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

8

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Top 5,513

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7,528

SSRN RANKINGS

Top 16,797

in Total Papers Citations

20

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Scholarly Papers (8)

1.

The Externalities of High Frequency Trading

Number of pages: 56 Posted: 26 May 2012 Last Revised: 18 Mar 2014
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 2,891 (3,791)

Abstract:

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

2.
Downloads 1,646 ( 9,749)

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
Number of pages: 47 Posted: 23 Jul 2011 Last Revised: 18 Mar 2014
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 1,177 (16,285)

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, AFA 2013 San Diego Meetings Paper
Number of pages: 57 Posted: 17 Mar 2012 Last Revised: 18 Mar 2014
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 469 (58,310)

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 890 (25,168)

Abstract:

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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

Number of pages: 65 Posted: 26 Nov 2014 Last Revised: 04 Sep 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 725 (33,399)

Abstract:

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

5.

Tick Size Constraints, Market Structure, and Liquidity

Number of pages: 51 Posted: 24 Nov 2013 Last Revised: 18 Mar 2014
Mao Ye and Chen Yao
University of Illinois at Urbana-Champaign and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 491 (55,640)

Abstract:

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

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

Number of pages: 68 Posted: 07 Dec 2017 Last Revised: 16 May 2019
Boston College, Carroll School of Management, University of Warwick - Warwick Business School and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 397 (71,447)

Abstract:

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Tick Size Pilot Program, Liquidity, Price Efficiency, News Response Rate, Liquidity Risk, Liquidity Premium, Information Risk, Investor Horizon, JOBS Act

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, University of Warwick - Warwick Business School and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 3 (645,426)
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information risk, investor horizon, JOBS Act, liquidity, liquidity premium, liquidity risk, news response rate, price efficiency, tick size pilot program

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 366 (79,286)

Abstract:

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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 119 (230,566)

Abstract:

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