Shaoran Li

Peking University

Assistant Professor

5 Yiheyuan Road

Beijing, 100871

China

SCHOLARLY PAPERS

4

DOWNLOADS

1,025

SSRN CITATIONS
Rank 48,805

SSRN RANKINGS

Top 48,805

in Total Papers Citations

17

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

News-Implied Linkages and Local Dependency in the Equity Market

Number of pages: 54 Posted: 19 Apr 2021 Last Revised: 28 Mar 2022
Shuyi Ge, Oliver B. Linton and Shaoran Li
Nankai University - Department of Finance, University of Cambridge and Peking University
Downloads 417 (134,213)

Abstract:

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Spatial asset pricing model, weak and strong cross-sectional dependence, local dependency, networks, textual analysis, big data, large heterogeneous panel

2.

A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-1
Number of pages: 32 Posted: 12 Mar 2021 Last Revised: 05 May 2021
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, Peking University and University of Cambridge
Downloads 262 (221,028)

Abstract:

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Portfolio management; Single index; GMM;

3.

Dynamic Peer Groups of Arbitrage Characteristics

Number of pages: 50 Posted: 21 Jul 2020 Last Revised: 07 Jun 2021
Shaoran Li, Oliver B. Linton and Shuyi Ge
Peking University, University of Cambridge and Nankai University - Department of Finance
Downloads 205 (279,653)
Citation 1

Abstract:

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Semiparametric; Peer Groups; Power-enhanced Test

4.

Diamond Cuts Diamond: News Co-mention Momentum Spillover Prevails in China

Number of pages: 67 Posted: 26 Jun 2023
Shuyi Ge, Shaoran Li and Hanyu Zheng
Nankai University - Department of Finance, Peking University and The University of Hong Kong - Faculty of Business and Economics
Downloads 141 (386,100)
Citation 3

Abstract:

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Economic Linkage, Big Textual Data, Momentum Spillover, News co-mention, Limited attention