Chen Yao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Assistant Professor of Finance

Cheng Yu Tung Building

Shatin, N.T.

Hong Kong

http://sites.google.com/site/chenyaosite/research

SCHOLARLY PAPERS

9

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8,179

SSRN CITATIONS
Rank 12,386

SSRN RANKINGS

Top 12,386

in Total Papers Citations

30

CROSSREF CITATIONS

55

Scholarly Papers (9)

1.

The Externalities of High Frequency Trading

WBS Finance Group Research Paper No. 180
Number of pages: 56 Posted: 26 May 2012 Last Revised: 26 Dec 2019
Mao Ye, Chen Yao and Jiading Gai
University of Illinois at Urbana-Champaign, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 3,038 (3,987)
Citation 23

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Externality, Positional Game, High-Frequency Trading, Liquidity, Price Efficiency, Quote Stuffing , Supercomputing

2.
Downloads 1,707 ( 10,495)
Citation 7

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 31-2011
Number of pages: 47 Posted: 23 Jul 2011 Last Revised: 26 Dec 2019
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 1,215 (17,478)
Citation 5

Abstract:

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TAQ data, Odd-lots, Price Discovery, Transparency, Order Imbalance, Retail Trading

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 16-2012
Number of pages: 57 Posted: 17 Mar 2012 Last Revised: 26 Dec 2019
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 492 (61,223)
Citation 13

Abstract:

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3.

Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls

Number of pages: 44 Posted: 10 Aug 2014 Last Revised: 13 Aug 2017
Chen Yao and Mao Ye
The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 931 (26,358)
Citation 16

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High-Frequency Trading, Liquidity, Tick Size, Price Controls, Queue Rationing

4.

Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures

Review of Financial Studies, 2019
Number of pages: 65 Posted: 26 Nov 2014 Last Revised: 30 Jul 2019
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 747 (35,886)
Citation 11

Abstract:

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price dispersion, market fragmentation, make-take fees, exchange competition, two-sided market

The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 07 Dec 2017 Last Revised: 07 Apr 2020
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 605 (46,969)
Citation 3

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tick size pilot, liquidity, information risk, price efficiency, news re- sponse, investor horizon, liquidity risk, liquidity premium, cost of capital, JOBS Act, SEC

The Price Effects of Liquidity Shocks: A Study of Sec's Tick-Size Experiment

Number of pages: 58 Posted: 13 Aug 2018
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 8 (670,010)
Citation 5

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The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment

CEPR Discussion Paper No. DP12486
Number of pages: 63 Posted: 12 Dec 2017
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 3 (710,223)
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information risk, investor horizon, JOBS Act, liquidity, liquidity premium, liquidity risk, news response rate, price efficiency, tick size pilot program

6.

Tick Size Constraints, Market Structure, and Liquidity

WBS Finance Group Research Paper No. 212
Number of pages: 51 Posted: 24 Nov 2013 Last Revised: 26 Dec 2019
Mao Ye and Chen Yao
University of Illinois at Urbana-Champaign and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 529 (56,488)

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price constraints, high-frequency trading, maker/taker fees, liquidity, tick size non-price competition

7.

Discrete Pricing and Market Fragmentation: A Tale of Two-Sided Markets

American Economic Review, Vol. 107, No. 5, 2017
Number of pages: 5 Posted: 23 Jan 2017
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 403 (78,722)
Citation 8

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Discrete Pricing, Market Fragmentation, Two-Sided Markets

8.

Do Hidden Orders Contain Information? Evidence from Cross-Sectional Returns and Corporate Events

Number of pages: 42 Posted: 25 Aug 2017 Last Revised: 02 Oct 2017
Chen Yao
The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 153 (208,433)

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Hidden Order, Underplayed, Information, Assert Return, Corporate Events

9.

U Disappeared: Indexing and the Shift of Diurnal Patterns

Number of pages: 49 Posted: 12 Dec 2019
Wenxi Jiang and Chen Yao
CUHK Business School, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 55 (404,782)

Abstract:

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diurnal patterns, indexing, intraday liquidity, price efficiency