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Li, Dan

Title : Associate Professor; Associate Director of Capital Markets and Asset Management Research Center, Shenzhen Finance Institute

Education Background : Ph.D., Finance, York University; M.A., Economics, Fudan University; B.A., Economics, Fudan University

Research Field : Market Microstructure, Corporate Finance, High Frequency Trading, Capital Market, Liquidity, and Entrepreneurship

Email : lidan@cuhk.edu.cn


Professor Li received her Ph.D in Finance from York University in 2011. Prior to that, she earned a Bachelor’s degree and Master’s degree in Economics from Fudan University, China. Her research lies at the intersection of market microstructure and corporate finance with a focus on high frequency trading, capital market, liquidity, and entrepreneurship. She has published papers in Journal of Financial Economics, Review of Financial Studies, Journal of Banking and Finance and etc. She has also published in the Wall Street Journal and Global Trading, the official magazine of the FIX Protocol.

Prior to joining CUHK-Shenzhen, she was an Assistant Professor in Finance at the University of Hong Kong between 2011 and 2017.  Between 2009 and 2011 she served as an in-house researcher for the Investment Industry Regulatory Organization of Canada (IIROC), the national self-regulatory organization which oversees all investment dealers and trading activity on debt and equity marketplaces in Canada. Between 2009 and 2011 she served as an in-house researcher for the Capital Markets CRC Ltd (CMCRC), Australia. She currently serves as an Associated Editor of Finance Research Letters.

Academic Publications

1. “The Competitive Landscape of High-Frequency Trading Firms” (with Ekkehart Boehmer and Gideon Saar), Review of Financial Studies 31 (2018), 2227–2276.

2. “The Effect of Stock Liquidity on Default Risk” (with Jonathan Brogaard and Ying Xia), Journal of Financial Economics 124 (2017), 486-502.

3. “Do Banks or VCs Spur Growth?” (with Rebel Cole and Douglas Cumming), Journal of International Financial Markets, Institutions and Money 41 (2016), 60-72.

4. “Public Policy, Entrepreneurship, and Venture Capital in the United States” (with Douglas Cumming), Journal of Corporate Finance 31 (2013), 345-367.

5. “Exchange Trading Rules and Stock Market Liquidity” (with Douglas Cumming and Sofia Johan), Journal of Financial Economics 99 (2011), 651-671.


1. “Widening the Net to Devise Sophisticated Trading Algorithms”. (with Stuart Baden Powell). Global Trading. May 2016.

2. “The Hidden Flaw of Bank Loans” (with Douglas Cumming). Wall Street Journal. November 21, 2016.


1. “The Market for Bad News” (with Shiyang Huang, and Bohui Zhang).

2. “High Frequency Trading, Market Making and Information Asymmetry” (with Jia Hao and Gideon Saar).

3. “Does Stock Market Liquidity Affect Real and Accrual-Based Earnings Management?” (with Ying Xia).

4. Cross-brokerage Trading (with Jonathan Brogaard, Imon Palit; Ryan Riordan)

5. “Supply Chain, News and Post-earnings Announcement Drift” (with Rui Dai and Grace Hu)

6. “Fraud in Online Marketplace Lending: Lessons from Platform Failure in China” (with Haitian Lu and Zhen Lei).

7. “Run-Up of Acquirer’s Stock in Public and Private Acquisitions” (with Douglas Cumming), Corporate Governance: an International Review 19 (2011), 210-239.