LI Dasan Chair Professor of Finance

LI, Junye (李隽业)

School of Management

Fudan University

Email: li_junye@fudan.edu.cn
Tel: + 86 (0)21 2501 1211
Address: 670 Guoshun Road, Shanghai, China

SSRN Google Scholar

Research Interests

Empirical Asset Pricing
Financial Econometrics
Financial Machine Learning
Macro/International Finance

Publications

Feng, G., Jiang, L., Li, J., Song, Y., and Wang, Y., 2026. "Deep Tangency Portfolio", Management Science, Forthcoming

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Fan, Y., Feng, G., Fulop, A., and Li, J., 2026. "Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach", Journal of Financial Econometrics, Forthcoming

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Li, J., Sarno, L., and Zinna, G., 2026. "Skewness Risk Premia and the Cross-Section of Currency Returns", Journal of Financial and Quantitative Analysis 61, 1565-1603

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Fulop, A., Li, J., Liu, H., and Yan, C., 2025. "Estimating and Testing Long-Run Risk Models: International Evidence", Management Science 71, 3517-3536

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Li, J., Sarno, L., and Zinna, G., 2024. "Risks and Risk Premia in the US Treasury Market", Journal of Economic Dynamics and Control 158, 104788

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Huang, T., Jiang, L., and Li, J., 2023. "Downside Variance Premium, Firm Fundamentals, and Expected Corporate Bond Returns". Journal of Banking and Finance 154, 106946

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Fulop, A., Li, J., and Wan, R., 2022. "Real-Time Bayesian Learning and Bond Return Predictability". Journal of Econometrics 230, 114-130

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Fulop, A., Heng, J., Li, J., and Liu, H., 2022. "Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo". Journal of Econometrics 228, 62-84

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Huang, T., Li, J., Wu, F., and Zhu, N., 2022. "R&D Information Quality and Stock Returns". Journal of Financial Markets 57, 1-19 (100599)

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Fulop, A. and Li, J., 2019. "Bayesian Estimation of Dynamic Asset Pricing Models with Informative Observations". Journal of Econometrics 209, 114-138

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Huang, T. and Li, J., 2019. "Option-Implied Variance Asymmetry and the Cross-Section of Stock Returns". Journal of Banking and Finance 101, 21-36

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Li, J. and Zinna, G., 2018. "How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe". Journal of Money, Credit and Banking 50, 1225-1269

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Li, J. and Zinna, G., 2018. "The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability". Journal of Business & Economic Statistics 36, 411-425

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Fulop, A., Li, J., and Yu, J., 2015. "Self-Exciting Jumps, Learning, and Asset Pricing Implications". Review of Financial Studies 28, 876-912

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Li, J. and Zinna, G., 2014. "On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and UK". Journal of Financial and Quantitative Analysis 49, 1403-1442

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Li, J. and Yin, W., 2014. "Macroeconomic Fundamentals and the Exchange Rate Dynamics: A No-Arbitrage Macro-Finance Approach". Journal of International Money and Finance 41, 46-64

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Fulop, A. and Li, J., 2013. "Efficient Learning via Simulation: A Marginalized Resample-Move Approach". Journal of Econometrics 176, 146-161

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Li, J., 2013. "An Unscented Kalman Smoother for Volatility Extraction: Evidence from Stock Prices and Options". Computational Statistics & Data Analysis 58, 15-26

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Li, J., Favero, C., and Ortu, F., 2012. "A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing". Computational Statistics & Data Analysis 56, 3645-3658

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Li, J., 2012. "Option-Implied Volatility Factors and the Cross-Section of Market Risk Premia". Journal of Banking & Finance 36, 249-260

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Li, J., 2011. "Volatility Components, Leverage Effects, and the Return-Volatility Relations". Journal of Banking & Finance 35, 1530-1540

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Li, J., 2011. "Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models". Journal of Business & Economic Statistics 29, 468-480

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Working Papers

Fulop, A., Li, J., and Wang, M., "Option Mispricing and Alpha Portfolios", First version: May 2022; This version: November 2025

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- Best Paper Award, 2023 Paris December Finance Meeting
- Revise & Resubmit: Journal of Financial Economics
Feng, G., He, J., Li, J., Sarno, L., and Zhang, Q., "Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes?". First version: May 2023; This version: March 2026

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- Revise & Resubmit: Journal of Financial & Quantitative Analysis
Fulop, A., Heng, J., and Li, J., "Annealed Controlled Sequential Monte Carlo with Applications to Dynamic Economic Models", First version: January 2021; This version: January 2026

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- Revise & Resubmit: Journal of the American Statistical Association
Jia, Y., Li, J., Zhang, H., and Zhao, J. "Timing the Factor Zoo via Deep Visualization". First version: July 2025; This version: December 2025

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- Revise & Resubmit: Management Science
Bie, S., Diebold, F., He, J., and Li, J., "Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching." First version: July 2024; This version: May, 2025

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- Reject & Resubmit: Journal of the American Statistical Association
Wang, C. and Li, J. "More stringent, more efficient? Short-selling activities and anomaly mispricing in China." First version: February 2025; This version: October 2025

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- Reject & Resubmit: Journal of Banking and Finance
Cong, L., Feng, G., He, J., Li, J., and Zhang, Q., "Asset Heterogeneity and Uncommon Characteristic Premia", First version: September 2022; This version: July 2026

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- Best Paper Award, 2024 China FinTech Research Conference.
Cong, L., Feng, G., He, J., and Li, J., "Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing", First version: July 2023; This version: June 2026

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Hong, J., Li, J., and Sarno, L., "Dynamic Currency Mispricing and Arbitrage Profits". First version: January 2025; This version: February 2026

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He, J. and Li, J., "Bayesian Learning of Time-Varying Factor Risk Premia." First version: September 2024; This version: November 2025

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Jia, Y., Li, J., and Yang, H. "A Robust Variance Bound on Stochastic Discount Factors under Model Uncertainty". First version: January 2026; This version: February 2026

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Fulop, A., Heng, J., Li, J., and Tang, P., "Estimating Long-Run Risk Models Using Mixed-Frequency Sequential Monte Carlo". This version: March 2026

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