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Professor Youwei Li


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, 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, 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.