Kai Li

Peking University HSBC Business School

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 9,495

in Total Papers Citations

62

CROSSREF CITATIONS

70

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

Scholarly Papers (21)

1.

The Pollution Premium

Journal of Finance, Forthcoming
Number of pages: 157 Posted: 12 May 2020 Last Revised: 16 May 2022
National Tsing Hua University - Department of Quantitative Finance, Peking University HSBC Business School and University of ManchesterUniversity of Manchester - Alliance Manchester Business School
Downloads 2,523 (7,947)
Citation 17

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

2.

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 Wisconsin-Madison, Finance Department, Bocconi University and Peking University HSBC Business School
Downloads 1,096 (28,700)
Citation 29

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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 Wisconsin-Madison, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 773 (45,908)
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 Wisconsin-Madison, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 94 (385,531)
Citation 1

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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 Wisconsin-Madison, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
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Citation 11
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4.

Leasing as a Risk-Sharing Mechanism

Number of pages: 92 Posted: 10 Jul 2019 Last Revised: 19 May 2022
Peking University HSBC Business School and University of ManchesterUniversity of Manchester - Alliance Manchester Business School
Downloads 521 (77,539)
Citation 2

Abstract:

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

5.

Asset Pricing with a Financial Sector

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 62 Posted: 16 Feb 2013 Last Revised: 28 Aug 2022
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 404 (104,469)
Citation 4

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

6.

A Machine Learning-based Anatomy of Firm-level Climate Risk Exposure

Number of pages: 73 Posted: 09 Feb 2022 Last Revised: 28 Aug 2022
Weiwei HU, Kai Li and Tingyu Yu
Peking University HSBC Business School, Peking University HSBC Business School and The Hong Kong University of Science and Technology
Downloads 347 (123,993)

Abstract:

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climate risk, natural language processing techniques, earnings conference calls, disaster, cross-section of stock returns,

7.

Learning and the Capital Age Premium

Number of pages: 99 Posted: 16 Aug 2018 Last Revised: 27 Oct 2020
Peking University HSBC Business School, University of ManchesterUniversity of Manchester - Alliance Manchester Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 286 (152,502)

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

8.

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
Peking University HSBC Business School and University of ManchesterUniversity of Manchester - Alliance Manchester Business School
Downloads 274 (158,756)

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

9.

Regime Shifts in a Long-run Risks Model of Stock and Treasury Bond Markets

Number of pages: 54 Posted: 30 Jun 2022 Last Revised: 28 Aug 2022
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 215 (211,679)

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Regime Switching Model, Long-Run Risks, Inflation Risks, Stock-Bond Correlation

10.

The Asset Durability Premium

Number of pages: 68 Posted: 02 Dec 2020
Peking University HSBC Business School and University of ManchesterUniversity of Manchester - Alliance Manchester Business School
Downloads 212 (203,396)

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

11.

Leasing as a Mitigation Channel of Capital Misallocation

Number of pages: 107 Posted: 02 Dec 2020 Last Revised: 28 Aug 2022
Weiwei HU, Kai Li and Yiming Xu
Peking University HSBC Business School, Peking University HSBC Business School and University of Cambridge
Downloads 211 (204,328)

Abstract:

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Leased capital, Collateral Constraint, Capital misallocation

12.

The Collateralizability Premium

SAFE Working Paper No. 264 (2019)
Number of pages: 88 Posted: 25 Oct 2019
University of Wisconsin-Madison, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Peking University HSBC Business School and Goethe University Frankfurt
Downloads 207 (208,843)
Citation 5

Abstract:

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

13.

Intermediary-Based Equity Term Structure

Number of pages: 66 Posted: 07 Oct 2019 Last Revised: 09 Nov 2021
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 188 (227,607)
Citation 1

Abstract:

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

14.

The Technical Default Spread

Number of pages: 76 Posted: 18 Nov 2021
Emilio Bisetti, Kai Li and Jun YU
Hong Kong University of Science and Technology (HKUST), Peking University HSBC Business School and Hong Kong University of Science and Technology
Downloads 141 (287,600)

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loan covenants, technical default, creditor control rights, cross section of stock returns

15.

Learning about the Consumption Risk Exposure of Firms

Number of pages: 59 Posted: 04 Aug 2021 Last Revised: 19 May 2022
City University of Hong Kong, Carnegie Mellon University - David A. Tepper School of Business and Peking University HSBC Business School
Downloads 115 (334,638)

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Parameter uncertainty, Bayesian learning, Systematic consumption risk, Investment-based asset pricing, SMM

16.

Leasing as a Mitigation of Financial Accelerator Effects

Number of pages: 53 Posted: 28 Feb 2022
Kai Li and Jun YU
Peking University HSBC Business School and Hong Kong University of Science and Technology
Downloads 83 (412,516)

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17.

Growth Expectations Around FOMC Announcements

HKUST Business School Research Paper No. 2022-069
Number of pages: 39 Posted: 11 Jul 2022 Last Revised: 16 Sep 2022
Mikhail Bhatia and Kai Li
Hong Kong University of Science & Technology (HKUST), HKUST School of Business and Management, Department of Finance, Students and Peking University HSBC Business School
Downloads 48 (560,716)

Abstract:

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FOMC Announcement, Growth Expectations, Monetary Policy, Dividend Futures, Term Structure of Equity Returns

18.

Leasing and the Allocation Efficiency of Finance

Number of pages: 48 Posted: 13 Sep 2022
Weiwei HU, Kai Li and Yiming Xu
Peking University HSBC Business School, Peking University HSBC Business School and University of Cambridge
Downloads 8 (825,368)

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Operating lease, lease-induced debt, external financing, misallocation of finance, financial constraint

Lease-Adjusted Productivity Measurement

Number of pages: 41 Posted: 13 Sep 2022
Weiwei HU, Kai Li and Yiming Xu
Peking University HSBC Business School, Peking University HSBC Business School and University of Cambridge
Downloads 6 (892,497)

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Leased capital, productivity, mismeasurement

Lease-Adjusted Productivity Measurement

Number of pages: 42 Posted: 20 Aug 2022
Weiwei HU, Kai Li and Yiming Xu
Peking University HSBC Business School, Peking University HSBC Business School and University of Cambridge
Downloads 2 (934,864)

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Operating lease, Leased capital, productivity, mismeasurement

20.

Leasing as Capital Reallocation

Number of pages: 44
Kai Li and Yiming Xu
Peking University HSBC Business School and University of Cambridge
Downloads 3

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Leased capital, collateral constraint, capital reallocation, cyclical pattern

21.

Financial Intermediation and Capital Reallocation

Posted: 02 Dec 2016
Hengjie Ai, Kai Li and Fang Yang
University of Wisconsin-Madison, Peking University HSBC Business School and Federal Reserve Banks - Federal Reserve Bank of Dallas

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