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

19

DOWNLOADS
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Top 10,465

in Total Papers Downloads

5,821

SSRN CITATIONS
Rank 17,060

SSRN RANKINGS

Top 17,060

in Total Papers Citations

27

CROSSREF CITATIONS

38

Scholarly Papers (19)

1.
Downloads 1,310 ( 12,925)
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 1,310 (18,778)
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 685 (47,283)
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 244 (157,721)
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 647 (51,662)
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 559 ( 62,222)

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 393 (94,232)

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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 135 (267,020)

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Optimal Market Timing

NBER Working Paper No. w12014
Number of pages: 43 Posted: 27 Apr 2006 Last Revised: 01 May 2021
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 (585,195)

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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 388 (96,541)
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 299 (128,692)
Citation 1

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

7.

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 222 (173,319)

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

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

Number of pages: 49 Posted: 28 Jan 2018 Last Revised: 07 May 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 210 (182,363)
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: 18 Aug 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 6 (780,035)
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9.

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 207 (184,981)
Citation 5

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Corporate governance, stock returns, investment, business cycles

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 196 (194,519)
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.

Fundamental Anomalies

Number of pages: 56 Posted: 24 Feb 2021 Last Revised: 25 Jun 2021
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 172 (218,206)

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Q-Theory, Investment, Profitability, Momentum, BMCMC Estimation

12.

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 153 (240,706)
Citation 2

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IPO, Underpricing, Collusion, Underwriter

13.

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 145 (251,508)

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

14.

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 2021
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 124 (283,666)
Citation 2

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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 83 (373,535)

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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

16.

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 67 (417,244)
Citation 3

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

17.

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 59 (444,845)
Citation 2

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18.

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 35 (548,829)
Citation 7

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

19.

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 10 (717,526)

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