Ya Li

Hong Kong Metropolitan University

Assistant Professor

30 Good Shepherd Street, Ho Man Tin

Hong Kong

SCHOLARLY PAPERS

5

DOWNLOADS

374

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (5)

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
Downloads 148 (383,607)

Abstract:

Loading...

Portfolio Choice, Return Predictability, Capital Gains Tax

2.

Picking a Thorny Rose: Optimal Trading with Spread-Based Return Predictability

European Financial Management
Number of pages: 63 Posted: 25 Jul 2022 Last Revised: 22 Dec 2023
LinJun Feng, Ya Li and Jing Xu
Renmin University of China - School of Finance, Hong Kong Metropolitan University and Renmin University of China - School of Finance
Downloads 146 (387,747)

Abstract:

Loading...

portfolio choice, transaction cost, bid-ask spread, liquidity premium

3.

An Empirical Analysis of Factor Seasonalities

2017 Southern Finance Association Annual Meeting
Number of pages: 42 Posted: 31 Jan 2017 Last Revised: 30 Mar 2023
Hong Kong Metropolitan University, Independent Researcher, Hong Kong Baptist University and Renmin University of China - School of Finance
Downloads 80 (591,749)
Citation 1

Abstract:

Loading...

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

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
Independent Researcher, Hong Kong Metropolitan University, California State University, Long Beach and Hong Kong Polytechnic University

Abstract:

Loading...

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

5.

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
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

Abstract:

Loading...

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