Kai Li

Macquarie Business School, Macquarie University

Senior lecturer

Level 6 4 Eastern Road, Macquarie University

North Ryde NSW 2109

Sydney, NSW 99999

Australia

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 22,727

SSRN RANKINGS

Top 22,727

in Total Papers Downloads

2,167

SSRN CITATIONS
Rank 49,181

SSRN RANKINGS

Top 49,181

in Total Papers Citations

2

CROSSREF CITATIONS

8

Scholarly Papers (13)

1.

Asset Allocation with Time Series Momentum and Reversal

Number of pages: 51 Posted: 17 Feb 2017 Last Revised: 19 Feb 2017
Xuezhong He, Kai Li and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 505 (56,983)
Citation 1

Abstract:

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Momentum, reversal, optimal asset allocation, performance

2.

Optimality of Momentum and Reversal

Number of pages: 52 Posted: 17 Jul 2014
Xuezhong He, Kai Li and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 464 (63,466)
Citation 2

Abstract:

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momentum, reversal, portfolio choice, optimality, profitability.

3.

Optimal Dynamic Momentum Strategies

Number of pages: 51 Posted: 14 Mar 2016 Last Revised: 17 Jul 2019
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 397 (76,354)
Citation 3

Abstract:

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momentum, optimal trading strategy, path dependence.

4.

Time Series Momentum and Market Stability

Number of pages: 44 Posted: 06 Mar 2014
Xuezhong He and Kai Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie Business School, Macquarie University
Downloads 160 (192,043)
Citation 2

Abstract:

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Time series momentum, profitability, market stability, stochastic delay differential equations

5.

Investor Overconfidence and the Security Market Line: New Evidence from China

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 56 Posted: 27 Nov 2018 Last Revised: 31 Dec 2019
Xing Han, Kai Li and Youwei Li
University of Otago - Department of Accountancy and Finance, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 112 (253,999)

Abstract:

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Beta Anomaly, Betting Against Beta, Overconfidence, Trading Volume, Mutual Fund

6.

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 112 (253,999)
Citation 1

Abstract:

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

7.

Volatility Clustering: A Nonlinear Theoretical Approach

Number of pages: 45 Posted: 21 Nov 2015 Last Revised: 02 Aug 2016
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Harbin Institute of Technology
Downloads 111 (255,662)
Citation 1

Abstract:

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Volatility clustering, fundamentalists and trend followers, bounded rationality, stability, coexisting attractors.

8.

An Evolutionary CAPM Under Heterogeneous Beliefs

25th Australasian Finance and Banking Conference 2012
Number of pages: 38 Posted: 20 Aug 2012
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Department of Mathematics, University of Bologna, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie Business School, Macquarie University
Downloads 83 (309,358)
Citation 1

Abstract:

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evolutionary CAPM, heterogeneous beliefs, market stability, spill-over effects, volatility, trading volume

9.

Herding, Trend Chasing and Market Volatility

Number of pages: 43 Posted: 06 Mar 2014
University of Technology Sydney (UTS) - UTS Business School, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Macquarie Business School, Macquarie University
Downloads 77 (323,301)
Citation 2

Abstract:

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Heterogeneous beliefs, herding, switching, stability, volatility, stochastic delay differential equations

10.

Extrapolative Asset Pricing

2019 Financial Markets & Corporate Governance Conference
Number of pages: 48 Posted: 14 Feb 2018 Last Revised: 20 Nov 2019
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 58 (375,724)

Abstract:

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Extrapolation, riskless rate puzzle, equity premium puzzle, excess volatility, market clearing, momentum, return predictability

11.

Production Delay and Belief Distributions in a Continuous-Time Cobweb Model

Number of pages: 33 Posted: 21 Feb 2017
Cars H. Hommes and Kai Li
University of Amsterdam - Amsterdam School of Economics (ASE) and Macquarie Business School, Macquarie University
Downloads 41 (435,645)

Abstract:

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Cobweb model, heterogeneity, adaptiveness, production delay, belief distribution, stability, chaos

12.

Portfolio Selection with Inflation-linked Bonds and Indexation Lags

Number of pages: 31 Posted: 13 May 2019 Last Revised: 15 Jul 2019
Kai Li
Macquarie Business School, Macquarie University
Downloads 25 (511,022)

Abstract:

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Indexation lags, bond portfolio selection, inflation-linked bond, intertemporal hedging, %state variables, stochastic delay differential equations, piecewise dynamic programming approach

13.

Time-Varying Economic Dominance Through Bistable Dynamics

Number of pages: 37 Posted: 29 Jan 2018
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Harbin Institute of Technology
Downloads 22 (528,602)
Citation 1

Abstract:

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Heterogeneous Beliefs, Co-movement, Stability, Global Dynamics, Spillover Effect, Correlations