Staff Profile

Biography

Dr. Li Ya holds a PhD in Finance from Hong Kong Baptist University (Hong Kong PhD Fellowship Scheme) with a visiting study from Nova School of Business and Economics in Lisbon, Portugal. She received her BBA (First Class Honours) in City University of Hong Kong and MSc in Imperial College London (Women in Finance Scholarship). Before joining the University, she had worked in Syracuse University, City University of Hong Kong, Hong Kong Baptist University and the Hang Seng University of Hong Kong. Her research interests include asset pricing and corporate finance. She has published articles in leading academic journals. Professionally, she is a certified FRM (Financial Risk Manager) with working exposure in several reputable financial institutions and writes exam questions for the FRM program. 

Teaching Areas & Research Interests

• Behavioral Finance, Financial Risk Management
• Asset Pricing
• Corporate Finance

Selected Publications

Book Chapters

• Tang, D., Liu, Y., Li, Y. (forthcoming). Analysis of Macquarie Group's Value at Risk using GARCH Models. Cheng Few Lee and John C. Lee, Handbook of Financial Econometrics, Statistics, Technology, and Risk Management, Chapter 137, World Scientific.

Journal Articles

• Feng, L., Li, Y., & Xu, J. (2024). Picking a Thorny Rose: Optimal Trading with Spread-Based Return Predictability. European Financial Management.
• Han, F., Zhang, X., Chan, K. C., & Li, Y. (2023). Firms' digital transformation and management earnings forecasts: Evidence from China. Borsa Istanbul Review, 23(6), 1356-1366.
• Wong, M.B.T., Shum, R.W.C., Li, Y. (2023). Enhancements to the Competency Framework for Intermediaries and Individual Practitioners by the Securities and Futures Commission in Hong Kong. Company Lawyer, 44(6).
• Shen, H., Cheng, X., Ouyang, C., Li, Y., & Chan, K. C. (2022). Does share pledging affect firms' use of derivatives? Evidence from China. Emerging Markets Review, 50, 100841.
• Cao, K. H., Woo, C. K., Li, Y.*, & Liu, Y. (2022). Covid-19's effect on the alpha and beta of a US stock Exchange Traded Fund. Applied Economics Letters, 29(2), 123-128.
• Lei, Y., Li, Y., & Xu, J. (2020). Two birds, one stone: Joint timing of returns and capital gains taxes. Management Science, 66(2), 823-843.
• Chui, D., Cheng, W. W., Chow, S. C., & Li, Y.* (2020). Eastern Halloween effect: A stochastic dominance approach. Journal of International Financial Markets, Institutions and Money, 68, 101241.
• Lam, F.E.C., Li, Y., Prombutr, W. and Wei, K.J., (2020). Limits‐to‐arbitrage, investment frictions, and the investment effect: New evidence. European Financial Management. Hong Kong Institute for Monetary Research/Hong Kong Monetary Authority Working Paper No. 4 /2019.

Further Information

Link to Google Scholar page

Modified Date: 16 Mar, 2024
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