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Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches (2018)
Journal Article
Fan, M., Li, Y., & Liu, J. (2018). Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches. Research in international business and finance, 46, 131-140. https://doi.org/10.1016/j.ribaf.2017.12.004

We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016). We per... Read More about Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches.

Liquidity skewness in the London Stock Exchange (2017)
Journal Article
Hsieh, T. H., Li, Y., McKillop, D. G., & Wu, Y. (2018). Liquidity skewness in the London Stock Exchange. International review of financial analysis, 56, 12-18. https://doi.org/10.1016/j.irfa.2017.12.006

We study liquidity on the London Stock Exchange. We find that the average bid-ask spread declines, but that the skewness of the spread increases. These results are robust to firm size, trading volume and price level. Our findings hold when the bid-as... Read More about Liquidity skewness in the London Stock Exchange.

The adaptiveness in stock markets: testing the stylized facts in the DAX 30 (2017)
Journal Article
He, X. Z., & Li, Y. (2017). The adaptiveness in stock markets: testing the stylized facts in the DAX 30. Journal of Evolutionary Economics, 27(5), 1071-1094. https://doi.org/10.1007/s00191-017-0505-9

By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed an... Read More about The adaptiveness in stock markets: testing the stylized facts in the DAX 30.

Can investor sentiment be a momentum time-series predictor? Evidence from China (2017)
Journal Article
Han, X., & Li, Y. (2017). Can investor sentiment be a momentum time-series predictor? Evidence from China. Journal of Empirical Finance, 42, 212-239. https://doi.org/10.1016/j.jempfin.2017.04.001

This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable moment... Read More about Can investor sentiment be a momentum time-series predictor? Evidence from China.

Models of mortality rates–analysing the residuals (2017)
Journal Article
O’hare, C., & Li, Y. (2017). Models of mortality rates–analysing the residuals. Applied economics, 49(52), 5309-5323. https://doi.org/10.1080/00036846.2017.1305092

The area of mortality modelling has received significant attention over the last 25 years owing to the need to quantify and forecast improving mortality rates. This need is driven primarily by the concern of governments, insurance and actuarial profe... Read More about Models of mortality rates–analysing the residuals.

A rising e-channel tide lifts all boats? the impact of manufacturer multichannel encroachment on traditional selling and leasing (2016)
Journal Article
Yan, W., Li, Y., Wu, Y., & Palmer, M. (2016). A rising e-channel tide lifts all boats? the impact of manufacturer multichannel encroachment on traditional selling and leasing. Discrete Dynamics in Nature and Society, 2016, Article 2898021. https://doi.org/10.1155/2016/2898021

Organizing and managing channels of distribution is an important marketing task. Due to the emergence of electronic commerce on the Internet, e-channel distribution systems have been adopted by many manufacturers. However, academic and anecdotal evid... Read More about A rising e-channel tide lifts all boats? the impact of manufacturer multichannel encroachment on traditional selling and leasing.

Modelling mortality: are we heading in the right direction? (2016)
Journal Article
O’hare, C., & Li, Y. (2017). Modelling mortality: are we heading in the right direction?. Applied economics, 49(2), 170-187. https://doi.org/10.1080/00036846.2016.1192278

Predicting life expectancy has become of upmost importance in society. Pension providers, insurance companies, government bodies and individuals in the developed world have a vested interest in understanding how long people will live for. This desire... Read More about Modelling mortality: are we heading in the right direction?.

US dollar carry trades in the era of “cheap money” (2016)
Journal Article
Erdõs, P., Erdos, P., Li, Y., Moore, M., & Shehadeh, A. (2016). US dollar carry trades in the era of “cheap money”. Czech journal of economics and finance, 66(5), 374-404

In this paper, we employ a unique dataset of actual US dollar (USD) forward positions against a number of currencies taken by so-called commodity trading advisors (CTAs). We investigate the extent to which these positions exhibit a pattern of USD car... Read More about US dollar carry trades in the era of “cheap money”.

Identifying the relative importance of stock characteristics (2016)
Journal Article
French, D., Wu, Y., & Li, Y. (2016). Identifying the relative importance of stock characteristics. Journal of Multinational Financial Management, 34, 80-91. https://doi.org/10.1016/j.mulfin.2016.01.002

There is no consensus in the literature as to which stock characteristic best explains returns. In this study, we employ a novel econometric approach better suited than the traditional characteristic sorting method to answer this question for the UK... Read More about Identifying the relative importance of stock characteristics.

Identifying structural breaks in stochastic mortality models (2015)
Journal Article
O’Hare, C., & Li, Y. (2015). Identifying structural breaks in stochastic mortality models. ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B: Mechanical Engineering, 1(2), Article 021001. https://doi.org/10.1115/1.4029740

In recent years, the issue of life expectancy has become of utmost importance to pension providers, insurance companies, and government bodies in the developed world. Significant and consistent improvements in mortality rates and hence life expectanc... Read More about Identifying structural breaks in stochastic mortality models.

Price discovery in the dual-platform US Treasury market (2015)
Journal Article
Sun, Z., Dunne, P. G., & Li, Y. (2015). Price discovery in the dual-platform US Treasury market. Global finance journal, 28, 95-110. https://doi.org/10.1016/j.gfj.2015.02.001

Inter-dealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2-,... Read More about Price discovery in the dual-platform US Treasury market.

Testing of a market fraction model and power-law behaviour in the DAX 30 (2015)
Journal Article
He, X. Z., & Li, Y. (2015). Testing of a market fraction model and power-law behaviour in the DAX 30. Journal of Empirical Finance, 31, 1-17. https://doi.org/10.1016/j.jempfin.2015.01.001

This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squa... Read More about Testing of a market fraction model and power-law behaviour in the DAX 30.

Structural breaks in mortality models and their consequences (2014)
Presentation / Conference Contribution
O'Hare, C., & Li, Y. (2014, July). Structural breaks in mortality models and their consequences. Presented at Second International Conference on Vulnerability and Risk Analysis and Management (ICVRAM) and the Sixth International Symposium on Uncertainty, Modeling, and Analysis (ISUMA), Liverpool, UK

In recent years, the issue of life expectancy has become of upmost importance to pension providers, insurance companies and the government bodies in the developed world. Significant and consistent improvements in mortality rates and, hence, life expe... Read More about Structural breaks in mortality models and their consequences.

Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange? (2012)
Journal Article
Wu, Y., Li, Y., & Hamill, P. (2012). Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange?. Financial Review, 47(3), 501-530. https://doi.org/10.1111/j.1540-6288.2012.00338.x

We investigate whether low‐priced stocks drive long‐term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama‐French risk adjusted basis, we find both low‐priced... Read More about Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange?.

The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market (2012)
Book Chapter
Zhang, R., Li, Y., & McKillop, D. (2012). The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market. In L. Wang (Ed.), Rising China in the Changing World Economy (357-395). Routledge

Introduction:
The non-normality of security price returns has attracted a large number of studies. The observed distributions are commonly called leptokurtic because of the narrower body of the distribution and fatter tails. One explanation suggeste... Read More about The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market.

Explaining young mortality (2011)
Journal Article
O'Hare, C., O’Hare, C., & Li, Y. (2012). Explaining young mortality. Insurance: Mathematics and Economics, 50(1), 12-25. https://doi.org/10.1016/j.insmatheco.2011.09.005

Stochastic modeling of mortality rates focuses on fitting linear models to logarithmically adjusted mortality data from the middle or late ages. Whilst this modeling enables insurers to project mortality rates and hence price mortality products it do... Read More about Explaining young mortality.

Long-term return reversals-Value and growth or tax? UK evidence (2010)
Journal Article
Wu, Y., & Li, Y. (2011). Long-term return reversals-Value and growth or tax? UK evidence. Journal of International Financial Markets, Institutions and Money, 21(3), 347-368. https://doi.org/10.1016/j.intfin.2010.12.001

This paper examines (i) whether value-growth characteristics have more power than past performance in predicting return reversals; and (ii) whether typical rational behaviour such as incentives to delay paying capital gain taxes can better explain lo... Read More about Long-term return reversals-Value and growth or tax? UK evidence.

Econometric analysis of microscopic simulation models (2010)
Journal Article
Li, Y., Donkers, B., & Melenberg, B. (2010). Econometric analysis of microscopic simulation models. Quantitative finance, 10(10), 1187-1201. https://doi.org/10.1080/14697680903460176

Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to com... Read More about Econometric analysis of microscopic simulation models.