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

19

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Top 8,323

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111

CROSSREF CITATIONS

37

Scholarly Papers (19)

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1.

Days to Cover and Stock Returns

Downloads 2,644 ( 5,460)
Citation 4

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
Downloads 2,604 (5,467)
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
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
Downloads 40 (496,423)
Citation 2

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2.

Climate Risks and Market Efficiency

Downloads 1,637 ( 12,031)
Citation 56

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 1,604 (12,166)
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 33 (527,017)
Citation 47

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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
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 1,352 (16,196)
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 1,142 (20,873)
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 673 (44,142)

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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 552 (56,911)
Citation 5

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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 491 (65,844)
Citation 1

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Insider Silence, Return Predictability, Underreaction, Information Content

8.

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 490 (66,020)
Citation 11

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Analysts; Analyst recommendations; Anomalies; Mispricing; Market efficiency

9.

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 485 (66,857)
Citation 3

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Macro Disagreement, Macroeconomic Risk Factors, Mispricing, Behavioral Finance

10.

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 457 (72,002)
Citation 2

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

11.

Climate Change Concerns and Mortgage Lending

Number of pages: 67 Posted: 16 Sep 2019 Last Revised: 20 Oct 2020
Tinghua Duan and Frank Weikai Li
IESEG School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 420 (79,687)
Citation 1

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Climate Change, Global Warming, Mortgage Lending, Temperature Anomaly

12.

The Real Effects of Exchange-Traded Funds

Number of pages: 70 Posted: 24 Feb 2018 Last Revised: 26 Jan 2020
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 Hong Kong University of Science & Technology (HKUST)
Downloads 400 (84,539)
Citation 3

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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: 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 Technological University (NTU) - Nanyang Business School
Downloads 270 (130,174)

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Foreign Institutional Ownership, Insider Trading, Monitoring

14.

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 229 (153,200)
Citation 4

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Insiders, Brokers, Analysts, Mutual Funds, Information Transmission

15.

Geographic Links and Predictable Returns

Number of pages: 55 Posted: 29 Jun 2020 Last Revised: 13 Jan 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 205 (170,204)

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Geography, Limited attention, Cross-asset momentum, Market efficiency

16.

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

Number of pages: 64 Posted: 06 May 2020 Last Revised: 08 Jan 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 176 (195,285)
Citation 1

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

17.

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

Number of pages: 72 Posted: 24 Nov 2020 Last Revised: 04 Jan 2021
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
Downloads 123 (261,142)

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

18.

A Behavioral Signaling Explanation for Stock Splits

Number of pages: 71 Posted: 12 Mar 2020 Last Revised: 12 Jan 2021
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 99 (303,935)

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Stock split, behavioral signaling, loss aversion

19.

Do Short Sellers Use Textual Information? Evidence from Annual Reports

Number of pages: 47 Posted: 16 Oct 2020
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 82 (341,981)

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