Jing Yao

School of Economics, Fudan University

Assistant Professor

600 Guoquan Road

Shanghai, Shanghai 200433

China

http://homepage.fudan.edu.cn/yaojing/

SCHOLARLY PAPERS

9

DOWNLOADS

627

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

When Prospect Theory Preference Meets Mean-Reverting Asset Returns: A Dynamic Asset Allocation Model

Number of pages: 48 Posted: 30 Apr 2018 Last Revised: 31 Oct 2019
Jianjun Gao, Duan Li, Duan Li and Jing Yao
Shanghai University of Finance and Economics, Chinese University of Hong KongCity University of Hong Kong and School of Economics, Fudan University
Downloads 171 (226,264)
Citation 4

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Prospect Theory, Mean Reversion, Dynamic Asset Allocation, Trading Behavior, Disposition Effect

2.

Sentiment or Sentiment-Related Feedback? Explaining the Persistent Pattern of Excess Comovement in China

Number of pages: 43 Posted: 10 Aug 2012 Last Revised: 14 Mar 2014
Jing Yao
School of Economics, Fudan University
Downloads 105 (328,698)
Citation 1

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Investor sentiment; Individual investor trading; Strategic interaction; Excess comovement; Excess volatility; Sophisticated investor

3.

The Risk-Return Tradeoff in China: Does the Market Stability Objective of Government Intervention Matter?

Number of pages: 53 Posted: 11 Aug 2017 Last Revised: 18 Jul 2019
Jing Yao
School of Economics, Fudan University
Downloads 88 (368,102)

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Government intervention; Market stability; Risk-return tradeoff; Mean-variance relation; Representativeness; Investor sentiment; Implicit government guarantee

4.

Exogenous Noise or Endogenous Feedback? Exploring the Sources of Excess Comovement in an Emerging Stock Market

Number of pages: 45 Posted: 21 Apr 2014 Last Revised: 07 Feb 2015
Jing Yao
School of Economics, Fudan University
Downloads 86 (373,351)

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Excess comovement; Individual investor trading; Investor sentiment; Strategic complementarity; Sophisticated investor; Cross-country difference

5.

Annual Report Opacity and Stock Returns: Evidence from China

Number of pages: 8 Posted: 13 Jun 2016
Minggen Gong, Yifei Lu and Jing Yao
Fudan University - School of Economics, Fudan University - School of Economics and School of Economics, Fudan University
Downloads 75 (404,356)

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Opacity, Incomplete revelation hypothesis, Skewness, Graphical information

6.

Loss Aversion: A Medium where Better Environment Translates into Inferior Performance

Number of pages: 46 Posted: 26 Mar 2008 Last Revised: 27 May 2010
Jing Yao, Zhongfei Li and Duan Li
School of Economics, Fudan University, Sun Yat-sen Business School, Sun Yat-sen University and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 65 (436,594)

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Portfolio choice, loss aversion, investment flexibility, information feedback

7.

Costly Arbitrage and Skewness Pricing: Evidence from First-day Price Limit Reform in China

Pacific-Basin Finance Journal, Vol. 67, 2021
Number of pages: 72 Posted: 24 Sep 2020 Last Revised: 09 Apr 2021
Jing Yao and Zexin Zheng
School of Economics, Fudan University and Hong Kong University of Science & Technology, Department of Finance
Downloads 37 (554,027)

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skewness pricing; price limit; IPOs; limits to arbitrage; China

8.

Bounded Rationality as a Source of Loss Aversion and Optimism: A Study of Psychological Adaptation Under Incomplete Information

Journal of Economic Dynamics and Control, Vol. 37, No. 1, 2013
Posted: 09 Jul 2010 Last Revised: 16 May 2013
Jing Yao, Duan Li and Duan Li
School of Economics, Fudan University and Chinese University of Hong KongCity University of Hong Kong

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Loss aversion, optimism, bounded rationality, incomplete information, adaptedness, dynamic portfolio choice

9.

Prospect Theory and Trading Patterns

Journal of Banking and Finance, Vol. 37, No. 8, 2013
Posted: 26 Jun 2010 Last Revised: 16 May 2013
Jing Yao, Duan Li and Duan Li
School of Economics, Fudan University and Chinese University of Hong KongCity University of Hong Kong

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prospect theory, negative-feedback trading, price elasticity of demand, contrarian behavior, the disposition effect, noise trading