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Full-time Faculty

Faculty CV

Li An

PERSONAL  PROFILE

Grace Xing Hu is currently an associate professor at PBC School of Finance, Tsinghua University. Prior to joining PBC School of Finance, she was an assistant professor in Finance at the University of Hong Kong between 2011 and 2019. Grace received her Ph.D. in Economics from Princeton in 2011. She also holds a B.S. in Computer Science from the University of Science and Technology of China, and a M.S. from Northwestern University.

Grace’s research focus is on empirical asset pricing, in particular, liquidity, credit risk, and financial crises. Her work has been published in leading academic journals, such as Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and International Review of Finance.


EDUCATION

Ph.D. in Economics, Economics Department, Princeton University, Princeton, NJ                               2011         

M.A. in Economics, Economics Department, Princeton University, Princeton, NJ                                 2008        

M.S. in Computer Science, Computer Science Department, Northwestern University, Evanston, IL    2004        

B.S., Special Class for Gifted Young, University of Science and Technology of China                          2002         


RESEARCH  INTERESTS

Chinese Capital Markets, Liquidity, Credit Risk, Market Anomalies, Financial Crisis, High-Frequency Trading


ACADEMIC  POSITIONS

Associate Professor, 2019/7 – current

PBC School of Finance, Tsinghua University, Beijing, China

Assistant Professor of Finance, 2011/7 – 2019/6

School of Economics and Finance and School of Business, University of Hong Kong, Hong Kong


RESEARCH

PUBLICATIONS

  • Noise as Information for Illiquidity, Journal of Finance, Volume 68, page 2223–2772, 2013 (with Jun Pan and Jiang Wang)

  • Early Peak Advantage? Efficient Price Discovery with Tiered Information Disclosure, Journal of Financial Economics, Volume 126, pages 399-421,2017 (with Jun Pan and Jiang Wang)

  • Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (I), SIAM/ASA Journal on Uncertainty Quantification, Volume 6, pages 34-60, 2018 (with Yong Zeng and David Kuipers)

  • Bayesian Inference via Filtering Equations for Ultra-High Frequency Data (II), SIAM/ASA Journal on Uncertainty Quantification, volume 6, pages 61-86, 2018 (with Yong Zeng and David Kuipers)

  • Fama-French in China, Size and Value Factors in Chinese Stock Returns, International Review of Finance, volume 1, pages 3-44, 2019 (with Can Chen, Yuan Shao, and Jiang Wang)

  • Rollover Risk and Credit Spreads in the Financial Crisis of 2008, Journal of Financial and Data Science, volume 6, pages 1-15, 2020

  • Tri-party Repo Pricing, Journal of Financial and Quantitative Analysis, volume 56, pages 337-371, 2021 (with Jun Pan and Jiang Wang)

  • Chinese Capital Market: An Empirical Overview, Critical Finance Review, volume 10, pages 125-206, 2021 (with Jun Pan and Jiang Wang)

  • Premium for Heightened Risk: Solving the FOMC Puzzle, Journal of Financial Economics, Forthcoming, 2021 (with Jun Pan, Jiang Wang, and Haoxiang Zhu)

WORKING PAPERS

  • Uncertainty Resolution Before Earnings Announcements (with Chao Gao and Xiaoyan Zhang), Working Paper First draft 2019, current draft 2021, conference presentation: MFA 2021, CICF 2021 (scheduled), CMES 2121 (scheduled)


WORKING IN PROGRESS

Corporate Bond Illiquidity and Dealers’ Intermediation, working in progress, 2018

Co-movement and Volatility in Chinese Stock Mark, working in progress, 2021

Spreads Trading and Illiquidity in the Commodity Market, working in progress, 2021

BOOK CHAPTERS

Filtering with Counting Process Observations and Other Factors: Applications to Bond Price Tick Data (with David Kuipers and Yong Zeng).

Stochastic Analysis, Stochastic Systems and Application to Finance.

Edited by Allanus Tsoi, David Nualart and George Yin, World Scientific, Singapore, page 133-162, 2011


TEACHING

Microeconomic Theory, Ph.D., Tsinghua University

Advanced Financial Topics, Ph.D., Tsinghua University

Risk Management, 2011 – 2018, Master of Finance, HKU

Advanced Option Pricing Models, 2014 – 2018, Master of Finance, HKU

Quantitative Risk Management, 2011 – 2014, Undergraduate, HKU

Summer Math Camp for Master in Finance Program, 2009, Master of Finance, Princeton University


RESEARCH GRANTS

  • Arbitrage Spreads and Aggregate Liquidity, Early Career Scheme, PI, competitive grant of HKD$456K, 2012 – 2014

  • Tri-party Repo Pricing, General Research Fund, PI, competitive grant of HKD $512K, 2014 – 2016

  • Supply Chain, News and Post-Earnings Announcement Drift, General Research Fund, co-PI, competitive grant of HKD $478K, 2017-2019

  • The CDS-Bond Basis and Liquidity Risk, PI, HKU Seed Funding, $120K, 2011 – 2013


PRESENTATIONS

Hong Kong University of Science and Technology; City University of Hong Kong; Boston University; Ohio State University; McGill University; Cheung Kong Graduate School of Business; PBC School of Finance; Peking University; AFA; WFA; CICF; SIF; Macquarie Global Quantitative Conference; VINS; FMA


PROFESSIONAL  SERVICES

Journal referee: Journal of Finance; Review of Financial Studies; Management Science; Review of Finance; Journal of Empirical Finance; Journal of Financial and Quantitative Analysis; Journal of Banking and Finance; Annual Review of Financial Economics; Journal of Financial Markets; Journal of Money, Credit and Banking