Yan Li

Temple University - Fox School of Business and Management

Philadelphia, PA 19122

United States

SCHOLARLY PAPERS

7

DOWNLOADS
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in Total Papers Downloads

3,212

CITATIONS
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SSRN RANKINGS

Top 23,226

in Total Papers Citations

27

Scholarly Papers (7)

1.

Predicting Market Returns Using Aggregate Implied Cost of Capital

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 21 Apr 2014
Temple University - Fox School of Business and Management, Johnson College of Business and LSV Asset Management
Downloads 1,089 (18,947)
Citation 6

Abstract:

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Implied Cost of Capital, Market Predictability, Valuation Ratios

2.

Testing Conditional Factor Models: A Nonparametric Approach

Journal of Empirical Finance, 2011, 18(5): 972-992
Number of pages: 39 Posted: 13 Apr 2009 Last Revised: 21 Apr 2014
Yan Li and Liyan Yang
Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 624 (41,391)

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Asset Pricing, Conditional CAPM, Conditional Fama-French Three-Factor Model, Size, Value, Momentum, Nonparametric Method

3.

Speculation and Hedging in Segmented Markets

Review of Financial Studies, 2014, 27(3): 881-922
Number of pages: 50 Posted: 21 Nov 2010 Last Revised: 26 Feb 2016
University of Pennsylvania - The Wharton School - Finance Department, Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 522 (52,126)
Citation 3

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Speculation, Hedging, Market Segmentation, Price Informativeness, Information Acquisition, Asset Prices

4.

Predicting Time-Varying Value Premium Using the Implied Cost of Capital

Number of pages: 49 Posted: 30 Oct 2012 Last Revised: 03 Jul 2014
Temple University - Fox School of Business and Management, Johnson College of Business and LSV Asset Management
Downloads 464 (60,475)
Citation 3

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Implied Value Premium, Implied Cost of Capital, Predictability, Value Spread, Term Spread, Default Spread, Risk and Mispricing

5.

The Asset Pricing Implications of Dividend Volatility

Management Science, 2013, 59(9): 2036-2055
Number of pages: 35 Posted: 13 May 2011 Last Revised: 26 Feb 2016
Yan Li and Liyan Yang
Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 401 (72,121)

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asset pricing, dividend volatility, loss aversion, narrow framing, return predictability, volatility clustering

A Combined Approach to the Inference of Conditional Factor Models

Number of pages: 56 Posted: 20 Dec 2012
Yan Li, Liangjun Su and Yuewu Xu
Temple University - Fox School of Business and Management, Singapore Management University - School of Economics and Fordham University - Gabelli School of Business
Downloads 91 (282,439)

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A Combined Approach to the Inference of Conditional Factor Models

Number of pages: 47 Posted: 28 Jun 2014
Yan Li, Liangjun Su and Yuewu Xu
Temple University - Fox School of Business and Management, Singapore Management University and Fordham University - Gabelli School of Business
Downloads 21 (530,732)
Citation 2

Abstract:

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Conditional Factor Models, Specification Tests, Semiparametric Method, Nonparametric Method, Conditional CAPM

7.

Disclosure and the Cost of Equity Capital: An Analysis at the Market Level

Posted: 29 Nov 2011 Last Revised: 11 Jun 2014
Yan Li and Holly Yang
Temple University - Fox School of Business and Management and Singapore Management University - School of Accountancy

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disclosure, implied cost of capital, cost of equity capital, earnings guidance, management forecasts

Other Papers (1)

Total Downloads: 637
1.

Prospect Theory, the Disposition Effect, and Asset Prices

Journal of Financial Economics, 2013, 107(3): 715-739
Number of pages: 70 Posted: 08 Mar 2011 Last Revised: 26 Feb 2016
Yan Li and Liyan Yang
Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 637 (188,164)

Abstract:

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Prospect theory, Disposition effect, Momentum, Reversal