Author Page for Tong Yao

Forecasting Stock Returns through An Efficient Aggregation of Mutual Fund Holdings

Review of Financial Studies, Forthcoming, AFA 2007 Chicago Meetings Paper

Number of pages: 50 Posted: 19 Mar 2006 Last Revised: 17 Jul 2012

University of Maryland - Robert H. Smith School of Business, University of Iowa - Henry B. Tippie College of Business and PanAgora Asset Management

Downloads 3,270 (7,903)

Citation 21

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2.

Do Mutual Funds Time the Market? Evidence from Portfolio Holdings

AFA 2005 Philadelphia Meetings Paper, Journal of Financial Economics (JFE), Vol. 86, 2007

Number of pages: 49 Posted: 16 Jan 2005 Last Revised: 23 Jun 2020

George J. Jiang, Tong Yao and Tong Yu

Washington State University, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 1,630 (23,699)

Citation 12

Abstract:

3.

Stock Price Jumps and Cross-Sectional Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Number of pages: 45 Posted: 25 Sep 2008 Last Revised: 27 Feb 2013

George J. Jiang and Tong Yao

Washington State University and University of Iowa - Henry B. Tippie College of Business

Downloads 1,612 (24,104)

Citation 13

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4.

Dissecting the Idiosyncratic Volatility Anomaly

Downloads 1,497 (26,967)

Citation 18

2

Dissecting the Idiosyncratic Volatility Anomaly

Number of pages: 40 Posted: 17 Mar 2012

Linda H. Chen, George J. Jiang, Danielle Xu and Tong Yao

University of Idaho, Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business

Downloads 1,348 (30,941)

Citation 10

Abstract:

Dissecting the Idiosyncratic Volatility Anomaly

Journal of Empirical Finance, Forthcoming

Number of pages: 50 Posted: 06 Nov 2020

Linda H. Chen, George J. Jiang, Danielle Xu and Tong Yao

University of Idaho, Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business

Downloads 149 (411,930)

Citation 8

Abstract:

5.

The Information Content of Idiosyncratic Volatility

Journal of Financial and Quantitative Analysis, 2009, 44(1), 1-28.

Number of pages: 28 Posted: 18 Aug 2005 Last Revised: 03 Oct 2012

George J. Jiang, Danielle Xu and Tong Yao

Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business

Downloads 1,391 (30,091)

Citation 21

Abstract:

6.

In Search of Habitat

Number of pages: 72 Posted: 19 Apr 2012 Last Revised: 04 Jun 2021

Xuanjuan Chen, Zhenzhen Sun, Tong Yao and Tong Yu

Shanghai University of Finance and Economics, University of Massachusetts Dartmouth, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 1,256 (34,894)

Abstract:

7.

Can Mutual Funds Profit from Post Earnings Announcement Drift? The Role of Competition

Journal of Banking and Finance, Forthcoming

Number of pages: 61 Posted: 14 Mar 2012 Last Revised: 08 Mar 2020

Ashiq Ali, Xuanjuan Chen, Tong Yao and Tong Yu

University of Texas at Dallas - Naveen Jindal School of Management, Shanghai University of Finance and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 1,196 (37,474)

Citation 5

Abstract:

8.

The Asset Growth Effect: Insights from International Equity Markets

Downloads 1,155 (39,414)

Citation 51

2

The Asset Growth Effect: Insights from International Equity Markets

Number of pages: 58 Posted: 16 Mar 2011 Last Revised: 27 Jan 2013

Akiko Watanabe, Yan Xu, Tong Yao and Tong Yu

University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 1,155 (38,765)

Citation 51

Abstract:

The Asset Growth Effect: Insights from International Equity Markets

Journal of Financial Economics (JFE), Volume 108, Issue 2, May 2013, Pages 529-563, University of Alberta School of Business Research Paper No. 2013-913

Posted: 21 Feb 2013 Last Revised: 14 Jun 2013

Akiko Watanabe, Yan Xu, Tong Yao and Tong Yu

University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

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9.

Corporate Disclosure, Analyst Forecast Dispersion, and Stock Returns

Number of pages: 44 Posted: 18 Jun 2004 Last Revised: 27 Sep 2016

Ashiq Ali, Mark H. Liu, Danielle Xu and Tong Yao

University of Texas at Dallas - Naveen Jindal School of Management, University of Kentucky - Gatton College of Business and Economics, Gonzaga University and University of Iowa - Henry B. Tippie College of Business

Downloads 1,123 (41,126)

Citation 4

Abstract:

10.

Do Mutual Funds Profit from the Accruals Anomaly?

AFA 2007 Chicago Meetings, Journal of Accounting Research, Forthcoming

Number of pages: 41 Posted: 21 Mar 2006 Last Revised: 03 Feb 2008

Ashiq Ali, Xuanjuan Chen, Tong Yao and Tong Yu

University of Texas at Dallas - Naveen Jindal School of Management, Shanghai University of Finance and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 859 (59,737)

Citation 3

Abstract:

11.

Dynamic Factors and the Source of Momentum Profits

Number of pages: 43 Posted: 19 May 2006

Tong Yao

University of Iowa - Henry B. Tippie College of Business

Downloads 744 (72,463)

Citation 1

Abstract:

12.

Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds

Number of pages: 51 Posted: 22 Apr 2012

Kelsey D. Wei, Russ Wermers and Tong Yao

University of Texas at Dallas, University of Maryland - Robert H. Smith School of Business and University of Iowa - Henry B. Tippie College of Business

Downloads 743 (72,586)

Citation 12

Abstract:

13.

Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market

Asian Finance Association (AsFA) 2013 Conference

Number of pages: 53 Posted: 24 May 2013 Last Revised: 23 Sep 2021

Xuanjuan Chen, Jing-Zhi Huang, Zhenzhen Sun, Tong Yao and Tong Yu

Shanghai University of Finance and Economics, Pennsylvania State University - University Park - Department of Finance, University of Massachusetts Dartmouth, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 620 (91,438)

Citation 8

Abstract:

14.

Evaluating Dynamic Strategies: The Free Lunch Was No Banquet

Boston College Working Paper

Number of pages: 28 Posted: 27 Jan 2003

Eric Jacquier and Tong Yao

Boston University School of Management and University of Iowa - Henry B. Tippie College of Business

Downloads 613 (92,756)

Citation 1

Abstract:

15.

Prudent Man or Agency Problem? On the Performance of Insurance Mutual Funds

Number of pages: 46 Posted: 26 Oct 2004

Xuanjuan Chen, Tong Yao and Tong Yu

Shanghai University of Finance and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 598 (95,784)

Citation 10

Abstract:

16.

R&D Spillover and Predictable Returns

Review of Finance, Forthcoming

Number of pages: 44 Posted: 23 Sep 2012 Last Revised: 16 Dec 2015

Yi Jiang, Yiming Qian and Tong Yao

California State University, Fullerton, University of Connecticut - Department of Finance and University of Iowa - Henry B. Tippie College of Business

Downloads 557 (104,702)

Abstract:

17.

The Alphas of Beta and Idiosyncratic Volatility

Journal of Financial Markets, Forthcoming

Number of pages: 51 Posted: 15 Jun 2021 Last Revised: 23 Mar 2022

Percy Poon, Tong Yao and Andrew (Jianzhong) Zhang

University of Nevada, Las Vegas - Department of Finance, University of Iowa - Henry B. Tippie College of Business and University of Nevada, Las Vegas - Department of Finance

Downloads 526 (112,455)

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18.

Costly Information Production, Information Intensity, and Mutual Fund Performance

Number of pages: 61 Posted: 03 Mar 2017 Last Revised: 23 Sep 2021

George J. Jiang, Ke Shen, Russ Wermers and Tong Yao

Washington State University, Lehigh University -- Perella Department of Finance, University of Maryland - Robert H. Smith School of Business and University of Iowa - Henry B. Tippie College of Business

Downloads 502 (119,016)

Citation 4

Abstract:

19.

Informed Option Trading and Stock Market Mispricing

Number of pages: 49 Posted: 07 Aug 2010 Last Revised: 28 Jun 2011

Redouane Elkamhi, Yong Lee and Tong Yao

University of Toronto - Rotman School of Management, McGill University - Desautels Faculty of Management and University of Iowa - Henry B. Tippie College of Business

Downloads 483 (124,705)

Citation 1

Abstract:

20.

The Consensus-Beating Game

EFA 2003 Annual Conference Paper No. 399

Number of pages: 53 Posted: 21 Apr 2003 Last Revised: 10 Jun 2011

Tong Yao and Mark H. Liu

University of Iowa - Henry B. Tippie College of Business and University of Kentucky - Gatton College of Business and Economics

Downloads 481 (125,304)

Abstract:

21.

On the Predictability of Chinese Stock Returns

Number of pages: 39 Posted: 22 Mar 2007 Last Revised: 03 Dec 2010

Xuanjuan Chen, Kenneth Kim, Tong Yao and Tong Yu

Shanghai University of Finance and Economics, Tongji University - School of Economics and Management, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 480 (125,621)

Citation 11

Abstract:

22.

Testing Heterogeneous-Agent Models: An Alternative Aggregation Approach

Journal of Monetary Economics, Forthcoming

Number of pages: 54 Posted: 01 Nov 2006

Pierluigi Balduzzi and Tong Yao

Boston College - Carroll School of Management and University of Iowa - Henry B. Tippie College of Business

Downloads 413 (150,084)

Citation 4

Abstract:

23.

Asset Growth and Stock Returns: Evidence from Asian Financial Markets

Number of pages: 43 Posted: 30 Sep 2010 Last Revised: 12 Oct 2010

Tong Yao, Tong Yu, Ting Zhang and Shaw Chen

University of Iowa - Henry B. Tippie College of Business, University of Cincinnati - Department of Finance - Real Estate, University of Dayton - School of Business Administration and University of Rhode Island - College of Business Administration

Downloads 381 (164,317)

Citation 4

Abstract:

24.

Mutual Fund Skills and the Performance of Corporate Acquirers

Number of pages: 48 Posted: 14 Mar 2012

Amrita Nain and Tong Yao

University of Iowa - Henry B. Tippie College of Business and University of Iowa - Henry B. Tippie College of Business

Downloads 354 (178,233)

Citation 6

Abstract:

25.

Investment Policies and Risk Sharing by Corporate Pensions

Number of pages: 63 Posted: 12 Nov 2018 Last Revised: 22 Dec 2023

Wei Li, Tong Yao and Jie Ying

University of Iowa - Department of Finance, University of Iowa - Henry B. Tippie College of Business and Southern Illinois University - Department of Economics & Finance

Downloads 298 (214,322)

Abstract:

26.

Confirmation Bias in Analysts’ Response to Consensus Forecasts

Huan Cai, Tong Yao & Xiaodi Zhang (2022): Confirmation Bias in Analysts’ Response to Consensus Forecasts, Journal of Behavioral Finance, DOI: 10.1080/15427560.2022.2138395

Number of pages: 56 Posted: 19 Sep 2022 Last Revised: 07 Nov 2022

Huan Cai, Tong Yao and Xiaodi Zhang

Cornell College, University of Iowa - Henry B. Tippie College of Business and Shanghai University of Finance and Economics

Downloads 250 (256,609)

Abstract:

27.

Liquidity Characteristics of Market Anomalies and Institutional Trading

Number of pages: 39 Posted: 14 Dec 2020 Last Revised: 31 Dec 2022

Charles Cao, Bing Liang, Tong Yao and Andrew (Jianzhong) Zhang

Pennsylvania State University, University of Massachusetts Amherst - Department of Finance, University of Iowa - Henry B. Tippie College of Business and University of Nevada, Las Vegas - Department of Finance

Downloads 223 (286,772)

Citation 2

Abstract:

28.

Capital Mobility and the Long-Run Return-Risk Trade-Offs of Industry Portfolios

Journal of Empirical Finance, Vol. 70, 2023

Number of pages: 87 Posted: 03 Feb 2018 Last Revised: 16 Dec 2022

Jia Chen, Xin Xu and Tong Yao

Peking University, Guangdong University of Finance and Economics and University of Iowa - Henry B. Tippie College of Business

Downloads 210 (303,543)

Abstract:

29.

Learning and Incentive: A Study on Analyst Response to Pension Underfunding

Number of pages: 45 Posted: 20 Mar 2011 Last Revised: 06 Aug 2012

Xuanjuan Chen, Tong Yao, Tong Yu and Ting Zhang

Shanghai University of Finance and Economics, University of Iowa - Henry B. Tippie College of Business, University of Cincinnati - Department of Finance - Real Estate and University of Dayton - School of Business Administration

Downloads 203 (313,421)

Citation 2

Abstract:

30.

Peer-based R-squared and Mutual Fund Performance

Number of pages: 48 Posted: 19 Oct 2022 Last Revised: 11 Nov 2022

Tong Yao and Jie Ying

University of Iowa - Henry B. Tippie College of Business and Southern Illinois University - Department of Economics & Finance

Downloads 155 (398,255)

Abstract:

31.

The Impact of Capping the SALT Deduction on Municipal Bond Pricing

Number of pages: 54 Posted: 10 Dec 2022

Mikhail Pevzner, Alan Reinstein, Matthew Wynter and Tong Yao

University of Baltimore - Merrick School of Business, Wayne State University, State University of New York, SUNY at Stony Brook University, College of Business and University of Iowa - Henry B. Tippie College of Business

Downloads 124 (475,870)

Abstract:

32.

Does Operating Risk Affect Portfolio Risk? Evidence from Insurers' Securities Holding

Journal of Corporate Finance, Forthcoming

Number of pages: 46 Posted: 16 Dec 2019 Last Revised: 23 Feb 2020

Xuanjuan Chen, Zhenzhen Sun, Tong Yao and Tong Yu

Shanghai University of Finance and Economics, University of Massachusetts Dartmouth, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 121 (485,040)

Citation 4

Abstract:

33.

Heterogeneous Turnover-Performance Relations

Journal of Banking and Finance, Forthcoming

Number of pages: 51 Posted: 17 Feb 2021

Ke Shen, Lin Tong and Tong Yao

Lehigh University -- Perella Department of Finance, Fordham University - Finance Area and University of Iowa - Henry B. Tippie College of Business

Downloads 111 (517,539)

Citation 2

Abstract:

34.

Do Firms Get High? The Impact of Marijuana Legalization on Firm Performance, Corporate Innovation, and Entrepreneurial Activity

Posted: 16 Jan 2020

Jue Wang, Shagun Pant and Tong Yao

affiliation not provided to SSRN, University of Iowa - Department of Finance and University of Iowa - Henry B. Tippie College of Business

Tong Yao

University of Iowa - Henry B. Tippie College of Business

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