Department of Economics and Finance | Staff List

Prof. LI Tao (李濤教授)

PhD - Finance (Washington University in St. Louis)
Bsc - Physics (Fudan University)

Professor

Contact Information

E-mail:
Address:	9-242, Lau Ming Wai Academic Building City University of Hong Kong
Phone:	+852 34427243
taoli3@cityu.edu.hk
SSRN Web:
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=425996
Public CV:	Download

Research Areas

Equilibrium Asset Pricing
Derivatives
Term Structure and Credit Risk
Contract Theory

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 Grant

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

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

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
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.

Conference Papers

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.