Kai Li

HKUST Business School

Assistant Professor of Finance

Clear Water Bay

Kowloon

Hong Kong

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 14,931

SSRN RANKINGS

Top 14,931

in Total Papers Downloads

3,971

SSRN CITATIONS
Rank 10,515

SSRN RANKINGS

Top 10,515

in Total Papers Citations

61

CROSSREF CITATIONS

55

Ideas:
“  My current research agenda focuses on understanding the financial frictions (e.g. the collateral constraint) on asset pricies.  ”

Scholarly Papers (13)

1.

Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital

Review of Financial Studies 26 (2): 491-530, 2013, DOI: doi.org/10.1093/rfs/hhs121
Number of pages: 61 Posted: 15 Mar 2010 Last Revised: 10 Mar 2017
University of Minnesota - Twin Cities - Carlson School of Management, Finance Department, Bocconi University and HKUST Business School
Downloads 1,067 (24,500)
Citation 17

Abstract:

Loading...

Asset Pricing, General Equilibrium, Intangible Capital, Value Premium

News Shocks and the Production-Based Term Structure of Equity Returns

Number of pages: 67 Posted: 18 Nov 2012 Last Revised: 05 Sep 2017
University of Minnesota - Twin Cities - Carlson School of Management, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and HKUST Business School
Downloads 756 (39,220)
Citation 9

Abstract:

Loading...

News Shocks, Learning, Term Structure of Equity, Duration

Production-Based Term Structure of Equity Returns

UNC Kenan-Flagler Research Paper No. 2336099
Number of pages: 42 Posted: 09 Oct 2013
Finance Department, Bocconi University, University of Minnesota - Twin Cities - Carlson School of Management, Board of Governors of the Federal Reserve System and HKUST Business School
Downloads 90 (340,106)
Citation 1

Abstract:

Loading...

Term Structure, Duration, Value Premium

News Shocks and the Production-Based Term Structure of Equity Returns

CEPR Discussion Paper No. DP12661
Number of pages: 70 Posted: 05 Feb 2018
University of Minnesota - Twin Cities - Carlson School of Management, Finance Department, Bocconi University, Board of Governors of the Federal Reserve System and HKUST Business School
Downloads 0
Citation 11
  • Add to Cart

Abstract:

Loading...

3.

The Pollution Premium

Number of pages: 102 Posted: 12 May 2020
National Tsing Hua University - Department of Quantitative Finance, HKUST Business School and HKUST Business School
Downloads 524 (64,030)
Citation 8

Abstract:

Loading...

Toxic emissions, regime shift risk, uncertainty, environmental regulation, cross-section of stock returns

4.

Asset Pricing with a Financial Sector

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 65 Posted: 16 Feb 2013 Last Revised: 12 Oct 2013
Kai Li
HKUST Business School
Downloads 355 (101,647)
Citation 4

Abstract:

Loading...

Financial Intermediary, Equity Premium, Return Predictability, TED spread, Global Method

5.

Leasing as a Risk-Sharing Mechanism

Number of pages: 70 Posted: 15 Jul 2019 Last Revised: 27 Oct 2020
Kai Li and Chi-Yang Tsou
HKUST Business School and HKUST Business School
Downloads 291 (126,181)
Citation 2

Abstract:

Loading...

Leased capital, Operating lease, Risk Sharing, Collateral, Financial constraint, Cross-section of returns

6.

The Leased Capital Premium

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 57 Posted: 27 Nov 2017 Last Revised: 28 Feb 2019
Kai Li and Chi-Yang Tsou
HKUST Business School and HKUST Business School
Downloads 243 (151,656)

Abstract:

Loading...

Leased capital, Operating lease, Secured debt, Collateral, Financial constraint, Cross-section of returns

7.

Learning and the Capital Age Premium

Number of pages: 99 Posted: 16 Aug 2018 Last Revised: 27 Oct 2020
HKUST Business School, HKUST Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 185 (195,688)

Abstract:

Loading...

parameter learning, capital age, cross-section of expected returns, capital misallocation, cash flow duration

8.

The Collateralizability Premium

SAFE Working Paper No. 264 (2019)
Number of pages: 88 Posted: 25 Oct 2019
University of Minnesota - Twin Cities - Carlson School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), HKUST Business School and Goethe University Frankfurt
Downloads 142 (244,470)
Citation 4

Abstract:

Loading...

Cross-Section of Returns, Financial Frictions, Collateral Constraint

9.

Intermediary-Based Equity Term Structure

Number of pages: 58 Posted: 07 Oct 2019 Last Revised: 27 Oct 2020
Kai Li and Chenjie Xu
HKUST Business School and Shanghai University of Finance and Economics - Department of Finance
Downloads 96 (325,964)
Citation 1

Abstract:

Loading...

equity term structure, financial intermediary, mean reversion, discount rate

10.

The Asset Durability Premium

Number of pages: 68 Posted: 02 Dec 2020
Kai Li and Chi-Yang Tsou
HKUST Business School and HKUST Business School
Downloads 86 (346,914)

Abstract:

Loading...

Durability; financial constraints; collateral, cross-section of stock returns

11.

Leasing as a Mitigation Channel of Capital Misallocation

Number of pages: 36 Posted: 02 Dec 2020
Kai Li and Yiming Xu
HKUST Business School and affiliation not provided to SSRN
Downloads 82 (356,881)

Abstract:

Loading...

Leased capital, Collateral Constraint, Capital misallocation

12.

Collective Learning about Systematic Risk

Number of pages: 47 Posted: 31 Dec 2019
Yongjin Kim and Kai Li
City University of Hong Kong and HKUST Business School
Downloads 54 (444,076)

Abstract:

Loading...

Parameter uncertainty, Collective learning, Systematic Risk, Implied Cost of Capital

13.

Financial Intermediation and Capital Reallocation

Posted: 02 Dec 2016
Hengjie Ai, Kai Li and Fang Yang
University of Minnesota - Twin Cities - Carlson School of Management, HKUST Business School and Louisiana State University, Baton Rouge

Abstract:

Loading...

financial Intermediation, Capital Misallocation, Volatility, Crisis, Limited enforcement