Xinwei Li 李忻葳
I will be on the 2024-2025 job market.
My research interests lie in macro-finance, focusing on asset pricing, real investment, monetary policy, and climate finance.
News and Updates
I will present The Rise and Fall of Investment: Rethinking Q theory in Equilibrium at (1) SFS Cavalcade North America 2024 in Atlanta on May 21 and at (2) The 7th Dauphine Finance PhD Workshop in Paris on June 19.
I will present The Monetary Channel of the Green Premium at the Chinese Economists Society China Annual Conference on July 5-7.
Working Papers
Summary: The green premium varies substantially over time and is correlated with the regime of monetary policy in low frequency. The green premium is high (low) during periods of expansionary (contractionary) monetary policy. Using a high-frequency identification strategy, I establish that the conduct of monetary policy has differential causal impacts on stock returns of green and brown firms in high frequency.
Presented at: INSEAD (2024), CES China Annual Conference (2024 scheduled)
Featured by: SSRN
Summary: We recover a pricing kernel from aggregate investment by exploiting the investment Euler equation which relates asset returns to investment and profitability. We impose parametric structures to disentangle information of the pricing kernel from that of cash flows. The recovered pricing kernel is highly counter-cyclical and is able to price standard Fama-French portfolios reasonably well. This framework is highly flexible for further extensions.
Presented at [*by my co-author]: INSEAD (2021, 2022), The 11th Wharton-INSEAD Doctoral Consortium (2022), China International Conferencen in Finance (2023), European Finance Assocation Annual Meeting (2023)*, ESSEC Business School (2023)*, IESE Business School (2023)*, ESCP Business School (2023)*, Warwick Business School (2023)*, American Finance Association Annual Meeting (2024), EDHEC Business School (2024)*
Summary: Marginal Q is no longer the summary statistic for investment when the marginal cost curve is subject to shocks. The movement of Q and investment crucially depends on the investment elasticity of supply. In essence, marginal Q is to investment as price is to quantity in any demand-supply system.
Presented at [*by my co-author]: INSEAD (2023)*, USI-SFI PhD Summer School (2023)*, The 12th Wharton-INSEAD Doctoral Consortium (2023), SFS Cavalcade North America (2024 scheduled), The 7th Dauphine Finance PhD Workshop (2024 scheduled)
Summary: The nominal interest rate has a moderating effect on the investment-Q relation. I construct a novel measure "demonetized Q" by collecting residuals from the projection of average Q onto the nominal interest rate. The demonetized Q has much higher explanatory power for aggregate investment than average Q. The demonetized Q is also a superior predictor of market returns.