Tong Yao

University of Iowa - Henry B. Tippie College of Business

Acquisitions

5020 Main Library

Iowa City, IA 52242-1000

United States

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 2,747

SSRN RANKINGS

Top 2,747

in Total Papers Downloads

23,007

SSRN CITATIONS
Rank 5,095

SSRN RANKINGS

Top 5,095

in Total Papers Citations

301

CROSSREF CITATIONS

56

Scholarly Papers (34)

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 3,207 (7,245)
Citation 20

Abstract:

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mutual funds, performance persistence, portfolio disclosure, stock selection

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 1,549 (22,835)
Citation 12

Abstract:

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market timing, mutual fund

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 1,490 (24,171)
Citation 13

Abstract:

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

4.
Downloads 1,430 (25,684)
Citation 14

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 1,313 (28,632)
Citation 10

Abstract:

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idiosyncratic volatility, stock returns, robustness, market microstructure effect

Dissecting the Idiosyncratic Volatility Anomaly

Journal of Empirical Finance, Forthcoming
Number of pages: 50 Posted: 06 Nov 2020
University of Idaho, Washington State University, Gonzaga University and University of Iowa - Henry B. Tippie College of Business
Downloads 117 (439,138)
Citation 7

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Idiosyncratic volatility anomaly, Robustness, Market microstructure effect, Microcaps, Penny stocks, Stock return reversal

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 1,337 (28,296)
Citation 21

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Idiosyncratic Volatility, Corporate Disclosure

6.

In Search of Habitat

Number of pages: 72 Posted: 19 Apr 2012 Last Revised: 04 Jun 2021
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 1,252 (31,226)

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Preferred habitat; bond yield; quantitative easing

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
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 1,169 (34,471)
Citation 5

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mutual funds, competition, post earnings announcement drift, anomaly

8.

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 1,097 (37,732)
Citation 4

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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 1,062 (38,974)
Citation 49

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

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
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 845 (54,377)
Citation 3

Abstract:

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accruals anomaly, mutual fund, arbitrage risk

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 727 (66,513)
Citation 1

Abstract:

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momentum, dynamic principal component

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 719 (67,448)
Citation 12

Abstract:

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13.

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 604 (84,066)
Citation 1

Abstract:

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

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: 23 Sep 2021
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 592 (86,263)
Citation 8

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

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 590 (86,648)
Citation 10

Abstract:

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Mutual fund performance, flow, agency problem, insurance

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 507 (104,682)

Abstract:

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R&D spillover, limited attention, stock return predictability

17.

Costly Information Production, Information Intensity, and Mutual Fund Performance

Number of pages: 61 Posted: 03 Mar 2017 Last Revised: 23 Sep 2021
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 483 (110,959)
Citation 4

Abstract:

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information intensity; performance persistence

18.

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, 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 460 (117,594)
Citation 11

Abstract:

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anomalies, return predictability, emerging markets, China

19.

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
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 458 (118,428)

Abstract:

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Beta anomaly, Idiosyncratic volatility anomaly, alpha

20.

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 456 (118,746)

Abstract:

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informed option trading, idiosyncratic volatility anomaly

21.

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 453 (119,713)

Abstract:

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corporate disclosure, earnings guidance, consensus-beating

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 405 (136,334)
Citation 3

Abstract:

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pricing kernel, heterogeneity

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 361 (155,130)
Citation 1

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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 311 (181,947)
Citation 6

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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 271 (209,817)

Abstract:

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Defined-benefit corporate pensions; pension investments

26.

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 201 (279,524)

Abstract:

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Industry portfolio; Sharpe ratio; Maximum diversification strategy; Investment-based asset pricing; Q-factors

27.

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 198 (283,408)
Citation 2

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pension funding, analyst forecasts, learning, incentive

28.

Liquidity Characteristics of Market Anomalies and Institutional Trading

Number of pages: 39 Posted: 14 Dec 2020 Last Revised: 31 Dec 2022
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 195 (287,278)
Citation 2

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Institutional trading, market anomalies, liquidity characteristics, market efficiency

29.

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 181 (307,064)

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Confirmation Bias, Analyst Earnings Forecasts, Weighting Inefficiency, Behavioral Finance.

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 113 (448,549)

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Mutual Funds, Stock Peers, Regression R-squared, Performance Prediction

31.

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 101 (486,026)
Citation 4

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Operating Risk; Investment Risk; Credit Risk, Financing Constraints

32.

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 98 (495,979)
Citation 1

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Mutual funds, Portfolio turnover, Performance persistence

33.

The Impact of Capping the SALT Deduction on Municipal Bond Pricing

Number of pages: 54 Posted: 10 Dec 2022
University of Baltimore - Merrick School of Business, Wayne State University, Stony Brook University, College of Business and University of Iowa - Henry B. Tippie College of Business
Downloads 85 (542,540)

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municipal bonds, Trump tax cuts, SALT deduction, real estate taxes

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
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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