Jiangyuan Li

Shanghai University of Finance and Economics

777 Guoding Road

Shanghai, Shanghai 200433

China

  • Shanghai University of Finance and Economics

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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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 2,508 (9,829)
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 834 (51,269)

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

3.

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 38 (737,207)
Citation 1

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Compensation, Risk, Asymmetric Information, Learning, Belief

4.

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 29 (805,193)

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

5.

Equity and Bond Comovements: A Machine Learning Perspective

Number of pages: 53
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
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Stock-bond comovement, Machine Learning, Cross-market hedging, Default risk