Siguang Li

RESEARCH

Working Papers:

Media Trading Groups and Short Selling Manipulation--A Micro-foundation Approach, joint with Robert Jarrow, June 2021. Paper [SSRN]
Interest Rate Swaps: A Comparison of Compounded Daily versus Discrete Reference Rates, joint with Robert Jarrow, May 2021, Paper [SSRN]
Index Design: Hedging and Manipulation, joint with Robert Jarrow, April 2021. Paper [SSRN]
Media Trading Groups and Short Selling Manipulation--Are Media Groups Efficiency Enhancing or Reducing? joint with Robert Jarrow, March 2021. Paper [SSRN, Slides]. Subsumed by the paper "Media trading groups and short selling manipulation-a micro-foundation approach".
Government Guarantee, Information Acquisition and Credit Rating Informativeness: Theory and Evidence from China, joint with Hongyan Fang, R. Luo and Y. Wang, August 2020.

Publications:

Concavity, Stochastic Utility and Risk Aversion, joint with Robert Jarrow, Finance and Stochastics, 2021, 25, 311-330, Paper [SSRN, Paper].
Endogenous Liquidity Risk and Dealer Market Structure, joint with Robert Jarrow, Forthcoming at the Quarterly Review of Economics and Finance, 2020, Paper [Paper]
Random Authority, joint with Xi Weng, International Economic Review, 2017, 58(1), p. 211-235, [Paper]
Interest Conflicts, Reputation Effects and Stock Price Efficiency (in Chinese)，利益冲突、声誉激励与股价发现有效性，with Jin Lin and Mingshan Zhou, Journal of Management Science in China 《管理科学学报》,2015, 18(12), p. 1-17. [paper]
Partial Centralization in Three-division Organizations, joint with Xi Weng, Nankai Business Review International, 2014, 5(2), p.187-210, [Paper]
A Game Analysis on SME's Group Lending Reputation Model (in Chinese)，中小企业联保贷款的模型分析，with Shiqing Xie, Economic Research Journal 《经济研究》, 2011, 1, p. 97-111, [paper]
An Economic Analysis of Trade Clearing in RMB between China and ASEAN (in Chinese)，中国和东盟人民币贸易结算的经济学分析，with Shaorong Li, Economic Research Journal 《经济研究》, 2010, 2, p. 18-31, [paper]

Past Working Papers: