Research on Yuchao Lihttps://www.yuchaoli.com/papers/Recent content in Research on Yuchao LiHugo -- 0.147.5en2026 Yuchao LiDecoding the Factor Zoo: Insights from Arbitrage Tradinghttps://www.yuchaoli.com/papers/factor-zoo-arbitrage/Mon, 01 Jan 0001 00:00:00 +0000https://www.yuchaoli.com/papers/factor-zoo-arbitrage/Job market paper by Yuchao Li and Yuntong Wu on separating risk from mispricing in the factor zoo using arbitrageurs' observed trading.Loss Aversion, Diagnostic Expectations and Asset Priceshttps://www.yuchaoli.com/papers/loss-aversion-diagnostic-expectations/Mon, 01 Jan 0001 00:00:00 +0000https://www.yuchaoli.com/papers/loss-aversion-diagnostic-expectations/Working paper by Yuchao Li: a consumption-based asset pricing model with loss-averse investors who form diagnostic expectations.Regime Learning and Factor Zoo Dynamicshttps://www.yuchaoli.com/papers/regime-learning/Mon, 01 Jan 0001 00:00:00 +0000https://www.yuchaoli.com/papers/regime-learning/Work in progress by Yuchao Li: learning the states that govern time variation in expected returns from 212 anomaly portfolios.