Kai Li

Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management

Assistant Professor of Finance

Clear Water Bay

Kowloon

Hong Kong

SCHOLARLY PAPERS

10

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SSRN RANKINGS

Top 18,258

in Total Papers Downloads

2,735

SSRN CITATIONS
Rank 11,406

SSRN RANKINGS

Top 11,406

in Total Papers Citations

29

CROSSREF CITATIONS

57

Ideas:
“  My current research agenda focuses on understanding the financial frictions (e.g. the collateral constraint) on asset pricies.  ”

Scholarly Papers (10)

1.

Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital

Review of Financial Studies 26 (2): 491-530, 2013, DOI: doi.org/10.1093/rfs/hhs121
Number of pages: 61 Posted: 15 Mar 2010 Last Revised: 10 Mar 2017
University of Minnesota - Twin Cities - Carlson School of Management, Finance Department, Bocconi University and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 1,042 (21,218)
Citation 24

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Asset Pricing, General Equilibrium, Intangible Capital, Value Premium

News Shocks and the Production-Based Term Structure of Equity Returns

Number of pages: 67 Posted: 18 Nov 2012 Last Revised: 05 Sep 2017
University of Minnesota - Twin Cities - Carlson School of Management, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System: Monetary and Financial Market Analysis and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 729 (34,773)
Citation 8

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News Shocks, Learning, Term Structure of Equity, Duration

Production-Based Term Structure of Equity Returns

UNC Kenan-Flagler Research Paper No. 2336099
Number of pages: 42 Posted: 09 Oct 2013
Finance Department, Bocconi University, University of Minnesota - Twin Cities - Carlson School of Management, Board of Governors of the Federal Reserve System: Monetary and Financial Market Analysis and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 84 (310,326)
Citation 1

Abstract:

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Term Structure, Duration, Value Premium

News Shocks and the Production-Based Term Structure of Equity Returns

CEPR Discussion Paper No. DP12661
Number of pages: 70 Posted: 05 Feb 2018
University of Minnesota - Twin Cities - Carlson School of Management, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
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Citation 6
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3.

Asset Pricing with a Financial Sector

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 65 Posted: 16 Feb 2013 Last Revised: 12 Oct 2013
Kai Li
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 327 (95,467)
Citation 3

Abstract:

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Financial Intermediary, Equity Premium, Return Predictability, TED spread, Global Method

4.

The Leased Capital Premium

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 57 Posted: 27 Nov 2017 Last Revised: 28 Feb 2019
Kai Li and Chi-Yang Tsou
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 208 (152,184)

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Leased capital, Operating lease, Secured debt, Collateral, Financial constraint, Cross-section of returns

5.

Leasing as a Risk-Sharing Mechanism

Number of pages: 63 Posted: 15 Jul 2019
Kai Li and Chi-Yang Tsou
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 130 (227,965)
Citation 1

Abstract:

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Leased capital, Operating lease, Risk Sharing, Collateral, Financial constraint, Cross-section of returns

6.

Learning and the Capital Age Premium

Number of pages: 76 Posted: 16 Aug 2018 Last Revised: 28 Feb 2019
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and Shanghai University of Finance and Economics - Department of Finance
Downloads 112 (254,506)

Abstract:

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parameter learning, capital age, cross-section of expected returns, capital misallocation, cash flow duration

7.

Intermediary-Based Equity Term Structure

Number of pages: 58 Posted: 07 Oct 2019
Kai Li and Chenjie Xu
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and Shanghai University of Finance and Economics - Department of Finance
Downloads 44 (424,793)

Abstract:

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equity term structure, financial intermediary, mean reversion, discount rate

8.

The Collateralizability Premium

SAFE Working Paper No. 264 (2019)
Number of pages: 88 Posted: 25 Oct 2019
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and Leibniz Institute for Financial Research SAFE
Downloads 40 (440,649)
Citation 3

Abstract:

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

9.

Collective Learning about Systematic Risk

Number of pages: 47 Posted: 31 Dec 2019
Yongjin Kim and Kai Li
City University of Hong Kong and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 19 (547,871)

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Parameter uncertainty, Collective learning, Systematic Risk, Implied Cost of Capital

10.

Financial Intermediation and Capital Reallocation

Posted: 02 Dec 2016
Hengjie Ai, Kai Li and Fang Yang
University of Minnesota - Twin Cities - Carlson School of Management, Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and Louisiana State University, Baton Rouge

Abstract:

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financial Intermediation, Capital Misallocation, Volatility, Crisis, Limited enforcement