Kai Li

Associate Professor of Finance at Peking University HSBC Business School

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Research Interests:

  • Asset Pricing, Macro Finance, Financial Economics, China Financial Markets

Current Research Topics:

  • Asset pricing implications of financial market frictions
  • Green finance
  • Intangible capital and factor investing
  • General equilibrium models of cross-section of stock returns

Education

  • Ph.D., Economics, Duke University, Durham, NC, May 2013
  • M.A., Economics,Duke University, Durham, NC, September 2008
  • M.A., Economics, Peking University, China Center for Economic Research (CCER), Beijing, China, June 2007
  • B.A., Finance, with distinction, Shanghai Jiao Tong University, Shanghai, China, June 2004

Publications

  1. The Pollution Premium, with Po-Hsuan Hsu and Chi-Yang Tsou, accepted at Journal of Finance, 2022. The Commodity & Energy Markets Association (CEMA) Amundi-ESSEC ESG Prize 2022

  2. Asset Pricing with a Financial Sector, with Chenjie Xu, accepted at Financial Management, 2022.

  3. Regime Shifts in a Long-run Risks Model of Stock and Treasury Bond Markets, with Chenjie Xu, accepted at China Finance Review International, 2022.

  4. The Collateralizability Premium, with Hengjie Ai, Jun Li and Christian Schlag, Review of Financial Studies, Volume 33, Issue 12, December 2020, Pages 5821-5855.

  5. Financial Intermediation and Capital Reallocation, with Hengjie Ai and Fang Yang, Journal of Financial Economics, Volume 138, Issue 3, December 2020, Pages 663-686.

  6. News Shocks and Production-Based Term Structure of Equity Returns, with Hengjie Ai, Mariano M. Croce, and Anthony M. Diercks, 2018, Review of Financial Studies, Leading Article (Editor's Choice), Volume 31, Issue 7.

  7. Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital, with Hengjie Ai and Mariano M. Croce, 2013, Review of Financial Studies, Volume 26, Issue 2.

  8. Transitional Notional Defined Contribution Scheme: A New Option of China's Social Security Pension Reform, with Gang Yi, Comparative Studies (in Chinese), No. 29, March 2007.

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