Ya Li

Hong Kong Metropolitan University

Assistant Professor

30 Good Shepherd Street, Ho Man Tin

Hong Kong

  • Hong Kong Metropolitan University

SCHOLARLY PAPERS

5

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101

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (5)

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1.

Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes

Management Science, Accepted
Number of pages: 56 Posted: 23 Oct 2017 Last Revised: 10 Mar 2019
Yaoting Lei, Ya Li and Jing Xu
Nanchang University - School of Economics and Management, Hong Kong Metropolitan University and Renmin University of China - School of Finance
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Portfolio Choice, Return Predictability, Capital Gains Tax

2.

Limits-to-Arbitrage, Investment Frictions, and the Investment Effect: New Evidence

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Limits‐To‐Arbitrage, Investment Frictions, and the Investment Effect: New Evidence

European Financial Management, Vol. 26, Issue 1, pp. 3-43, 2020
Number of pages: 41 Posted: 19 May 2020
FY Eric C Lam, Ya Li, Wikrom Prombutr and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Hong Kong Metropolitan University, California State University, Long Beach and Hong Kong Polytechnic University
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investment, investment frictions, limits‐to‐arbitrage, q‐theory, stock returns

Limits-to-arbitrage, Investment Frictions, and the Investment Effect: New Evidence

European Financial Management 26 (2020) 3-43
Posted: 14 Mar 2016 Last Revised: 05 Mar 2020
FY Eric C Lam, Ya Li, Wikrom Prombutr and K.C. John Wei
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Hong Kong Metropolitan University, California State University, Long Beach and Hong Kong Polytechnic University

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Limits-to-arbitrage; Investment frictions; q-theory; Investment; Stock returns

3.

Summer Vacation and Cross-Sectional Stock Returns

2015 Paris Financial Management Conference
Posted: 07 Feb 2020
Ya Li, FY Eric C Lam and Gordon Y. N. Tang
Hong Kong Metropolitan University, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR) and Hong Kong Baptist University

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Book-to-market equity ratio; Cross sectional stock returns; Gross profitability; Halloween effect, Market value of equity; Sell in May and go away, Summer vacation, Total asset growth

4.

Eastern Halloween Effect: A Stochastic Dominance Approach

Journal of International Financial Markets, Institutions and Money, Forthcoming
Posted: 28 May 2019 Last Revised: 21 Aug 2020
David Chui, Wui Wing Cheng, Sheung Chi Chow and Ya Li
The Hang Seng University of Hong Kong - Department of Economics and Finance, The Hang Seng University of Hong Kong, Australian National University (ANU) and Hong Kong Metropolitan University

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Halloween Effect; Sell in May and Go Away, Stochastic Dominance

5.

An Empirical Analysis of Factor Seasonalities

2017 Southern Finance Association Annual Meeting
Posted: 31 Jan 2017 Last Revised: 09 Jun 2022
FY Eric C Lam, Ya Li, Gordon Y. N. Tang and Jing Xu
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Hong Kong Metropolitan University, Hong Kong Baptist University and Renmin University of China - School of Finance

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Asset pricing factors; Return seasonality; January effect; Halloween effect; Same calendar month effect