Yan Li

Temple University - Department of Finance

Fox School of Business and Management

Philadelphia, PA 19122

United States

SCHOLARLY PAPERS

7

DOWNLOADS
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in Total Papers Downloads

2,765

CITATIONS
Rank 20,945

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Top 20,945

in Total Papers Citations

14

Scholarly Papers (7)

1.

Predicting Market Returns Using Aggregate Implied Cost of Capital

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 21 Apr 2014
Temple University - Department of Finance, Cornell University and LSV Asset Management
Downloads 801 (17,358)
Citation 2

Abstract:

Implied Cost of Capital, Market Predictability, Valuation Ratios

2.

Testing Conditional Factor Models: A Nonparametric Approach

Journal of Empirical Finance, 2011, 18(5): 972-992
Number of pages: 39 Posted: 13 Apr 2009 Last Revised: 21 Apr 2014
Yan Li and Liyan Yang
Temple University - Department of Finance and University of Toronto - Rotman School of Management
Downloads 514 (37,407)
Citation 6

Abstract:

Asset Pricing, Conditional CAPM, Conditional Fama-French Three-Factor Model, Size, Value, Momentum, Nonparametric Method

3.

Speculation and Hedging in Segmented Markets

Review of Financial Studies, 2014, 27(3): 881-922
Number of pages: 50 Posted: 21 Nov 2010 Last Revised: 26 Feb 2016
University of Pennsylvania - The Wharton School - Finance Department, Temple University - Department of Finance and University of Toronto - Rotman School of Management
Downloads 308 (59,501)
Citation 5

Abstract:

Speculation, Hedging, Market Segmentation, Price Informativeness, Information Acquisition, Asset Prices

4.

Predicting Time-Varying Value Premium Using the Implied Cost of Capital

Number of pages: 49 Posted: 30 Oct 2012 Last Revised: 03 Jul 2014
Temple University - Department of Finance, Cornell University and LSV Asset Management
Downloads 284 (59,678)
Citation 1

Abstract:

Implied Value Premium, Implied Cost of Capital, Predictability, Value Spread, Term Spread, Default Spread, Risk and Mispricing

5.

The Asset Pricing Implications of Dividend Volatility

Management Science, 2013, 59(9): 2036-2055
Number of pages: 35 Posted: 13 May 2011 Last Revised: 26 Feb 2016
Yan Li and Liyan Yang
Temple University - Department of Finance and University of Toronto - Rotman School of Management
Downloads 284 (71,020)

Abstract:

asset pricing, dividend volatility, loss aversion, narrow framing, return predictability, volatility clustering

A Combined Approach to the Inference of Conditional Factor Models

Number of pages: 56 Posted: 20 Dec 2012
Yan Li, Liangjun Su and Yuewu Xu
Temple University - Department of Finance, Singapore Management University - School of Economics and Gabelli School of Business, Fordham University
Downloads 77 (260,370)

Abstract:

A Combined Approach to the Inference of Conditional Factor Models

Number of pages: 47 Posted: 28 Jun 2014
Yan Li, Liangjun Su and Yuewu Xu
Temple University - Department of Finance, Singapore Management University and Gabelli School of Business, Fordham University
Downloads 17 (470,398)

Abstract:

Conditional Factor Models, Specification Tests, Semiparametric Method, Nonparametric Method, Conditional CAPM

7.

Disclosure and the Cost of Equity Capital: An Analysis at the Market Level

Posted: 29 Nov 2011 Last Revised: 11 Jun 2014
Yan Li and Holly Yang
Temple University - Department of Finance and Singapore Management University - School of Accountancy

Abstract:

disclosure, implied cost of capital, cost of equity capital, earnings guidance, management forecasts

Other Papers (1)

Total Downloads: 507    Citations: 6
1.

Prospect Theory, the Disposition Effect, and Asset Prices

Journal of Financial Economics, 2013, 107(3): 715-739
Number of pages: 70 Posted: 08 Mar 2011 Last Revised: 26 Feb 2016
Yan Li and Liyan Yang
Temple University - Department of Finance and University of Toronto - Rotman School of Management
Downloads 425 (188,164)
Citation 6

Abstract:

Prospect theory, Disposition effect, Momentum, Reversal