Lei Shi

Macquarie University

New South Wales 2109

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

1.

Zero-Beta CAPM with Heterogeneous Beliefs

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 35 Posted: 27 Aug 2007 Last Revised: 20 Jun 2008
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 387 (75,696)
Citation 1

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asset prices, heterogeneous beliefs, portfolio analysis, zero-beta CAPM, optimality

2.

A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs

Journal of Management Science and Engineering, Forthcoming, Australian Centre for Financial Studies - Finsia Banking and Finance Conference 2010
Number of pages: 27 Posted: 12 Jul 2010 Last Revised: 23 Sep 2016
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 142 (204,539)

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asset prices; heterogeneous beliefs; binomial trees; options;

3.

A Behavioral Model of Investor Sentiment in Limit Order Markets

Forthcoming in Quantitative Finance
Number of pages: 40 Posted: 29 Apr 2016
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie University and Business School of Sun Yat-sen Univerisity
Downloads 126 (224,894)

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stylized facts; noise trading; behavioral sentiment

4.

Social Interaction, Stochastic Volatility, and Momentum

Number of pages: 39 Posted: 17 Feb 2017
Xuezhong He, Kai Li and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Macquarie University
Downloads 106 (254,952)

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Social interactions, asset pricing, heterogeneous beliefs, learning, volatility regimes and clustering, time series momentum and reversal

5.

Disagreement, Excess Volatility and Comovement in Stock Returns

Number of pages: 54 Posted: 04 Apr 2012 Last Revised: 22 Jul 2017
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 106 (254,952)

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Excess volatility; Excess comovement; Belief dispersion; Belief correlation; General equilibrium

6.

Asset Pricing Under Keeping Up with the Joneses and Heterogeneous Beliefs

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 28 Posted: 02 Apr 2012
Xuezhong He, Lei Shi and Min Zheng
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie University and China Institute for Actuarial Science, Central University of Finance and Economics, China
Downloads 105 (256,690)

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Keeping up with the Joneses, heterogeneous beliefs, market selection, cyclical behaviour, price-dividend ratio, equity premium, risk-free rate

7.

Index Portfolio and Welfare Analysis under Heterogeneous Beliefs

Journal of Banking and Finance, Forthcoming
Number of pages: 41 Posted: 29 Mar 2012 Last Revised: 07 Nov 2016
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 101 (263,558)

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Index funds; Active investing; Welfare analysis; Differences in opinion; General equilibrium model

8.

The Social Value of Asymmetric Information Revisited

Number of pages: 43 Posted: 28 Feb 2019
Xuezhong He, Lei Shi and Marco Tolotti
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie University and Ca Foscari University of Venice - Department of Management
Downloads 38 (433,065)

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information uncertainty, risk premium, efficiency, welfare

9.

Position-Limit Design for the CSI 300 Futures Markets

Economic Systems, Vol. 39, 2015
Number of pages: 29 Posted: 29 May 2014 Last Revised: 28 Apr 2016
Business School of Sun Yat-sen Univerisity, Tianjin University - College of Management and Economics, College of Management and Economics and China Center for Social Computing and Analytics and Macquarie University
Downloads 37 (437,135)

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Position limit, stock index futures, agent-based modeling, market quality

10.

Consumption-Based CAPM with Belief Heterogeneity

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 30 Posted: 22 Aug 2014 Last Revised: 12 Feb 2016
Lei Shi
Macquarie University
Downloads 36 (441,217)

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heterogeneity in beliefs; CCAPM; risk-return relationship

11.

Asset Pricing with Heterogeneous and Constrained Investors

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 40 Posted: 16 Aug 2018 Last Revised: 24 May 2019
Lei Shi and Yajun Xiao
Macquarie University and University College Dublin (UCD)
Downloads 29 (472,853)

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Heterogeneous Investors; Borrowing Constraints; Short-Sale Constraints; Volatility; Regime Switch

12.

Boundedly Rational Equilibrium and Risk Premium

Accounting & Finance, Vol. 52, Issue 1, pp. 71-93, 2012
Number of pages: 23 Posted: 17 Jan 2012
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 2 (640,605)
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Asset prices, Disagreement, Boundedly rational equilibrium, Zero‐beta CAPM, Equity premium and risk‐free rate puzzles

13.

Disagreement in a Multi‐Asset Market

International Review of Finance, Vol. 12, Issue 3, pp. 357-373, 2012
Number of pages: 17 Posted: 04 Sep 2012
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 1 (653,079)
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Other Papers (1)

Total Downloads: 11
1.

Differences in Opinion and Equilibrium Asset Returns in a Multi-Asset Market

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 28 Posted: 30 Jan 2013
Xuezhong He and Lei Shi
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie University
Downloads 11

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disagreement, multi-asset market, excess volatility, excess correlation