Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 4,725

SSRN RANKINGS

Top 4,725

in Total Papers Downloads

8,742

SSRN CITATIONS
Rank 13,847

SSRN RANKINGS

Top 13,847

in Total Papers Citations

30

CROSSREF CITATIONS

33

Scholarly Papers (15)

1.
Downloads 2,531 ( 4,913)
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 2,504 (4,905)
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 27 (500,953)
Citation 1

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2.
Downloads 1,354 ( 13,839)
Citation 20

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 1,328 (13,953)
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 26 (506,951)
Citation 8

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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 1,263 (15,371)
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 753 (32,647)
Citation 2

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

5.

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 453 (63,284)
Citation 2

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Macro Disagreement, Macroeconomic Risk Factors, Mispricing, Behavioral Finance

6.

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 Advanced Institute of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 447 (64,277)

Abstract:

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Insider Silence, Return Predictability, Underreaction, Information Content

7.

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 437 (66,061)
Citation 2

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

8.

Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 76 Posted: 11 Sep 2017 Last Revised: 29 Sep 2019
Frank Weikai Li and Chengzhu Sun
Singapore Management University - Lee Kong Chian School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 403 (72,879)
Citation 4

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Information Acquisition, EDGAR Search, Return Predictability, Market Efficiency

9.
Downloads 310 ( 98,198)
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 175 (173,013)
Citation 4

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 135 (215,485)

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Insiders, Brokers, Analysts, Information Transmission

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
Singapore Management University, Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Hong Kong Polytechnic University
Downloads 301 (101,360)
Citation 4

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Analysts; Analyst recommendations; Anomalies; Mispricing; Market efficiency

11.

The Real Effects of Exchange Traded Funds

Number of pages: 66 Posted: 24 Feb 2018 Last Revised: 12 Oct 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 204 (150,377)
Citation 1

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ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

12.

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 Advanced Institute of Finance, Singapore Management University - Lee Kong Chian School of Business and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 182 (167,836)

Abstract:

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Foreign Institutional Ownership, Insider Trading, Monitoring

13.

Worrying About Climate Change: Evidence from Mortgage Lending

Number of pages: 54 Posted: 16 Sep 2019
Tinghua Duan and Frank Weikai Li
IÉSEG School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 52 (385,125)

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Climate Change, Global Warming, Mortgage Lending, Temperature Anomaly

14.

Learning through Difficult Times: Evidence from Financial Analysts

Number of pages: 41 Posted: 18 Jul 2019
Lei Gong, Frank Weikai Li and Zilong Zhang
Peking University, Singapore Management University - Lee Kong Chian School of Business and City University of Hong Kong
Downloads 42 (420,524)

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Industry shocks; Experience; Forecast accuracy; Analysts

15.

ETF Momentum

Number of pages: 46 Posted: 22 Oct 2019
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 10

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ETFs, Exchange traded funds, momentum, overreaction