Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 2,430

in Total Papers Downloads

22,153

SSRN CITATIONS
Rank 4,048

SSRN RANKINGS

Top 4,048

in Total Papers Citations

343

CROSSREF CITATIONS

39

Scholarly Papers (27)

1.
Downloads 2,945 ( 7,037)
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 2,856 (7,240)
Citation 2

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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 Last Revised: 03 May 2023
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 89 (456,162)
Citation 1

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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
Downloads 2,306 (10,326)
Citation 4

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ETFs, Short Selling, Equity Lending, Limits to Arbitrage

3.
Downloads 2,194 (11,224)
Citation 160

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 2,109 (11,717)
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 Last Revised: 16 Jan 2023
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 85 (469,632)
Citation 54

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4.

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

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 85 Posted: 24 Nov 2020 Last Revised: 17 Feb 2023
Tinghua Duan, Frank Weikai Li and Quan Wen
IESEG School of Management, Singapore Management University - Lee Kong Chian School of Business and McDonough School of Business, Georgetown University
Downloads 1,982 (13,187)
Citation 8

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Climate change, Carbon emissions, Corporate bond returns, ESG investing

5.

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

Number of pages: 91 Posted: 04 Mar 2016 Last Revised: 07 Mar 2016
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 1,489 (20,529)
Citation 1

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

6.

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 1,130 (30,948)
Citation 3

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Climate Change, Global Warming, Mortgage Lending, Temperature Anomaly

7.

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 1,062 (33,819)
Citation 1

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ETFs, Exchange traded funds, momentum, overreaction

8.

Exchange-Traded Funds and Real Investment

Review of Financial Studies, forthcoming
Number of pages: 91 Posted: 24 Feb 2018 Last Revised: 16 May 2022
University of Warwick - Warwick Business School, Singapore Management University - Lee Kong Chian School of Business, University of Hong Kong (HKU), HKU Business School, University of California, Los Angeles (UCLA) - Finance Area and The Hong Kong Polytechnic University
Downloads 1,048 (34,502)
Citation 6

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ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

9.

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
Downloads 997 (36,918)
Citation 2

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COVID-19; pandemic; financial analysts; gender gap; decision heuristics

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 804 (49,669)
Citation 9

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Endogenous Information Acquisition, EDGAR Search, SEC Filings

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
Downloads 741 (55,452)
Citation 16

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Analysts; Analyst recommendations; Anomalies; Mispricing; Market efficiency

12.

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
Southwestern University of Finance and Economics (SWUFE), Singapore Management University - Lee Kong Chian School of Business, National University of Singapore (NUS) - NUS Business School and Zhejiang University
Downloads 654 (65,322)
Citation 1

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High temperatures, climate change, employment, upskilling, economic establishments, adaptation

13.

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 2023
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 654 (65,322)
Citation 3

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Insider Silence, Return Predictability, Underreaction, Information Content

14.

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 571 (77,573)
Citation 1

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Macro Disagreement, Macroeconomic Risk Factors, Mispricing, Behavioral Finance

15.

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 533 (84,723)
Citation 2

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

16.

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

Number of pages: 83 Posted: 23 Aug 2021 Last Revised: 09 Mar 2023
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
Downloads 526 (85,943)

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Air Quality Index, Mutual Funds, Carbon Divestment, Salience Bias

17.

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 454 (102,592)
Citation 1

Abstract:

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Foreign Institutional Ownership, Insider Trading, Monitoring

18.

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)
Downloads 440 (106,514)
Citation 4

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Insiders, Brokers, Analysts, Mutual Funds, Information Transmission

19.

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

Number of pages: 67 Posted: 30 Mar 2022 Last Revised: 23 Jan 2023
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 287 (170,551)

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ETFs, financial intermediaries, capital constraints

20.

Naïve Earnings Growth Extrapolation

Number of pages: 62 Posted: 04 Aug 2021 Last Revised: 23 Oct 2022
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 259 (189,280)

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Extrapolation, Earnings Announcements, Speculative Trading, Financial Reporting

21.

Customer Concentration and Corporate Carbon Emissions

Number of pages: 60 Posted: 09 Aug 2022 Last Revised: 21 Nov 2022
Saiying Deng, Tinghua Duan, Frank Weikai Li and Xiaoling Pu
Kent State University, IESEG School of Management, Singapore Management University - Lee Kong Chian School of Business and Kent State University - Department of Finance
Downloads 243 (201,536)

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Customer-supplier relationships; Customer concentration; Carbon emissions

22.

Sentiment, Limited Attention and Factor Models

Number of pages: 65 Posted: 01 Nov 2022 Last Revised: 25 Jan 2023
Xinrui Duan, Li Guo, Frank Weikai Li and Jun Tu
Shenzhen University - Shenzhen Audencia Financial Technology Institute, Fudan University - School of Economics, Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 242 (202,323)

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Sentiment, Limited Attention, Valuation Uncertainty, Factor Models, Return Predictability.

23.

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
Downloads 230 (212,583)
Citation 2

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Stock split, behavioral signaling, behavioral bias

24.

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 171 (278,244)

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Short selling; Annual reports; Textual analysis; Stock returns; Information environment

25.

Does Abstract Thinking Facilitate Information Processing? Evidence from Financial Analysts

Number of pages: 68 Posted: 11 Dec 2022
Zuben JIN, Frank Weikai Li, Rong Wang and Gloria Yang Yu
Southwestern University of Finance and Economics (SWUFE), Singapore Management University - Lee Kong Chian School of Business, Singapore Management University and Singapore Management University - Lee Kong Chian School of Business
Downloads 93 (442,939)

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Abstract thinking, equity analyst, information processing, forecast accuracy

A Behavioral Signaling Explanation for Stock Splits

Number of pages: 72 Posted: 23 Nov 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 and Tsinghua University
Downloads 48 (641,397)

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Stock split, behavioral signaling, behavioral bias

A Behavioral Signaling Explanation for Stock Splits

Number of pages: 72 Posted: 20 Jul 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 and Tsinghua University
Downloads 29 (764,578)

Abstract:

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Stock split, behavioral signaling, behavioral bias

27.

Do Short Sellers Pay Attention to Annual Reports?

Number of pages: 55 Posted: 29 Jan 2023
Hung Wan Kot, Frank Weikai Li, Ming Liu and K.C. John Wei
University of Macau, Singapore Management University - Lee Kong Chian School of Business, University of Macau - Faculty of Business Administration and Hong Kong Polytechnic University
Downloads 21 (813,309)

Abstract:

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Short selling, Annual reports, Textual analysis, stock returns, Information environment