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

  • The Chinese University of Hong Kong, CUHK Business School

SCHOLARLY PAPERS

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

  • The Chinese University of Hong Kong, CUHK Business School

Scholarly Papers (4)

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1.

Aggregate Implied Volatility Spread and Stock Market Returns

Rotman School of Management Working Paper No. 3047528, International Journal of Information Systems & Management Science, Vol. 67, No. 2, 2021
Number of pages: 59 Posted: 04 Oct 2017 Last Revised: 22 Nov 2021
Bing Han and Gang Li
University of Toronto, Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 1,277 (24,872)
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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: 60 Posted: 18 Apr 2019 Last Revised: 04 Oct 2021
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 780 (49,887)

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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: 54 Posted: 17 Nov 2019 Last Revised: 21 Nov 2021
Bing Han and Gang Li
University of Toronto, Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 536 (80,959)

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idiosyncratic volatility, conditional covariance, stock return predictability, intertemporal capital asset pricing model, tail risk

4.

Betting Against the Crowd: Option Trading and Market Risk Premium

Number of pages: 58 Posted: 23 Dec 2022 Last Revised: 31 Dec 2022
Jie Cao, Gang Li, Xintong Zhan and Guofu Zhou
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 349 (133,779)

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