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Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

  • Singapore Management University - Lee Kong Chian School of Business

SCHOLARLY PAPERS

11

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6,580

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Scholarly Papers (11)

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1.

Days to Cover and Stock Returns

Downloads 2,309 ( 4,930)

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, Jose A. 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
Downloads 2,291 (4,884)

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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
Harrison G. Hong, Frank Weikai Li, Sophie Xiaoyan Ni, Jose A. 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
Downloads 18 (503,816)

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2.

Climate Risks and Market Efficiency

Downloads 978 ( 19,761)

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 964 (19,845)

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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 14 (527,488)
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3.

Short Selling ETFs

Number of pages: 72 Posted: 10 Sep 2016 Last Revised: 21 Feb 2018
Frank Weikai Li and Qifei Zhu
Singapore Management University - Lee Kong Chian School of Business and University of Texas at Austin, Department of Finance
Downloads 490 (50,625)

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

4.

Inside Brokers

Downloads 228 (120,558)

Inside Brokers

Number of pages: 61 Posted: 15 Aug 2016 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 117 (215,855)

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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 111 (224,419)

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Insiders, Brokers, Analysts, Information Transmission

5.

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 University of Science & Technology (HKUST) - Department of Finance
Downloads 194 (64,608)

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

6.

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 163 (60,421)
Citation 1

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Macro Disagreement, Macroeconomic Risk Factors, Mispricing, Behavioral Finance

7.

The Real Effects of Exchange Traded Funds

Number of pages: 64 Posted: 24 Feb 2018 Last Revised: 05 May 2018
Frank Weikai Li, Xuewen Liu and Chengzhu Sun
Singapore Management University - Lee Kong Chian School of Business, Hong Kong University of Science & Technology (HKUST) and Hong Kong University of Science & Technology (HKUST)
Downloads 0 (310,810)

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ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

8.

Security Analysts and Capital Market Anomalies

Number of pages: 71 Posted: 14 Jan 2018 Last Revised: 20 Apr 2018
Li Guo, Frank Weikai Li and K.C. John Wei
Singapore Management University, Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 0 (365,325)

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Analysts, Mispricing, Market Efficiency

9.

Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Number of pages: 62 Posted: 11 Sep 2017 Last Revised: 16 Apr 2018
Frank Weikai Li and Chengzhu Sun
Singapore Management University - Lee Kong Chian School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 0 (142,742)

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Information Acquisition, EDGAR Search, Return Predictability, Market Efficiency

10.

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
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 0 (16,391)

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

11.

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 Hong and Frank Weikai Li
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 0 (79,086)

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Insider Silence, Return Predictability, Underreaction, Information Content