianFA) 2018 Conference, 29th Annual Conference on Financial Economics & Accounting 2018
Number of pages: 56 Posted: 22 May 2017 Last Revised: 20 Nov 2018
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, University of Melbourne and Tsinghua University - PBC School of Finance
Downloads 291 (103,044)
Citation 2

Abstract:

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Aggregate investment plans, market return predictability

Aggregate Expected Investment Growth and Stock Market Returns

ADBI Working Paper 808
Number of pages: 47 Posted: 08 Jun 2018
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, University of Delaware and Tsinghua University
Downloads 66 (342,273)

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aggregate investment plans, market return predictability

8.

Asset Pricing in Production Economies with Extrapolative Expectations

Journal of Monetary Economics, Forthcoming, AFA 2012 Chicago Meetings Paper
Number of pages: 48 Posted: 21 Mar 2011 Last Revised: 25 Sep 2015
University of California, Irvine - Paul Merage School of Business, University of Texas at Dallas and Tsinghua University - PBC School of Finance
Downloads 348 (85,050)
Citation 11

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Extrapolation, long-run risk, production-based model, recursive preferences

9.

Short-Run and Long-Run Consumption Risks, Dividend Processes, and Asset Returns

Review of Financial Studies (RFS), Forthcoming
Number of pages: 58 Posted: 24 May 2013 Last Revised: 24 Aug 2016
Jun Li and Harold H. Zhang
University of Texas at Dallas and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 277 (109,201)

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Short-run and long-run consumption risks, Momentum and long-term contrarian profits, Value premium

10.

Is the Size Premium Really Driven by Firm Size

Number of pages: 47 Posted: 17 Jan 2017 Last Revised: 30 May 2019
Zhiyao Chen, Jun Li and Huijun Wang
The Chinese University of Hong Kong (CUHK) - Department of Finance, University of Texas at Dallas and University of Melbourne
Downloads 238 (127,715)
Citation 2

Abstract:

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Firm Size, Size Premium, Decomposition

11.

The Expected Investment Growth Premium

Number of pages: 52 Posted: 27 Jun 2018 Last Revised: 18 Dec 2018
Jun Li and Huijun Wang
University of Texas at Dallas and University of Delaware
Downloads 127 (222,075)

Abstract:

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Investment Plan, Expected Investment Growth, Risk Premium