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

13

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SSRN RANKINGS

Top 15,576

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3,663

SSRN CITATIONS
Rank 10,113

SSRN RANKINGS

Top 10,113

in Total Papers Citations

59

CROSSREF CITATIONS

61

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

Scholarly Papers (13)

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 1,059 (23,845)
Citation 27

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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 and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 748 (38,328)
Citation 9

Abstract:

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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 and Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 89 (333,544)
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
Downloads 0
Citation 11
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3.

The Pollution Premium

Number of pages: 102 Posted: 12 May 2020
National Tsing Hua University - Department of Quantitative Finance, 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 380 (91,059)
Citation 6

Abstract:

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Toxic emissions, regime shift risk, uncertainty, environmental regulation, cross-section of stock returns

4.

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 349 (100,443)
Citation 3

Abstract:

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

5.

Leasing as a Risk-Sharing Mechanism

Number of pages: 70 Posted: 15 Jul 2019 Last Revised: 27 Oct 2020
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 259 (138,285)
Citation 2

Abstract:

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

6.

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 238 (150,221)

Abstract:

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

7.

Learning and the Capital Age Premium

Number of pages: 99 Posted: 16 Aug 2018 Last Revised: 27 Oct 2020
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 168 (206,730)

Abstract:

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

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 Goethe University Frankfurt
Downloads 132 (251,918)
Citation 4

Abstract:

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

9.

Intermediary-Based Equity Term Structure

Number of pages: 58 Posted: 07 Oct 2019 Last Revised: 27 Oct 2020
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 83 (345,390)
Citation 1

Abstract:

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

10.

The Asset Durability Premium

Number of pages: 68 Posted: 02 Dec 2020
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 69 (383,439)

Abstract:

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Durability; financial constraints; collateral, cross-section of stock returns

11.

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 50 (447,757)

Abstract:

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

12.

Leasing as a Mitigation Channel of Capital Misallocation

Number of pages: 36 Posted: 02 Dec 2020
Kai Li and Yiming Xu
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and affiliation not provided to SSRN
Downloads 39 (494,256)

Abstract:

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Leased capital, Collateral Constraint, Capital misallocation

13.

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