Sicong Li 李思聪
Assistant Professor of Finance, The Chinese University of Hong Kong (CUHK) Business School
Contact information:
Address: Room 1256, Cheng Yu Tung Building, 12 Chak Cheung Street, New Territories, Hong Kong SAR
Tel: +852 3943 5301
Research interests:
Empirical Asset Pricing, Financial Econometrics, Machine Learning
About me:
I am an Assistant Professor of Finance at The Chinese University of Hong Kong (CUHK) Business School. My research interest lies in the intersection of empirical asset pricing, applied financial econometrics, and machine learning. I am particularly interested in evaluating and improving the performance of asset-pricing factor models, and studying how asset prices/returns are related to economic fundamentals.
I obtained my Ph.D. from London Business School in 2024. I am fortunate to be advised by Svetlana Bryzgalova and Victor DeMiguel.
News:
In September 2024, the manuscript "Comparing Factor Models with Price-Impact Costs" was accepted to The Journal of Financial Economics.
In December 2023, I received the Cecilia Reyes Award for Research Students at London Business School
In October 2023, the paper "Asset-Pricing Factors with Economic Targets" won the 2023 INFORMS Finance Student Paper competition
In June 2023, the paper "Asset-Pricing Factors with Economic Targets" won the Bates-White Best Paper Prize at SoFiE Annual Meeting