RESEARCH | guoli

Selected Publications:

[1] Security Analysts and Capital Market Anomalies (with Weikai Li and K.C. John Wei)

Journal of Financial Economics, Vol 137, 204-230 (2020)

• The Research Paper Award at 26th Theories and Practices of Securities and Financial Markets

• The Semi-finalist, the Financial Management Association 2018 Best Paper Award

• The 2019 Hillcrest Behavioral Finance Award (Honorable Mention)

[2] A Time-Varying Network for Cryptocurrencies (with Yubo Tao and Wolfgang Karl Härdle)

Journal of Business and Economic Statistics, forthcoming

Working Papers:

[1] News Co-Occurrence, Attention Spillover and Return Predictability (with Lin Peng, Yubo Tao and Jun Tu)

Revise & Resubmit, Review of Financial Studies
• The Best Young Scholar Paper Award for Frontier of Business Research in China 2017

[2] Sentiment, Limited Attention and Mispricing (with Xinrui Duan, Weikai Li and Jun Tu)

• The Best Paper Award Nomination at EFMA 2019

[3] Media-based Inter-Industry Network and Information Transmission (with Weikai Li and Jun Tu)

• The Best Paper Award at WRDS Advanced Research Scholar Program 2019

[4] Cross-cryptocurrency Return Predictability (with Bo Sang, Jun Tu and Yu Wang)

[5] Crypto-specific Lexicon, Sentiment Projection and Return Predictability of Cryptocurrency (with Cathy Yi-Hsuan Chen and Thomas Renault)

[6] A Composite Risk Index and Cryptocurrency Market Return Predictability (with Shiyi Chen, Yu Wang and Hongbao Yu)

Other Publications:

[1] Media Connection and Return Comovement (with Zilin Chen and Jun Tu)

Journal of Economic Dynamics and Control, Vol 130, 1-18 (2021)

[2] Cryptocurrency: A New Investment Opportunities (with David Lee Kuo Chuen and Yu Wang)

Journal of Alternative Investments, Vol 20(3), 16-40 (2018) (Leading article; Google citation: 430)

[3] Textual Analysis and Machine Leaning: Crack Unstructured Data in Finance andAccounting (with Feng Shi and Jun Tu)

Journal of Finance and Data Science, Vol 2(3), 153-170 (2016)

[4] Risk Analysis of Cryptocurrency as An Alternative Asset Class (with Xiangjun Li)

In Wolfgang Karl Härdle, Cathy Yi-Hsuan Chen and Ludger Overbeck (Eds.), Applied Quantitative Finance, 3rd Edition (Chapter 16), Springer-Verlag Berlin Heidelberg (2016) (Most Downloaded Chapter)

[5] Evaluating the Potential of Alternative Cryptocurrencies (with David Lee Kuo Chuen, Chong Eu Bobby Ong and Teik Ming Lee)

In David Lee Kuo Chuen, Handbook of Digital Currency –Bitcoin, Innovation, Financial Instruments, and Big Data, 1st Edition (Chapter 5), Elsevier (2014)

Selected Media Coverage:

[1] CFA Digest: Cryptocurrency: A New Investment Opportunity

[2] Alpha Architect: Do Analysts Exploit Factor Anomalies when recommending stocks?

[3] “分析师将价格推向何方?”《清华金融评论》 2020 年第 7 期

[4] Are Sell-side Analysts' Recommendation Useful? CFA Society Singapore (Nov 20, 2018)