Erica X. N. Li

Cheung Kong Graduate School of Business

Associate Professor

1 East ChangAn Avenue, Oriental Plaza, E2, 20/F

One East Chang An Avenue

Beijing, 100738

China

SCHOLARLY PAPERS

22

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6,612

SSRN CITATIONS
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Top 16,721

in Total Papers Citations

29

CROSSREF CITATIONS

36

Scholarly Papers (22)

1.
Downloads 1,321 ( 14,312)
Citation 12

Anomalies

Simon School Working Paper No. 04-16, Fifteenth Annual Utah Winter Finance Conference
Number of pages: 44 Posted: 01 Nov 2006
Erica X. N. Li, Dmitry Livdan and Lu Zhang
Cheung Kong Graduate School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business
Downloads 1,321 (21,107)
Citation 2

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Anomalies, Tobin's Q, time-varying expected return, rational expectations, behavioral finance

The CAPM Strikes Back? An Equilibrium Model with Disasters

Fisher College of Business Working Paper No. 2015-03-03, Charles A. Dice Center Working Paper No. 2015-03
Number of pages: 58 Posted: 23 Feb 2015 Last Revised: 19 Feb 2018
Hang Bai, Kewei Hou, Howard Kung, Erica X. N. Li and Lu Zhang
University of Connecticut - Department of Finance, Ohio State University (OSU) - Department of Finance, London Business School, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 689 (52,848)
Citation 2

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The CAPM, Rare Disasters, Measurement Errors, The Consumption CAPM, General Equilibrium

The CAPM Strikes Back? An Equilibrium Model with Disasters

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 64 Posted: 07 Mar 2018
Hang Bai, Kewei Hou, Howard Kung, Erica X. N. Li and Lu Zhang
University of Connecticut - Department of Finance, Ohio State University (OSU) - Department of Finance, London Business School, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 246 (173,643)
Citation 5

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The CAPM, Rare Disasters, Measurement Errors, The Consumption CAPM, General Equilibrium, Approximate Aggregation

3.

Intangible Assets and Cross-Sectional Stock Returns: Evidence from Structural Estimation

Number of pages: 37 Posted: 28 Feb 2010 Last Revised: 02 Jan 2015
Erica X. N. Li, Laura Xiaolei Liu and Chen Xue
Cheung Kong Graduate School of Business, Guanghua School of Management, Peking University and University of Cincinnati
Downloads 704 (52,024)
Citation 9

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investment-based asset pricing, intangible assets, structural estimation, R&D, investment specific technological change, adjustment costs, structural estimation, GMM

4.
Downloads 562 ( 69,405)

Optimal Market Timing

Simon School Working Paper
Number of pages: 42 Posted: 26 Jan 2006
Dmitry Livdan, Erica X. N. Li and Lu Zhang
University of California, Berkeley, Cheung Kong Graduate School of Business and Ohio State University - Fisher College of Business
Downloads 395 (104,942)

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External Finance, Market Timing, Stock Returns, Quantitative Theory, Neoclassical Economics

Optimal Market Timing

Sixteenth Annual Utah Winter Finance Conference
Number of pages: 42 Posted: 08 Nov 2006
Dmitry Livdan, Erica X. N. Li and Lu Zhang
University of California, Berkeley, Cheung Kong Graduate School of Business and University of Rochester
Downloads 136 (293,052)

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Optimal Market Timing

NBER Working Paper No. w12014
Number of pages: 43 Posted: 27 Apr 2006 Last Revised: 01 May 2022
Erica X. N. Li, Dmitry Livdan and Lu Zhang
Cheung Kong Graduate School of Business, University of California, Berkeley and Ohio State University - Fisher College of Business
Downloads 31 (640,123)

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5.

Do Underwriters Compete in IPO Pricing?

Management Science 64 (2), 925-954
Number of pages: 63 Posted: 10 Oct 2016 Last Revised: 19 Apr 2018
Evgeny Lyandres, Fangjian Fu and Erica X. N. Li
Tel Aviv University, Singapore Management University - Lee Kong Chian School of Business and Cheung Kong Graduate School of Business
Downloads 407 (102,166)
Citation 3

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IPOs, Underwriters, Competition, Collusion

6.

Investor Protection and Financial Structure

Number of pages: 45 Posted: 14 Mar 2006
Erica X. N. Li
Cheung Kong Graduate School of Business
Downloads 301 (142,246)
Citation 1

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Financial sector, Liquidity Shock, Shareholder protection, Creditor protection, Imperfect enforcement, Ownership structure, Capital structure, Debt capacity

7.

Fundamental Anomalies

Number of pages: 123 Posted: 24 Feb 2021 Last Revised: 11 Jul 2022
Erica X. N. Li, Guoliang Ma, Shujing Wang and Cindy Yu
Cheung Kong Graduate School of Business, Iowa State University, Tongji University and Iowa State University
Downloads 283 (152,112)

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q-theory, Bayesian MCMC estimation, Anomalies, Investment, Profitability

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

Journal of Monetary Economics, Forthcoming
Number of pages: 62 Posted: 28 Jan 2018 Last Revised: 07 Mar 2022
Erica X. N. Li, Tao A. Zha, Ji Zhang and Hao Zhou
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 272 (157,083)
Citation 2

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Stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

NBER Working Paper No. w27861
Number of pages: 50 Posted: 28 Sep 2020 Last Revised: 17 Jun 2022
Erica X. N. Li, Tao A. Zha, Ji Zhang and Hao Zhou
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 10 (820,645)

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9.

Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime

FRB Atlanta Working Paper No. 2020-19
Number of pages: 54 Posted: 20 Apr 2021
Erica X. N. Li, Tao A. Zha, Ji Zhang and Hao Zhou
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and SUSTech Business School
Downloads 251 (170,919)

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stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock

10.

Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

Number of pages: 47 Posted: 08 Jun 2017 Last Revised: 26 Jan 2018
Erica X. N. Li, Haitao Li, Shujing Wang and Cindy Yu
Cheung Kong Graduate School of Business, Cheung Kong Graduate School of Business, Tongji University and Iowa State University
Downloads 226 (188,863)
Citation 2

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DSGE model, Bayesian MCMC estimation, stock returns, neutral technology shock, investment-specific technology shock, monetary policy shock, risk shock

11.

Does Costly Reversibility Matter for U.S. Public Firms?

Fisher College of Business Working Paper No. 2019-03-025, Charles A. Dice Working Paper No. 2019-25
Number of pages: 50 Posted: 09 Oct 2019
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 225 (189,647)

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costly reversibility, the value premium, the standard investment model, simulated method of moments, operating leverage

12.

Does Corporate Governance Affect the Cost of Equity Capital?

Number of pages: 43 Posted: 08 Apr 2009 Last Revised: 15 Oct 2010
Erica X. N. Li
Cheung Kong Graduate School of Business
Downloads 214 (198,899)
Citation 5

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Corporate governance, stock returns, investment, business cycles

13.

Underwriter Collusion and IPO Pricing

Number of pages: 40 Posted: 19 Mar 2008
Fangjian Fu and Erica X. N. Li
Singapore Management University - Lee Kong Chian School of Business and Cheung Kong Graduate School of Business
Downloads 159 (257,918)
Citation 2

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IPO, Underpricing, Collusion, Underwriter

14.

The Impact of Securities Regulation on New Keynesian Firms

Number of pages: 68 Posted: 16 Nov 2021 Last Revised: 06 Jan 2022
Erica X. N. Li, Jin Xie and Ji Zhang
Cheung Kong Graduate School of Business, Peking University HSBC Business School and Tsinghua University - PBC School of Finance
Downloads 154 (264,628)

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Nominal Rigidities, New Keynesian Models, Financial Friction, Sarbanes-Oxley Act, Information Disclosure

15.

Does Costly Reversibility Matter for U.S. Public Firms?

NBER Working Paper No. w26372
Number of pages: 50 Posted: 14 Oct 2019 Last Revised: 24 Jul 2022
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 132 (298,636)
Citation 2

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16.
Downloads 117 (326,088)

Asymmetric Investment Rates

Fisher College of Business Working Paper No. 2022-03-003, Charles A. Dice Working Paper No. 2022-03
Number of pages: 129 Posted: 13 Apr 2022
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 109 (344,717)

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Asymmetry, lumpy investment, national accounting, financial accounting, economic depreciation, current-cost capital, the investment rate

Asymmetric Investment Rates

NBER Working Paper No. w29957
Number of pages: 80 Posted: 18 Apr 2022 Last Revised: 09 May 2022
Hang Bai, Erica X. N. Li, Chen Xue and Lu Zhang
University of Connecticut - Department of Finance, Cheung Kong Graduate School of Business, University of Cincinnati and Ohio State University - Fisher College of Business
Downloads 8 (842,022)
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Corporate Governance and Costs of Equity: Theory and Evidence

Management Science 64 (1): 83-101. doi: 10.1287/mnsc.2016.2570
Number of pages: 46 Posted: 06 Aug 2016 Last Revised: 06 Oct 2018
Di Li and Erica X. N. Li
Peking University - HSBC School of Business and Cheung Kong Graduate School of Business
Downloads 91 (388,356)

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Corporate governance, cross sectional stock returns, investment

Corporate Governance and Costs of Equity: Theory and Evidence

Posted: 31 Jan 2015
Erica X. N. Li
Cheung Kong Graduate School of Business

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Corporate governance, managerial agency problem, stock returns, investment, business cycles

18.

Real and Nominal Equilibrium Yield Curves with Endogenous Inflation: A Quantitative Assessment

Ross School of Business Paper No. 1256
Number of pages: 71 Posted: 02 Nov 2014 Last Revised: 20 Jun 2021
Alex Hsu, Erica X. N. Li and Francisco Palomino
Georgia Institute of Technology - Scheller College of Business, Cheung Kong Graduate School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 71 (444,164)
Citation 3

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Term structure of interest rates, bond risk premia, monetary policy, nominal rigidities

19.

Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks

FEDS Working Paper No. 2016-32
Number of pages: 54 Posted: 22 Apr 2016 Last Revised: 21 Sep 2016
Alex Hsu, Erica X. N. Li and Francisco Palomino
Georgia Institute of Technology - Scheller College of Business, Cheung Kong Graduate School of Business and Board of Governors of the Federal Reserve System
Downloads 65 (464,919)
Citation 2

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20.

The Marginal Value of Cash: Structural Estimates from a Model with Financing and Agency Frictions

Number of pages: 75 Posted: 16 Feb 2022
Sudipto Dasgupta, Di Li and Erica X. N. Li
Chinese University of Hong Kong, ABFER, CEPR, and ECGI, Peking University - HSBC School of Business and Cheung Kong Graduate School of Business
Downloads 58 (491,475)

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marginal value of cash, corporate cash policy, agency problems, financial constraints, costly external finance

21.

Corporate Governance, the Cross Section of Returns and Financing Choices

Number of pages: 60 Posted: 21 Mar 2007
Erica X. N. Li
Cheung Kong Graduate School of Business
Downloads 42 (562,848)
Citation 7

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Corporate governance, Stock returns, Investment, Capital structure, Business cycles

22.

The Federal Reserve and the Cross Section of Stock Returns

Number of pages: 38 Posted: 27 Mar 2008
Erica X. N. Li and Francisco Palomino
Cheung Kong Graduate School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 12 (771,722)

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General Equilibrium, Cross Section of Returns, Monetary Policy, Price Stickiness