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

17

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SSRN CITATIONS
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Top 10,275

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70

CROSSREF CITATIONS

37

Scholarly Papers (17)

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1.

Days to Cover and Stock Returns

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
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 2,556 (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
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 32 (506,318)
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2.

Climate Risks and Market Efficiency

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
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 1,313 (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.

Inside Brokers

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

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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
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 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