Jiangyuan Li

Shanghai University of Finance and Economics

777 Guoding Road

Shanghai, Shanghai 200433

China

  • Shanghai University of Finance and Economics

SCHOLARLY PAPERS

8

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TOTAL CITATIONS
Rank 16,976

SSRN RANKINGS

Top 16,976

in Total Papers Citations

9

Scholarly Papers (8)

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1.

Time-Series Momentum: Is It There?

Journal of Financial Economics 135, 774-794, 2020
Number of pages: 61 Posted: 06 May 2018 Last Revised: 06 Oct 2020
Dashan Huang, Jiangyuan Li, Liyao Wang and Guofu Zhou
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads 2,808 (10,001)
Citation 8

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Time-series momentum; Risk premium; Return predictability; Pooled regression

2.

Are Disagreements Agreeable? Evidence from Information Aggregation

Journal of Financial Economics (JFE) 141, 83-101, 2021
Number of pages: 53 Posted: 04 Dec 2017 Last Revised: 21 Jun 2021
Dashan Huang, Jiangyuan Li and Liyao Wang
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics and Hong Kong Baptist University
Downloads 967 (50,833)

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Disagreement, Return predictability, PLS, PCA, LASSO, Machine learning

3.

Short-Horizon Currency Expectations

Number of pages: 64 Posted: 20 May 2024
Ilias Filippou, Jiangyuan Li, Xujun Liu and Mark P. Taylor
Florida State University, Shanghai University of Finance and Economics, Shanghai University of Finance and Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 394 (158,387)

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currency expectations, systematic risk, foreign exchange

4.

Equity and Bond Comovements: A Machine Learning Perspective

Number of pages: 53 Posted: 20 Dec 2023 Last Revised: 29 Nov 2024
Jiangyuan Li, Liyao Wang, Jinqiang Yang and Wei Zhou
Shanghai University of Finance and Economics, Hong Kong Baptist University, Shanghai University of Finance and Economics and Shanghai University of Finance and Economics
Downloads 248 (258,887)

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Stock-bond comovement, Machine Learning, Cross-market hedging

5.

Duration-driven Carbon Premium

HKU Jockey Club Enterprise Sustainability Global Research Institute - Archive
Number of pages: 53 Posted: 03 Jul 2024 Last Revised: 25 Oct 2024
Yongqi He, Jiangyuan Li and Ruishen Zhang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Shanghai University of Finance and Economics and The University of Hong Kong
Downloads 220 (290,726)

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carbon premium, climate change, stock return, equity duration

6.

(Un)Expected Political Outcomes and Currency Markets 

Number of pages: 54 Posted: 20 Feb 2025 Last Revised: 27 Feb 2025
Ilias Filippou, Jiangyuan Li and Xujun Liu
Florida State University, Shanghai University of Finance and Economics and Shanghai University of Finance and Economics
Downloads 137 (440,361)

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JEL Classification: F31, G12, G15 Elections, referendums, unexpected, foreign exchange market

7.

Are Trend Factor in China? Evidence from Investment Horizon Information

Number of pages: 71 Posted: 25 Aug 2023
Jiangyuan Li, Chang Liu, Chenye Liu and Peng Sun
Shanghai University of Finance and Economics, Shanghai University of Finance and Economics, Shanghai University of Finance and Economics and Shanghai University of Finance and Economics
Downloads 80 (640,879)

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Trends, Moving averages, Lagged returns, Predictability, Chinese Stock Market

8.

Compensation and Risk: A Perspective on the Lake Wobegon Effect

Journal of Banking and Finance, Forthcoming
Number of pages: 28 Posted: 07 Sep 2019
Jiangyuan Li, Jinqiang Yang and Zhentao Zou
Shanghai University of Finance and Economics, Shanghai University of Finance and Economics and Wuhan University - Economics and Management School
Downloads 66 (710,852)
Citation 1

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Compensation, Risk, Asymmetric Information, Learning, Belief