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

16

DOWNLOADS
Rank 24,262

SSRN RANKINGS

Top 24,262

in Total Papers Downloads

2,608

SSRN CITATIONS
Rank 27,273

SSRN RANKINGS

Top 27,273

in Total Papers Citations

23

CROSSREF CITATIONS

11

Scholarly Papers (16)

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 547 (63,957)
Citation 7

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 488 (73,695)
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 470 (77,132)
Citation 7

Abstract:

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momentum, optimal trading strategy, path dependence.

4.

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

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 62 Posted: 27 Nov 2018 Last Revised: 18 Jun 2020
Xing Han, Kai Li and Youwei Li
University of Auckland Business School, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 208 (184,242)
Citation 3

Abstract:

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

5.

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 170 (220,403)
Citation 2

Abstract:

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

6.

Extrapolative Asset Pricing

Number of pages: 35 Posted: 14 Feb 2018 Last Revised: 02 Nov 2020
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 143 (254,397)
Citation 2

Abstract:

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

7.

Social Interaction, Stochastic Volatility, and Momentum

Number of pages: 43 Posted: 17 Feb 2017 Last Revised: 09 Jun 2021
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University, University of Liège - HEC Liège and Macquarie University
Downloads 143 (254,397)
Citation 2

Abstract:

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Social interaction, mean choice, volatility clustering, time-series momentum

8.

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 119 (292,359)
Citation 2

Abstract:

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

9.

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 92 (347,375)
Citation 4

Abstract:

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

10.

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 86 (362,240)
Citation 6

Abstract:

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

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
Government of Canada - Bank of Canada and Macquarie Business School, Macquarie University
Downloads 49 (483,581)

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 40 (523,868)
Citation 2

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 27 (594,732)
Citation 1

Abstract:

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

14.

Time to Build and Bond Risk Premia

Number of pages: 42 Posted: 28 Nov 2020
Bin Guo, Fuzhe Huang and Kai Li
Nankai University - School of Finance, Nankai University and Macquarie Business School, Macquarie University
Downloads 20 (642,426)

Abstract:

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Time to build, CIR model, bond risk premia, path dependence, Non- Markovian asset pricing, stochastic delay differential equations.

15.

Production Delays and Price Dynamics

Number of pages: 37 Posted: 24 Sep 2021
Government of Canada - Bank of Canada, Macquarie Business School, Macquarie University and University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) - Department of Quantitative Economics
Downloads 6 (749,345)

Abstract:

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Cobweb model, heterogeneity, adaptiveness, production delay, stabil- ity, chaos

16.

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

forthcoming in Management Science
Posted: 06 Jun 2019 Last Revised: 03 Dec 2020
Liya Chu, Xuezhong He, Kai Li and Jun Tu
East China University of Science and Technology (ECUST), University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Singapore Management University - Lee Kong Chian School of Business

Abstract:

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Return predictability, Investors sentiment, Economic predictors, Non-fundamental predictors

Other Papers (1)

Total Downloads: 53
1.

Nonlinear Effect of Sentiment on Momentum

Number of pages: 41 Posted: 04 Mar 2021 Last Revised: 23 Sep 2021
Kai Li
Macquarie Business School, Macquarie University
Downloads 53 (526,876)

Abstract:

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Extrapolation, investor sentiment, spillovers, momentum, skewness