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Yu Li

Assistant Professor in Finance

Shanghai Advanced Institute of Finance Shanghai, China

Biography

Hi，I am Yu LI. I work at Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University. My primary research area is asset pricing. My research interest includes consumption price and climate risk. In addition, I aim to deliver sincere support for students pursuing excellence and impact.

Research Interests

  • Asset Pricing
  • Macro-Finance
  • Consumption price
  • Climate risk

Research

  • Risk for Price: Using Generalized Demand System for Asset Pricing
    • Abstract: I construct a pricing kernel with consumption prices and expenditure by decomposing consumer’s marginal utility. This pricing kernel explains variation of expected returns across equity portfolios. Consumption-CAPM works when detailed prices are included.
    • Selected Presentations: Stanford SITE 2022 (New Frontier of Asset Pricing), 3rd Frontiers of Factor Investing Conference – Poster Session, 19th Chinese Finance Annual Meeting (CFAM); 62nd Annual Southwestern Finance Association (SWFA) Conference, 2023 CFRI&CIRF Joint Conference, Antai College, Shanghai Jiao Tong University, Cheung Kong GSB, Shanghai University of Finance and Economics, Shanghai Advanced Institute of Finance, 2024 Asia Meeting of the Econometric Society, 2024 Five Star Workshop in Finance, 2024 European Winter Meeting of the Econometric Society, 2025 AFFECT workshop
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  • Intangible Capital around the World (joint with Juliana Salomao, Frederico Belo, Maria Ana Vitorino)
    • Abstract: We estimate the structural Q-theory model with both physical capital and intangible capital in each major equity market. The contribution of intangible capital to the firm’s market value is large across markets. Geographical variation of intangible capital adjustment cost is larger than that of physical capital.
    • Selected Presentations: 2022-BI Oslo Production Based Asset Pricing Workshop – Oslo (Coauthor Presentation), SED 2023, Cartagena, Colombia (Coauthor Presentation), 2023 Annual Meeting of the Central Bank Research Association (CEBRA), 2023 Summer Institute of Finance (SIF) Conference, SAIF, Shanghai Jiao Tong University, UIUC (Gies, Coauthor Presentation), University of Houston (econ, Coauthor Presentation), 2024 FMA European Conference, 2024 China International Conference in Finance, 2024 Econometric Society European Meetings, 2024 NFA Annual Conference, Boston University (Questrom, Coauthor Presentation), Adam Smith Workshop Spring 2025 (Coauthor Presentation)
    draft
  • Risk Exposure and Risk Premium of Necessity Price
    • Abstract: Expected return is large for an equity portfolio where cash flow has strong negative correlation to price of necessity goods. This paper uses a quantitative model to explain the propagation of capital-augmenting productivity shock in consumption price and labor share in a multi-sector economy with limited stock market participation.
    • Selected Presentations: 2023 Multidisciplinary Academic Research Summit (MARS), Carlson School of Management, University of Minnesota, 2023 Minnesota Family and Friends Conference, Carlson School of Management, University of Minnesota

Teaching

  • Instructor, Shanghai Advanced Institute of Finance
    2024–2025
    • PhD: Reading Class
    • MBA: Financial Market
  • Instructor, University of Minnesota
    2020–2021
    • Undergraduate: Fundamentals of Finance