Gang Li

The Chinese University of Hong Kong, CUHK Business School

Cheng Yu Tung Building, 12 Chak Cheung Street

Shatin

Hong Kong

http://sites.google.com/view/ganglihk

SCHOLARLY PAPERS

4

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CROSSREF CITATIONS

1

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

Scholarly Papers (4)

1.

Information Content of Aggregate Implied Volatility Spread

Rotman School of Management Working Paper No. 3047528, Management Science
Number of pages: 59 Posted: 04 Oct 2017 Last Revised: 11 Mar 2024
Bing Han and Gang Li
University of Toronto, Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 1,415 (25,625)
Citation 5

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

Management Science (Forthcoming)
Number of pages: 68 Posted: 18 Apr 2019 Last Revised: 16 Mar 2024
Yoontae Jeon, Raymond Kan and Gang Li
McMaster University - Michael G. DeGroote School of Business, University of Toronto - Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 1,041 (39,963)

Abstract:

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

3.

Betting Against the Crowd: Option Trading and Market Risk Premium

Number of pages: 58 Posted: 23 Dec 2022 Last Revised: 31 Dec 2022
The Hong Kong Polytechnic University - School of Accounting and Finance, The Chinese University of Hong Kong, CUHK Business School, Department of Finance, School of Management, Fudan University and Washington University in St. Louis - John M. Olin Business School
Downloads 708 (67,649)

Abstract:

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equity option trading, index option trading, sentiment, time-series market predictability, option-implied information, trading volume

4.

Idiosyncratic Volatility and the ICAPM Covariance Risk

Number of pages: 53 Posted: 17 Nov 2019 Last Revised: 25 Mar 2024
Bing Han and Gang Li
University of Toronto, Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 657 (74,437)

Abstract:

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idiosyncratic volatility, conditional covariance risk, tail risk, time-series return predictability, intertemporal capital asset pricing model