Junye LI (李隽业)
LI Dasan Chair Professor of Finance
Junye LI (李隽业)
LI Dasan Chair Professor of Finance
School of Management
Fudan University
School of Management
Fudan University
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LI Dasan Chair Professor of Finance
Fudan University
Research Interests:
Empirical Asset Pricing
Financial Econometrics
Financial Machine Learning
Macro Finance
Publications:
Li, J., Sarno, L., and Zinna, G., 2025. "Skewness Risk Premia and the Cross-Section of Currency Returns", Journal of Financial and Quantitative Analysis, Forthcoming (PDF).
Fulop, A., Li, J., Liu, H., and Yan, C., 2025. "Estimating and Testing Long-Run Risk Models: International Evidence", Management Science 71, 3517-3536 (PDF) [Internet Appendix].
Li, J., Sarno, L., and Zinna, G., 2024. "Risks and Risk Premia in the US Treasury Market", Journal of Economic Dynamics and Control 158, 104788 (PDF).
Huang, T., Jiang, L., and Li, J., 2023. "Downside Variance Premium, Firm Fundamentals, and Expected Corporate Bond Returns". Journal of Banking and Finance 154, 106946 (PDF).
Fulop, A., Li, J., and Wan, R., 2022. "Real-Time Bayesian Learning and Bond Return Predictability". Journal of Econometrics 230, 114-130 (PDF).
Fulop, A., Heng, J., Li, J., and Liu, H., 2022. "Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo". Journal of Econometrics 228, 62-84 (PDF).
Huang, T., Li, J., Wu, F., and Zhu, N., 2022. "R&D Information Quality and Stock Returns". Journal of Financial Markets 57, 1-19 (100599) (PDF).
Fulop, A. and Li, J., 2019. "Bayesian Estimation of Dynamic Asset Pricing Models with Informative Observations". Journal of Econometrics 209, 114-138 (PDF) [Internet Appendix] [Matlab Code].
Huang, T. and Li, J., 2019. "Option-Implied Variance Asymmetry and the Cross-Section of Stock Returns". Journal of Banking and Finance 101, 21-36 (PDF).
Li, J. and Zinna, G., 2018. "How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe". Journal of Money, Credit and Banking 50, 1225-1269 (PDF) [Internet Appendix] [Matlab Code].
Li, J. and Zinna, G., 2018. "The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability". Journal of Business & Economic Statistics 36, 411-425 (PDF) [Internet Appendix].
Fulop, A., Li, J., and Yu, J., 2015. "Self-Exciting Jumps, Learning, and Asset Pricing Implications". Review of Financial Studies 28, 876-912 (PDF).
Li, J. and Zinna, G., 2014. "On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and UK". Journal of Financial and Quantitative Analysis 49, 1403-1442 (PDF) [Internet Appendix].
Li, J. and Yin, W., 2014. "Macroeconomic Fundamentals and the Exchange Rate Dynamics: A No-Arbitrage Macro-Finance Approach". Journal of International Money and Finance 41, 46-64 (PDF).
Fulop, A. and Li, J., 2013. "Efficient Learning via Simulation: A Marginalized Resample-Move Approach". Journal of Econometrics 176, 146-161 (PDF) [Matlab Code].
Li, J., 2013. "An Unscented Kalman Smoother for Volatility Extraction: Evidence from Stock Prices and Options". Computational Statistics & Data Analysis 58, 15-26 (PDF).
Li, J., Favero, C., and Ortu, F., 2012. "A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing". Computational Statistics & Data Analysis 56, 3645-3658 (PDF).
Li, J., 2012. "Option-Implied Volatility Factors and the Cross-Section of Market Risk Premia". Journal of Banking & Finance 36, 249-260 (PDF).
Li, J., 2011. "Volatility Components, Leverage Effects, and the Return-Volatility Relations". Journal of Banking & Finance 35, 1530-1540 (PDF).
Li, J., 2011. "Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models". Journal of Business & Economic Statistics 29, 468-480 (PDF).
Working Papers:
Feng, G., Jiang, L., Li, J., and Song, Y., "Deep Tangency Portfolios", First version: November 2021; This version: November 2024 (PDF).
Revise & Resubmit: Management Science
Fulop, A., Li, J., and Wang, M., "Option Mispricing and Alpha Portfolios", First version: May 2022; This version: August 2024 (PDF).
Best Paper Award, 2023 Paris December Finance Meeting
Reject & Resubmit: Journal of Financial Economics
Fulop, A., Heng, J., and Li, J., "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models", First version: January 2021; This version: December 2024 (PDF) [Internet Appendix].
Revise & Resubmit: Journal of the American Statistical Association
Cong, L., Feng, G., He, J., and Li, J., "Uncommon Factors and Asset Heterogeneity in the Cross Section and Time Series", First version: September 2022; This version: June 2023 (PDF). Also with the title: "Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing", This version: July 2023 (PDF).
Best Paper Award, 2024 China FinTech Research Conference.
Feng, G., He, J., Li, J., Sarno, L., and Zhang, Q., "Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes?". First version: May 2023; This version: January 2025 (PDF).
Wang, C. and Li, J. "More stringent, more efficient? Short-selling activities and anomaly mispricing in China." First version: Feb 2025; This version: July 2025 (PDF).
He, J. and Li, J., "Heteroskedastic SDF and Learning about Time-Varying Factor Risk Premia." First version: September 2024 (PDF).
Bie, S., Diebold, F., He, J., and Li, J., "Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching." First version: July 2024; This version: August, 2024 (PDF).
Cong, W., Jia, Y., Li, J., Yang, H., and Zhang, R., "Risk in Mining and Expected Cryptocurrency Returns", This version: May 2024 (PDF).
Permanent Working Papers:
Hong, J., Wang, C., Li, J., and Wang, M., "Mispricing and Arbitrage Portfolios in China", First version: January 2023; This version: November 2023 (PDF).
Fan, Y., Feng, G., Fulop, A., and Li, J., "Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach". First version: October 2019; This version: July 2022 (PDF).
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