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

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

    • Email
    • Tel: 852 39433215
SCHOLARLY PAPERS

11

DOWNLOADS
Rank 8,323

SSRN RANKINGS

Top 8,323

in Total Papers Downloads

11,578

TOTAL CITATIONS
Rank 5,457

SSRN RANKINGS

Top 5,457

in Total Papers Citations

153

Scholarly Papers (11)

Actions:
Email selected abstracts
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
Cornell University, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 3,784 (6,396)
Citation 36

Abstract:

Loading...

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

2.

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

Downloads 2,193 (15,257)
Citation 20

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

Johnson School Research Paper Series No. 31-2011, Midwest Finance Association 2012 Annual Meetings Paper, WBS Finance Group Research Paper No. 167
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 Cornell University
Downloads 1,467 (28,002)
Citation 6

Abstract:

Loading...

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, AFA 2013 San Diego Meetings Paper, WBS Finance Group Research Paper No. 176
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 Cornell University
Downloads 726 (75,535)
Citation 14

Abstract:

Loading...

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 Cornell University
Downloads 1,160 (40,202)
Citation 49

Abstract:

Loading...

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

4.

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

Downloads 1,112 (42,808)
Citation 12

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
Rui A. Albuquerque, Shiyun Song and Chen Yao
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 1,045 (45,931)
Citation 5

Abstract:

Loading...

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
Rui A. Albuquerque, Shiyun Song and Chen Yao
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 63 (768,321)
Citation 2

Abstract:

Loading...

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
Rui A. Albuquerque, Shiyun Song and Chen Yao
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 4 (1,372,023)
Citation 5
  • Add to Cart

Abstract:

Loading...

information risk, investor horizon, JOBS Act, liquidity, liquidity premium, liquidity risk, news response rate, price efficiency, tick size pilot program

5.

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 Cornell University
Downloads 855 (61,708)
Citation 15

Abstract:

Loading...

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

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
Cornell University and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 713 (78,487)
Citation 1

Abstract:

Loading...

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

7.

How Index Funds Reshape Intraday Market Dynamics

Number of pages: 62 Posted: 12 Dec 2019 Last Revised: 16 Apr 2025
Wenxi Jiang, Siyuan Wu and Chen Yao
CUHK Business School, The Chinese University of Hong Kong, The Chinese University of Hong Kong (CUHK) and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 601 (97,584)

Abstract:

Loading...

index fund, price informativeness, informed traders, intraday liquidity distribution, strategic timing

8.

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 Cornell University
Downloads 567 (105,085)
Citation 20

Abstract:

Loading...

Discrete Pricing, Market Fragmentation, Two-Sided Markets

9.

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 459 (136,166)

Abstract:

Loading...

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

10.

Information Aggregation and Market Feedback: Evidence from the introduction of the NASDAQ closing auction

Number of pages: 58 Posted: 01 Dec 2023 Last Revised: 05 May 2025
Shidong Shao, Chen Yao and Wei Zhu
The Chinese University of Hong Kong (CUHK) - CUHK Business School, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign - Department of Accountancy
Downloads 126 (484,929)

Abstract:

Loading...

Information aggregation, Closing auction, Market feedback, Managerial learning, Investment-q sensitivity, Price informativeness

11.

Order Protection Rule, Market Liquidity, and Price Discovery

Number of pages: 52 Posted: 23 Jun 2019
Yiping Lin, Chen Yao and Yimeng Yu
Alt Data Tech, The Chinese University of Hong Kong (CUHK) - CUHK Business School and Macquarie University
Downloads 8 (1,289,390)

Abstract:

Loading...

Order Protection Rule, Reg NMS, Liquidity, Price Discovery, and Fragmentation