Kai Li

Peking University HSBC Business School

SCHOLARLY PAPERS

13

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Top 13,998

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4,452

SSRN CITATIONS
Rank 9,678

SSRN RANKINGS

Top 9,678

in Total Papers Citations

64

CROSSREF CITATIONS

68

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 - Carlson School of ManagementUniversity of Minnesota - Twin Cities - Carlson School of Management, Finance Department, Bocconi University and Peking University HSBC Business School
Downloads 1,075 (25,607)
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 Minnesota - Carlson School of ManagementUniversity of Minnesota - Twin Cities - Carlson School of Management, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 762 (40,836)
Citation 9

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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 - Carlson School of ManagementUniversity of Minnesota - Twin Cities - Carlson School of Management, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 90 (354,396)
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 - Carlson School of ManagementUniversity of Minnesota - Twin Cities - Carlson School of Management, 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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3.

The Pollution Premium

Number of pages: 155 Posted: 12 May 2020 Last Revised: 30 Sep 2021
National Tsing Hua University - Department of Quantitative Finance, Peking University HSBC Business School and University of ManchesterUniversity of Manchester - Alliance Manchester Business School
Downloads 848 (35,854)
Citation 15

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
Peking University HSBC Business School
Downloads 360 (104,854)
Citation 4

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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
Peking University HSBC Business School and University of ManchesterUniversity of Manchester - Alliance Manchester Business School
Downloads 329 (115,890)
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
Peking University HSBC Business School and University of ManchesterUniversity of Manchester - Alliance Manchester Business School
Downloads 247 (156,074)

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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
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 206 (185,467)

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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 - Carlson School of ManagementUniversity of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Peking University HSBC Business School and Goethe University Frankfurt
Downloads 154 (239,066)
Citation 5

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

9.

Leasing as a Mitigation Channel of Capital Misallocation

Number of pages: 36 Posted: 02 Dec 2020
Kai Li and Yiming Xu
Peking University HSBC Business School and affiliation not provided to SSRN
Downloads 125 (281,412)

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Leased capital, Collateral Constraint, Capital misallocation

10.

Intermediary-Based Equity Term Structure

Number of pages: 58 Posted: 07 Oct 2019 Last Revised: 27 Oct 2020
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 112 (304,401)
Citation 1

Abstract:

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

11.

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 108 (312,186)

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

12.

Learning about the Consumption Risk Exposure of Firms

Number of pages: 55 Posted: 04 Aug 2021
City University of Hong Kong, Carnegie Mellon University - David A. Tepper School of Business and Peking University HSBC Business School
Downloads 36 (542,616)

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

13.

Financial Intermediation and Capital Reallocation

Posted: 02 Dec 2016
University of Minnesota - Carlson School of ManagementUniversity of Minnesota - Twin Cities - Carlson School of Management, Peking University HSBC Business School and Louisiana State University, Baton Rouge

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