Tong Yao

Associate Professor of Finance

Tippe College of Business

University of Iowa

 

Email: tong-yao  [at] uiowa.edu

Phone:  319-335-3924

Curriculum Vitae
 

Research interest

Working papers (links to SSRN)

  1. Costly Information Production, Information Intensity, and Mutual Fund Performance
    with George Jiang, Ke Shen, and Russ Wermers
     
  2. On the Flow-Performance Relations among Delegated Institutional Portfolios
    with Xi Li, and Joe Zhang
     
  3. Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele E ffect in the Corporate Bond Market
    with Jing-zhi Huang, Zhenzhen Sun, and Tong Yu
     
  4. In Search of Habitat
    with Xuanjuan Chen, Zhenzhen Sun, and Tong Yu
     
  5. Mutual Fund Competition and Profiting from the Post Earnings Announcement Drift
    with Ashiq Ali, Xuanjuan Chen, and Tong Yu
     
  6. Dissecting the Idiosyncratic Volatility Anomaly
    with Linda Chen, George Jiang, and Danielle Xu
     
  7. Informed Option Trading and Stock Market Mispricing
    with Redouane Elkamhi, and Yong Lee
     

Publications (links to SSRN)

  1. Corporate Disclosure, Analyst Forecast Dispersion, and Stock Returns, 2016
    with Ashiq Ali, Mark Liu, and Danielle Xu
    Journal of Accountng, Auditing, and Finance, forthcoming.
     
  2. R&D Spillover and Predictable Returns (Internet Appendix), 2015
    with Yi Jiang and Yiming Qian
    Review of Finance, forthcoming.
     
  3. Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds, 2015
    with Kelsey Wei and Russ Wermers
    Management Science, 61 (10), 2394-2414.
     
  4. Learning and Incentive: A Study Based on Analyst Response to Pension Underfunding, 2014
    with Xuanjuan Chen, Tong Yu, and Jeffery Zhang
    Journal of Banking and Finance 45, 26-42.
     
  5. Mutual Fund Skills and the Performance of Corporate Acquirers, 2013
    with Amrita Nain
    Journal of Financial Economics 110 (2), 437-456.
     
  6. Stock Price Jumps and Cross-sectional Return Predictability, 2013
    with George Jiang
    Journal of Financial and Quantitative Analysis 48 (5), 1519-1544.
     
  7. The Asset Growth Effect: Insights from International Equity Markets, 2013
    with Akiko Watanabe, Yan Xu, and Tong Yu
    Journal of Financial Economics 108 (2), 529-563.
     
  8. Forecasting Stock Returns though An Efficient Aggregation of Mutual Fund Holdings, 2012
    with Russ Wermers and Jane Zhao
    Review of Financial Studies 25 (12), 3490-3529.
     
  9. Asset Growth and Stock Returns: Evidence from Asian Financial Markets , 2011
    with Shaw Chen, Tong Yu, and Jeffery Zhang
    Pacific Basin Finance Journal 19 (1), 115-139.
     
  10. On the Predictability of Chinese Stock Returns, 2010
    with Xuanjuan Chen, Ken Kim, and Tong Yu
    Pacific Basin Finance Journal 18 (4), 403-425.
     
  11. The Information Content of Idiosyncratic Volatility, 2009
    with George Jiang and Danielle Xu
    Journal of Financial and Quantitative Analysis 44 (1), 1-28.
     
  12. Do Mutual Funds Profit from the Accruals Anomaly? 2008
    with Ashiq Ali, Xuanjuan Chen, and Tong Yu
    Journal of Accounting Research 46 (1), 1-26.
     
  13. Dynamic Factors and the Source of Momentum Profits, 2008
    Journal of Business and Economic Statistics 26 (2), 211-226.
     
  14. Do Mutual Funds Time the Market? Evidence from Portfolio Holdings, 2007
    with Georege Jiang and Tong Yu
    Journal of Financial Economics 86 (3), 724-758.
     
  15. Prudent Man or Agency Problem? On the Performance of Insurance Mutual Funds, 2007
    with Xuanjuan Chen and Tong Yu
    Journal of Financial Intermediation 16 (2), 175-203.
     
  16. Testing Heterogeneous-agent Models: An Alternative Aggregation Approach, 2007
    with Pierluigi Balduzzi
    Journal of Monetary Economics 54 (2), 369-412.