Associate Dean for Chinese MBA
PhD, Yale University
Areas of Expertise:Asset Pricing, Continuous-Time Finance, Credit Risk, Financial Engineering and Derivatives, Financial Management, Hedge Funds, Insurance, Investment, Option Pricing, Term Structure
Dr Li Haitao is the Dean’s Distinguished Chair Professor of Finance and Associate Dean for the Chinese MBA Program at CKGSB. Previously, he was the Jack D. Sparks Whirlpool Corporation Research Professor in the Finance Department of the Stephen M. Ross School of Business at the University of Michigan. He also served on the faculty of the Johnson Graduate School of Management at Cornell University. Dr Li serves on the editorial boards of Management Science (the Department of Finance) and the International Review of Finance. Dr Li holds a PhD in Finance from Yale University.
- Chinese MBA
- English MBA
- Global Programs
- Sanford R. Robertson Professorship, University of Michigan, 2007-2008.
- NTT Research Fellowship, University of Michigan, 2006-2007.
- Nomination for Ph.D. Teaching Excellence Award, University of Michigan, 2006.
- Q-Group Research Grant, 2004.
- Best Student Paper Award, Eastern Finance Association, 1997.
- Trefftz Award for the Best Student Paper, Western Finance Association, 1996.
- Sterling Prize Fellowship, Yale University, 1991-1993.
- Yale University Fellowships, 1991-1996.
- Hedge Fund Performance Evaluation: A Stochastic Discount Factor Approach (with W. Bailey and X. Zhang).
- Estimating Liquidity Premium of Corporate Bonds Using the Spread Information in On- and Off-the-Run Treasury Bonds (with J. Shi and C. Wu).
- Return Dynamics with Lévy Jumps: Evidence from Stock and Option Prices (with M. Wells and L. Yu), Mathematical Finance
- Investing in Talents: Manager Characteristics and Hedge Fund Performances (with R. Zhao and X. Zhang), Journal of Financial and Quantitative Analysis
- Short Rate Dynamics and Regime Shifts (with Y. Xu),International Review of Finance
- Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance (with Y. Xu and X. Zhang), Journal of Financial Economics
- Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices (with F. Zhao), Review of Financial Studies
- Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence (with R. Jarrow, S. Liu, and C. Wu), Journal of Financial Economics
- Are Liquidity and Information Risks Priced in the Treasury Bond Market? (with Y. He, J. Wang, and C. Wu), Journal of Finance
- A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates (with A. Egorov and D. Ng) Journal of Econometrics
- A Bayesian Analysis of Return Dynamics with Lévy Jumps (with M. Wells and L. Yu), Review of Financial Studies21, 2345-2378, 2008.
- Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates (with Y. Hong and F. Zhao), Journal of Econometrics 141, 736-776, 2007.
- Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture Smile? (with R. Jarrow and F. Zhao), Journal of Finance62, 345-382, 2007.
- Validating Forecasts of the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk? (with A. Egorov and Y. Hong), Journal of Econometrics 135, 255-284, 2006.
- Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives (with F. Zhao), Journal of Finance61, 341-378, 2006.
- Is Investor Misreaction Economically Significant? Evidence from Short- and Long-Term S&P 500 Index Options (with C. Cao and F. Yu), Journal of Futures Markets25, 717-752, 2005.
- Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (with Y. Hong), Review of Financial Studies18, 37-84, 2005.
- Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (with Y. Hong and F. Zhao), Journal of Business and Economic Statistics22, 457-473, 2004.
- Regulation FD and Earnings Information: Market, Analyst, and Corporate Responses (with W. Bailey, C. Mao, and R. Zhong), Journal of Finance 58, 2489-2516, 2003.
- Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions (with A. Egorov and Y. Xu), Journal of Econometrics114, 107-139, 2003.
- Corporate Use of Interest Rate Swaps: Theory and Evidence (with C. Mao), Journal of Banking and Finance27, 1511-1538, 2003.
- Survival Bias and the Equity Premium Puzzle (with Y. Xu), Journal of Finance 57, 1981-1996, 2002.
- Pricing of Swaps with Default Risk, Review of Derivatives Research2, 231-250, 1998.