Kai Li

Peking University HSBC Business School

SCHOLARLY PAPERS

31

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SSRN CITATIONS
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284

CROSSREF CITATIONS

67

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

Scholarly Papers (31)

1.

The Pollution Premium

Journal of Finance, Forthcoming
Number of pages: 154 Posted: 12 May 2020 Last Revised: 13 Feb 2023
National Tsing Hua University - Department of Quantitative Finance, Peking University HSBC Business School and The University of Manchester - Alliance Manchester Business School
Downloads 4,972 (3,418)
Citation 139

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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 1,137 (35,233)
Citation 42

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Asset Pricing, General Equilibrium, Intangible Capital, Value Premium

3.

Towards Objectivity and Interpretability: An Anatomy of Climate Change Exposure

Number of pages: 92 Posted: 09 Feb 2022 Last Revised: 28 Oct 2023
Weiwei HU, Kai Li and Tingyu Yu
Peking University HSBC Business School, Peking University HSBC Business School and University of Zurich - Department Finance
Downloads 937 (46,621)
Citation 2

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Climate change exposure, machine learning, natural language processing, textual analysis, cross-section of stock returns

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 802 (56,465)
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 Wisconsin-Madison, Board of Governors of the Federal Reserve System and Peking University HSBC Business School
Downloads 116 (435,331)
Citation 3

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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
Downloads 0
Citation 11
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5.

Leasing as a Risk-Sharing Mechanism

Number of pages: 92 Posted: 10 Jul 2019 Last Revised: 19 May 2022
Kai Li and Chi-Yang Tsou
Peking University HSBC Business School and The University of Manchester - Alliance Manchester Business School
Downloads 868 (51,565)
Citation 2

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

6.

Asset Pricing with a Financial Sector

Financial Management 52.1 (2023): 67-95.
Number of pages: 60 Posted: 16 Feb 2013 Last Revised: 13 Apr 2023
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 465 (114,248)
Citation 7

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

7.

Learning and the Capital Age Premium

Journal of Monetary Economics, Forthcoming
Number of pages: 105 Posted: 16 Aug 2018 Last Revised: 10 Feb 2023
Peking University HSBC Business School, The University of Manchester - Alliance Manchester Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 392 (139,262)
Citation 1

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

8.

The Asset Durability Premium

Number of pages: 90 Posted: 02 Dec 2020 Last Revised: 27 Mar 2024
Peking University HSBC Business School, Peking University HSBC Business School and The University of Manchester - Alliance Manchester Business School
Downloads 388 (140,870)

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Durability; financial constraints; collateral, cross-section of stock 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 373 (147,270)

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

10.

Leasing as a Mitigation Channel of Capital Misallocation

Number of pages: 109 Posted: 02 Dec 2020 Last Revised: 31 Dec 2022
Weiwei HU, Kai Li and Yiming Xu
Peking University HSBC Business School, Peking University HSBC Business School and University of Cambridge
Downloads 362 (152,267)

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Leased capital, Collateral constraint, Capital misallocation

11.

Climate Innovation and Carbon Emissions: Evidence from Supply Chain Networks

Number of pages: 67 Posted: 14 Sep 2023 Last Revised: 04 Mar 2024
Ulrich Hege, Kai Li and Yifei Zhang
Toulouse School of Economics, Peking University HSBC Business School and Peking University, HSBC Business School
Downloads 358 (154,135)

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climate change mitigation technologies (CCMTs); climate innovations, supply chain, new customer firms, carbon emissions, ESG scores, discrete choice model

12.

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
Peking University HSBC Business School and The University of Manchester - Alliance Manchester Business School
Downloads 315 (176,789)

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

13.

Intermediary-Based Equity Term Structure

Number of pages: 106 Posted: 07 Oct 2019 Last Revised: 24 Oct 2023
Kai Li and Chenjie Xu
Peking University HSBC Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 306 (182,257)
Citation 3

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

14.

The Technical Default Spread

Number of pages: 105 Posted: 18 Nov 2021 Last Revised: 27 Dec 2023
Emilio Bisetti, Kai Li and Jun YU
Hong Kong University of Science and Technology (HKUST), Peking University HSBC Business School and The University of Melbourne
Downloads 283 (197,812)

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

15.

The Collateralizability Premium

SAFE Working Paper No. 264 (2019)
Number of pages: 88 Posted: 25 Oct 2019
University of Wisconsin-Madison, University of Warwick - Warwick Business School, Peking University HSBC Business School and Goethe University Frankfurt
Downloads 259 (216,247)
Citation 24

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

16.

Learning about the Consumption Risk Exposure of Firms

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 63 Posted: 04 Aug 2021 Last Revised: 29 Nov 2023
University of New Mexico - Department of Finance, International, and Techology (FIT), Carnegie Mellon University - David A. Tepper School of Business and Peking University HSBC Business School
Downloads 256 (218,778)
Citation 1

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

Lease-Adjusted Productivity Measurement

Number of pages: 48 Posted: 13 Sep 2022 Last Revised: 22 Jan 2024
Weiwei HU, Kai Li and Yiming Xu
Peking University HSBC Business School, Peking University HSBC Business School and University of Cambridge
Downloads 180 (303,661)

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Leased capital, productivity, mismeasurement

Lease-Adjusted Productivity Measurement

Number of pages: 48 Posted: 20 Aug 2022 Last Revised: 01 Mar 2024
Weiwei HU, Kai Li and Yiming Xu
Peking University HSBC Business School, Peking University HSBC Business School and University of Cambridge
Downloads 32 (855,970)

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Operating lease, Leased capital, productivity, mismeasurement

18.

Financial Constraints, Cash Flow Timing Patterns, and Asset Prices

Number of pages: 66 Posted: 22 Dec 2022 Last Revised: 03 Apr 2024
Weiping Hu, Kai Li and Xiao Zhang
Peking University HSBC Business School, Peking University HSBC Business School and Central University of Finance and Economics (CUFE)
Downloads 164 (329,773)

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Cash Flows; Cash Flow Timing Pattern; Asset Prices; Equity Financing Costs

19.

Leasing and the Allocation Efficiency of Finance

Number of pages: 50 Posted: 13 Sep 2022 Last Revised: 11 Oct 2023
Weiwei HU, Kai Li and Yiming Xu
Peking University HSBC Business School, Peking University HSBC Business School and University of Cambridge
Downloads 160 (336,792)

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

20.

How to Dominate the Historical Average?

HKUST Business School Research Paper No. 2022-085
Number of pages: 61 Posted: 19 Oct 2022 Last Revised: 19 Sep 2023
Peking University HSBC Business School, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 142 (375,407)

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equity premium forecast, bias reduction, stochastic dominance, time-varying expected return

21.

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 138 (379,531)

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

22.

Facilitating Entry through Leasing

Number of pages: 63 Posted: 09 Mar 2023 Last Revised: 08 Aug 2023
Kai Li and Yiming Xu
Peking University HSBC Business School and University of Cambridge
Downloads 135 (386,146)

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Leased capital; Collateral constraint; Total factor productivity (TFP); Extensive margin; Entry; Technology adoption; Capital misallocation

23.

Leasing as a Mitigation of Financial Accelerator Effects

Review of Finance, Forthcoming
Number of pages: 64 Posted: 28 Feb 2022 Last Revised: 14 Feb 2023
Kai Li and Jun YU
Peking University HSBC Business School and The University of Melbourne
Downloads 130 (397,730)
Citation 2

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Leased Capital, Business Cycles, Financial Accelerator, Uncertainty, Risk Shocks

Flexibility, Option Value of Leasing, and Investment

Number of pages: 41 Posted: 13 Mar 2023
Kai Li and linqing you
Peking University HSBC Business School and Peking University HSBC Business School
Downloads 69 (611,832)

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option value, costly reversibility, operating lease, flexibility

Flexibility, Option Value of Leasing, and Investment

Number of pages: 72 Posted: 18 Sep 2023 Last Revised: 26 Sep 2023
Kai Li and linqing you
Peking University HSBC Business School and Peking University HSBC Business School
Downloads 36 (822,368)

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operating lease, flexibility, adjustment costs, option value

25.

Leasing, Pecuniary Externality, and Aggregate Efficiency

Number of pages: 126 Posted: 08 Nov 2023
Kai Li, Yicheng Wang and Yiming Xu
Peking University HSBC Business School, Peking University and University of Cambridge
Downloads 86 (531,117)

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Leasing, Pecuniary Externality, Financial Constraint, Aggregate Efficiency

26.

A High-Frequency Measure of Chinese Monetary Policy Shocks

Number of pages: 87 Posted: 08 Nov 2023
University of Texas at Dallas - Naveen Jindal School of Management, Peking University HSBC Business School, Peking University HSBC Business School and Fudan University
Downloads 80 (558,814)

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Monetary Policy, Inter-bank Market, Macroeconomic Announcements, Asset Prices, China

27.

Leasing and the Idiosyncratic Volatility Puzzle

Number of pages: 70 Posted: 18 Sep 2023
Kai Li and Kaihong Song
Peking University HSBC Business School and Peking University - HSBC School of Business
Downloads 71 (593,374)

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idiosyncratic volatility; financial constraint; leased capital; cross-section of expected returns; incomplete market

28.

Leased Capital and the Investment-q Relation

Journal of Corporate Finance, Forthcoming
Number of pages: 60 Posted: 14 Feb 2023
Kai Li and linqing you
Peking University HSBC Business School and Peking University HSBC Business School
Downloads 42 (756,589)

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investment q theory, leased capital, financial frictions

29.

Allocative Efficiency of Green Finance Instruments

Number of pages: 48 Posted: 12 Apr 2024
Kai Li, Yicheng Wang and Chenjie Xu
Peking University HSBC Business School, Peking University and Shanghai University of Finance and Economics - Department of Finance
Downloads 10

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Green Finance Instruments; Allocative Efficiency; Green Technology; Financial Friction; Climate Externality

30.

Leasing as Capital Reallocation

Posted: 28 Sep 2022 Last Revised: 31 Dec 2022
Kai Li and Yiming Xu
Peking University HSBC Business School and University of Cambridge

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Leased capital, collateral constraint, capital reallocation, cyclical pattern

31.

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