Address
9-242, Lau Ming Wai Academic Building, City University of Hong Kong
Phone
+852 34427243
Email
Public CV
Research Areas
Equilibrium Asset Pricing
Derivatives
Term Structure and Credit Risk
Contract Theory
Qualifications
PhD - Finance (Washington University in St. Louis)
Bsc - Physics (Fudan University)
Awards
| Award Title | Institution |
|---|---|
| Charles River Associates Awards for the Best Paper on Corporate Finance | Western Finance Association 2014 Annual Meeting |
| Global Association of Risk Professionals (GARP) Risk Management Award | European Financial Management Association 2014 Annual Meeting |
Research Grants
PI: "The Commonality of Corporate Credit risk: A Rating-Based Approach", GRF - RGC, (2020-2022), Tao Li
PI: "Heterogeneity and Correlation-Volatility of Commodities and Stock: Theory and Estimation", GRF - RGC, (2019-2021), Tao Li
PI: "On Duration-Based Explanation of the Profitability and Investment Anomalies: An Empirical Investigation", GRF - RGC, (2018-2020), Tao Li
PI: "Habits and the Term Structure of Risk Premia", GRF - RGC, (2016-2018), Tao Li
PI: "Habits and Uncovered Interest Rate Parity Puzzle: Theory and Estimation", GRF - RGC, (2013-2015), Tao Li
PI: "Modeling Sovereign Credit Risk with Credit Ratings", GRF - RGC, (2012-2014), Haitao Li, Tao Li
PI: "Monetary Policy and Term Structure of Interest Rate in A Continuous-Time DSGE Model: Theory and Estimation", GRF - RGC, (2011-2013), Haitao Li, Tao Li, Cindy Yu
keep reading
Publications
Journal Publications and Reviews
Chen, Shan; Liu, Xujun; Li, Tao / Does the investment-profitability correlation affect the factor premiums? Evidence from China. June 2023; In: Pacific Basin Finance Journal. Vol. 79
LI, Tao / Comments on “Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation,” by Jerome Detemple, Marcel Rindisbacher and Scott Robertson. August 2022; In: Journal of Economic Dynamics and Control. Vol. 141
Lam, Swee-Sum; Li, Tao; Zhang, Weina / Unveil the economic impact of policy reversals: the China experience. 2020; In: China Finance Review International. Vol. 10, No. 1, pp. 16-36
BACK, Kerry; COLLIN-DUFRESNE, Pierre; FOS, Vyacheslav; LI, Tao; LJUNGQVIST, Alexander / ACTIVISM, STRATEGIC TRADING, AND LIQUIDITY. July 2018; In: Econometrica. Vol. 86, No. 4, pp. 1431-1463
Back, Kerry; Crotty, Kevin; Li, Tao / Identifying information asymmetry in securities markets. June 2018; In: Review of Financial Studies. Vol. 31, No. 6, pp. 2277-2325
Li, Tao; Zhou, Yuqing / Optimal contracts in portfolio delegation. September 2016; In: Mathematics and Financial Economics. Vol. 10, No. 4, pp. 365-403
Li, Tao / Investors' heterogeneity and implied volatility smiles. October 2013; In: Management Science. Vol. 59, No. 10, pp. 2392-2412
Li, Haitao; Li, Tao; Yu, Cindy / No-arbitrage Taylor rules with switching regimes. October 2013; In: Management Science. Vol. 59, No. 10, pp. 2278-2294
Li, Tao; Muzere, Mark L. / Heterogeneity and volatility puzzles in international finance. December 2010; In: Journal of Financial and Quantitative Analysis. Vol. 45, No. 6, pp. 1485-1516
Farnsworth, Heber; Li, Tao / The dynamics of credit spreads and ratings migrations. September 2007; In: Journal of Financial and Quantitative Analysis. Vol. 42, No. 3, pp. 595-620
Li, Tao / Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy. May 2007; In: Journal of Economic Dynamics and Control. Vol. 31, No. 5, pp. 1697-1727
Gong, Ning; Li, Tao / Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption. March 2006; In: Applied Mathematics and Computation. Vol. 174, No. 1, pp. 710-731
Conference Papers
Lee, Jeongmin; LI, Tao; Loewenstein, Mark / Asset Pricing with Heterogeneous Preferences: An Analytical Approach. August 2023; Econometric Society European Summer Meeting 2023 (ESEM 2023), 28/08/2023 - 01/09/2024, Barcelona, Spain.
Li, Tao; Wu, Di; Yang, Lihai / Slope Beta and Cross-sectional Stock Returns. July 2023; 2023 China International Conference in Finance (CICF 2023), 06/07/2023 - 09/07/2023, Shanghai, China.
Li, Tao; Loewenstein, Mark / Does Speculation in Financial Markets Have Real Effects?. August 2020; Econometric Society World Congress 2020, 17/08/2020 - 21/08/2020, Milan, Italy.
Li, Tao; Xu, Jianfeng / Habits and the Term Structure of Risk Premia. December 2019; 32nd Australasian Finance and Banking Conference, 16/12/2019 - 18/12/2019, Sydney, Australia.
Chen, Shan; Li, Tao / A Unified Duration-Based Explanation of the Value, Profitability and Investment Anomalies. December 2018; 31st Australasian Finance and Banking Conference, AFBC 2018, 13/12/2018 - 15/12/2018, Sydney, Australia.
Li, Haitao; LI, Tao; Yu, Cindy / Optimal Monetary Policy and Term Structure in A Continuous-Time DSGE Model. May 2017; Tsinghua Workshop in International Finance and Monetary Policy 2017, 25/05/2017 - 26/05/2017, Beijing, China.
Back, Kerry; Crotty, Kevin; LI, Tao / Estimating Information Asymmetry in Securities Markets. January 2017; 2017 American Finance Association Annual Meeting, AFA 2017, 06/01/2017 - 08/01/2017, Chicago, United States.
LI, Tao; Loewenstein, Mark / Does Speculative Activity Have Real Effects?. January 2017; 2017 AEA Annual Meeting, 06/01/2017 - 08/01/2017, Chicago, United States.
Li, Haitao; LI, Tao; Yang, Xuewei / Sovereign CDS Spreads with Credit Rating. January 2017; 2017 American Finance Association Annual Meeting, AFA 2017, 06/01/2017 - 08/01/2017, Chicago, United States.
Back, Kerry; Collin-Dufresne, Pierre; Fos, Vyacheslav; Li, Tao; Ljungqvist, Alexander / Activism, Strategic Trading, and Liquidity. June 2016; 51st Annual Conference of the Western Finance Association, 20/06/2016 - 23/06/2016, Park City, United States.
Li, Haitao; Li, Tao; Yang, Xuewei / Sovereign CDS Spreads with Credit Rating. June 2016; 51st Annual Conference of the Western Finance Association, 20/06/2016 - 23/06/2016, Park City, United States.
LI, Tao; Loewenstein, Mark / Does Speculative Activity Have Real Effects?. August 2015; 42nd Annual Meeting of the European Finance Association, EFA 2015, 19/08/2015 - 22/08/2015, Vienna, Australia.
Li, Haitao; Li, Tao; Yang, Xuewei / A Rating-Based Sovereign Credit Risk Model: Theory and Evidence. July 2014; 2014 China International Conference in Finance (CICF 2014), 10/07/2014 - 13/07/2014, Chengdu, China.
Back, Kerry; LI, Tao; Ljungqvist, Alexander / Liquidity and Governance. June 2014; 49th Annual Conference of the W estern Finance Association, 15/06/2014 - 18/06/2014, , United States.
Li, Haitao; Li, Tao; Yang, Xuewei / A Rating-Based Sovereign Credit Risk Model: Theory and Evidence. June 2014; 23rd European Financial Management Association Annual Meetings, EFMA 2014, 25/06/2014 - 28/06/2014, Rome, Italy.
Li, Haitao; Li, Tao; Yang, Xuewei / A Rating-Based Sovereign Credit Risk Model: Theory and Evidence. January 2014; 2014 North American Winter Meeting of the Econometric Society, 2014 NAWM, 03/01/2014 - 05/01/2014, Philadelphia, United States.
Li, Haitao; LI, Tao; Yu, Cindy / Optimal Monetary Policy and Term Structure in A Continuous-Time DSGE Model: Theory and Evidence. July 2013; Econometric Society Australasian Meeting 2013, 09/07/2013 - 12/07/2013, , Australia.
LI, Tao / Insider Trading with Uncertain Informed Trading. June 2012; 47th Annual Conference of the Western Finance Association, 18/06/2012 - 21/06/2012, Las Vegas, Nevada, United States.
Li, Haitao; LI, Tao; Yu, Cindy / No-Arbitrage Taylor Rules with Switching Regimes. June 2011; 4th annual conference of the Society of Financial Econometrics, 15/06/2011 - 17/06/2011, Chicago, United States.
Li, Haitao; LI, Tao; Yu, Cindy / No-Arbitrage Taylor Rules with Switching Regimes. June 2011; II World Finance Conference, 17/06/2011 - 18/06/2011, Rhodes, Greece.
keep reading