Youwei Li

Hull University Business School

Professor of Finance

University of Hull

Hull, HU6 7RX

United Kingdom

SCHOLARLY PAPERS

44

DOWNLOADS
Rank 7,342

SSRN RANKINGS

Top 7,342

in Total Papers Downloads

8,887

SSRN CITATIONS
Rank 19,401

SSRN RANKINGS

Top 19,401

in Total Papers Citations

31

CROSSREF CITATIONS

22

Scholarly Papers (44)

1.

Risk Adjusted Momentum Strategies: A Comparison between Constant and Dynamic Volatility Scaling Approaches

Research in International Business and Finance, Forthcoming
Number of pages: 22 Posted: 28 Nov 2017 Last Revised: 14 Apr 2020
Minyou Fan, Youwei Li and Jiadong Liu
Queen's University Belfast, Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 898 (38,146)
Citation 2

Abstract:

Loading...

Cross-sectional momentum, Time series momentum, Momentum crashes, Volatility scaling

2.

A Reexamination of Factor Momentum:How Strong is It?

The Financial Review, (2022). DOI: https://doi.org/10.1111/fire.12300
Number of pages: 52 Posted: 13 May 2021 Last Revised: 10 Jun 2022
Minyou Fan, Youwei Li, Ming Liao and Jiadong Liu
Queen's University Belfast, Queen's Management School, Hull University Business School, Nankai University, The School of Finance and Queen's University Belfast - Queen's Management School
Downloads 794 (45,091)

Abstract:

Loading...

Time series momentum; Factor momentum; Return continuation; Factor investing.

3.

Asset Allocation with Time Series Momentum and Reversal

Number of pages: 51 Posted: 17 Feb 2017 Last Revised: 19 Feb 2017
Xuezhong He, Kai Li and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Hull University Business School
Downloads 581 (67,751)
Citation 7

Abstract:

Loading...

Momentum, reversal, optimal asset allocation, performance

4.
Downloads 562 ( 70,810)
Citation 2

Momentum and the Cross-Section of Stock Volatility

QMS Research Paper 2020/01
Number of pages: 58 Posted: 21 Feb 2020 Last Revised: 21 Sep 2021
Queen's University Belfast, Queen's Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 317 (136,125)
Citation 2

Abstract:

Loading...

Cross-sectional momentum, Momentum crashes, Generalised risk-adjusted momentum, Excess volatility, Volatility timing

Momentum and the Cross-Section of Stock Volatility

Number of pages: 54 Posted: 07 Dec 2021
Queen's University Belfast, Queen's Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 245 (177,900)

Abstract:

Loading...

Cross-sectional momentum, Momentum crashes, Generalised risk-adjusted momentum, Excess volatility, Volatility timing

5.

Optimality of Momentum and Reversal

Number of pages: 52 Posted: 17 Jul 2014
Xuezhong He, Kai Li and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Hull University Business School
Downloads 509 (79,839)
Citation 2

Abstract:

Loading...

momentum, reversal, portfolio choice, optimality, profitability.

6.

The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity

Number of pages: 60 Posted: 04 Jun 2016
Ali Shehadeh, Youwei Li and Michael Moore
University of Jordan, Hull University Business School and University of Warwick - Warwick Business School
Downloads 349 (123,621)
Citation 1

Abstract:

Loading...

FX rates, Currency carry trade, Forward-bias puzzle, FX risk premium

7.

The Econometric Analysis of Microscopic Simulation Models

CentER Discussion Paper No. 2006-99
Number of pages: 46 Posted: 25 Oct 2006
Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 294 (148,224)
Citation 4

Abstract:

Loading...

Microscopic simulation models, Econometric analysis

Price Discovery in the Dual-Platform US Treasury Market

Number of pages: 30 Posted: 11 Jan 2011 Last Revised: 19 Sep 2011
Peter G. Dunne, Youwei Li and Zhuowei Sun
Central Bank of Ireland, Hull University Business School and Queen's University Belfast - School of Management
Downloads 293 (147,989)
Citation 2

Abstract:

Loading...

Microstructure, Treasury Market, Bid-Ask Spread, Price Discovery

Price Discovery in the Dual-Platform US Treasury Market

Posted: 04 Feb 2011
Peter G. Dunne, Youwei Li and Zhuowei Sun
Central Bank of Ireland, Hull University Business School and Queen's University Belfast - School of Management

Abstract:

Loading...

Microstructure, Treasury Market, Bid-Ask Spread, Price Discovery

9.

Intraday Time-series Momentum: Evidence from China

Journal of Futures Markets, Forthcoming, QMS Research Paper 2019/12
Number of pages: 38 Posted: 13 Dec 2019 Last Revised: 11 Dec 2020
Queen's University Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and affiliation not provided to SSRN
Downloads 281 (155,173)
Citation 2

Abstract:

Loading...

Intraday Predictability, Time-Series, Momentum

10.

Low Liquidity Beta Anomaly in China

Number of pages: 40 Posted: 11 Dec 2014 Last Revised: 14 Jun 2021
Ghent University - Department of Financial Economics, University of Auckland Business School, Hull University Business School and Trinity College (Dublin) - Trinity Business School
Downloads 272 (160,442)
Citation 1

Abstract:

Loading...

Liquidity, Liquidity Beta, Investor Sentiment, Asset Pricing, China

11.

Long-Term Return Reversals –Value and Growth or Tax? UK Evidence

Number of pages: 38 Posted: 18 Feb 2009 Last Revised: 27 Oct 2010
Yuliang Wu and Youwei Li
University of Bradford and Hull University Business School
Downloads 271 (161,087)
Citation 3

Abstract:

Loading...

overreaction, UK stock market

12.

Investor Overconfidence and the Security Market Line: New Evidence from China

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 62 Posted: 27 Nov 2018 Last Revised: 18 Jun 2020
Xing Han, Kai Li and Youwei Li
University of Auckland Business School, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 234 (185,814)
Citation 3

Abstract:

Loading...

Beta Anomaly, Betting Against Beta, Overconfidence, Trading Volume, Mutual Fund

13.

Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China

Number of pages: 62 Posted: 23 Mar 2017
Xing Han and Youwei Li
University of Auckland Business School and Hull University Business School
Downloads 226 (192,123)

Abstract:

Loading...

Investor Sentiment, Return Predictability, Bias Correction, China

14.

Explaining Young Mortality

Number of pages: 31 Posted: 06 Nov 2010 Last Revised: 23 Sep 2011
Colin O'Hare and Youwei Li
Monash University - Department of Econometrics & Business Statistics and Hull University Business School
Downloads 223 (194,673)

Abstract:

Loading...

15.

The Non- and Semiparametric Analysis of Ms Models: Some Applications

CentER Discussion Paper No. 2006-95
Number of pages: 19 Posted: 24 Oct 2006
Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 212 (204,003)
Citation 3

Abstract:

Loading...

Microscopic simulation models, Probability density function, Spectral density function, Memory parameters

16.

US Dollar Carry Trades in the Era of 'Cheap Money'

Number of pages: 34 Posted: 18 Apr 2016
University of Jordan, RPM Risk & Portfolio Management AB, Stockholm, Sweden, Hull University Business School and University of Warwick - Warwick Business School
Downloads 198 (217,181)
Citation 1

Abstract:

Loading...

Commodity Trading Advisors (CTAs), Foreign Exchange Rate, Carry Trade

17.

Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?

Number of pages: 40 Posted: 14 Sep 2011
Yuliang Wu, Youwei Li and Philip Hamill
University of Bradford, Hull University Business School and Ulster Business School
Downloads 197 (218,160)

Abstract:

Loading...

contrarian performance, London Stock Exchange, price level

18.

Identifying Structural Breaks in Stochastic Mortality Models

Journal of Risk and Uncertainty in Engineering part B, Forthcoming
Number of pages: 28 Posted: 20 Dec 2012 Last Revised: 30 Oct 2014
Colin O'Hare and Youwei Li
Monash University - Department of Econometrics & Business Statistics and Hull University Business School
Downloads 183 (232,720)
Citation 8

Abstract:

Loading...

Mortality, stochastic models, forecasting, structural breaks

19.

Price Discovery in the Chinese Gold Market

Journal of Futures Markets, Forthcoming
Number of pages: 42 Posted: 06 May 2016 Last Revised: 15 Dec 2019
Queen's University Management School, Hull University Business School, University of Technology Sydney and affiliation not provided to SSRN
Downloads 169 (249,001)
Citation 5

Abstract:

Loading...

Chinese gold market, Futures, Price discovery, Information share, Component share, Information leadership share, Sequential price discovery

20.

Same Same But Different -- Stylized Facts of CTA Sub Strategies

Number of pages: 26 Posted: 19 Feb 2021
RPM Risk & Portfolio Management AB, Stockholm, Sweden, Hull University Business School, Deakin University and University of HannoverRPM Risk & Portfolio Management AB
Downloads 162 (260,682)

Abstract:

Loading...

Commodity Trading Advisors, trend following, fundamental strategy, contrarian strategy, stylized facts

21.

What Can Explain Momentum? Evidence From Decomposition

Management Science. DOI: https://doi.org/10.1287/mnsc.2021.4135
Number of pages: 66 Posted: 19 Feb 2021 Last Revised: 15 Jun 2022
Jiaqi Guo, Peng Li and Youwei Li
Birmingham Business School, University of Leeds - Division of Accounting and Finance and Hull University Business School
Downloads 150 (274,647)

Abstract:

Loading...

Momentum, Momentum Candidate Variables, Momentum Decomposition, Momentum Crashes

22.

Investor Heterogeneity and Momentum-based Trading Strategies in China

Number of pages: 46 Posted: 11 Sep 2020 Last Revised: 10 Dec 2020
Ya Gao, Xing Han, Youwei Li and Xiong Xiong
Tianjin University - College of Management and Economics, University of Auckland Business School, Hull University Business School and College of Management and Economics and China Center for Social Computing and Analytics
Downloads 148 (277,645)
Citation 2

Abstract:

Loading...

Investor Heterogeneity, Intraday Return, Overnight Return, Momentum

23.

Overnight Momentum, Informational Shocks, and Late-Informed Trading in China

Number of pages: 43 Posted: 05 Nov 2019
Ya Gao, Xing Han, Youwei Li and Xiong Xiong
Tianjin University - College of Management and Economics, University of Auckland Business School, Hull University Business School and College of Management and Economics and China Center for Social Computing and Analytics
Downloads 136 (296,734)

Abstract:

Loading...

intraday momentum, overnight return, price jump, late-informed trading

24.

Shunned Stocks and Market States

European Journal of Finance, 28(7), 2022, 705-717. DOI: https://doi.org/10.1080/1351847X.2021.2015699
Number of pages: 29 Posted: 06 Dec 2021 Last Revised: 10 Jun 2022
Xing Han, Youwei Li and Olena Onishchenko
University of Auckland Business School, Hull University Business School and University of Otago
Downloads 130 (307,109)

Abstract:

Loading...

Sin stocks, Social norms, Shunned stock hypothesis, Market states

25.

The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

Number of pages: 39 Posted: 28 Sep 2015
Xuezhong He and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School
Downloads 128 (310,659)
Citation 2

Abstract:

Loading...

Adaptiveness, fundamental and technical analysis, stylized facts, power-law, tail index

26.

Is Mortality Spatial or Social?

Economic Modelling, Vol. 42, 2014
Number of pages: 26 Posted: 20 Dec 2012 Last Revised: 21 Oct 2014
Colin O'Hare and Youwei Li
Monash University - Department of Econometrics & Business Statistics and Hull University Business School
Downloads 128 (310,659)

Abstract:

Loading...

Mortality rates, Frailty models, Deprivation measures

27.

Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing

European Journal of Operational Research, Volume 293, Issue 2, pp. 786-801, 1 September 2021, DOI 10.1016/j.ejor.2020.12.051
Number of pages: 111 Posted: 27 Nov 2019 Last Revised: 06 Jul 2022
Monash University - Department of Econometrics & Business Statistics, Hull University Business School, Monash University - Department of Econometrics & Business Statistics and Trinity College (Dublin) - Trinity Business School
Downloads 125 (316,060)
Citation 1

Abstract:

Loading...

Decision analysis; Value-at-Risk; Backtesting; Bayesian framework; Longevity risk

28.

Testing of a Market Fraction Model and Power-Law Behaviour in the DAX 30

Journal of Empirical Finance, Volume 31, March 2015, Pages 1–17
Number of pages: 35 Posted: 11 Jan 2015 Last Revised: 22 Sep 2015
Xuezhong He and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School
Downloads 117 (331,466)

Abstract:

Loading...

Asset pricing, fundamentalists and trend followers, (FI)GARCH, power-law, tail index

29.

Structural Breaks in Mortality Models: An International Comparison

Number of pages: 26 Posted: 28 Oct 2014
Colin O'Hare and Youwei Li
Monash University - Department of Econometrics & Business Statistics and Hull University Business School
Downloads 102 (364,028)
Citation 1

Abstract:

Loading...

30.

Models of Mortality - Analysing the Residuals

Number of pages: 34 Posted: 28 Oct 2014
Colin O'Hare and Youwei Li
Monash University - Department of Econometrics & Business Statistics and Hull University Business School
Downloads 99 (371,173)

Abstract:

Loading...

Mortality, stochastic models, forecasting, structural breaks. hurst exponents

31.

Was a Deterioration in ‘Connectedness’ a Leading Indicator of the European Sovereign Debt Crisis?

Journal of International Financial Markets, Institutions and Money, Volume 74, September 2021, 101300 DOI: 10.1016/j.intfin.2021.101300
Number of pages: 35 Posted: 11 May 2016 Last Revised: 23 Nov 2021
Ulster University at Jordanstown, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Trinity College (Dublin) - Trinity Business School and Queen's University Belfast, Students
Downloads 97 (375,946)
Citation 4

Abstract:

Loading...

Financial Crisis, Networks, Sovereign Bonds, Connectedness

32.

Order Book Price Impact in the Chinese Soybean Futures Market

Number of pages: 47 Posted: 19 Feb 2021
Queen's University Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and affiliation not provided to SSRN
Downloads 91 (391,306)

Abstract:

Loading...

Order flow imbalance, Limit order book, Price impact, Futures markets

33.

Social Media Effect, Investor Recognition and the Cross-Section of Stock Returns

International Review of Financial Analysis, Forthcoming
Number of pages: 46 Posted: 13 Dec 2019
Tianjin University - College of Management and Economics, Tianjin University - College of Management and Economics, Hull University Business School, Tianjin University - College of Management and Economics and Tianjin University - College of Management and Economics
Downloads 89 (396,718)

Abstract:

Loading...

social media, investor recognition, asset pricing

34.

Short-Run Disequilibrium Adjustment and Long-Run Equilibrium in the International Stock Markets: A Network-Based Approach

International Review of Financial Analysis, Volume 79, 102002, January 2022, DOI: 10.1016/j.irfa.2021.102002
Number of pages: 60 Posted: 26 May 2020 Last Revised: 27 Dec 2021
Institute for Risk and Uncertainty, University of Liverpool, UK, Hull University Business School, Monash University - Department of Econometrics & Business Statistics and Boston University - Center for Polymer Studies
Downloads 78 (428,891)

Abstract:

Loading...

International Stock Markets; Cointegration; Error Correction Model; Complex Network Theory; Financial Crisis

35.

Identifying the Relative Importance of Stock Characteristics in the UK Market

Journal of Multinational Financial Management, Vol. 34, 2016, pp 80-91.
Number of pages: 27 Posted: 01 Aug 2014 Last Revised: 16 Dec 2020
Declan French, Yuliang Wu and Youwei Li
Queen's University Management School, University of Bradford and Hull University Business School
Downloads 71 (451,544)

Abstract:

Loading...

stock characteristics, factor models

36.

Long Memory in Financial Markets: A Heterogeneous Agent Model Perspective

Number of pages: 29 Posted: 01 Mar 2018
Min Zheng, Ruipeng Liu and Youwei Li
China Institute for Actuarial Science, Central University of Finance and Economics, China, Deakin University and Hull University Business School
Downloads 67 (465,376)
Citation 1

Abstract:

Loading...

Heterogeneity, Bounded Rationality, Asymmetrical Beliefs, Long Memory, Modified R/S Test

37.

Heterogeneous Agent Models in Financial Markets: A Nonlinear Dynamics Approach

Number of pages: 34 Posted: 19 Dec 2018
Xuezhong He, Youwei Li and Min Zheng
Xi'an Jiaotong-Liverpool University (XJTLU), Hull University Business School and China Institute for Actuarial Science, Central University of Finance and Economics, China
Downloads 62 (484,004)

Abstract:

Loading...

stylized facts, anomalies, heterogeneous beliefs, nonlinear dynamics, stability and bifurcation

38.

How Did Order-Flow Impact Bond Prices During the European Sovereign Debt Crisis?

Number of pages: 24 Posted: 30 Oct 2019
Tianjin University, Hull University Business School, Ulster University at Jordanstown, Queen's University Belfast - School of Management and Queen's University Belfast, Students
Downloads 55 (511,934)

Abstract:

Loading...

Order-flow, Price impact, Trading intensity, Sovereign Bonds

39.

The Role of Hedge Funds in Asset Pricing: Evidence from China

Number of pages: 59 Posted: 18 Feb 2021
JING ZHANG, Wei Zhang, Youwei Li and Xu Feng
Tianjin University-College of Management and Economics, Tianjin University - College of Management and Economics, Hull University Business School and Tianjin University - College of Management and Economics
Downloads 54 (516,177)

Abstract:

Loading...

Hedge funds, stock mispricing, asset pricing, arbitrage

40.

A Rising E-Channel Tide Lifts All Boats? The Impact of Manufacturer Multi-Channel Encroachment on Traditional Selling and Leasing

Number of pages: 32 Posted: 16 Apr 2016
Wei Yan, Youwei Li, Ying Wu and Mark Palmer
School of Management and Economics of University of Electronic Science and Technology of China, Chengdu, China, Hull University Business School, Chongqing University of Science and Technology and Queen’s University Belfast
Downloads 52 (525,014)
Citation 1

Abstract:

Loading...

E-commerce, Channels of distribution, Durable goods, Durability, Selling and leasing

41.

Econometric Analysis of Microscopic Simulation Models

Quantitative Finance, (2010), 10(10), 1187-1201
Posted: 30 Oct 2014
Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)

Abstract:

Loading...

42.

Do Benchmark African Equity Indices Exhibit the Stylized Facts?

Global Finance Journal, Vol. 21, No. 1, 2010
Posted: 28 May 2010
Youwei Li, Philip Hamill and Kwaku K. Opong
Hull University Business School, Ulster Business School and University of Glasgow - Adam Smith Business School

Abstract:

Loading...

Africa All-Share Index, Stylized facts, GARCH, Fat-tails, Long memory

43.

Power-Law Behaviour , Heterogeneity, and Trend Chasing

Journal of Economic Dynamics and Control, Vol. 31, No. 10, 2007
Posted: 17 Mar 2009
Xuezhong He and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School

Abstract:

Loading...

Asset pricing, fundamentalists and trend followers, market fraction, stability, learning, power-law

44.

Heterogeneity, Convergence, and Autocorrelations

Quantitative Finance, Vol. 8, No. 1, 2008
Posted: 17 Mar 2009
Xuezhong He and Youwei Li
Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School

Abstract:

Loading...

Asset pricing, heterogeneous beliefs, market fraction, stability, bifurcation, market behaviour, limiting distribution, autocorrelation