Youwei Li

Hull University Business School

Professor of Finance

University of Hull

Hull, HU6 7RX

United Kingdom

SCHOLARLY PAPERS

50

DOWNLOADS
Rank 6,963

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Top 6,963

in Total Papers Downloads

11,844

SSRN CITATIONS
Rank 13,562

SSRN RANKINGS

Top 13,562

in Total Papers Citations

90

CROSSREF CITATIONS

21

Scholarly Papers (50)

1.

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 Business School, Hull University Business School, Nankai University, The School of Finance and Queen's University Belfast - Queen's Management School
Downloads 1,140 (35,745)
Citation 2

Abstract:

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

2.

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

Research in International Business and Finance, Volume 46, December 2018, Pages 131-140
Number of pages: 22 Posted: 28 Nov 2017 Last Revised: 17 Mar 2023
Minyou Fan, Youwei Li and Jiadong Liu
Queen's University Belfast, Queen's Business School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 1,017 (42,156)
Citation 2

Abstract:

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

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 897 (50,189)
Citation 7

Abstract:

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Momentum, reversal, optimal asset allocation, performance

4.
Downloads 761 (62,739)
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 Business School, Queen's University Belfast - Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 381 (145,107)
Citation 2

Abstract:

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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 Business School, Queen's University Belfast - Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 380 (145,510)

Abstract:

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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 547 (95,435)
Citation 2

Abstract:

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momentum, reversal, portfolio choice, optimality, profitability.

6.

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 447 (121,782)

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

7.

Intraday Time-series Momentum: Evidence from China

Journal of Futures Markets, 40(4), 2020, 632-650. DOI: https://doi.org/10.1002/fut.22084
Number of pages: 38 Posted: 13 Dec 2019 Last Revised: 17 Mar 2023
Queen's University Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and University of Liverpool - Management School (ULMS)
Downloads 407 (135,742)
Citation 3

Abstract:

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Intraday Predictability, Time-Series, Momentum

8.

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 395 (140,516)
Citation 1

Abstract:

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

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 335 (167,147)
Citation 1

Abstract:

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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:

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

10.

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 316 (179,119)
Citation 4

Abstract:

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Microscopic simulation models, Econometric analysis

11.

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 311 (182,159)
Citation 2

Abstract:

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

12.

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 292 (194,692)
Citation 3

Abstract:

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overreaction, UK stock market

13.

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 283 (201,063)
Citation 3

Abstract:

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

14.

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 261 (218,185)
Citation 10

Abstract:

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Investor Sentiment, Return Predictability, Bias Correction, China

15.

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 238 (238,913)

Abstract:

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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 237 (239,910)
Citation 1

Abstract:

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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 225 (252,109)

Abstract:

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contrarian performance, London Stock Exchange, price level

18.

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 216 (261,969)
Citation 3

Abstract:

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

19.

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 213 (265,355)
Citation 5

Abstract:

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Investor Heterogeneity, Intraday Return, Overnight Return, Momentum

20.

Identifying Structural Breaks in Stochastic Mortality Models

Journal of Risk and Uncertainty in Engineering part B, 1(2), 2015, 021002-1-14. DOI: http://dx.doi.org/10.1115/1.4029740
Number of pages: 28 Posted: 20 Dec 2012 Last Revised: 17 Mar 2023
Colin O'Hare and Youwei Li
Monash University - Department of Econometrics & Business Statistics and Hull University Business School
Downloads 198 (283,734)
Citation 9

Abstract:

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Mortality, stochastic models, forecasting, structural breaks

21.

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 196 (286,317)

Abstract:

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

22.

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 190 (294,512)
Citation 2

Abstract:

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

23.

Price Discovery in the Chinese Gold Market

Journal of Futures Markets, 38(10), 2018, 1262-1281. DOI: https://doi.org/10.1002/fut.21938
Number of pages: 42 Posted: 06 May 2016 Last Revised: 17 Mar 2023
Queen's University Management School, Hull University Business School, University of Technology Sydney and University of Liverpool - Management School (ULMS)
Downloads 190 (294,512)
Citation 5

Abstract:

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

24.

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 Bath, School of management and Hull University Business School
Downloads 176 (315,143)

Abstract:

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Momentum, Momentum Candidate Variables, Momentum Decomposition, Momentum Crashes

25.

How Does Green Credit Policy Affect Polluting Firms’ Dividend Policy? The China Experience

International Review of Financial Analysis, Vol. 88, No. 102631, 2023
Number of pages: 58 Posted: 19 Jan 2023 Last Revised: 01 May 2023
Youwei Li, Ming Liao and Yangke Liu
Hull University Business School, Nankai University, The School of Finance and Queen's Management School
Downloads 172 (321,557)

Abstract:

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Dividend policy; green policy; China; credit supply; bank monitoring; corporate

26.

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 155 (351,446)
Citation 2

Abstract:

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

27.

Shunned Stocks and Market States

European Journal of Finance, 28(7), 2022, 705-717. DOI: https://doi.org/10.1080/1351847X.2021.2015699, The University of Auckland Business School Research Paper
Number of pages: 29 Posted: 06 Dec 2021 Last Revised: 08 Nov 2022
Xing Han, Youwei Li and Olena Onishchenko
University of Auckland Business School, Hull University Business School and University of Otago
Downloads 150 (361,003)

Abstract:

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

28.

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 147 (366,984)

Abstract:

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

29.

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 143 (375,101)

Abstract:

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Mortality rates, Frailty models, Deprivation measures

30.

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 University of Liverpool - Management School (ULMS)
Downloads 138 (385,617)

Abstract:

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

31.

A comparative and conceptual intellectual study of environmental topic in Economic and Finance

International Review of Financial Analysis, Volume 91, 103023, January 2024, DOI: 10.1016/j.irfa.2023.103023
Number of pages: 44 Posted: 02 Dec 2022 Last Revised: 09 Jan 2024
Loughborough University, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Trinity College (Dublin) - Trinity Business School and University of Salford - Salford Business School
Downloads 136 (390,123)

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Environmental Finance (EF), Environmental Social and Governance (ESG), Financial innovations, bibliometric analysis, ESG disclosure and investment

32.

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

International Review of Financial Analysis, 67, 101432, 2020. DOI: https://doi.org/10.1016/j.irfa.2019.101432
Number of pages: 46 Posted: 13 Dec 2019 Last Revised: 17 Mar 2023
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 131 (401,832)
Citation 4

Abstract:

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social media, investor recognition, asset pricing

33.

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 127 (411,430)
Citation 7

Abstract:

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Financial Crisis, Networks, Sovereign Bonds, Connectedness

34.

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 122 (423,926)

Abstract:

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

35.

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 120 (429,223)
Citation 1

Abstract:

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36.

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 118 (434,707)

Abstract:

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

37.

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 106 (473,628)
Citation 2

Abstract:

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

38.

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 100 (489,863)
Citation 1

Abstract:

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

39.

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 92 (517,145)

Abstract:

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stock characteristics, factor models

40.

Measuring Financial Literacy of Retail Investors

Number of pages: 90 Posted: 26 Mar 2024 Last Revised: 01 Apr 2024
Xing Cao, Xu Feng, Youwei Li and Meng Xiangtong
Harbin Institute of Technology - School of Management, Tianjin University - College of Management and Economics, Hull University Business School and Tianjin University - College of Management and Economics
Downloads 84 (547,069)

Abstract:

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Financial literacy, Textual analysis, Stock return, Investor behavior

41.

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 82 (555,108)

Abstract:

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Hedge funds, stock mispricing, asset pricing, arbitrage

42.

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 81 (559,227)

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

43.

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 72 (597,953)
Citation 1

Abstract:

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

44.

Social Responsibility and Corporate Borrowing

Number of pages: 56 Posted: 03 Nov 2023
huajin Liu, Youwei Li, Yajun Xiao and Wei Zhang
Tianjin University, Hull University Business School, Xi'an Jiaotong-Liverpool University (XJTLU) and Tianjin University - College of Management and Economics
Downloads 40 (782,547)

Abstract:

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Corporate Social Responsibility (CSR); Social Capital; Loan Amount; Corporate Borrowing; Information Asymmetry; Firm Risk

45.

A Comparative Intellectual and Conceptual Study of Environmental Topic in Economic and Finance

Number of pages: 43 Posted: 29 Jun 2023
Loughborough University, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Luiss Guido Carli University - Luiss Business School and affiliation not provided to SSRN
Downloads 28 (879,208)
Citation 1

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Environmental Finance, ESG, Bibliometric analysis, ESG disclosure and investment

46.

A Decision Making Framework for Joint Replenishment and Delivery Scheduling Problems Under Mixed Uncertainty

Number of pages: 30 Posted: 20 Jun 2023 Last Revised: 10 Jan 2024
Shanghai University, School of Management, Shanghai University, School of Management, Monash University - Department of Econometrics & Business Statistics, Shandong University of Finance and Economics and Hull University Business School
Downloads 12 (1,037,594)

Abstract:

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Supply chain resilience, joint replenishment, mixed uncertainty, chance-constrained programming, cross-entropy algorithm

47.

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)

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48.

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:

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

49.

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:

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

50.

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

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

Other Papers (1)

Total Downloads: 159
1.

Salience Theory and Risk Anomalies

Number of pages: 70 Posted: 16 Oct 2023 Last Revised: 03 Jan 2024
Jiaqi Guo and Youwei Li
Birmingham Business School and Hull University Business School
Downloads 159 (369,672)

Abstract:

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Salience theory, choice under risk, risk-return trade-off, CAPM, retail investor trading