Xiafei Li

Nottingham University Business School

Lecturer in Accounting & Finance

Jubilee Campus

Nottingham, NG8 1BB

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 14,725

in Total Papers Downloads

3,391

SSRN CITATIONS
Rank 19,990

SSRN RANKINGS

Top 19,990

in Total Papers Citations

6

CROSSREF CITATIONS

35

Scholarly Papers (12)

1.

Low-Cost Momentum Strategies

Number of pages: 18 Posted: 10 Aug 2007 Last Revised: 19 May 2009
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management
Downloads 1,263 (15,957)

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Momentum profits, Transaction costs, Low-cost strategy

2.
Downloads 418 ( 72,038)
Citation 6

The Value Premium and Time-Varying Volatility

Journal of Business Finance and Accounting, 2009, 36, 9-10, 1252–1272
Number of pages: 26 Posted: 02 May 2007 Last Revised: 10 Nov 2015
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management
Downloads 417 (71,555)

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Value premium, CAPM, GJR-GARCH(1,1)-M, Conditional unsystematic risk

The Value Premium and Time-Varying Volatility

Journal of Business Finance & Accounting, Vol. 36, Issue 9-10, pp. 1252-1272, November/December 2009
Number of pages: 21 Posted: 11 Nov 2009
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and affiliation not provided to SSRN
Downloads 1 (708,726)
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3.
Downloads 342 ( 90,923)
Citation 13

Momentum Profits and Time-Varying Unsystematic Risk

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Number of pages: 29 Posted: 01 Sep 2006 Last Revised: 10 Nov 2015
Xiafei Li, Joëlle Miffre and Chris Brooks
Nottingham University Business School, Audencia Nantes School of Management and University of Reading - ICMA Centre
Downloads 239 (132,669)

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Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M

Momentum Profits and Time-Varying Unsystematic Risk

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Number of pages: 29 Posted: 26 Jun 2013
Nottingham University Business School, Audencia Nantes School of Management, University of Reading - ICMA Centre and University College Cork
Downloads 103 (271,593)
Citation 2

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Momentum profits, Common unsystematic risk, GJR-GARCH(1,1)-M

4.

Financial Constraints, Stock Liquidity, and Stock Returns

Nottingham University Business School Research Paper No. 2014-01
Number of pages: 45 Posted: 14 Feb 2014 Last Revised: 06 Nov 2019
Xiafei Li and Di Luo
Nottingham University Business School and University of Southampton
Downloads 328 (95,179)

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Asset pricing; financial constraints; stock liquidity; macroeconomic conditions

5.

Investor Sentiment, Limited Arbitrage and the Cash Holding Effect

Review of Finance Forthcoming
Number of pages: 42 Posted: 19 Mar 2016 Last Revised: 28 Oct 2016
Xiafei Li and Di Luo
Nottingham University Business School and University of Southampton
Downloads 199 (158,678)
Citation 1

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Cash holdings; Investor sentiment; Transaction costs; Idiosyncratic volatility

6.

Idiosyncratic Volatility and the Pricing of Poorly-Diversified Portfolios

International Review of Financial Analysis, Vol. 30, 2013
Number of pages: 25 Posted: 03 Jun 2011 Last Revised: 10 Nov 2015
Joëlle Miffre, Chris Brooks and Xiafei Li
Audencia Nantes School of Management, University of Reading - ICMA Centre and Nottingham University Business School
Downloads 196 (160,960)
Citation 2

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idiosyncratic risk, cross-sectional variation in stock returns, CAPM, conditional volatility, risk premium

7.

Default Risk and the Market Skewness Risk Effect

Number of pages: 46 Posted: 30 Oct 2016
University of Nottingham, University of Nottingham, Students, Nottingham University Business School, Nottingham University Business School and Manchester Accounting and Finance Group, Alliance Manchester Business School, University of Manchester
Downloads 185 (169,588)

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Asset pricing, market skewness risk, default risk

8.

Return Asymmetry and the Cross Section of Stock Returns

Number of pages: 41 Posted: 11 Oct 2016 Last Revised: 03 Jul 2019
University of Nottingham, University of Nottingham, Students, Nottingham University Business School and Nottingham University Business School
Downloads 165 (187,481)
Citation 1

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Empirical asset pricing; return asymmetry; skewness

9.

Investor Sentiment, Limited Arbitrage and the Cash Holding Effects

28th Australasian Finance and Banking Conference
Number of pages: 41 Posted: 02 Aug 2015
Xiafei Li and Di Luo
Nottingham University Business School and University of Southampton
Downloads 154 (198,886)

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Cash holding; Investor sentiment; Transaction costs; Idiosyncratic risk

10.

Idiosyncratic Volatility, Measurement Frequency and Return Reversal

Number of pages: 34 Posted: 01 May 2013 Last Revised: 04 Mar 2014
Xiafei Li
Nottingham University Business School
Downloads 94 (286,761)

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Idiosyncratic volatility, Return reversal, EGARCH model

11.

The Increase in Cash Holdings: The Role of the Healthcare and Technology Industries

Number of pages: 41 Posted: 09 Mar 2018
Xiafei Li and Di Luo
Nottingham University Business School and University of Southampton
Downloads 47 (413,648)

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Cash holdings; The healthcare and technology industries; The precautionary motive; Agency costs; R&D investment, Industry competition

12.

Transaction Costs, Trading Volume and Momentum Strategies

Posted: 21 May 2019
Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business School, University of Reading - ICMA Centre and Audencia Nantes School of Management

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Momentum profits, Transaction costs, bid-ask spreads, trading volume