Shaoran Li

Peking University

No. 38 Xueyuan Road

Haidian District

Beijing, 100871

China

SCHOLARLY PAPERS

6

DOWNLOADS

593

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Decoding Cross-Stock Predictability: Peer Strength versus Firm-Peer Disparities

Number of pages: 55 Posted: 31 May 2024
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Nankai University - Department of Finance, Peking University and University of Cambridge
Downloads 322 (179,949)

Abstract:

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cross-stock predictability, asset pricing, economic links, information aggregation JEL Classification: G11

2.

CSNCD: China Stock News Co-mention Dataset

Number of pages: 9 Posted: 29 Nov 2023
Nankai University - Department of Finance, Peking University, Peking University - School of Economics, Peking University - School of Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 98 (506,325)
Citation 1

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Big data; News; Chinese stock market; Textual analysis; Stock links

3.

CSNLFD: China Stock News Leader-Follower Dataset

Number of pages: 6 Posted: 29 Feb 2024
Nankai University - Department of Finance, Peking University, Peking University - School of Economics, Peking University - School of Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 62 (659,207)

Abstract:

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Big data, News, Chinese stock market, Textual analysis, Stock links, Leader-follower

4.

A Tale of Two News-implied Linkages: Information Structure, Processing Costs and Cross-firm Predictability

Number of pages: 54 Posted: 12 Feb 2024
Shuyi Ge, Shaoran Li and Hanyu Zheng
Nankai University - Department of Finance, Peking University and The University of Hong Kong - Faculty of Business and Economics
Downloads 62 (659,207)

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Information processing costs, Limited attention, Cross-firm momentum, News, Big textual data, Linked firms, Attention spillover, Return predictability

5.

A Dynamic Semiparametric Characteristics-Based Model For Portfolio Selection

Number of pages: 43 Posted: 12 Jun 2024
Zhongnan University of Economics and Law, National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, Peking University and University of Cambridge
Downloads 26 (912,918)

Abstract:

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Portfolio management, Prediction, Single index, Sieve Estimation

6.

A-H Share Price Difference: A Theoretical and Empirical Analysis

Number of pages: 64 Posted: 11 Apr 2024
Shaoran Li, Shuyi Ge, Yu Yan and Oliver B. Linton
Peking University, Nankai University - Department of Finance, Peking University - School of Economics and University of Cambridge
Downloads 23 (941,706)

Abstract:

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Price Premium, Dual list shares, General equilibrium