Yuchao Li
I am a Ph.D. candidate in Economics at the University of California, Santa Cruz, with a Designated Emphasis in Data Science. My research focuses on asset pricing and behavioral finance, with secondary interests in macroeconomics and macro-finance.I am on the 2026–27 job market.
Job Market Paper: Decoding the Factor Zoo: Insights from Arbitrage Trading (with Yuntong Wu)
We use sophisticated arbitrageurs’ observed trading as an informed indicator of mispricing to classify the 212 factors of the factor zoo, conservatively identifying 29 as mispricing. A Common Mispricing Factor built from a high-conviction core of these factors is unspanned by every leading model, and a three-factor model (MKT, SMB, CMF) prices the unclassified factors as well as leading benchmark models.
Fields: Asset pricing, behavioral finance (primary); macroeconomics, macro-finance (secondary)
Expected completion: June 2027
References: Alonso Villacorta (advisor), Hikaru Saijo (co-advisor), Galina Hale (committee member)