Author Page for Frank Weikai Li

1.

Days to Cover and Stock Returns

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Citation 5

2

Days to Cover and Stock Returns

29th Australasian Finance and Banking Conference 2016

Number of pages: 63 Posted: 26 Feb 2015 Last Revised: 11 Nov 2016

Harrison G. Hong, Frank Weikai Li, Sophie Xiaoyan Ni, José Scheinkman and Philip Yan

Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management

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Citation 2

Abstract:

Days to Cover and Stock Returns

NBER Working Paper No. w21166

Number of pages: 51 Posted: 18 May 2015 Last Revised: 02 May 2022

Harrison G. Hong, Frank Weikai Li, Sophie Xiaoyan Ni, José Scheinkman and Philip Yan

Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management

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Citation 3

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2.

Short Selling ETFs

Finance Down Under 2019 Building on the Best from the Cellars of Finance, Review of Asset Pricing Studies, Forthcoming

Number of pages: 60 Posted: 10 Sep 2016 Last Revised: 08 Dec 2021

Frank Weikai Li and Qifei Zhu

Singapore Management University - Lee Kong Chian School of Business and Nanyang Business School, Nanyang Technological University

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Citation 4

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3.

Climate Risks and Market Efficiency

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Citation 76

2

Climate Risks and Market Efficiency

Journal of Econometrics, Forthcoming

Number of pages: 42 Posted: 09 May 2016 Last Revised: 08 Sep 2017

Harrison G. Hong, Frank Weikai Li and Jiangmin Xu

Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business and Peking University - Guanghua School of Management

Downloads 1,931 (11,576)

Citation 2

Abstract:

Climate Risks and Market Efficiency

NBER Working Paper No. w22890

Number of pages: 79 Posted: 05 Dec 2016

Harrison G. Hong, Frank Weikai Li and Jiangmin Xu

Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business and Peking University - Guanghua School of Management

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Citation 54

Abstract:

4.

What's Hot in Finance (2011-2015)?

Number of pages: 91 Posted: 04 Mar 2016 Last Revised: 07 Mar 2016

Utpal Bhattacharya, Ailin Dong, Frank Weikai Li, Fangyuan Ma and Beichen Wang

HKUST Business School, Hong Kong University of Science & Technology (HKUST) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business, Chinese University of Hong Kong (CUHK) - Department of Finance and Hong Kong University of Science & Technology (HKUST)

Downloads 1,446 (18,549)

Citation 1

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5.

Is Carbon Risk Priced in the Cross-Section of Corporate Bond Returns?

Number of pages: 73 Posted: 24 Nov 2020 Last Revised: 08 Feb 2022

Tinghua Duan, Frank Weikai Li and Quan Wen

IESEG School of Management, Singapore Management University - Lee Kong Chian School of Business and Georgetown University - Department of Finance

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Citation 3

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6.

ETF Momentum

Number of pages: 53 Posted: 22 Oct 2019 Last Revised: 03 Feb 2020

Frank Weikai Li, Melvyn Teo and Chloe (Chunliu) Yang

Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Fudan University - Fanhai International School of Finance (FISF)

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Citation 1

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7.

Climate Change Concerns and Mortgage Lending

Number of pages: 61 Posted: 16 Sep 2019 Last Revised: 25 Apr 2022

Tinghua Duan and Frank Weikai Li

IESEG School of Management and Singapore Management University - Lee Kong Chian School of Business

Downloads 865 (39,096)

Citation 3

Abstract:

8.

The Gender Effects of COVID-19 on Equity Analysts

Number of pages: 48 Posted: 10 Jun 2021 Last Revised: 26 Oct 2021

Frank Weikai Li and Baolian Wang

Singapore Management University - Lee Kong Chian School of Business and University of Florida - Department of Finance, Insurance and Real Estate

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Abstract:

9.

Exchange-Traded Funds and Real Investment

Review of Financial Studies, forthcoming

Number of pages: 91 Posted: 24 Feb 2018 Last Revised: 16 May 2022

Constantinos Antoniou, Frank Weikai Li, Xuewen Liu, Avanidhar Subrahmanyam and Chengzhu Sun

University of Warwick - Warwick Business School, Singapore Management University - Lee Kong Chian School of Business, University of Hong Kong (HKU) - Finance Area, Faculty of Business and Economics, University of California, Los Angeles (UCLA) - Finance Area and The Hong Kong Polytechnic University

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Citation 3

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10.

Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Asian Finance Association (AsianFA) 2018 Conference, Journal of Economic Dynamics and Control, Forthcoming

Number of pages: 56 Posted: 11 Sep 2017 Last Revised: 11 Apr 2022

Frank Weikai Li and Chengzhu Sun

Singapore Management University - Lee Kong Chian School of Business and The Hong Kong Polytechnic University

Downloads 747 (47,650)

Citation 4

Abstract:

11.

Security Analysts and Capital Market Anomalies

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 90 Posted: 14 Jan 2018 Last Revised: 21 Jun 2019

Li Guo, Frank Weikai Li and K.C. John Wei

Fudan University - School of Economics, Singapore Management University - Lee Kong Chian School of Business and Hong Kong Polytechnic University

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Citation 16

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12.

The Information Content of Sudden Insider Silence

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Number of pages: 68 Posted: 10 Dec 2015 Last Revised: 16 Feb 2018

Claire Yurong Hong and Frank Weikai Li

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Singapore Management University - Lee Kong Chian School of Business

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Citation 1

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13.

Macro Disagreement and the Cross-Section of Stock Returns

Review of Asset Pricing Studies, Forthcoming

Number of pages: 54 Posted: 12 Apr 2014 Last Revised: 19 Apr 2016

Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

Downloads 544 (71,538)

Citation 1

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14.

Momentum Life Cycle around the World and Beyond

Asian Finance Association (AsianFA) 2015 Conference Paper

Number of pages: 72 Posted: 16 Feb 2015 Last Revised: 19 Jan 2018

Frank Weikai Li and K.C. John Wei

Singapore Management University - Lee Kong Chian School of Business and Hong Kong Polytechnic University

Downloads 485 (82,712)

Citation 2

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15.

Do Firms Adapt to Rising Temperatures? Evidence from Establishment-Level Data

Number of pages: 61 Posted: 06 May 2020 Last Revised: 23 Aug 2021

Zuben JIN, Frank Weikai Li, Yupeng Lin and Zilong Zhang

Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, National University of Singapore and City University of Hong Kong

Downloads 457 (88,412)

Citation 1

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16.

Geographic Links and Predictable Returns

Number of pages: 56 Posted: 29 Jun 2020 Last Revised: 24 Apr 2021

Zuben JIN and Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business

Downloads 429 (96,153)

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17.

Inside Brokers

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 101 Posted: 15 Aug 2016 Last Revised: 09 Sep 2020

Frank Weikai Li, Abhiroop Mukherjee and Rik Sen

Singapore Management University - Lee Kong Chian School of Business, Hong Kong University of Science & Technology (HKUST) - Department of Finance and University of New South Wales (UNSW)

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Citation 4

Abstract:

18.

Do Foreign Institutional Investors Deter Opportunistic Insider Trading?

Number of pages: 73 Posted: 06 Sep 2018 Last Revised: 08 Sep 2020

Claire Yurong Hong, Frank Weikai Li and Qifei Zhu

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Singapore Management University - Lee Kong Chian School of Business and Nanyang Business School, Nanyang Technological University

Downloads 383 (109,379)

Citation 1

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19.

Something in the Air: Does Air Pollution Affect Fund Managers’ Carbon Divestment?

Number of pages: 80 Posted: 23 Aug 2021 Last Revised: 05 Jul 2022

Thanh Huynh, Frank Weikai Li and Ying Xia

Monash University - Department of Banking and Finance, Singapore Management University - Lee Kong Chian School of Business and Monash University - Monash Business School

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20.

A Behavioral Signaling Explanation for Stock Splits: Evidence from China

Number of pages: 72 Posted: 12 Mar 2020 Last Revised: 22 Feb 2022

Chenyu Cui, Frank Weikai Li, Jiaren Pang and Deren Xie

University of International Business and Economics (UIBE) - Business School, Singapore Management University - Lee Kong Chian School of Business, Tsinghua University - School of Economics & Management and Tsinghua University

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Citation 1

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21.

Naïve Earnings Growth Extrapolation

Number of pages: 71 Posted: 04 Aug 2021 Last Revised: 15 Dec 2021

Chenyu Cui, Frank Weikai Li and Xinyi Zhang

University of International Business and Economics (UIBE) - Business School, Singapore Management University - Lee Kong Chian School of Business and Sun Yat-sen University (SYSU) - Business School

Downloads 173 (237,767)

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22.

Financial Intermediaries and Contagion in Market Efficiency: The Case of ETFs

Number of pages: 64 Posted: 30 Mar 2022 Last Revised: 22 Jun 2022

Claire Yurong Hong, Frank Weikai Li and Avanidhar Subrahmanyam

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Singapore Management University - Lee Kong Chian School of Business and University of California, Los Angeles (UCLA) - Finance Area

Downloads 162 (252,637)

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23.

Do Short Sellers Use Textual Information? Evidence from Annual Reports

Number of pages: 45 Posted: 16 Oct 2020 Last Revised: 25 Jan 2022

Hung Wan Kot, Frank Weikai Li, Ming Liu and K.C. John Wei

University of Macau - Department of Finance and Business Economics, Singapore Management University - Lee Kong Chian School of Business, University of Macau - Faculty of Business Administration and Hong Kong Polytechnic University

Downloads 134 (292,288)

Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

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Scholarly Papers (23)

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