Tao Li

City University of Hong Kong (CityUHK) - Department of Economics & Finance

83 Tat Chee Avenue

Kowloon

Hong Kong

SCHOLARLY PAPERS

19

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Top 5,726

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7,357

CITATIONS
Rank 13,051

SSRN RANKINGS

Top 13,051

in Total Papers Citations

40

Scholarly Papers (19)

1.
Downloads 1,218 ( 15,860)
Citation 6

Liquidity and Governance

ECGI - Finance Working Paper No. 388
Number of pages: 51 Posted: 06 Nov 2013 Last Revised: 03 Jun 2015
Rice University - Jesse H. Jones Graduate School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 1,195 (16,019)
Citation 5

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Liquidity, corporate governance, shareholder activism, hedge funds, shareholder proposals, Wall Street walk, Kyle models

Liquidity and Governance

NBER Working Paper No. w19669
Number of pages: 45 Posted: 23 Nov 2013 Last Revised: 03 Dec 2013
Rice University - Jesse H. Jones Graduate School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 23 (514,147)
Citation 3

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Liquidity and Governance

CEPR Discussion Paper No. DP9739
Number of pages: 46 Posted: 19 Nov 2013
Rice University - Jesse H. Jones Graduate School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
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corporate governance, hedge funds, Kyle models, Liquidity, shareholder activism, shareholder proposals, Wall Street walk

2.

The Commonality of Sovereign Credit Risk: A Rating-Based Approach

Number of pages: 88 Posted: 21 Jan 2014 Last Revised: 17 Apr 2018
Haitao Li, Tao Li and Xuewei Yang
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Nanjing University - School of Management and Engineering
Downloads 874 (25,959)
Citation 1

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Credit Rating, Sovereign Credit Risk, Credit Default Swap, Systematic Risk, Eurozone Debt Crisis, Implied Credit Rating

3.

Identifying Information Asymmetry in Securities Markets

Review of Financial Studies, Vol. 31, No. 6, pp. 2277–2325
Number of pages: 93 Posted: 16 Feb 2015 Last Revised: 25 Oct 2018
Kerry Back, Kevin Crotty and Tao Li
Rice University - Jesse H. Jones Graduate School of Business, Rice University and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 696 (35,537)
Citation 9

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PIN, Kyle Lambda, Information Asymmetry, Order Flow

4.

Heterogeneous Beliefs, Option Prices, and Volatility Smiles

Number of pages: 51 Posted: 12 Jun 2006 Last Revised: 25 Oct 2018
Tao Li
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 568 (46,642)
Citation 5

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Option Pricing, Barrier Options, Volatlity Smile, Heterogeneous Beliefs, Equilibrium Model

5.
Downloads 560 ( 47,626)
Citation 3

Activism, Strategic Trading, and Liquidity

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 497/2017, Swiss Finance Institute Research Paper No. 18-42
Number of pages: 56 Posted: 23 Nov 2016 Last Revised: 24 May 2018
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 542 (48,874)
Citation 3

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Kyle model, insider trading, strategic trading, asymmetric information, liquidity, price impact, market depth, activism, unobservable effort, economic efficiency, continuous time

Activism, Strategic Trading, and Liquidity

NBER Working Paper No. w22893
Number of pages: 48 Posted: 05 Dec 2016 Last Revised: 20 Dec 2016
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 17 (558,811)

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Activism, Strategic Trading, and Liquidity

CEPR Discussion Paper No. DP12372
Number of pages: 51 Posted: 16 Oct 2017
Rice University - Jesse H. Jones Graduate School of Business, Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Stockholm School of Economics
Downloads 1 (676,043)
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activism, continuous time, economic efficiency, Kyle model, liquidity, market depth, price impact, strategic trading

6.

The Dynamics of Credit Spreads and Ratings Migrations

Journal of Financial and Quantitative Analysis, Vol. 42, No. 3, pp. 595-620, 2007
Number of pages: 35 Posted: 15 Jun 2006
Heber Farnsworth and Tao Li
University of Oklahoma - Michael F. Price College of Business and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 520 (52,055)
Citation 4

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Defaultable Term Structure, Credit Spreads, Credit Ratings

7.
Downloads 372 ( 78,188)
Citation 1

Optimal Contracts in Portfolio Delegation

Number of pages: 50 Posted: 14 Dec 2006 Last Revised: 02 Jun 2016
Tao Li and Yuqing Zhou
City University of Hong Kong (CityUHK) - Department of Economics & Finance and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 185 (161,092)
Citation 3

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Benchmark, Risk Sharing, Incentive, Optimal Contract, Portfolio Delegation

Optimal Contracts in Portfolio Delegation

Number of pages: 49 Posted: 15 Jun 2006
Tao Li and Yuqing Zhou
City University of Hong Kong (CityUHK) - Department of Economics & Finance and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 158 (185,265)
Citation 2

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Optimal Contract, Portfolio Delegation, Principal-Agent Model, Option-LikePay, Fund Management, Management Fee

Optimal Contracts in Portfolio Delegation

Mathematics and Financial Economics, Vol. 10, No. 4, pp. 365-403, 2016
Number of pages: 50 Posted: 20 Feb 2016 Last Revised: 12 Jun 2017
Tao Li and Yuqing Zhou
City University of Hong Kong (CityUHK) - Department of Economics & Finance and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 29 (479,203)

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Optimal Contract, Portfolio Delegation, Pareto Efficiency, Benchmark, Similarity

Heterogeneity and Volatility Puzzles in International Finance

Number of pages: 40 Posted: 09 Jan 2007 Last Revised: 21 Feb 2009
Tao Li and Mark Legge Muzere
City University of Hong Kong (CityUHK) - Department of Economics & Finance and Suffolk University - Department of Finance
Downloads 250 (120,253)

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International Finance, Asset Pricing, Exchange Rate, Heterogeneous Beliefs, Heterogeneous Preferences, Excess Volatility, Correlation of Stock Markets

Heterogeneity and Volatility Puzzles in International Finance

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 6, pp. 1485-1516
Number of pages: 40 Posted: 21 Feb 2009 Last Revised: 24 Jan 2011
Tao Li and Mark Legge Muzere
City University of Hong Kong (CityUHK) - Department of Economics & Finance and Suffolk University - Department of Finance
Downloads 108 (249,906)
Citation 8

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International Finance, Asset Pricing, Exchange Rate, Heterogeneous Beliefs, Heterogeneous Preferences, Excess Volatility, Correlation of Stock Markets

9.
Downloads 340 ( 86,841)
Citation 2

No-Arbitrage Taylor Rules with Switching Regimes

Number of pages: 39 Posted: 12 Jan 2011 Last Revised: 17 Sep 2012
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 293 (101,622)

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Taylor rule, Term structure, Regime-switching, MCMC

No-Arbitrage Taylor Rules with Switching Regimes

Management Science, vol 59, pp 2278-2294.
Number of pages: 39 Posted: 13 Nov 2012 Last Revised: 12 Feb 2014
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 47 (401,057)
Citation 3

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Taylor rule, term structure, regime-switching, MCMC

Heterogeneous Beliefs, Asset Prices, and Volatility in a Pure Exchange Economy

Number of pages: 37 Posted: 20 Jun 2006
Tao Li
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 265 (113,148)
Citation 2

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Stock Volatility, Trading Volume, Heterogeneous Beliefs, Leverage Effects, Learning

Heterogeneous Beliefs, Asset Prices, and Volatility in a Pure Exchange Economy

Journal of Economic Dynamics and Control, Vol. 31, No. 5, pp. 1697-1727, 2007
Number of pages: 37 Posted: 22 Jun 2006 Last Revised: 16 May 2010
Tao Li
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 67 (337,310)
Citation 25

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Stock Volatility, Trading Volume, Heterogeneous Beliefs, Leverage Effects, Learning

11.

Margin Requirements and Stock Price Volatility When Agents' Beliefs are Heterogeneous

Number of pages: 56 Posted: 12 Jun 2006 Last Revised: 08 Mar 2009
Tao Li
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 305 (97,818)
Citation 8

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Margin Requirements, Heterogeneous Beliefs, Stock Volatility, Leverage Effects

12.

Insider Trading with Uncertain Informed Trading

Number of pages: 42 Posted: 21 Nov 2006 Last Revised: 08 Nov 2013
Tao Li
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 265 (113,712)

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Asymmetric Information, Informed Trader, Price Impact, Probability of Informed Trading, Volatility, Zakai Equation

13.
Downloads 247 (122,752)
Citation 4

Investors' Heterogeneity and Implied Volatility Smiles

Number of pages: 40 Posted: 10 Dec 2012
Tao Li
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 158 (185,265)
Citation 3

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Heterogeneous Beliefs, Option Pricing, Equilibrium Model, Volatility Smile, Heterogeneous Preferences

Investors' Heterogeneity and Implied Volatility Smiles

Management Science, vol 59, pp 2392-2412.
Number of pages: 41 Posted: 23 Mar 2013 Last Revised: 12 Feb 2014
Tao Li
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 89 (286,873)

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Heterogeneous Beliefs, Option Pricing, Equilibrium Model, Volatility Smile, Heterogeneous Preferences

14.

Does Speculation in Financial Markets Have Real Effects?

Robert H. Smith School Research Paper No. RHS 2423360
Number of pages: 53 Posted: 12 Apr 2014 Last Revised: 12 Jul 2019
Tao Li and Mark Loewenstein
City University of Hong Kong (CityUHK) - Department of Economics & Finance and University of Maryland - Robert H. Smith School of Business
Downloads 216 (139,564)
Citation 2

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Heterogeneous belief, Production, Extraneous risk, Housing Boom and Bust, Speculation

15.

Optimal Monetary Policy and Term Structure in a Continuous-Time DSGE Model

Number of pages: 49 Posted: 29 Nov 2016 Last Revised: 17 Feb 2019
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Iowa State University
Downloads 159 (185,001)

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Optimal monetary policy, Taylor rule, Term structure of interest rates, New Keynesian, Macroeconomic stability

16.

Role of Index Bonds in an Optimal Dynamic Asset Allocation Model with Real Subsistence Consumption

Applied Mathematics and Computation, Vol. 174, No. 1, pp. 710-731, 2006
Number of pages: 25 Posted: 04 Apr 2006
Ning Gong and Tao Li
Deakin University and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 149 (194,318)

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Portfolio choice, Portfolio insurance, Index bonds, Bellman equation, Inflation risk

17.

A Unified Duration-based Explanation of the Value, Profitability, and Investment Anomalies

Number of pages: 61 Posted: 19 Dec 2018
Shan Chen and Tao Li
City University of Hong Kong (CityUHK), Department of Economics & Finance and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 85 (290,737)
Citation 1

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Equity Duration, Term Structure of Equity Premium, Investment Premium, Profitability Premium, Value PremiumValue Premium

18.

Unveil the Economic Impact of Policy Reversals: The China Experience

China Finance Review International, Forthcoming
Number of pages: 32 Posted: 23 Jul 2013 Last Revised: 26 Oct 2018
National University of Singapore - NUS Business School, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Department of Finance, National University of Singapore
Downloads 77 (308,415)

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economic growth; interest rate; policymaking; policy reversals; interbank repo; term structure; volatility

19.

Does Speculation in Financial Markets Have Real Effects?

Number of pages: 53 Posted: 19 Jun 2019
Tao Li and Mark Loewenstein
City University of Hong Kong (CityUHK) - Department of Economics & Finance and University of Maryland - Robert H. Smith School of Business
Downloads 16 (538,607)

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Heterogeneous Belief, Production, Extraneous Risk, Housing Booms and Busts, Speculation, Recursive Preferences