Time: 10:00-11:30, Friday, September 18, 2026

Venue: Guoshun Campus, Room 603, Starr Building

Host: Professor Xintong Zhan, Department of Finance

Topic: Conditional Expected Returns on Individual Stocks with and without Intertemporal Hedging

Speaker: Assistant Professor Gang Li, The Chinese University of Hong Kong (CUHK)

Abstract: We derive tractable lower and upper bounds on the conditional expected excess return of an individual stock in a dynamic multi-period economy with portfolio rebalancing. The bounds depend on higher-order risk-neutral joint moments of market and stock returns and are implementable ex ante using index and single-name option prices. Our framework nests a no-intertemporal-hedging benchmark, isolating and quantifying the role of hedging motives. Empirically, the bounds are economically tight and outperform leading one-period benchmarks in out-of-sample forecasts of stock returns. The significant gap between hedging and non-hedging bounds highlights the role of intertemporal hedging in expected returns on individual stocks.

Bio: Gang Li is an Assistant Professor of Finance at The Chinese University of Hong Kong (CUHK). He received his PhD in Finance from the University of Toronto, an MBA from Fordham University, and a BSc in Statistics from Renmin University of China. His research focuses on asset pricing, financial derivatives, FinTech, and investment. He has presented his research at numerous academic conferences, and his work has been published in Management Science and the Journal of Financial and Quantitative Analysis. Before joining CUHK, he worked at a global macro hedge fund in the United States and an asset management firm in China. Professor Li is a CFA charterholder and a member of CFA Society Hong Kong. He also serves as an ordinary member of the Hong Kong Securities and Investment Institute (HKSI).