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

17

DOWNLOADS
Rank 23,273

SSRN RANKINGS

Top 23,273

in Total Papers Downloads

4,156

SSRN CITATIONS
Rank 21,525

SSRN RANKINGS

Top 21,525

in Total Papers Citations

47

CROSSREF CITATIONS

13

Scholarly Papers (17)

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
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Hull University Business School
Downloads 897 (50,278)
Citation 7

Abstract:

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Momentum, reversal, optimal asset allocation, performance

2.

Optimal Dynamic Momentum Strategies

Operations Research
Number of pages: 69 Posted: 14 Mar 2016 Last Revised: 29 Nov 2021
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 627 (80,502)
Citation 7

Abstract:

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momentum, optimal trading strategy, path dependence.

3.

Optimality of Momentum and Reversal

Number of pages: 52 Posted: 17 Jul 2014
Xuezhong He, Kai Li and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Hull University Business School
Downloads 547 (95,629)
Citation 2

Abstract:

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momentum, reversal, portfolio choice, optimality, profitability.

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 284 (200,707)
Citation 3

Abstract:

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

5.

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

Management Science, Vol. 68, 2022, pp. 4301–4325
Number of pages: 46 Posted: 06 Jun 2019 Last Revised: 06 Jul 2022
Liya Chu, Xuezhong He, Kai Li and Jun Tu
East China University of Science and Technology (ECUST), Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Singapore Management University - Lee Kong Chian School of Business
Downloads 280 (203,616)
Citation 8

Abstract:

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

6.

Extrapolative Asset Pricing

Journal of Economic Theory, Forthcoming
Number of pages: 50 Posted: 14 Feb 2018 Last Revised: 03 Apr 2023
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 256 (222,721)
Citation 1

Abstract:

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Return extrapolation, fundamental extrapolation, asset pricing puzzles, momentum, sentiment

7.

Time Series Momentum and Market Stability

Number of pages: 44 Posted: 06 Mar 2014
Xuezhong He and Kai Li
Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie Business School, Macquarie University
Downloads 230 (247,256)
Citation 2

Abstract:

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

8.

Social Interaction, Stochastic Volatility, and Momentum

Number of pages: 43 Posted: 17 Feb 2017 Last Revised: 09 Jun 2021
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University, University of Liège - HEC Liège and Macquarie University
Downloads 204 (276,567)
Citation 3

Abstract:

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

9.

Volatility Clustering: A Nonlinear Theoretical Approach

Number of pages: 45 Posted: 21 Nov 2015 Last Revised: 02 Aug 2016
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Harbin Institute of Technology
Downloads 149 (363,443)
Citation 2

Abstract:

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

10.

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, Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie Business School, Macquarie University
Downloads 130 (404,759)
Citation 4

Abstract:

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

11.

Herding, Trend Chasing and Market Volatility

Number of pages: 43 Posted: 06 Mar 2014
University of Technology Sydney (UTS) - UTS Business School, Xi'an Jiaotong-Liverpool University (XJTLU) and Macquarie Business School, Macquarie University
Downloads 109 (461,740)
Citation 6

Abstract:

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

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
Government of Canada - Bank of Canada and Macquarie Business School, Macquarie University
Downloads 105 (474,331)

Abstract:

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

13.

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 95 (507,426)
Citation 4

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

14.

Portfolio Selection under Time Delays: A Piecewise Dynamic Programming Approach

Number of pages: 39 Posted: 15 Feb 2017 Last Revised: 06 Mar 2024
Kai Li and Jun Liu
Macquarie Business School, Macquarie University and University of California, San Diego (UCSD) - Rady School of Management
Downloads 82 (555,918)
Citation 3

Abstract:

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Dynamic choice, path dependence, sufficient statistic, stochastic delay differential equations, piecewise dynamic programming

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 67 (622,220)
Citation 1

Abstract:

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

16.

Time-Varying Economic Dominance Through Bistable Dynamics

Number of pages: 37 Posted: 29 Jan 2018
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Harbin Institute of Technology
Downloads 51 (709,631)
Citation 1

Abstract:

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

17.

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 43 (762,025)

Abstract:

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

Other Papers (1)

Total Downloads: 88
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 88 (526,876)

Abstract:

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Extrapolation, investor sentiment, spillovers, momentum, skewness