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

15

DOWNLOADS
Rank 22,268

SSRN RANKINGS

Top 22,268

in Total Papers Downloads

2,112

CITATIONS
Rank 40,084

SSRN RANKINGS

Top 40,084

in Total Papers Citations

12

Scholarly Papers (15)

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 487 (56,938)
Citation 1

Abstract:

Loading...

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 458 (61,493)
Citation 1

Abstract:

Loading...

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 362 (81,282)
Citation 3

Abstract:

Loading...

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 156 (188,221)
Citation 1

Abstract:

Loading...

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

5.

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 107 (251,827)
Citation 2

Abstract:

Loading...

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

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 106 (253,494)

Abstract:

Loading...

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

7.

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

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 51 Posted: 27 Nov 2018 Last Revised: 12 May 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 83 (296,995)

Abstract:

Loading...

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

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 81 (301,419)

Abstract:

Loading...

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 73 (320,168)
Citation 1

Abstract:

Loading...

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

10.

Hedging Momentum

Number of pages: 40 Posted: 24 Jun 2019
Kai Li and Le Ma
Macquarie Business School, Macquarie University and University of Technology Sydney (UTS)
Downloads 70 (327,737)
Citation 1

Abstract:

Loading...

Momentum, intertemporal hedging, dynamic portfolio strategies

11.

Extrapolative Asset Pricing

2019 Financial Markets & Corporate Governance Conference
Number of pages: 43 Posted: 14 Feb 2018 Last Revised: 30 Dec 2018
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 40 (422,369)

Abstract:

Loading...

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

12.

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 35 (442,764)

Abstract:

Loading...

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

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 19 (525,313)
Citation 1

Abstract:

Loading...

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

14.

Portfolio Selection under Time Delays: A Piecewise Dynamic Programming Approach

Number of pages: 29 Posted: 15 Feb 2017 Last Revised: 03 Dec 2018
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 19 (525,313)
Citation 3

Abstract:

Loading...

Asset allocation, price delays, sufficient statistic, stochastic delay differential equations, pathwise dynamic programming method

15.

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 16 (542,717)

Abstract:

Loading...

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