Xiafei Li

affiliation not provided to SSRN

Nottingham University Business School

Lecturer in Accounting & Finance

Jubilee Campus

Nottingham, NG8 1BB

United Kingdom

  • Nottingham University Business School

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    • Tel: +44 (0)115 9518603
SCHOLARLY PAPERS

12

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3,667

SSRN CITATIONS
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SSRN RANKINGS

Top 21,894

in Total Papers Citations

10

CROSSREF CITATIONS

35

Scholarly Papers (12)

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1.

Low-Cost Momentum Strategies

Number of pages: 18 Posted: 10 Aug 2007 Last Revised: 19 May 2009
Xiafei Li, Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business Schoolaffiliation not provided to SSRN, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads 1,312 (21,039)

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Momentum profits, Transaction costs, Low-cost strategy

2.

The Value Premium and Time-Varying Volatility

Downloads 446 ( 89,542)
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, Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business Schoolaffiliation not provided to SSRN, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads 444 (89,194)
Citation 1

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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, Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business Schoolaffiliation not provided to SSRN, University of Bristol - School of Economics, Finance and Management and affiliation not provided to SSRN
Downloads 2 (880,669)

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3.

Momentum Profits and Time-Varying Unsystematic Risk

Downloads 372 (110,316)
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, Xiafei Li, Joëlle Miffre and Chris Brooks
Nottingham University Business Schoolaffiliation not provided to SSRN, Audencia Business School and University of Bristol - School of Economics, Finance and Management
Downloads 245 (170,087)

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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, Xiafei Li, Joëlle Miffre, Chris Brooks and Niall O'Sullivan
Nottingham University Business Schoolaffiliation not provided to SSRN, Audencia Business School, University of Bristol - School of Economics, Finance and Management and University College Cork
Downloads 127 (301,555)
Citation 3

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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, Xiafei Li and Di Luo
Nottingham University Business Schoolaffiliation not provided to SSRN and University of Southampton - Southampton Business School
Downloads 371 (110,661)

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Asset pricing; financial constraints; stock liquidity; macroeconomic conditions

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, Xiafei Li and Thanaset Chevapatrakul
University of Nottingham, University of Nottingham, Students, Nottingham University Business Schoolaffiliation not provided to SSRN and Nottingham University Business School
Downloads 220 (189,076)
Citation 2

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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, Xiafei Li and Di Luo
Nottingham University Business Schoolaffiliation not provided to SSRN and University of Southampton - Southampton Business School
Downloads 218 (190,730)
Citation 2

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Cash holdings; Investor sentiment; Transaction costs; Idiosyncratic volatility

7.

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, Xiafei Li and Xiafei Li
Audencia Business School, University of Bristol - School of Economics, Finance and Management and Nottingham University Business Schoolaffiliation not provided to SSRN
Downloads 203 (203,869)
Citation 2

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

8.

Default Risk and the Market Skewness Risk Effect

Number of pages: 46 Posted: 30 Oct 2016
Zhongxiang Xu, Xiafei Li, Xiafei Li, Thanaset Chevapatrakul and Ning Gao
University of Nottingham, University of Nottingham, Students, Nottingham University Business Schoolaffiliation not provided to SSRN, Nottingham University Business School and Manchester Accounting and Finance Group, Alliance Manchester Business School, University of Manchester
Downloads 193 (213,439)

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Asset pricing, market skewness risk, default risk

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, Xiafei Li and Di Luo
Nottingham University Business Schoolaffiliation not provided to SSRN and University of Southampton - Southampton Business School
Downloads 167 (241,548)

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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 and Xiafei Li
Nottingham University Business Schoolaffiliation not provided to SSRN
Downloads 97 (361,506)

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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, Xiafei Li and Di Luo
Nottingham University Business Schoolaffiliation not provided to SSRN and University of Southampton - Southampton Business School
Downloads 68 (444,236)

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

12.

Transaction Costs, Trading Volume and Momentum Strategies

https://doi.org/10.3905/JOT.2010.5.1.066
Posted: 21 May 2019
Xiafei Li, Xiafei Li, Chris Brooks and Joëlle Miffre
Nottingham University Business Schoolaffiliation not provided to SSRN, 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