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Sequential scaled sparse factor regression

Zheng, Zemin; Li, Yang; Wu, Jie; Wang, Yuchen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 595-604

Persistent link: https://www.econbiz.de/10013533979

Intraday return and volatility spill-over across international copper futures markets

Lien, Da-hsiang Donald; Li, Yang - In: International journal of managerial finance : IJMF 5 (2009) 1, pp. 135-149

Persistent link: https://www.econbiz.de/10003935287

Return autocorrelations on individual stocks and corresponding futures : evidence from Australian, Hong Kong, and United Kingdom markets

Lien, Da-hsiang Donald; Li, Yang - In: Review of Pacific Basin financial markets and policies 7 (2004) 3, pp. 397-422

Persistent link: https://www.econbiz.de/10002229060

Alternative settlement methods and Australian individual share futures contracts

Lien, Da-hsiang Donald; Li, Yang - In: Journal of international financial markets, … 14 (2004) 5, pp. 473-490

Persistent link: https://www.econbiz.de/10002187102

Availability and settlement of individual stock futures and options expiration-day effects : evidence from high-frequency data

Lien, Da-hsiang Donald; Li, Yang - In: The quarterly review of economics and finance : journal … 45 (2005) 4/5, pp. 730-747

Persistent link: https://www.econbiz.de/10003099292

Limited attention, managerial multitasking, and hedge fund performance in China

Li, Lu; Li, Yang; Wang, Xueding; He, Yuqian - In: Pacific-Basin finance journal 67 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013258141

Can real options explain the skewness of stock returns?

Ho, Tuan; Kim, Kirak; Li, Yang; Xu, Fangming - In: Journal of banking & finance 148 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248283

How mutual funds respond to asymmetric feedback trading in China's stock market

Wan, Die; Li, Yang; Yang, Xiaoguang - In: Journal of management science and engineering 9 (2024) 2, pp. 143-160

Previous studies show that individual investors play a dominant role in China's stock market. Their behavior of chasing-rise being stronger than killing-fall leads to asymmetry of feedback trading. Our article investigates how mutual funds react to this market force. Using China's stock and fund...

Persistent link: https://www.econbiz.de/10014631861

Market conditions and the effect of diversification on mutual fund performance : should funds be more concentrative under crisis?

Hu, Jin-li; Chang, Tzu-pu; Chou, Ray Yeutien - In: Journal of productivity analysis 41 (2014) 1, pp. 141-151

Persistent link: https://www.econbiz.de/10010429325

Asset returns and financial fragility

Li, Yang - 2016

What configuration of asset returns will make the banking system most susceptible to a self-fulfilling run? I study this question in a version of the model of Diamond and Dybvig (1983) with limited commitment and a non-trivial portfolio choice. I show that the relationship between the returns on...

Persistent link: https://www.econbiz.de/10011444259