Frank Weikai Li

Singapore Management University - Lee Kong Chian School of Business

469 Bukit Timah Road

Singapore 912409

Singapore

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 3,358

SSRN RANKINGS

Top 3,358

in Total Papers Downloads

13,470

SSRN CITATIONS
Rank 7,969

SSRN RANKINGS

Top 7,969

in Total Papers Citations

126

CROSSREF CITATIONS

35

Scholarly Papers (19)

1.
Downloads 2,693 ( 5,668)
Citation 4

Days to Cover and Stock Returns

29th Australasian Finance and Banking Conference 2016
Number of pages: 63 Posted: 26 Feb 2015 Last Revised: 11 Nov 2016
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management
Downloads 2,645 (5,701)
Citation 2

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Days to Cover, Crowded Trades, Stock Returns

Days to Cover and Stock Returns

NBER Working Paper No. w21166
Number of pages: 51 Posted: 18 May 2015
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management
Downloads 48 (474,738)
Citation 2

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2.
Downloads 1,719 ( 11,775)
Citation 60

Climate Risks and Market Efficiency

Journal of Econometrics, Forthcoming
Number of pages: 42 Posted: 09 May 2016 Last Revised: 08 Sep 2017
Harrison G. Hong, Frank Weikai Li and Jiangmin Xu
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business and Peking University - Guanghua School of Management
Downloads 1,680 (11,979)
Citation 2

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Climate Risks, Climate Change, Stock Market, Efficiency, Return Predictability

Climate Risks and Market Efficiency

NBER Working Paper No. w22890
Number of pages: 79 Posted: 05 Dec 2016
Harrison G. Hong, Frank Weikai Li and Jiangmin Xu
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business and Peking University - Guanghua School of Management
Downloads 39 (516,427)
Citation 54

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3.

Short Selling ETFs

Finance Down Under 2019 Building on the Best from the Cellars of Finance
Number of pages: 57 Posted: 10 Sep 2016 Last Revised: 06 Sep 2019
Frank Weikai Li and Qifei Zhu
Singapore Management University - Lee Kong Chian School of Business and Nanyang Business School, Nanyang Technological University
Downloads 1,641 (12,683)
Citation 4

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ETFs, Short Selling, Equity Lending, Limits to Arbitrage, Market Efficiency

4.

What's Hot in Finance (2011-2015)?

Number of pages: 91 Posted: 04 Mar 2016 Last Revised: 07 Mar 2016
HKUST Business School, Hong Kong University of Science & Technology (HKUST) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business, Chinese University of Hong Kong (CUHK) - Department of Finance and Hong Kong University of Science & Technology (HKUST)
Downloads 1,371 (16,803)
Citation 1

Abstract:

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corporate finance, asset pricing, investments, market microstructure, financial intermediation

5.

ETF Momentum

Number of pages: 53 Posted: 22 Oct 2019 Last Revised: 03 Feb 2020
Frank Weikai Li, Melvyn Teo and Chloe (Chunliu) Yang
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Fudan University - Fanhai International School of Finance (FISF)
Downloads 758 (39,521)

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ETFs, Exchange traded funds, momentum, overreaction

6.

Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 75 Posted: 11 Sep 2017 Last Revised: 24 Feb 2020
Frank Weikai Li and Chengzhu Sun
Singapore Management University - Lee Kong Chian School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 614 (52,388)
Citation 4

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Information Acquisition, EDGAR Search, Return Predictability, Market Efficiency

7.

Climate Change Concerns and Mortgage Lending

Number of pages: 67 Posted: 16 Sep 2019 Last Revised: 27 Apr 2021
Tinghua Duan and Frank Weikai Li
IESEG School of Management and Singapore Management University - Lee Kong Chian School of Business
Downloads 546 (60,927)
Citation 2

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Climate Change, Global Warming, Mortgage Lending, Temperature Anomaly

8.

The Information Content of Sudden Insider Silence

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 68 Posted: 10 Dec 2015 Last Revised: 16 Feb 2018
Claire Yurong Hong and Frank Weikai Li
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Singapore Management University - Lee Kong Chian School of Business
Downloads 530 (62,995)
Citation 1

Abstract:

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Insider Silence, Return Predictability, Underreaction, Information Content

9.

Security Analysts and Capital Market Anomalies

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 90 Posted: 14 Jan 2018 Last Revised: 21 Jun 2019
Li Guo, Frank Weikai Li and K.C. John Wei
Fudan University - School of Economics, Singapore Management University - Lee Kong Chian School of Business and Hong Kong Polytechnic University
Downloads 529 (63,127)
Citation 16

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Analysts; Analyst recommendations; Anomalies; Mispricing; Market efficiency

10.

The Real Effects of Exchange-Traded Funds

Number of pages: 70 Posted: 24 Feb 2018 Last Revised: 26 Jan 2020
University of Warwick - Warwick Business School, Singapore Management University - Lee Kong Chian School of Business, University of Hong Kong (HKU) - Finance Area, Faculty of Business and Economics, University of California, Los Angeles (UCLA) - Finance Area and Hong Kong University of Science & Technology (HKUST)
Downloads 502 (67,358)
Citation 3

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ETFs, Real Efficiency, Informational Efficiency, Managerial Learning

11.

Macro Disagreement and the Cross-Section of Stock Returns

Review of Asset Pricing Studies, Forthcoming
Number of pages: 54 Posted: 12 Apr 2014 Last Revised: 19 Apr 2016
Frank Weikai Li
Singapore Management University - Lee Kong Chian School of Business
Downloads 495 (68,577)
Citation 1

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Macro Disagreement, Macroeconomic Risk Factors, Mispricing, Behavioral Finance

12.

Momentum Life Cycle around the World and Beyond

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 72 Posted: 16 Feb 2015 Last Revised: 19 Jan 2018
Frank Weikai Li and K.C. John Wei
Singapore Management University - Lee Kong Chian School of Business and Hong Kong Polytechnic University
Downloads 464 (74,291)
Citation 2

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Momentum life cycle; International; ETFs; Individualism; Limits to arbitrage; Momentum profits

13.

Is Carbon Risk Priced in the Cross Section of Corporate Bond Returns?

Number of pages: 72 Posted: 24 Nov 2020 Last Revised: 04 Jan 2021
Tinghua Duan, Frank Weikai Li and Quan Wen
IESEG School of Management, Singapore Management University - Lee Kong Chian School of Business and Georgetown University - Department of Finance
Downloads 340 (106,470)

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Climate change, Carbon emissions, Corporate bond returns, ESG investing

14.

Do Foreign Institutional Investors Deter Opportunistic Insider Trading?

Number of pages: 73 Posted: 06 Sep 2018 Last Revised: 08 Sep 2020
Claire Yurong Hong, Frank Weikai Li and Qifei Zhu
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Singapore Management University - Lee Kong Chian School of Business and Nanyang Business School, Nanyang Technological University
Downloads 294 (124,962)

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Foreign Institutional Ownership, Insider Trading, Monitoring

15.

Inside Brokers

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 101 Posted: 15 Aug 2016 Last Revised: 09 Sep 2020
Frank Weikai Li, Abhiroop Mukherjee and Rik Sen
Singapore Management University - Lee Kong Chian School of Business, Hong Kong University of Science & Technology (HKUST) - Department of Finance and University of New South Wales (UNSW)
Downloads 275 (133,628)
Citation 4

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Insiders, Brokers, Analysts, Mutual Funds, Information Transmission

16.

Geographic Links and Predictable Returns

Number of pages: 56 Posted: 29 Jun 2020 Last Revised: 24 Apr 2021
Zuben JIN and Frank Weikai Li
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads 270 (136,701)

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Geography, Limited attention, Cross-asset momentum, Market efficiency

17.

Do Firms Adapt to Climate Change? Evidence from Establishment-Level Data

Number of pages: 60 Posted: 06 May 2020 Last Revised: 09 Feb 2021
Zuben JIN, Frank Weikai Li, Yupeng Lin and Zilong Zhang
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, National University of Singapore and City University of Hong Kong
Downloads 227 (161,535)
Citation 1

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Climate change, employment, upskilling, economic establishments, adaptation, abnormal temperatures

18.

A Behavioral Signaling Explanation for Stock Splits

Number of pages: 71 Posted: 12 Mar 2020 Last Revised: 12 Jan 2021
Chenyu Cui, Frank Weikai Li, Jiaren Pang and Deren Xie
University of International Business and Economics (UIBE) - Business School, Singapore Management University - Lee Kong Chian School of Business, Tsinghua University - School of Economics & Management and Tsinghua University
Downloads 109 (296,945)

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Stock split, behavioral signaling, loss aversion

19.

Do Short Sellers Use Textual Information? Evidence from Annual Reports

Number of pages: 47 Posted: 16 Oct 2020
Hung Wan Kot, Frank Weikai Li, Ming Liu and K.C. John Wei
University of Macau - Department of Finance and Business Economics, Singapore Management University - Lee Kong Chian School of Business, University of Macau - Faculty of Business Administration and Hong Kong Polytechnic University
Downloads 93 (329,781)

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Short selling; Annual reports; Textual analysis; Stock returns; Information environment