Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 3,992

SSRN RANKINGS

Top 3,992

in Total Papers Downloads

10,565

SSRN CITATIONS
Rank 10,275

SSRN RANKINGS

Top 10,275

in Total Papers Citations

70

CROSSREF CITATIONS

37

Scholarly Papers (17)

1.
Downloads 2,588 ( 5,230)
Citation 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
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
Downloads 2,556 (5,243)
Citation 1

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Days to Cover, Crowded Trades, Stock Returns

Days to Cover and Stock Returns

NBER Working Paper No. w21166
Number of pages: 51 Posted: 18 May 2015
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
Downloads 32 (506,318)
Citation 1

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2.
Downloads 1,530 ( 12,443)
Citation 39

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 - Department of Finance
Downloads 1,498 (12,600)
Citation 2

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Climate Risks, Climate Change, Stock Market, Efficiency, Return Predictability

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 - Department of Finance
Downloads 32 (506,318)
Citation 35

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3.

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

Number of pages: 91 Posted: 04 Mar 2016 Last Revised: 07 Mar 2016
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, 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 1,313 (15,817)
Citation 1

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corporate finance, asset pricing, investments, market microstructure, financial intermediation

4.

Short Selling ETFs

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 57 Posted: 10 Sep 2016 Last Revised: 06 Sep 2019
Frank Weikai Li and Qifei Zhu
Singapore Management University - Lee Kong Chian School of Business and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 1,057 (21,906)
Citation 3

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ETFs, Short Selling, Equity Lending, Limits to Arbitrage, Market Efficiency

5.

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)
Downloads 509 (59,229)

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ETFs, Exchange traded funds, momentum, overreaction

6.

Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 75 Posted: 11 Sep 2017 Last Revised: 24 Feb 2020
Frank Weikai Li and Chengzhu Sun
Singapore Management University - Lee Kong Chian School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 492 (61,847)
Citation 4

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Information Acquisition, EDGAR Search, Return Predictability, Market Efficiency

7.

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
Downloads 474 (64,787)

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Insider Silence, Return Predictability, Underreaction, Information Content

8.

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 470 (65,428)
Citation 2

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Macro Disagreement, Macroeconomic Risk Factors, Mispricing, Behavioral Finance

9.

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 448 (69,358)
Citation 2

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Momentum life cycle; International; ETFs; Individualism; Limits to arbitrage; Momentum profits

10.

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
Downloads 393 (80,995)
Citation 6

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Analysts; Analyst recommendations; Anomalies; Mispricing; Market efficiency

11.
Downloads 342 ( 95,080)
Citation 3

Inside Brokers

Number of pages: 55 Posted: 15 Aug 2016 Last Revised: 12 Dec 2018
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)
Downloads 198 (166,056)
Citation 3

Abstract:

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Insiders, Brokers, Analysts, Mutual Funds, Information Transmission

Inside Brokers

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 61 Posted: 12 Jan 2017 Last Revised: 18 Oct 2017
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)
Downloads 144 (219,383)

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Insiders, Brokers, Analysts, Information Transmission

12.

The Real Effects of Exchange-Traded Funds

Number of pages: 70 Posted: 24 Feb 2018 Last Revised: 26 Jan 2020
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 Hong Kong University of Science & Technology (HKUST)
Downloads 284 (116,415)
Citation 2

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ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

13.

Do Foreign Institutional Investors Deter Opportunistic Insider Trading?

Number of pages: 73 Posted: 06 Sep 2018 Last Revised: 17 Oct 2019
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 Technological University (NTU) - Nanyang Business School
Downloads 244 (136,246)

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Foreign Institutional Ownership, Insider Trading, Monitoring

14.

Climate Change Concerns and Mortgage Lending

Number of pages: 66 Posted: 16 Sep 2019 Last Revised: 21 May 2020
Tinghua Duan and Frank Weikai Li
IESEG School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 240 (138,508)
Citation 1

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Climate Change, Global Warming, Mortgage Lending, Temperature Anomaly

15.

Do Firms Adapt to Climate Change? Evidence from Establishment-Level Data

Number of pages: 42 Posted: 06 May 2020
Frank Weikai Li, Yupeng Lin, Zuben JIN and Zilong Zhang
Singapore Management University - Lee Kong Chian School of Business, National University of Singapore, Singapore Management University - Lee Kong Chian School of Business and City University of Hong Kong
Downloads 97 (292,327)

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Climate change, employment, economic establishments, adaptation, abnormal temperatures

16.

A Behavioral Signaling Explanation for Stock Splits: Evidence from China

Number of pages: 65 Posted: 12 Mar 2020
Chenyu Cui, Frank Weikai Li, Jiaren Pang and Deren Xie
Tsinghua University - School of Economics & Management, Singapore Management University - Lee Kong Chian School of Business, Tsinghua University - School of Economics & Management and Tsinghua University
Downloads 32 (493,841)

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Stock split, behavioral signaling, nominal price illusion, loss aversion

17.

Geographic Links and Predictable Returns

Number of pages: 50 Posted: 29 Jun 2020
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 52

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Geographic information, Linked firms, Limited attention, Cross-asset momentum