Tong Yao

University of Iowa - Henry B. Tippie College of Business

Acquisitions

5020 Main Library

Iowa City, IA 52242-1000

United States

SCHOLARLY PAPERS

23

DOWNLOADS
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SSRN RANKINGS

Top 1,448

in Total Papers Downloads

16,016

CITATIONS
Rank 3,694

SSRN RANKINGS

Top 3,694

in Total Papers Citations

146

Scholarly Papers (23)

1.

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
Russ Wermers, Tong Yao and Jane Zhao
University of Maryland - Robert H. Smith School of Business, University of Iowa - Henry B. Tippie College of Business and PanAgora Asset Management
Downloads 2,542 (3,160)
Citation 7

Abstract:

mutual funds, performance persistence, portfolio disclosure, stock selection

2.

In Search of Habitat

Number of pages: 59 Posted: 19 Apr 2012 Last Revised: 16 Dec 2013
Shanghai University of Finance and Economics, Siena College - School of Business, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati
Downloads 1,196 (12,145)
Citation 2

Abstract:

3.

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: 36 Posted: 16 Jan 2005 Last Revised: 20 Feb 2013
George J. Jiang, Tong Yao and Tong Yu
Washington State University, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati
Downloads 1,051 (12,878)
Citation 47

Abstract:

market timing, mutual fund

4.

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 1,012 (13,762)
Citation 7

Abstract:

stock return predictability, firm characteristics, stock price jumps, asset pricing theory

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
Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business
Downloads 976 (13,745)
Citation 23

Abstract:

Idiosyncratic Volatility, Corporate Disclosure

6.

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

Number of pages: 68 Posted: 14 Mar 2012 Last Revised: 26 Oct 2016
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
Downloads 813 (19,075)

Abstract:

mutual funds, competition, post earnings announcement drift, anomaly

7.

Corporate Disclosure, Analyst Forecast Dispersion, and Stock Returns

Number of pages: 44 Posted: 18 Jun 2004 Last Revised: 27 Sep 2016
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 767 (19,568)

Abstract:

Corporate disclosure, analyst forecast dispersion, mispricing

8.

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
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
Downloads 712 (24,967)
Citation 13

Abstract:

accruals anomaly, mutual fund, arbitrage risk

9.

Dissecting the Idiosyncratic Volatility Anomaly

Number of pages: 40 Posted: 17 Mar 2012
Washington State University, Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business
Downloads 706 (21,118)
Citation 1

Abstract:

idiosyncratic volatility, stock returns, robustness, market microstructure effect

10.

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 650 (28,932)

Abstract:

momentum, dynamic principal component

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
Downloads 646 (29,654)
Citation 2

Abstract:

asset growth effect, investment-based asset pricing, international capital market

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

Abstract:

asset growth effect, international stock markets

12.

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 536 (37,925)
Citation 1

Abstract:

Data mining, Efficient markets, Genetic algorithm, Moving average, Technical analysis, Trading rule

13.

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
Downloads 493 (40,981)
Citation 11

Abstract:

Mutual fund performance, flow, agency problem, insurance

14.

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 398 (41,815)
Citation 5

Abstract:

15.

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 391 (56,078)
Citation 7

Abstract:

corporate disclosure, earnings guidance, consensus-beating

16.

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 350 (63,754)
Citation 13

Abstract:

pricing kernel, heterogeneity

17.

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: 59 Posted: 24 May 2013 Last Revised: 11 Sep 2014
Pennsylvania State University - University Park - Department of Finance, Siena College - School of Business, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati
Downloads 334 (63,972)

Abstract:

Corporate Bond Holdings, Liquidity Clientele, Corporate Bond Liquidity and Spreads

18.

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 332 (63,327)

Abstract:

informed option trading, idiosyncratic volatility anomaly

19.

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, University of Dayton - School of Business Administration and University of Rhode Island - College of Business Administration
Downloads 251 (85,653)
Citation 1

Abstract:

20.

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 195 (121,486)
Citation 1

Abstract:

21.

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 Iowa - Department of Finance and University of Iowa - Henry B. Tippie College of Business
Downloads 192 (80,682)
Citation 1

Abstract:

R&D spillover, limited attention, stock return predictability

22.

On the Predictability of Chinese Stock Returns

Number of pages: 39 Posted: 22 Mar 2007 Last Revised: 03 Dec 2010
Shanghai University of Finance and Economics, SUNY at Buffalo - School of Management, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati
Downloads 175 (100,253)
Citation 4

Abstract:

anomalies, return predictability, emerging markets, China

23.

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

Number of pages: 45 Posted: 20 Mar 2011 Last Revised: 06 Aug 2012
Shanghai University of Finance and Economics, University of Iowa - Henry B. Tippie College of Business, University of Cincinnati and University of Dayton - School of Business Administration
Downloads 129 (160,811)

Abstract:

pension funding, analyst forecasts, learning, incentive