Faculty & Research


Li Nan

Department of:  Finance

Associate Professor

Email:  nanli@sjtu.edu.cn



My Personal Website www.nanlifinance.org

Nan Li joined Antai College of Economics and Management (ACEM), Shanghai Jiao Tong University (SJTU) as an Associate Professor in Finance in 2014. She is the Vice Director of the SJTU Securities Research Investment Institute, and a member of the Banking Industry Research Group in SJTU Institute of Industry Research. After receiving Ph.D. in Economics from the University of Chicago in 2005, she started her academic career in Department of Finance, NUS Business School in National University of Singapore. She was Affiliated Researcher at the Risk Management Institute and the Institute of Real Estate Studies in NUS.

Nan Li's research field is financial economics and financial econometrics with focuses on macro asset pricing. Her current works include pricing of ambiguity, value and risk of intangible capital, and robust decision-making under ambiguity in the financial market. Her work with Lars Peter Hansen (Nobel Laureate in Economics in 2013) and John C. Heaton on 'Consumption Strikes Back? Measuring Long-Run Risk' was published in the Journal of Political Economy in 2008. Nan Li has served as referee for Quarterly Journal of Economics, Journal of Political Economy, Econometrica, Journal of Economic Dynamics and Control, Journal of Money, Credit and Banking, Review of Financial Studies, and other top-tier journals in economics and finance.

Nan Li teaches all-in-English course on Bank Management to undergraduates and Introduction to China Banking Industry to students in the Master of International Business Program, Asset Allocation and Risk Management to students in MBA in Finance program, and Time Series Analysis in Macroeconomics and Finance to Ph.D. students. Her courses are open globally via the global online learning platform iCourse, Global Hybrid Classroom Program of Global MOOC Alliance, Virtual Exchange Program of Association of Pacific Rim Universities (APRU), and Jiao·Tong Global Virtual Classroom.


Financial Economic and Macroeconomics, with focus on asset pricing theory and empirical analysis of stock market and macroeconomy, intangible capital and uncertainty, ambiguity aversion and economic decision


  • The Impact of Covid-19 on Stock Market in China, with Yuhong Zhu, Frontiers of Economics in China, 2021, Forthcoming

  • Information uncertainty and the pricing of liquidity, with Wenjin Kang, and Huiping Zhang, Journal of Empirical Finance, 2019, vol. 54, 77-96.

  • Short Selling, Margin Buying and Stock Return in China Market, with Rui Li, Chongfeng Wu and Jiahui Li,  Accounting and Finance, 2018, vol. 58, 477–501.

  • Consumption Strikes Back? Measuring Long-Run Risk, with Lars Peter Hansen and John C. Heaton, Journal of Political Economy, 2008, vol. 116, no. 2, 260-302.  

  • Intangible Risk, with Lars Peter Hansen and John C. Heaton, Measuring Capital in the New Economy, edited by Carol Corrado, John Haltiwanger and Daniel Sichel, The University of Chicago Press, 2005. Conference on Measuring Capital in the New Economy, April 2002

  • Intangible Capital and Stock Market, Ph.D. thesis, Department of Economics, The University of Chicago, 2005

  • Motivating Students to Learn Actively through Competition, Experiments in Pedagogy: Selected Papers from Professional Development Programme (Teaching), vol. 2, edited by Daphne Pan, Center for Development Teaching and Learning, National University of Singapore, 2007.

  • 汇率波动对利率政策经济绩效的影响机理分析苏应蓉,李楠宏观经济研究, 2014年第二期, 45-52湖北省社科项目

Working Paper

  • 不确定性下的资产定价和投资决策及不确定性的度量研究进展,合作者:朱宇宏,2020

  • 融资融券的不对称性与中国A股市场不确定性的定价,合作者:黄云昊,黄卓,2020

  • Heterogeneity in Intangible Capital and Stock Return, with Weiqi Zhang and Huiping Zhang, working paper, 2021

  • The Pricing of Stock Ambiguity and Short-Sale Constraints, with Yuhong Zhu, working paper, 2020

  • Value Premium and Heterogeneity in Intangible Capital, with Huiping Zhang, 2020

  • Long-Run Labor Income Risk and Stock Return, with Wenjin Kang and Huiping Zhang, working paper, 2020.

  • Information Advantage, Ambiguity Aversion and the Family Firm Puzzle, with Ronald Anderson, Masud Karim and David Reeb, working paper, 2020.

  • Measuring Intangible Capital with Uncertainty, with AN Sungbae, working paper, 2019,

Interviews and Media Articles 

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