Gang Li

University of Toronto, Rotman School of Management

105 St George St

Toronto, ON M5S3E6

Canada

SCHOLARLY PAPERS

3

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Top 27,376

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1,796

SSRN CITATIONS

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CROSSREF CITATIONS

1

Ideas:
“  Asset Pricing, Financial Derivatives, Machine Learning, Investment  ”

Scholarly Papers (3)

1.

Aggregate Implied Volatility Spread and Stock Market Returns

Rotman School of Management Working Paper No. 3047528, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 44 Posted: 04 Oct 2017 Last Revised: 05 Nov 2019
Bing Han and Gang Li
University of Toronto, Rotman School of Management and University of Toronto, Rotman School of Management
Downloads 962 (24,282)
Citation 1

Abstract:

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stock return predictability, implied volatility spread, macroeconomic forecasts, informed trading in options, limits to arbitrage

2.

Stock Return Autocorrelations and Expected Option Returns

Number of pages: 48 Posted: 18 Apr 2019 Last Revised: 17 Jan 2020
Yoontae Jeon, Raymond Kan and Gang Li
Ryerson University - Ted Rogers School of Management, University of Toronto - Rotman School of Management and University of Toronto, Rotman School of Management
Downloads 524 (55,305)

Abstract:

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stock return autocorrelation, expected option returns, cross-section of option returns, option portfolios

3.

Idiosyncratic Volatility and the Intertemporal Capital Asset Pricing Model

Number of pages: 86 Posted: 17 Nov 2019 Last Revised: 29 Jan 2020
Gang Li
University of Toronto, Rotman School of Management
Downloads 310 (102,583)

Abstract:

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idiosyncratic volatility, stock market variance, conditional covariance, time-series stock return predictability, cross-section of stock returns, expected stock returns, intertemporal capital asset pricing model, economic state variable, risk-return tradeoff