Peng Li

University of Bath, School of management

Claverton Down

Bath, BA2 7AY

SCHOLARLY PAPERS

6

DOWNLOADS

1,452

SSRN CITATIONS

12

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Market Development, Information Diffusion and the Global Anomaly Puzzle

Cai, Charlie Xiaowu and Keasey, Kevin and Li, Peng and Zhang, Qi, 2021,Market Development, Information Diffusion and the Global Anomaly Puzzle, Journal of Financial and Quantitative Analysis, Forthcoming.
Number of pages: 64 Posted: 30 Sep 2016 Last Revised: 04 Feb 2021
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance, University of Bath, School of management and Shanghai Jiao Tong University (SJTU)
Downloads 543 (96,998)
Citation 7

Abstract:

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Asset Pricing, Anomalies, Behavioral Finance, Multi-Factor Models, International Evidence

Do Funds with More CAPM Investors Perform Better? And, If So, Why?

Number of pages: 69 Posted: 30 Oct 2019 Last Revised: 09 Jan 2023
University of Leeds - Division of Accounting and Finance, University of Bath, School of management, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 255 (223,675)

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mutual-fund flows, risk factors, non-risk factors, smart-money effect, CAPM

Do Funds with More CAPM Investors Perform Better? And, If so, Why?

Number of pages: 117 Posted: 31 Mar 2023
University of Leeds - Division of Accounting and Finance, University of Bath, School of management, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 32 (874,461)

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mutual-fund flows, risk factors, non-risk factors, smart-money effect, CAPM

3.

Paying Too Much for Growth: What have Investors Missed?

Leeds University Business School Working Paper No. 17-09
Number of pages: 64 Posted: 01 Feb 2017 Last Revised: 21 Feb 2018
University of Liverpool Management School, University of Leeds - Division of Accounting and Finance, University of Bath, School of management and Shanghai Jiao Tong University (SJTU)
Downloads 271 (211,527)

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Limited Attention, Investment Growth Anomaly, Expectation Error, US market, International market

4.

What Can Explain Momentum? Evidence From Decomposition

Management Science. DOI: https://doi.org/10.1287/mnsc.2021.4135
Number of pages: 66 Posted: 19 Feb 2021 Last Revised: 15 Jun 2022
Jiaqi Guo, Peng Li and Youwei Li
Birmingham Business School, University of Bath, School of management and Hull University Business School
Downloads 176 (317,175)

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Momentum, Momentum Candidate Variables, Momentum Decomposition, Momentum Crashes

5.

Salience Theory and Momentum Everywhere

Number of pages: 69 Posted: 17 May 2023 Last Revised: 24 Apr 2024
Birmingham Business School, University of Bath, School of management, The University of Hong Kong - Faculty of Business and Economics and University of International Business and Economics (UIBE) - School of Banking and Finance
Downloads 123 (423,969)

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Salience theory; Return momentum; International markets; Customer momentum; Shared analyst momentum; Industry momentum

6.

Do Funds with More CAPM Investors Perform Better?

Number of pages: 131 Posted: 17 Oct 2023
University of Leeds - Division of Accounting and Finance, University of Bath, School of management, University of Liverpool Management School and University of Leeds - Division of Accounting and Finance
Downloads 52 (706,682)

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mutual-fund flows, risk factors, non-risk factors, smart-money effect, CAPM

Other Papers (1)

Total Downloads: 31
1.

Empirical Decisions and Replicating Anomalies

Number of pages: 52 Posted: 13 Aug 2023
Jiaqi Guo and Peng Li
Birmingham Business School and University of Bath, School of management
Downloads 31

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Empirical decisions, Anomaly replication, Bootstrap simulation, p-hacking, Data mining