Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 5,460

SSRN RANKINGS

Top 5,460

in Total Papers Downloads

7,183

CITATIONS

1

Scholarly Papers (12)

1.
Downloads 2,377 ( 4,892)

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 2,358 (4,833)

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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 19 (511,061)

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2.

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 1,157 (15,957)

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

3.
Downloads 1,095 ( 17,292)

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 1,080 (17,319)

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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 15 (535,400)

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4.

Short Selling ETFs

Number of pages: 63 Posted: 10 Sep 2016 Last Revised: 08 Aug 2018
Frank Weikai Li and Qifei Zhu
Singapore Management University - Lee Kong Chian School of Business and Nanyang Technological University (NTU) - Nanyang Business School
Downloads 575 (42,763)

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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 430 (61,613)
Citation 1

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Macro Disagreement, Macroeconomic Risk Factors, Mispricing, Behavioral Finance

6.

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 414 (64,483)

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

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 Hong and Frank Weikai Li
Shanghai Advanced Institute of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 363 (75,302)

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Insider Silence, Return Predictability, Underreaction, Information Content

8.

Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 72 Posted: 11 Sep 2017 Last Revised: 10 Aug 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 261 (108,432)

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Information Acquisition, EDGAR Search, Return Predictability, Market Efficiency

9.
Downloads 258 (109,800)

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 133 (201,146)

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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 125 (211,430)

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Insiders, Brokers, Analysts, Information Transmission

10.

Security Analysts and Capital Market Anomalies

Number of pages: 68 Posted: 14 Jan 2018 Last Revised: 05 Sep 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 Polytechnic University
Downloads 124 (211,902)

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Analysts; Analyst recommendation; 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 101 (245,611)

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ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

12.

Monitoring from Afar: Do Foreign Institutional Investors Deter Insider Trading?

Number of pages: 72 Posted: 06 Sep 2018 Last Revised: 22 Sep 2018
Claire 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 28 (446,175)

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Foreign Institutional Ownership, Insider Trading, Monitoring