Xiafei Li

Keele Business School, Keele University

Senior Lecturer in Finance

NG5 5AA

United Kingdom

Keele Business School, Keele University

Senior Lecturer in Finance

Keele, ST5 5AA

United Kingdom

  • Keele Business School, Keele University

  • Keele Business School, Keele University

SCHOLARLY PAPERS

14

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4,024

SSRN CITATIONS
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SSRN RANKINGS

Top 22,680

in Total Papers Citations

22

CROSSREF CITATIONS

29

Scholarly Papers (14)

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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
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads 1,356 (25,703)

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Momentum profits, Transaction costs, Low-cost strategy

2.

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
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads 460 (109,103)
Citation 1

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

3.

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
Keele Business School, Keele University and University of Dundee School of Business
Downloads 407 (125,854)

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Asset pricing; financial constraints; stock liquidity; macroeconomic conditions

4.

Momentum Profits and Time-Varying Unsystematic Risk

Downloads 404 (126,926)
Citation 14

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
Keele Business School, Keele University, Audencia Business School and University of Bristol - School of Economics, Finance and Management
Downloads 261 (201,258)

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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
Xiafei Li, Joëlle Miffre, Chris Brooks and Niall O'Sullivan
Keele Business School, Keele University, Audencia Business School, University of Bristol - School of Economics, Finance and Management and University College Cork
Downloads 143 (347,914)
Citation 3

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

5.

Return Asymmetry and the Cross Section of Stock Returns

Number of pages: 41 Posted: 11 Oct 2016 Last Revised: 03 Jul 2019
Zhongxiang Xu, Xiafei Li and Thanaset Chevapatrakul
University of Nottingham, University of Nottingham, Students, Keele Business School, Keele University and Nottingham University Business School
Downloads 266 (199,256)
Citation 3

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Empirical asset pricing; return asymmetry; skewness

6.

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
Keele Business School, Keele University and University of Dundee School of Business
Downloads 238 (221,377)
Citation 3

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Cash holdings; Investor sentiment; Transaction costs; Idiosyncratic volatility

7.

Default Risk, Macroeconomic Conditions, and the Market Skewness Risk Premium

Journal of International Money and Finance, Forthcoming
Number of pages: 47 Posted: 30 Oct 2016 Last Revised: 31 May 2022
Zhongxiang Xu, Xiafei Li, Thanaset Chevapatrakul and Ning Gao
University of Nottingham, University of Nottingham, Students, Keele Business School, Keele University, Nottingham University Business School and Manchester Accounting and Finance Group, Alliance Manchester Business School, University of Manchester
Downloads 225 (233,679)

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Asset pricing; positive skewness preference, market skewness risk premium; default risk; macroeconomic conditions; state-dependent risk aversion

8.

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 Business School, University of Bristol - School of Economics, Finance and Management and Keele Business School, Keele University
Downloads 224 (234,675)
Citation 2

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

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
Keele Business School, Keele University and University of Dundee School of Business
Downloads 184 (280,689)

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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
Keele Business School, Keele University
Downloads 104 (440,365)

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Idiosyncratic volatility, Return reversal, EGARCH model

11.

Increase in cash holdings of U.S. firms: The role of healthcare and technology industries

Number of pages: 38 Posted: 09 Mar 2018 Last Revised: 16 Jun 2020
Xiafei Li and Di Luo
Keele Business School, Keele University and University of Dundee School of Business
Downloads 102 (446,467)

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Cash holdings; industry effect; precautionary motive; agency costs; R&D investment, industry competition

12.

Model Misspecification and the Cash-Holding Effect

Number of pages: 42 Posted: 14 Feb 2023
Xiafei Li and Di Luo
Keele Business School, Keele University and University of Southampton - Southampton Business School
Downloads 41 (717,147)

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Asset pricing; the Fama and French factors; the cash-holding effect; GRS statistics; pricing errors

13.

Revisiting the Zero-Leverage Puzzle: R&D and Market Competition

Number of pages: 45 Posted: 24 May 2023
Minjia Chen, Suyang Li, Xiafei Li and Roman Matousek
University of Nottingham, Coventry University, Keele Business School, Keele University and Queen Mary University of London
Downloads 13 (953,590)

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zero-leverage, R&D, market competition, Capital structure

14.

Transaction Costs, Trading Volume and Momentum Strategies

https://doi.org/10.3905/JOT.2010.5.1.066
Posted: 21 May 2019
Xiafei Li, Chris Brooks and Joëlle Miffre
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School

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