SelectedWorks - Eddy Yongjia Li

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Selected Works of Eddy Yongjia Li

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Assistant Professor, Department of Finance

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Joining Boise State University in 2017, Dr. Eddy Li is currently an Assistant Professor with the Department of Finance. He received his Ph.D. in Finance and M.B.A. with a concentration in Finance both from the University of Arkansas at Fayetteville. He taught courses in Financial Markets, Financial Institutions, and Financial Modeling at the University of Arkansas. Dr. Li’s research interests are in the areas of hedge funds and corporate risk management. His current projects include hedge fund return attribution, hedge fund return replication, and corporate derivative hedging. Before joining academia, Dr. Li was a hedge fund analyst in Dallas, Texas and a trading system consultant for financial institutions in Shanghai, China.

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About Eddy Yongjia Li

Joining Boise State University in 2017, Dr. Eddy Li is currently an Assistant Professor with the Department of Finance. He received his Ph.D. in Finance and M.B.A. with a concentration in Finance both from the University of Arkansas at Fayetteville. He taught courses in Financial Markets, Financial Institutions, and Financial Modeling at the University of Arkansas. Dr. Li’s research interests are in the areas of hedge funds and corporate risk management. His current projects include hedge fund return attribution, hedge fund return replication, and corporate derivative hedging. Before joining academia, Dr. Li was a hedge fund analyst in Dallas, Texas and a trading system consultant for financial institutions in Shanghai, China.

Positions

2017 - Present	Assistant Professor, Boise State University ‐ Department of Finance
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2013 - 2016	Instructor, University of Arkansas, Fayetteville ‐ Finance
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July 2011 - June 2012	Hedge Fund Investment Analyst, Equity Momentum Fund, L.P.
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December 2008 - December 2009	Portfolio and Trading System Consultant, Hundsun Technologies Inc.
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May 2007 - December 2008	Software Engineer / Research Team Lead, Digital China Management System Ltd.
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Disciplines

Finance and Financial Management

Research Interests

Investments, Hedge Funds, Corporate Risk Management, and Financial Institutions

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Affiliate my profile with this Institution

2012 - 2017	Ph.D. - Finance, University of Arkansas at Fayetteville
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2010 - 2011	M.B.A. - Concentration in Finance, University of Arkansas at Fayetteville
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2003 - 2007	B.A. - Electronic Commerce, Donghua University
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Links

Department of Finance
College of Business and Economics

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Articles
White Papers
Conference Presentations
Invited Talks

Articles (7)

Natural Disasters, Risk Salience, and Corporate ESG Disclosure (Qiping Huang, Yongjia Li, Meimei Lin, et al.) Journal of Corporate Finance (2022)

We examine how natural disasters affect the corporate environmental, social, and governance (ESG) disclosure policies of firms located close to disaster areas. We study firms located in counties neighboring those impacted by natural disasters and ...

Natural Disaster Risk and Residential Mortgage Lending Standards (Jun Duanmu, Yongjia Li, Meimei Lin, et al.) Journal of Real Estate Research (2022)

We study how bank residential mortgage lending standards are affected by risks to the local economy from natural disasters. We find that banks tighten lending standards in disaster-hit counties, suggesting that lenders are more cautious ...

Active Factor Investing: Hedge Funds versus the Rest of Us (Jun Duanmu, Yongjia Li and Alexey Malakhov) Review of Financial Economics (2021)

We examine whether the success of hedge fund market timing strategies can be replicated. We develop a methodology for creating a portfolio of ETFs to capture risk factor exposures of market timing hedge funds identified ...

Can Hedge Funds Benefit from Corporate Social Responsibility Investment? (Jun Duanmu, Qiping Huang, Yongjia Li, et al.) The Financial Review (2021)

We explore the extent to which hedge funds incorporate corporate social responsibility (CSR) considerations in the development of their investment strategies. Using an asset-weighted composite measure of CSR by fund, we examine the difference in ...

Home Price Appreciation and Residential Lending Standards (Yongjia Li and Salman Tahsin) Journal of Economics and Business (2021)

We explore the effect of home price appreciation on residential lending standards in the U.S. across different sample periods. Using housing supply elasticity measures as instrumental variables for home price changes, we find that rising ...

Capturing Hedge Fund Risk Factor Exposures: Hedge Fund Return Replication with ETFs (Jun Duanmu, Yongjia Li and Alexey Malakhov) The Financial Review (2020)

We develop a new factor selection methodology of spanning the space of hedge fund risk factors with all available exchange traded funds (ETFs). We demonstrate the efficacy of the methodology with out-of-sample individual hedge fund ...

On the Market Timing of Hedging: Evidence from U.S. Oil and Gas Producers (Liu Hong, Yongjia Li, Kangzhen Xie, et al.) Review of Quantitative Finance and Accounting (2020)

Using a hand-collected data, we provide evidence of extensive use of commodity derivative in hedging among U.S. oil and gas producers. We find large variations in hedging intensity and hedging profits while on average they ...

White Papers (2)

Natural Disasters, Risk Salience, and Corporate ESG Disclosure (Qiping Huang, Yongjia Li, Meimei Lin, et al.) SSRN (2020)

We examine how natural disasters affect the corporate environmental, social, and governance (ESG) disclosure policies of firms located close to disaster areas. We study firms located in counties neighboring those affected by natural disasters and ...

Can Hedge Funds Benefit from CSR Investment? (Jun Duanmu, Qiping Huang, Yongjia Li, et al.) SSRN (2019)

We explore the extent to which hedge funds incorporate corporate social responsibility (CSR) considerations in the development of their investment strategies. Using an asset-weighted composite measure of CSR by fund, we examine the difference in ...

Conference Presentations (10)

Home Price Appreciation and Residential Lending Standards (Salman Tahsin and Yongjia Li) Southern Finance Association 2020 Annual Meeting (2020)

We explore the effect of home price appreciation on residential lending standards in the U.S. across different sample periods. Using housing supply elasticity measures as instrumental variables for home price changes, we find that rising ...

Hedge Fund Beta Returns as Predictors of Future Performance (Yongjia Li) 2020 Financial Management Association Virtual Conference (2020)

We decompose hedge fund returns into alpha and beta return components. We document thatportfolios sorted by beta return display a strong monotonic mean reversal pattern. Funds in thelowest quartile of beta return report superior performance ...

Hedge Fund Beta Returns as Predictors of Future Performance (Jun Duanmu, Qiping Huang, Yongjia Li, et al.) 2020 Financial Management Association Virtual Conference (2020)

We decompose hedge fund returns into alpha and beta return components. We document that portfolios sorted by beta return display a strong monotonic mean reversal pattern. Funds in the lowest quartile of beta return report ...

Natural Disasters, Risk Salience, and Corporate ESG Disclosure (Qiping Huang, Yongjia Li, Meimei Lin, et al.) 2020 Green and Ethical Finance Conference (2020)

We examine how natural disasters affect the corporate environmental, social, and governance (ESG) disclosure policies of firms located close to disaster areas. We study firms located in counties neighboring those affected by natural disasters and ...

ESG Disclosure, Natural Disasters, and Corporate Debt Costs (Qiping Huang, Yongjia Li, Meimei Lin, et al.) Southern Finance Association 2019 Annual Meeting (2019)

Bringing Order to Chaos: Capturing Relevant Information with Hedge Fund Factor Models (Yongjia Li) Southern Finance Association 2018 Annual Meeting (2018)

Disentangling Hedging and Speculation (Liu Hong, Wayne Y. Lee, Yongjia Li, et al.) World Finance Conference (2016)

In this study hedge fund excess returns are decomposed into alpha and beta return components and a strong monotonic mean reversal pattern in out-of-sample performance of portfolios sorted by beta returns is documented. Two types ...

Active Factor Investing: Hedge Funds vs. the Rest of Us (Jun Duanmu, Yongjia Li and Alexey Malakhov) 2015 Financial Management Association Annual Meeting (2015)

We argue that only hedge funds whose returns are driven by beta management of exposures to latent risk factors could be successfully replicated. We develop a methodology for creating a portfolio of ETFs that replicates ...

In Search of Missing Risk Factors: Hedge Fund Return Replication with ETFs (Jun Duanmu, Yongjia Li and Alexey Malakhov) 2015 Financial Management Association European Conference (2015)

Fully spanning the space of potential risk factors with tradable liquid portfolios is paramount in the context of a risk-based factor model. We develop a factor selection methodology of spanning the space of hedge fund ...

On the Market Timing and Feedback Effect of Hedging: Evidence from U.S. Oil and Gas Producers (Yongjia Li and Kangzhen Xie) 2015 Eastern Finance Association Annual Meeting (2015)

Using a hand-collected data, we provide evidence that U.S. oil and gas producers generate profits on average from their use of derivatives in hedging, indicating that it is a positive NPV project. The profits are ...

Invited Talks (2)

Bringing Order to Chaos: Capturing Relevant Information with Hedge Fund Return Attribution Models (Eddy Yongjia Li and Alexey Malakhov) University of Arkansas (2016)

We propose a new approach to hedge fund performance evaluation by using ETF returns as proxies for tradable risk factors in the return attribution factor model framework. The model dynamically identifies specific risk factor exposures ...

Hedge Fund Factor Exposures: Beta Return and Beta Risk (Yongjia Li) University of Arkansas (2015)

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