All Outputs (59)

The smog that hovers: Air pollution and asset prices (2023)
Journal Article
Guo, L., Han, X., & Li, Y. (2023). The smog that hovers: Air pollution and asset prices. Finance research letters, Article 103633. https://doi.org/10.1016/j.frl.2023.103633

Air pollution affects mental well-being (mood) and amplifies behavioral biases. We test the adverse impact of air pollution on asset prices through the lens of dual-listed stocks. Using regression analysis and difference-in-differences tests, we docu... Read More about The smog that hovers: Air pollution and asset prices.

The Asymmetric Overnight Return Anomaly in the Chinese Stock Market (2022)
Journal Article
An, Y., Huang, L., & Li, Y. (2022). The Asymmetric Overnight Return Anomaly in the Chinese Stock Market. Journal of Risk and Financial Management, 15(11), Article 534. https://doi.org/10.3390/jrfm15110534

Traditional asset pricing theory suggests that to compensate for the uncertainty that investors bear, risky assets should generate considerably higher rates of return than the risk-free rate. However, the overnight return anomaly in the Chinese stock... Read More about The Asymmetric Overnight Return Anomaly in the Chinese Stock Market.

Competition or Authorization—Manufacturers’ Choice of Remanufacturing Strategies (2022)
Journal Article
Wu, Y., & Li, Y. (2022). Competition or Authorization—Manufacturers’ Choice of Remanufacturing Strategies. Sustainability, 14(19), Article 12632. https://doi.org/10.3390/su141912632

In the face of the cannibalization of remanufactured products produced by independent remanufacturers (IRs), original equipment manufacturers (OEMs) can produce remanufactured products themselves to compete with independent remanufacturers (IRs), or... Read More about Competition or Authorization—Manufacturers’ Choice of Remanufacturing Strategies.

Momentum and the Cross-section of Stock Volatility (2022)
Journal Article
Fan, M., Kearney, F., Li, Y., & Liu, J. (2022). Momentum and the Cross-section of Stock Volatility. Journal of Economic Dynamics and Control, 144, Article 104524. https://doi.org/10.1016/j.jedc.2022.104524

Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, called “momentum crashes”. We find that high uncertainty of momentum strategy returns is sourced from the cross-sectional volatility of individu... Read More about Momentum and the Cross-section of Stock Volatility.

Why do small businesses have difficulty in accessing bank financing? (2022)
Journal Article
Harrison, R., Li, Y., Vigne, S. A., & Wu, Y. (2022). Why do small businesses have difficulty in accessing bank financing?. International review of financial analysis, 84, Article 102352. https://doi.org/10.1016/j.irfa.2022.102352

This study investigates bank financing to small and medium-size enterprises (SMEs) and evaluates whether the difficulties of SMEs in accessing bank financing during a period of financial crisis are due to a reduction in the supply of credit, or to a... Read More about Why do small businesses have difficulty in accessing bank financing?.

Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective (2022)
Journal Article
Wang, C., Shen, D., & Li, Y. (2022). Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective. Finance research letters, 49, Article 103143. https://doi.org/10.1016/j.frl.2022.103143

Investor attention is a scarce cognitive resource which affects investment decisions, and recent studies suggest that investor attention also have impacts on asset prices. Although Bitcoin is found to be one of the most unpredictable cryptocurrencies... Read More about Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective.

A reexamination of factor momentum: How strong is it? (2022)
Journal Article
Fan, M., Li, Y., Liao, M., & Liu, J. (2022). A reexamination of factor momentum: How strong is it?. Financial Review, 57(3), 585-615. https://doi.org/10.1111/fire.12300

Recent studies show that most financial market anomalies exhibit a momentum effect. Based on two datasets, (i) an original 22-factor sample and (ii) a more comprehensive 187-factor sample, we find that factor momentum effect is weak at the individual... Read More about A reexamination of factor momentum: How strong is it?.

How state ownership affects corporate R&D: An inverted‐U‐shaped relationship (2021)
Journal Article
Fu, T., Jian, Z., & Li, Y. (in press). How state ownership affects corporate R&D: An inverted‐U‐shaped relationship. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.2589

The existing literature provides mixed evidence about the effect of state ownership on corporate research and development (R&D). As this article hypothesizes, state ownership has a positive institutional effect on the investment environment for R&D a... Read More about How state ownership affects corporate R&D: An inverted‐U‐shaped relationship.

What Can Explain Momentum? Evidence from Decomposition (2021)
Journal Article
Guo, J., Li, P., & Li, Y. (2022). What Can Explain Momentum? Evidence from Decomposition. Management Science, 68(8), 6184-6218. https://doi.org/10.1287/mnsc.2021.4135

This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed... Read More about What Can Explain Momentum? Evidence from Decomposition.

Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach (2021)
Journal Article
Chen, Y., Li, Y., Pantelous, A. A., & Stanley, H. E. (2022). Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach. International review of financial analysis, 79, Article 102002. https://doi.org/10.1016/j.irfa.2021.102002

In this paper, we propose a network-based analytical framework that exploits cointegration and the error correction model to systematically investigate the directions and intensities in terms of the short-run disequilibrium adjustment towards long-ru... Read More about Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach.

Shunned stocks and market states (2021)
Journal Article
Han, X., Li, Y., & Onishchenko, O. (in press). Shunned stocks and market states. The European journal of finance, https://doi.org/10.1080/1351847X.2021.2015699

Hong and Kacperczyk (2009, The price of sin: The effects of social norms on markets. Journal of Financial Economics 93(1), 15–36) document that ‘sin stocks’ (alcohol, tobacco, and gambling) earn relatively high returns on a risk-adjusted basis. We re... Read More about Shunned stocks and market states.

Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending (2021)
Journal Article
Chen, Z., Jin, M., Andrikopoulos, A., & Li, Y. (in press). Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending. The European journal of finance, 1-25. https://doi.org/10.1080/1351847X.2021.2007496

We study cultural diversity and borrowers’ behavior using data from peer-to-peer lending platform Renrendai. We proxy cultural diversity with the Linguistic Diversity Index, measured by the population-weighted number of dialects spoken in a region, a... Read More about Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending.

Dark matters: the effects of dark trading restrictions on liquidity and informational efficiency (2021)
Journal Article
Ibikunle, G., Li, Y., Mare, D., & Sun, Y. (2021). Dark matters: the effects of dark trading restrictions on liquidity and informational efficiency. Journal of International Financial Markets, Institutions and Money, 75, Article 101435. https://doi.org/10.1016/j.intfin.2021.101435

We exploit the implementation of the double volume cap regulation introduced under the Markets in Financial Instruments Directive II in the European equity markets to investigate the impact of dark trading on liquidity and informational efficiency. W... Read More about Dark matters: the effects of dark trading restrictions on liquidity and informational efficiency.

The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies (2021)
Journal Article
Shehadeh, A. A., Li, Y., Vigne, S. A., Almaharmeh, M. I., & Wang, Y. (2021). The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies. International review of financial analysis, 78, Article 101871. https://doi.org/10.1016/j.irfa.2021.101871

In this paper we investigate the forward premium bias (FPB) puzzle for a number of developed and developing country currencies. Our main objective is to examine the possible variations in the existence and severity of the bias for different currency... Read More about The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies.

Low liquidity beta anomaly in China (2021)
Journal Article
Frömmel, M., Han, X., Li, Y., & Vigne, S. A. (in press). Low liquidity beta anomaly in China. Emerging markets review, Article 100832. https://doi.org/10.1016/j.ememar.2021.100832

The conventional risk-based theory does not reconcile with the liquidity-beta anomaly in China: Low liquidity-beta stocks outperform high liquidity-beta stocks on a risk-adjusted basis. This striking pattern is robust to different weighting schemes,... Read More about Low liquidity beta anomaly in China.

The role of hedge funds in the asset pricing: evidence from China (2021)
Journal Article
Zhang, J., Zhang, W., Li, Y., & Feng, X. (in press). The role of hedge funds in the asset pricing: evidence from China. The European journal of finance, 1-25. https://doi.org/10.1080/1351847X.2021.1929373

We document that hedge funds nurture mispricing in the Chinese financial market. We examine the relationship between hedge fund holdings and the degree of mispricing, assuming that hedge funds’ stock holdings are mainly for arbitrage and not for hedg... Read More about The role of hedge funds in the asset pricing: evidence from China.

Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis? (2021)
Journal Article
Hamill, P. A., Li, Y., Pantelous, A., Vigne, S. A., & Waterworth, J. (2021). Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?. Journal of International Financial Markets, Institutions and Money, Article 101300. https://doi.org/10.1016/j.intfin.2021.101300

This paper investigates network connectedness of European sovereign bond markets from 2005 to 2011. To overcome weaknesses in alternative methodologies to estimate network connectedness we adopt the unified methodology recommended by Diebold and Yilm... Read More about Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?.

Same same but different – Stylized facts of CTA sub strategies (2021)
Journal Article
Erdős, P., Li, Y., Liu, R., & Mende, A. (2021). Same same but different – Stylized facts of CTA sub strategies. International review of financial analysis, 74, Article 101657. https://doi.org/10.1016/j.irfa.2021.101657

Using a unique dataset of daily returns of 89 programmes of Commodity Trading Advisors (CTA), we investigate the distributional properties of CTA strategies including trend following, fundamental and contrarian strategies. We find that daily data exh... Read More about Same same but different – Stylized facts of CTA sub strategies.

Bayesian Value-at-Risk backtesting: The case of annuity pricing (2021)
Journal Article
Leung, M., Li, Y., Pantelous, A. A., & Vigne, S. A. (in press). Bayesian Value-at-Risk backtesting: The case of annuity pricing. European journal of operational research, https://doi.org/10.1016/j.ejor.2020.12.051

We propose new Unconditional, Independence and Conditional Coverage VaR-forecast backtests for the case of annuity pricing under a Bayesian framework that significantly minimise the direct and indirect effects of p-hacking or other biased outcomes in... Read More about Bayesian Value-at-Risk backtesting: The case of annuity pricing.

Order book price impact in the Chinese soybean futures market (2021)
Journal Article
Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Order book price impact in the Chinese soybean futures market. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.2439

We study the price impact of order flow in the world's largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain and predict future price changes. Our results are shown to be robust to various ord... Read More about Order book price impact in the Chinese soybean futures market.