Dan Li

Federal Reserve Board

Economist

20th and C Streets, NW

Mail Stop 89

Washington, DC 20551

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 10,134

SSRN RANKINGS

Top 10,134

in Total Papers Downloads

3,604

CITATIONS
Rank 7,953

SSRN RANKINGS

Top 7,953

in Total Papers Citations

58

Scholarly Papers (13)

1.
Downloads 851 ( 20,694)
Citation 5

Dealer Networks

Swiss Finance Institute Research Paper No. 14-50
Number of pages: 67 Posted: 16 Mar 2012 Last Revised: 30 Oct 2014
Dan Li and Norman Schürhoff
Federal Reserve Board and University of Lausanne
Downloads 850 (20,354)
Citation 5

Abstract:

Municipal bonds, over-the-counter financial market, trading cost, liquidity, immediacy, transparency, decentralization, market quality, network analysis

Dealer Networks

CEPR Discussion Paper No. DP10237
Number of pages: 68 Posted: 10 Nov 2014
Dan Li and Norman Schürhoff
Federal Reserve Board and University of Lausanne
Downloads 1 (549,951)
Citation 5

Abstract:

decentralization, immediacy, liquidity, market quality, municipal bonds, network analysis, over-the-counter financial market, trading cost, transparency

2.

Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?

Journal of Finance, Forthcoming
Number of pages: 56 Posted: 17 Mar 2008 Last Revised: 02 Dec 2009
Carnegie Mellon University - David A. Tepper School of Business, Federal Reserve Board and University of Lausanne
Downloads 692 (26,468)
Citation 7

Abstract:

Municipal Bond, Price Discovery, Market Microstructure, Liquidity, Asymmetric Adjustment

3.

Which Skills Matter in the Market for CEOs? Evidence from Pay for CEO Credentials

Number of pages: 63 Posted: 30 Oct 2010 Last Revised: 02 Apr 2015
Federal Reserve Board, Federal Reserve Board and Washington University in Saint Louis - Olin Business School
Downloads 524 (40,357)
Citation 9

Abstract:

CEO pay, CEO labor market, CEO turnover

Institutional Herding and Its Price Impact: Evidence from the Corporate Bond Market

Number of pages: 58 Posted: 22 Nov 2015 Last Revised: 12 Dec 2016
Fang Cai, Song Han, Dan Li and Yi Li
Federal Reserve Board, Federal Reserve Board - Division of Research and Statistics, Federal Reserve Board and Federal Reserve Board
Downloads 226 (106,248)
Citation 19

Abstract:

Corporate bond, herding, liquidity, institutional investors, mutual funds, return reversal

Institutional Herding in the Corporate Bond Market

FRB International Finance Discussion Paper No. 1071
Number of pages: 47 Posted: 08 Feb 2013
Fang Cai, Song Han and Dan Li
Federal Reserve Board, Federal Reserve Board - Division of Research and Statistics and Federal Reserve Board
Downloads 129 (176,410)
Citation 20

Abstract:

corporate bond, herding, liquidity, institutional investors

Liquidity Crisis, Runs, and Security Design - Lessons from the Collapse of the Auction Rate Securities Market

Number of pages: 53 Posted: 14 Jan 2009 Last Revised: 20 Mar 2009
Song Han and Dan Li
Federal Reserve Board - Division of Research and Statistics and Federal Reserve Board
Downloads 183 (130,494)
Citation 5

Abstract:

Auction rate securities, liquidity crisis, uniform-price auctions, underpricing, security design, market microstructure, municipal bond pricing

Liquidity Crisis, Runs, and Security Design -- Lessons from the Collapse of the Auction Rate Securities Market

Number of pages: 53 Posted: 23 Mar 2009
Song Han and Dan Li
Federal Reserve Board - Division of Research and Statistics and Federal Reserve Board
Downloads 123 (183,137)
Citation 3

Abstract:

Auction rate securities, liquidity crisis, uniform-price auctions, underpricing, security design, market microstructure, municipal bond pricing

6.

Liquidity Crisis, Runs, and Security Design: Lessons from the Collapse of the Auction Rate Municipal Bond Market

Number of pages: 58 Posted: 10 Jan 2009 Last Revised: 25 Apr 2013
Song Han and Dan Li
Federal Reserve Board - Division of Research and Statistics and Federal Reserve Board
Downloads 225 (103,406)
Citation 3

Abstract:

Auction, auction rate securities, municipal bond pricing, liquidity crisis

7.

Rounding as Discrimination - Price Clustering in the OTC Tax-Exempt Bond Market

AFA 2008 New Orleans Meetings Paper
Number of pages: 45 Posted: 17 Mar 2007 Last Revised: 23 Dec 2007
Dan Li
Federal Reserve Board
Downloads 189 (119,121)
Citation 1

Abstract:

Price Clustering, Yield Clustering, Markup Clustering, Dealer's Market Power, Bargaining, Price Resolution, Over-The-Counter Market, Municipal Bond

8.

Belief Dispersion, Dispersion of Belief Changes, and Trading Volume: Evidence from Surveys of Consumers and Professional Forecasters

Number of pages: 42 Posted: 17 Mar 2010 Last Revised: 12 Jul 2010
Dan Li and Geng Li
Federal Reserve Board and Federal Reserve Board
Downloads 62 (277,665)
Citation 1

Abstract:

Belief Dispersion, Belief Change, Trading Volume, Surveys of Consumers, Survey of Professional Forecasters

9.

Are Household Investors Noise Traders: Evidence from Belief Dispersion and Stock Trading Volume

FEDS Working Paper No. 2014-35
Number of pages: 48 Posted: 18 May 2014
Dan Li and Geng Li
Federal Reserve Board and Federal Reserve Board
Downloads 59 (260,389)
Citation 1

Abstract:

Belief dispersion, trading volume, household investors, surveys of consumers

10.

Liquidity, Runs, and Security Design

Number of pages: 52 Posted: 16 Feb 2009
Song Han and Dan Li
Federal Reserve Board - Division of Research and Statistics and Federal Reserve Board
Downloads 48 (301,970)
Citation 5

Abstract:

Auction rate securities, municipal bond pricing, liquidity crisis, uniform-price auctions

11.

Belief Dispersion Among Household Investors and Stock Trading Volume

FEDS Working Paper No. 2011-39
Number of pages: 34 Posted: 09 Nov 2011
Geng Li and Dan Li
Federal Reserve Board and Federal Reserve Board
Downloads 33 (342,830)
Citation 1

Abstract:

Belief dispersion, trading volume, household investors, Surveys of Consumers

12.

Fire-Sale Spillovers in Debt Markets

Number of pages: 60 Posted: 21 Dec 2016 Last Revised: 11 Jan 2017
Federal Reserve Board, University of Chicago - Department of Economics, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 0 (296,796)

Abstract:

asset management, fixed-income markets, fire-sales, identification of spillover effects

13.

Dynamic Liquidity Management by Corporate Bond Mutual Funds

Number of pages: 41 Posted: 08 May 2016
Hao Jiang, Dan Li and Ashley Wang
Michigan State University, Federal Reserve Board and Federal Reserve Board
Downloads 0 (174,776)

Abstract:

Liquidity, Mutual funds, Asset Managers, Corporate Bond Funds, Run risks