Wentao Li

Saïd Business School, University of Oxford

Park End Street

Oxford, OX1 1HP

Great Britain

SCHOLARLY PAPERS

4

DOWNLOADS

638

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  I am working on empirical asset pricing, focusing on tax-loss harvesting with ETFs and the term structure of equity returns. My research interests also include asset management and international trade.  ”

Scholarly Papers (4)

1.

Beating the Index with ETFs

Number of pages: 61 Posted: 10 Oct 2023 Last Revised: 16 Feb 2024
Wentao Li
Saïd Business School, University of Oxford
Downloads 222 (255,482)

Abstract:

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ETF, Tax-Loss Harvesting, Trading Volume

2.

Short-Duration Equity Return Puzzle

Number of pages: 26 Posted: 11 Oct 2023 Last Revised: 13 Oct 2023
Wentao Li
Saïd Business School, University of Oxford
Downloads 161 (340,615)

Abstract:

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Dividend Strip; Conditional Sharpe Ratio; Stochastic Discount Factor

3.

Term Structure of Equity Return Volatility

Number of pages: 38 Posted: 20 Oct 2022
Wentao Li
Saïd Business School, University of Oxford
Downloads 134 (394,951)

Abstract:

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Term Structure of Equity Returns, Volatility, Return Prediction

4.

Return Predictability from Industry Network Effects: Evidence from Rolling Window Adaptive Lasso

Number of pages: 56 Posted: 27 Apr 2021
Wentao Li
Saïd Business School, University of Oxford
Downloads 121 (426,808)

Abstract:

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return predictability, network effects, market efficiency, adaptive lasso