Degrees

• PhD in Finance, University of Toronto

• MBA, Fordham University

• BSc, Renmin University of China

Research Interests

• Asset Pricing, Financial Derivatives, Machine Learning, Investment

Research Publications

• Information Content of Aggregate Implied Volatility Spread, Management Science, with Bing Han (2021) [Internet Appendix]  [Data] (Updated to 2019)

• Stock Return Autocorrelations and Expected Option Returns, Management Science, with Yoontae Jeon and Raymond Kan (2024, Forthcoming)

Working Papers

• Idiosyncratic Volatility and the ICAPM Covariance Risk with Bing Han (2019) [Data] (Updated to 2022) 

• Forecasting Option Returns with News with Jie Cao, Bing Han, Ruijing Yang, and Xintong Zhan (2022)

• Betting Against the Crowd: Option Trading and Market Risk Premium with Jie Cao, Xintong Zhan, and Guofu Zhou (2022)

• Do Insurers Listen to Earnings Conference Calls? Evidence from the Corporate Bond Market with Jie Cao, Russell Wermers, Xintong Zhan, and Linyu Zhou (2023)

Teachings at CUHK

• FINA2010: Financial Management (Undergraduate)

• FINA6229: Machine Learning in Finance (Master)

• FINA6222: Selected Topics in Finance (PhD)

Contact:

• Email: gang.li@cuhk.edu.hk

• School's Website

• Google Scholar

• SSRN

• Linkedin