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

24

DOWNLOADS
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Top 10,616

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8,305

SSRN CITATIONS
Rank 12,580

SSRN RANKINGS

Top 12,580

in Total Papers Citations

83

CROSSREF CITATIONS

37

Scholarly Papers (24)

1.
Downloads 1,378 (16,383)
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 1,378 (26,291)
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 691 (68,984)
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 250 (223,563)
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 812 (56,573)
Citation 11

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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 634 (78,080)

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 426 (125,707)

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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 149 (358,541)

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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 59 (666,791)

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5.

Fundamental Anomalies

Number of pages: 122 Posted: 24 Feb 2021 Last Revised: 10 May 2023
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 515 (101,355)

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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 Tsinghua University - PBC School of Finance
Downloads 439 (121,299)
Citation 7

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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: 16 Feb 2023
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 Tsinghua University - PBC School of Finance
Downloads 34 (841,316)

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7.

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 439 (122,599)
Citation 3

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IPOs, Underwriters, Competition, Collusion

8.

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 Tsinghua University - PBC School of Finance
Downloads 315 (177,351)

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

9.

Investor Protection and Financial Structure

Number of pages: 45 Posted: 14 Mar 2006
Erica X. N. Li
Cheung Kong Graduate School of Business
Downloads 315 (177,351)
Citation 1

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

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 278 (202,045)
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.

Inferring Financial Flexibility: Do Actions Speak Louder than Words?

Number of pages: 63 Posted: 18 Jun 2023 Last Revised: 14 Jan 2024
Sudipto Dasgupta, Erica X. N. Li and Siyuan Wu
Chinese University of Hong Kong, ABFER, CEPR, and ECGI, Cheung Kong Graduate School of Business and The Chinese University of Hong Kong (CUHK)
Downloads 248 (226,417)

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financial flexibility, financial constraints, investment spikes, liquidity management, text analysis, ChatGPT

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 239 (234,806)
Citation 3

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Corporate governance, stock returns, investment, business cycles

13.

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 227 (246,723)

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

14.
Downloads 211 (264,189)

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 179 (306,126)

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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: 10 May 2023
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 32 (858,381)

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15.

Firm-Level Irreversibility

Fisher College of Business Working Paper No. 2023-03-26, Charles A. Dice Working Paper No. 2023-26
Number of pages: 70 Posted: 05 Dec 2023
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 199 (278,740)

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Firm-level irreversibility, systems worldview, scientific modeling, replication, reproduction

16.

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 190 (290,676)
Citation 2

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IPO, Underpricing, Collusion, Underwriter

17.

The Impact of Securities Regulation on New Keynesian Firms

Peking University, HSBC Business School Working Paper No. 20221104
Number of pages: 56 Posted: 16 Nov 2021 Last Revised: 30 Dec 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 171 (319,000)

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

18.

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

Management Science forthcoming
Number of pages: 70 Posted: 16 Feb 2022 Last Revised: 06 Feb 2024
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 160 (337,790)

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

19.

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

NBER Working Paper No. w26372
Number of pages: 50 Posted: 14 Oct 2019 Last Revised: 22 Jan 2023
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 143 (370,296)
Citation 1

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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 135 (388,128)
Citation 1

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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

21.

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 90 (517,847)
Citation 3

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

22.

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 85 (536,386)
Citation 2

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23.

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 56 (671,037)
Citation 7

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

24.

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 51 (699,956)

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