Youwei Li (@YouweiLi3) profile picture

Youwei Li

@YouweiLi3

Professor of Finance at Hull University Business School

 United Kingdom
ssrn.com/author=539212
Joined April 2022
  • Tweets34
  • Following85
  • Followers12
New research: Optimising classic currency factors matters. Bayesian mean-variance optimisation significantly improves carry, value, and momentum strategies, with diversification playing a key role. doi.org/10.1016/j.jimonfin.2… #Finance #FX #AssetPricing
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Good news! My article received enough citations to be a Top Cited Article. Read it here onlinelibrary.wiley.com/doi/… #TopCitedArticle @wileyinresearch
Climate Change Exposure and Bankruptcy Risk

Climate Change Exposure and Bankruptcy Risk

This research documents that a firm's bankruptcy risk increases with its climate change exposure. This study further investigates the underlying mechanisms and finds that this effect is stronger for...

onlinelibrary.wiley.com
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Equilibrium strategies under model uncertainty in a shareholder–manager differential game for insurance firms tandfonline.com/doi/full/10.…

Equilibrium strategies under model uncertainty in a shareholder–manager differential game for...

This paper studies the strategic interaction between shareholders and managers in an insurance company under model uncertainty using a two-player non-cooperative differential game. The firm’s surpl...

tandfonline.com
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Markets don’t price beta the same way in every regime. When risk aversion is high → SML ↑ and alpha ≈ 0; when low → SML inverts and alpha > 0. Details: sciencedirect.com/science/ar… #Markets #Quant #AssetPricing
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Check out the open access article, “Optimizing Currency Factors” from the latest issue of the Financial Review by Minyou Fan, Fearghal Kearney, Youwei Li, and Jiadong Liu. onlinelibrary.wiley.com/doi/… @VU_Business @USFMuma @WileyEconomics
Image from The Financial Review (@TheFinancialRev)
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Full article: Banks’ liability structure and monetary policy transmission: evidence from a quasi-natural experiment in China tandfonline.com/doi/full/10.…

Banks’ liability structure and monetary policy transmission: evidence from a quasi-natural experi...

This study investigates how banks’ liability structure affects the bank lending channel of monetary policy transmission. Using a two-period model, we argue that deposit-funded banks are more inclin...

tandfonline.com
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Decomposing the relation between irrational behaviors and beta: The European Journal of Finance - Get Access tandfonline.com/doi/full/10.…

Decomposing the relation between irrational behaviors and beta

This paper investigates the bidirectional relation between irrational behaviors and beta. There are two representative irrational noise trading behaviors, autonomous switching and herding. The pane...

tandfonline.com
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🚨 New in EJOR! “Optimal dividend & scale of business strategies with reinsurance & premium pricing for insurance companies.” We model how insurers balance dividends, growth, reinsurance & pricing under risk. 🔗 doi.org/10.1016/j.ejor.2025.…
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Take a look at the article, “Attention allocation: An empirical analysis of the asymmetric market responses to information shocks in China” from FR by Ya Gao, Xing Han, Youwei Li, Samuel A. Vigne, and Xiong Xiong. onlinelibrary.wiley.com/doi/… @VU_Business @USFMuma @WileyEconomics
Image from The Financial Review (@TheFinancialRev)
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Optimal dividend and scale of business strategies with reinsurance and... sciencedirect.com/science/ar…
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Optimizing Currency Factors - Fan - Financial Review - Wiley Online Library onlinelibrary.wiley.com/doi/… @TheFinancialRev @Pagano_finance @TinaYang_USF
Optimizing Currency Factors

Optimizing Currency Factors

We introduce a novel framework that dynamically optimizes currency factor strategies via trading currency spot and forward. We examine the performance of 24,336 portfolio optimization approaches and...

onlinelibrary.wiley.com
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Rethinking Currency Factors: The Case for Mean-Variance Optimisation @SSRN papers.ssrn.com/sol3/papers.…
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Optimising Currency Factors @SSRN papers.ssrn.com/sol3/papers.…
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Decomposing the Relation between Irrational behaviors and Beta @SSRN papers.ssrn.com/sol3/papers.…
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Full article: The Magnet Effect of Price Limits: An Agent-Based Approach tandfonline.com/doi/full/10.…
The Magnet Effect of Price Limits: An Agent-Based Approach

The Magnet Effect of Price Limits: An Agent-Based Approach

In this paper, we study the magnet effect within the context of circuit breaker events that transpired in global stock markets during March 2020. Our analysis encompasses nine such events across si...

tandfonline.com
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Market Behaviors under the Stock Index Circuit Breaker using an Agent-based Approach doi.org/10.1007/s11518-024-5…
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Excited to share that our paper, "Make it Right: Regulatory Intervention in Managers’ Misconduct and Corporate Risk,” has been published online in @JBusinessEthics! link.springer.com/10.1007/s1…
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Pleased to share that our paper, "Attention allocation: An empirical analysis of the asymmetric market responses to information shocks in China,” has been published online in @TheFinancialRev! @Pagano_finance @TinaYang_USF onlinelibrary.wiley.com/doi/…
Attention allocation: An empirical analysis of the asymmetric market responses to information...

Attention allocation: An empirical analysis of the asymmetric market responses to information...

Attention allocation—investors allocate their attention disproportionately within a day—has implications on how the market responds to information. Using high-frequency jumps detected in China, we...

onlinelibrary.wiley.com
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The Nexus of Overnight Trend and Asset Prices in China sciencedirect.com/science/ar…
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Performance of energy ETFs and climate risks sciencedirect.com/science/ar…
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