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Haitao Li

University of Michigan - Stephen M. Ross School of Business

701 Tappan Street

Ann Arbor, MI MI 48109

United States

Cheung Kong Graduate School of Business

Oriental Plaza, Tower E3

One East Chang An Avenue

Beijing, 100738

China

Cheung Kong Graduate School of Business

Oriental Plaza, Tower E3

One East Chang An Avenue

Beijing, 100738

China

  • University of Michigan - Stephen M. Ross School of Business

    • Email
    • Tel: 734-615-5475

  • Cheung Kong Graduate School of Business

  • Cheung Kong Graduate School of Business

SCHOLARLY PAPERS

27

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12,946

CITATIONS
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Top 2,399

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233

Scholarly Papers (27)

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1.

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Downloads 3,216 ( 2,497)
Citation 16

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Number of pages: 41 Posted: 03 Jun 2007 Last Revised: 18 Mar 2008
Haitao Li, Rui Zhao and Xiaoyan Zhang
University of Michigan - Stephen M. Ross School of Business, BlackRock, Inc. and Purdue University - Krannert School of Management
Downloads 2,994 (2,792)
Citation 16

Abstract:

hedge fund performance, manager characteristics, hedge fund flows

Investing in Talents: Manager Characteristics and Hedge Fund Performances

Number of pages: 41 Posted: 18 Mar 2008
Haitao Li, Rui Zhao and Xiaoyan Zhang
University of Michigan - Stephen M. Ross School of Business, BlackRock, Inc. and Purdue University - Krannert School of Management
Downloads 222 (115,516)
Citation 16

Abstract:

hedge fund performance, manager characteristics, hedge fund flows

2.

Corporate Use of Interest Rate Swaps: Theory and Evidence

Downloads 939 ( 19,299)
Citation 5

Corporate Use of Interest Rate Swaps: Theory and Evidence

Number of pages: 43 Posted: 04 Dec 2002
Connie X. Mao and Haitao Li
Temple University - Fox School of Business and Management and University of Michigan - Stephen M. Ross School of Business
Downloads 939 (18,944)
Citation 5

Abstract:

Interest rate swap, Agency costs, Information Asymmetry, Bank loan, Comparative advantage

Corporate Use of Interest Rate Swaps: Theory and Evidence

Forthcoming in Journal of Banking and Finance
Posted: 04 Dec 2002
Connie X. Mao and Haitao Li
Temple University - Fox School of Business and Management and University of Michigan - Stephen M. Ross School of Business

Abstract:

Interest rate swap, Agency costs, Information Asymmetry, Bank loan, Comparative advantage

3.

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

Downloads 893 ( 20,788)
Citation 4

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

Number of pages: 45 Posted: 22 Mar 2007
Robert A. Jarrow, Haitao Li, Sheen Liu and Chunchi Wu
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Michigan - Stephen M. Ross School of Business, Youngstown State University - Williamson College of Business Administration and SUNY at Buffalo - School of Management
Downloads 571 (38,150)
Citation 4

Abstract:

Callable bond, reduced-form

Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence

AFA 2009 San Francisco Meetings Paper
Number of pages: 44 Posted: 25 Mar 2008 Last Revised: 12 Oct 2008
Robert A. Jarrow, Haitao Li, Sheen Liu and Chunchi Wu
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Michigan - Stephen M. Ross School of Business, Washington State University - Vancouver and SUNY at Buffalo - School of Management
Downloads 322 (77,446)
Citation 4

Abstract:

4.

Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses

Downloads 834 ( 23,018)
Citation 96

Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses

Number of pages: 50 Posted: 01 Apr 2003
Warren Bailey, Haitao Li, Connie X. Mao and Rui Zhong
Cornell University, University of Michigan - Stephen M. Ross School of Business, Temple University - Fox School of Business and Management and Cheung Kong Graduate School of Business and University of Texas at Arlington
Downloads 834 (22,644)
Citation 96

Abstract:

Regulation Fair Disclosure, Reg FD, earnings announcements, market reaction, event study

Regulation Fair Disclosure and Earnings Information: Market, Analyst, and Corporate Responses

Journal of Finance, Forthcoming
Posted: 01 Apr 2003
Warren Bailey, Haitao Li, Connie X. Mao and Rui Zhong
Cornell University, University of Michigan - Stephen M. Ross School of Business, Temple University - Fox School of Business and Management and Cheung Kong Graduate School of Business and University of Texas at Arlington

Abstract:

Regulation Fair Disclosure, Reg FD, earnings announcements, market reaction, event study

5.

Liquidity, Information Risk, and Asset Pricing: Evidence from the U.S. Government Bond Market

AFA 2006 Boston Meetings Paper
Number of pages: 60 Posted: 23 Mar 2005
Chunchi Wu, Haitao Li, Yan He and Junbo Wang
SUNY at Buffalo - School of Management, University of Michigan - Stephen M. Ross School of Business, Indiana University Southeast - School of Business and affiliation not provided to SSRN
Downloads 751 (25,239)
Citation 1

Abstract:

Information risk, Liquidity risk, PIN, asset pricing, order imbalance

6.

Can Survival Bias Explain the 'Equity Premium Puzzle'?

Number of pages: 33 Posted: 15 May 1999
Yuewu Xu and Haitao Li
Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and University of Michigan - Stephen M. Ross School of Business
Downloads 603 (35,414)
Citation 13

Abstract:

7.

Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates

EFA 2003 Annual Conference Paper No. 843
Number of pages: 34 Posted: 03 Aug 2003
Yongmiao Hong, Haitao Li and Feng Zhao
Cornell University - Department of Economics, University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Downloads 534 (39,856)
Citation 10

Abstract:

density forecasts, eurodollar, GARCH, intraday exchange rate, jumps, maximum likelihood estimation, nonlinear time series, out-of-sample forecasts, regime-switching

8.

Regulation FD and Market Behavior around Earnings Announcements: Is the Cure Worse than the Disease?

Number of pages: 30 Posted: 28 May 2002
Warren Bailey, Haitao Li, Connie X. Mao and Rui Zhong
Cornell University, University of Michigan - Stephen M. Ross School of Business, Temple University - Fox School of Business and Management and Cheung Kong Graduate School of Business and University of Texas at Arlington
Downloads 518 (42,546)
Citation 2

Abstract:

Regulation FD, Fair Disclosure, earnings announcements, market reaction, event study

9.

Out-of-Sample Performance of Spot Interest Rate Models

Number of pages: 38 Posted: 12 Oct 2002
Haitao Li, Yongmiao Hong and Feng Zhao
University of Michigan - Stephen M. Ross School of Business, Cornell University - Department of Economics and University of Texas at Dallas - Jindal School of Management
Downloads 510 (43,567)
Citation 10

Abstract:

Density forecasts, Diffusion model, GARCH, Generalized spectrum, Jumps, Out-of-sample forecasts, Nonlinear time series, Parameter estimation uncertainty, Regime-Switching, Short-term interest rate, Transition density

10.

Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates

EFA 2002 Berlin Meetings Presented Paper; Cornell University Working Paper
Number of pages: 48 Posted: 20 Mar 2002
Yongmiao Hong and Haitao Li
Cornell University - Department of Economics and University of Michigan - Stephen M. Ross School of Business
Downloads 472 (48,064)
Citation 18

Abstract:

Boundary bias, Continuous-time model, Generalized residual, Hellinger metric, Kernel method, Parameter estimation uncertainty, Probability integral transform, Quadratic form, Short-term interest rate, Transition density

11.

Sovereign CDS Spreads with Credit Rating

Number of pages: 68 Posted: 21 Jan 2014 Last Revised: 10 Mar 2017
Haitao Li, Tao Li and Xuewei Yang
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Nanjing University - School of Management and Engineering
Downloads 421 (27,665)

Abstract:

Credit Rating, Sovereign Credit Risk, Credit Default Swap, Systematic Risk, Eurozone Debt Crisis, Implied Credit Rating

12.

Forecasting the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk?

EFA 2003 Annual Conference Paper No. 820
Number of pages: 33 Posted: 01 Aug 2003
Yongmiao Hong, Haitao Li and Alexei V. Egorov
Cornell University - Department of Economics, University of Michigan - Stephen M. Ross School of Business and West Virginia University - College of Business & Economics
Downloads 359 (66,783)
Citation 6

Abstract:

Density forecast, Affine term structure models, Probability integral transform, Financial risk management, Value-at-Risk, Fixed-income portfolio management

13.

Short Rate Dynamics and Regime Shifts

Downloads 335 ( 74,529)
Citation 5

Short Rate Dynamics and Regime Shifts

Number of pages: 45 Posted: 12 Oct 2002
Yuewu Xu and Haitao Li
Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and University of Michigan - Stephen M. Ross School of Business
Downloads 332 (74,745)
Citation 5

Abstract:

Regime Switching, Likelihood Ratio Test, Nonlinear Drift

Short Rate Dynamics and Regime Shifts

International Review of Finance, Vol. 9, Issue 3, pp. 211-241, September 2009
Number of pages: 31 Posted: 13 Oct 2009
Haitao Li and Yuewu Xu
University of Michigan - Stephen M. Ross School of Business and Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Downloads 3 (563,256)
Citation 5
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Abstract:

14.

No-Arbitrage Taylor Rules with Switching Regimes

Downloads 325 ( 77,146)
Citation 1

No-Arbitrage Taylor Rules with Switching Regimes

Number of pages: 39 Posted: 12 Jan 2011 Last Revised: 17 Sep 2012
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 281 (90,316)
Citation 1

Abstract:

Taylor rule, Term structure, Regime-switching, MCMC

No-Arbitrage Taylor Rules with Switching Regimes

Management Science, vol 59, pp 2278-2294.
Number of pages: 39 Posted: 13 Nov 2012 Last Revised: 12 Feb 2014
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 44 (358,096)
Citation 1

Abstract:

Taylor rule, term structure, regime-switching, MCMC

15.

CDS-Bond Basis and Bond Return Predictability

Journal of Empirical Finance, Vol. 38, 307-337, September 2016
Number of pages: 69 Posted: 22 Jan 2014 Last Revised: 04 Jan 2017
Gi H. Kim, Haitao Li and Weina Zhang
Warwick Business School - University of Warwick, University of Michigan - Stephen M. Ross School of Business and Department of Finance, National University of Singapore
Downloads 296 (56,011)

Abstract:

Credit default swaps, CDS-bond basis, basis arbitrage, corporate bonds, financial crisis, limits of arbitrage, price convergence

16.

A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates

Journal of Econometrics, Forthcoming
Number of pages: 39 Posted: 23 Mar 2008
Alexei V. Egorov, Haitao Li and David T. Ng
West Virginia University - College of Business & Economics, University of Michigan - Stephen M. Ross School of Business and Cornell University
Downloads 261 (90,784)
Citation 8

Abstract:

Affine term structure models, International term structure models, Approximate Maximum Likelihood, LIBOR, Euribor, Specification analysis of term structure of interest rates, Out-of-sample model evaluation.

17.

Survival Bias and the Equity Premium Puzzle

Downloads 245 (105,013)
Citation 15

Survival Bias and the Equity Premium Puzzle

Number of pages: 23 Posted: 25 Feb 2002
Yuewu Xu and Haitao Li
Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and University of Michigan - Stephen M. Ross School of Business
Downloads 245 (104,564)
Citation 15

Abstract:

survival bias, equity premium

Survival Bias and the Equity Premium Puzzle

Journal of Finance, Vol. 57, October 2002
Posted: 27 May 2002
Yuewu Xu and Haitao Li
Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and University of Michigan - Stephen M. Ross School of Business

Abstract:

survival bias, equity premium

18.

The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns

Journal of Futures Markets, Vol. 37, 836-861, August 2017
Number of pages: 42 Posted: 22 Mar 2011 Last Revised: 26 Aug 2017
Gi H. Kim, Haitao Li and Weina Zhang
Warwick Business School - University of Warwick, University of Michigan - Stephen M. Ross School of Business and Department of Finance, National University of Singapore
Downloads 205 (109,651)
Citation 2

Abstract:

Credit Default Swap, CDS-Bond Basis Arbitrage, Corporate Bond Returns, Basis Risk Factor, Financial Crisis, Funding Liquidity, Counterparty Risk, Limits-to-Arbitrage

19.

Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions

Downloads 182 (140,067)
Citation 9

Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions

Number of pages: 51 Posted: 17 Sep 2002
Alexei V. Egorov, Haitao Li and Yuewu Xu
West Virginia University - College of Business & Economics, University of Michigan - Stephen M. Ross School of Business and Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Downloads 182 (140,038)
Citation 9

Abstract:

Maximum likelihood estimation, time-inhomogeneous diffusion, transition density, Hermite expansion

Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions

Journal of Econometrics, Forthcoming
Posted: 17 Sep 2002
Alexei V. Egorov, Haitao Li and Yuewu Xu
West Virginia University - College of Business & Economics, University of Michigan - Stephen M. Ross School of Business and Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)

Abstract:

Maximum likelihood estimation, time-inhomogeneous diffusion, transition density, Hermite expansion

20.

Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance

Number of pages: 46 Posted: 25 Mar 2008
Haitao Li, Yuewu Xu and Xiaoyan Zhang
University of Michigan - Stephen M. Ross School of Business, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and Purdue University - Krannert School of Management
Downloads 166 (145,024)
Citation 8

Abstract:

Stochastic Discount Factor, Specification Tests, Model Selection, HJ distance, Arbitrage

21.

A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence

Number of pages: 65 Posted: 02 Oct 2012 Last Revised: 01 Aug 2016
Haitao Li, Xiaoxia Ye and Fan Yu
University of Michigan - Stephen M. Ross School of Business, University of Bradford - School of Management and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 69 (212,686)

Abstract:

Non-Markov; Gaussian Dynamic Term Structure Models; Excess Returns; International Bond Markets; Moving Averages; Forecasting

22.

Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?

AFA 2013 San Diego Meetings Paper
Number of pages: 17 Posted: 17 Mar 2012
Haitao Li and Feng Zhao
University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Downloads 63 (247,562)

Abstract:

CDX index and tranches, copula model, economic catastrophe risk, fat tail

23.

MCMC Estimation of Lvy Jump Models Using Stock and Option Prices

Mathematical Finance, Vol. 21, Issue 3, pp. 383-422, 2011
Number of pages: 40 Posted: 20 May 2011
Cindy Yu, Haitao Li and Martin T. Wells
Iowa State University, University of Michigan - Stephen M. Ross School of Business and Cornell University - Law School
Downloads 2 (544,333)
Citation 2
  • Add to Cart

Abstract:

Levy processes, variance gamma model, Markov Chain Monte Carlo, option pricing

24.

Optimal Monetary Policy and Term Structure in a Continuous-Time DSGE Model

Number of pages: 52 Posted: 29 Nov 2016 Last Revised: 24 Sep 2017
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 0 (279,493)

Abstract:

Optimal monetary policy, Taylor rule, Term structure of interest rates, New Keynesian, Macroeconomic stability

25.

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4335-4376, 2009
Posted: 08 Dec 2009
Haitao Li and Feng Zhao
University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management

Abstract:

26.

A Bayesian Analysis of Return Dynamics with Lévy Jumps

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2345-2378, 2008
Posted: 19 Sep 2008
Haitao Li, Martin T. Wells and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, Cornell University - Law School and Iowa State University

Abstract:

G12, C11, C15, C32

27.

Pricing of Swaps with Default Risk

Review of Derivatives Research, Vol. 2, 1998
Posted: 12 Oct 2002
Haitao Li
University of Michigan - Stephen M. Ross School of Business

Abstract:

credit risk, interest rate swaps, currency swaps, contingent claim analysis

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