Gang Li

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

2

DOWNLOADS
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in Total Papers Downloads

1,131

CITATIONS

1

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

Scholarly Papers (2)

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: 23 Jan 2018
Bing Han and Gang Li
University of Toronto, Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 801 (29,275)
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 the Cross Section of Option Returns

Number of pages: 45 Posted: 18 Apr 2019
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 330 (90,528)

Abstract:

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