Tong Yao

University of Iowa - Henry B. Tippie College of Business

Acquisitions

5020 Main Library

Iowa City, IA 52242-1000

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 1,914

SSRN RANKINGS

Top 1,914

in Total Papers Downloads

17,433

SSRN CITATIONS
Rank 9,170

SSRN RANKINGS

Top 9,170

in Total Papers Citations

70

CROSSREF CITATIONS

44

Scholarly Papers (27)

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 2,872 (4,224)
Citation 6

Abstract:

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mutual funds, performance persistence, portfolio disclosure, stock selection

2.

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 1,295 (15,554)
Citation 12

Abstract:

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

3.

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 1,234 (16,709)
Citation 11

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Idiosyncratic Volatility, Corporate Disclosure

4.

In Search of Habitat

Number of pages: 66 Posted: 19 Apr 2012 Last Revised: 05 Feb 2019
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 1,222 (16,970)

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Preferred habitat; bond yield; quantitative easing

5.

Dissecting the Idiosyncratic Volatility Anomaly

Number of pages: 40 Posted: 17 Mar 2012
University of Idaho, Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business
Downloads 1,090 (20,146)
Citation 7

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idiosyncratic volatility, stock returns, robustness, market microstructure effect

6.

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
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 1,006 (22,690)
Citation 3

Abstract:

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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 1,002 (22,818)
Citation 3

Abstract:

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Corporate disclosure, analyst forecast dispersion, mispricing

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 815 (30,160)
Citation 12

Abstract:

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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 - Department of Finance - Real Estate

Abstract:

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asset growth effect, international stock markets

9.

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 - Department of Finance - Real Estate
Downloads 773 (32,925)
Citation 1

Abstract:

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accruals anomaly, mutual fund, arbitrage risk

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 689 (38,542)

Abstract:

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momentum, dynamic principal component

11.

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 627 (43,767)
Citation 10

Abstract:

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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 555 (51,179)
Citation 1

Abstract:

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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 - Department of Finance - Real Estate
Downloads 536 (53,584)
Citation 10

Abstract:

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Mutual fund performance, flow, agency problem, insurance

14.

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: 04 Oct 2018
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 474 (62,467)
Citation 4

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

15.

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 and University of Iowa - Henry B. Tippie College of Business
Downloads 413 (73,850)

Abstract:

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R&D spillover, limited attention, stock return predictability

16.

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 409 (74,736)

Abstract:

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corporate disclosure, earnings guidance, consensus-beating

17.

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 399 (76,873)

Abstract:

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informed option trading, idiosyncratic volatility anomaly

18.

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 372 (83,348)

Abstract:

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pricing kernel, heterogeneity

19.

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 - Department of Finance - Real Estate
Downloads 360 (86,558)
Citation 9

Abstract:

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anomalies, return predictability, emerging markets, China

20.

Costly Information Production, Information Intensity, and Mutual Fund Performance

Number of pages: 61 Posted: 03 Mar 2017 Last Revised: 23 Nov 2018
Washington State University, Lehigh University - College of Business, University of Maryland - Robert H. Smith School of Business and University of Iowa - Henry B. Tippie College of Business
Downloads 327 (96,458)
Citation 1

Abstract:

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information intensity; performance persistence

21.

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 302 (105,318)
Citation 1

Abstract:

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22.

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 236 (136,162)
Citation 7

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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 - Department of Finance - Real Estate and University of Dayton - School of Business Administration
Downloads 167 (187,233)
Citation 1

Abstract:

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pension funding, analyst forecasts, learning, incentive

24.

Should Corporate Pensions Invest in Risky Assets?

Number of pages: 57 Posted: 12 Nov 2018 Last Revised: 28 Mar 2019
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 at Edwardsville - Department of Economics & Finance
Downloads 123 (239,837)

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defined-benefit corporate pensions, asset allocation, external financing cost, systematic risk sharing

25.

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

Number of pages: 63 Posted: 03 Feb 2018 Last Revised: 24 Sep 2018
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 110 (259,999)

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Industry Portfolio, Sharpe Ratio, Maximum Diversification Strategy

26.

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
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 25 (516,315)

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Operating Risk; Investment Risk; Credit Risk, Financing Constraints

27.

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

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