Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 5,870

in Total Papers Downloads

6,580

CITATIONS

1

Scholarly Papers (11)

1.
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
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
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.
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.
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
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