Gang Li

The Chinese University of Hong Kong, CUHK Business School

Shatin, N.T.

Hong Kong

Hong Kong

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 27,937

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2,343

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, 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 1,191 (22,866)
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: 60 Posted: 18 Apr 2019 Last Revised: 04 Oct 2021
Yoontae Jeon, Raymond Kan and Gang Li
Ryerson University - Ted Rogers School of Management, University of Toronto - Rotman School of Management and The Chinese University of Hong Kong, CUHK Business School
Downloads 690 (49,068)

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: 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 462 (81,277)

Abstract:

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