Jing Yao

School of Economics, Fudan University

Assistant Professor

600 Guoquan Road

Shanghai, Shanghai 200433

China

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

SCHOLARLY PAPERS

8

DOWNLOADS

829

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

When Prospect Theory Meets Mean-Reverting Asset Returns: A Behavioral Dynamic Trading Model

Number of pages: 36 Posted: 30 Apr 2018 Last Revised: 17 Apr 2023
Shanghai Jiao Tong University, Chinese University of Hong KongCity University of Hong Kong, Shanghai University of Finance and Economics, Fudan University and School of Economics, Fudan University
Downloads 279 (206,333)
Citation 5

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

2.

Risk-Return Tradeoff, Serial Correlation, and the Chinese Stock Market: A Bailout Feedback Hypothesis

Number of pages: 44 Posted: 11 Aug 2017 Last Revised: 02 Mar 2022
Jing Yao and Zexin Zheng
School of Economics, Fudan University and Finance Department, Hong Kong University of Science & Technology
Downloads 137 (390,696)

Abstract:

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mean-variance relation; risk-return tradeoff; serial correlation; implicit government guarantees; feedback trading

3.

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 128 (411,922)

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

4.

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 125 (419,352)
Citation 1

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

5.

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 91 (524,467)

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Portfolio choice, loss aversion, investment flexibility, information feedback

6.

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 Finance Department, Hong Kong University of Science & Technology
Downloads 69 (616,214)
Citation 1

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

7.

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

8.

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