Research

Publications

Do factor models capture both sentiment and limited attention?

Published in Journal of Economic Dynamics and Control, 2025

Recommended citation: Xinrui Duan, Li Guo, Frank Weikai Li, Jun Tu, "Do factor models capture both sentiment and limited attention?", Journal of Economic Dynamics and Control, Volume 181, 2025, 105203, ISSN 0165-1889.
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Cross-Cryptocurrency Return Predictability

Published in Journal of Economic Dynamics and Control, 2024

Recommended citation: Guo, Li, Bo Sang, Jun Tu, and Yu Wang. "Cross-cryptocurrency return predictability." Journal of Economic Dynamics and Control 163 (2024): 104863.
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A Time Varying Network for Cryptocurrencies

Published in Journal of Business and Economic Statistics, 2024

Recommended citation: Guo, Li, Wolfgang Karl Härdle, and Yubo Tao. "A time-varying network for cryptocurrencies." Journal of Business & Economic Statistics 42.2 (2024): 437-456.
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Media Network and Excess Return Comovement

Published in Journal of Economic Dynamics and Control, 2021

Recommended citation: Chen, Zilin, Li Guo, and Jun Tu. "Media Network and Excess Return Comovement." Journal of Economic Dynamics and Control 130 (2021): 104191.
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Security Analysts and Capital Market Anomalies

Published in Journal of Financial Economics, 2020

Recommended citation: Guo, Li, Frank Weikai Li, and KC John Wei. "Security analysts and capital market anomalies." Journal of Financial Economics 137.1 (2020): 204-230.
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Selected Working Papers

“Joint News, Attention Spillover, and Market Returns” (with Lin Peng, Yubo Tao and Jun Tu)

Revise & Resubmit, Review of Financial Studies

“Do the Trades and Holdings of Market Participants Contain Information About Stocks? A Machine-Learning Approach” (with Victor DeMiguel, Bo Sang and Joe Zhang)

Presented at UWFC and SFS Cavalcade NA 2025

“Identifying Information from Heterogeneous Investors” (with Bo Sang)

Revise & Resubmit, Journal of Banking and Finance

“The pollution premium in China” (with Xili Zhang, Ruiting Zhang and Donghui Li)

Revise & Resubmit, Journal of Banking and Finance

“Does Trading Volume Mitigate or Amplify Mispricing” (with Xinrui Duan, Luyin Wang and Jun Tu)

Other Publications

“Stock Market Index Enhancement Via Machine Learning” (with Liangliang Zhang, Weiping Zhang)

Forthcoming, Emerging Markets Review

“Risk Analysis of Cryptocurrency as An Alternative Asset Class” (with Xiangjun Li)

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

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

Published in David Lee Kuo Chuen, Handbook of Digital Currency – Bitcoin, Innovation, Financial Instruments, and Big Data, 2014, 1st Edition (Chapter 5). Elsevier
Presented at China 5th Annual Statistic Conference (2014)

“Textual Analysis and Machine Learning: Crack Unstructured Data in Finance and Accounting” (with Feng Shi and Jun Tu)

Journal of Finance and Data Science 2.3 (2016): 153-170
Presented at China Securities Regulatory Commission (2016), School of Business and Economics, Humboldt-Universität zu Berlin (2016), and 2016 Conference on (Statistical) Machine Learning and Its Applications (Sichuan, China)

“Cryptocurrency: A New Investment Opportunity?” (with David Lee Kuo Chuen and Yu Wang)

Leading Article. The Journal of Alternative Investments Winter 2018, 20 (3) 16-40 (Google Citation: 773)

Li GUO (郭雳)