Associate Professor of Finance
Tippie College of Business
University of Iowa
Email: tong-yao  [at] uiowa.edu
- stock return predictability; investment management; mutual funds
Working papers (links to SSRN)
- Should Corporate Pensions Invest in Risky Assets?
with Wei Li and Jie Ying
- Costly Information Production, Information Intensity, and Mutual Fund Performance
with George Jiang, Ke Shen, and Russ Wermers
- On the Flow-Performance Relations among Delegated Institutional Portfolios
with Xi Li, and Joe Zhang
- Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market
with Jing-zhi Huang, Zhenzhen Sun, and Tong Yu
- In Search of Habitat
with Xuanjuan Chen, Zhenzhen Sun, and Tong Yu
- Mutual Fund Competition and Profiting from the Post Earnings Announcement Drift
with Ashiq Ali, Xuanjuan Chen, and Tong Yu
- Dissecting the Idiosyncratic Volatility Anomaly
with Linda Chen, George Jiang, and Danielle Xu
- Informed Option Trading and Stock Market Mispricing
with Redouane Elkamhi, and Yong Lee
Publications (links to SSRN)
- Corporate Disclosure, Analyst Forecast Dispersion, and Stock Returns, 2016
with Ashiq Ali, Mark Liu, and Danielle Xu
Journal of Accountng, Auditing, and Finance, forthcoming.
- R&D Spillover and Predictable Returns (Internet Appendix), 2016
with Yi Jiang and Yiming Qian
Review of Finance, 20 (5), 1769-1797.
- Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds, 2015
with Kelsey Wei and Russ Wermers
Management Science, 61 (10), 2394-2414.
- 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.
- Mutual Fund Skills and the Performance of Corporate Acquirers, 2013
with Amrita Nain
Journal of Financial Economics 110 (2), 437-456.
Stock Price Jumps and Cross-sectional Return Predictability, 2013 with George Jiang
Journal of Financial and Quantitative Analysis 48 (5), 1519-1544.
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.
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.
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.
On the Predictability of Chinese Stock Returns, 2010 with Xuanjuan Chen, Ken Kim, and Tong Yu
Pacific Basin Finance Journal 18 (4), 403-425.
The Information Content of Idiosyncratic Volatility, 2009 with George Jiang and Danielle Xu
Journal of Financial and Quantitative Analysis 44 (1), 1-28.
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.
Dynamic Factors and the Source of Momentum Profits, 2008
Journal of Business and Economic Statistics 26 (2), 211-226.
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.
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.
Testing Heterogeneous-agent Models: An Alternative Aggregation Approach, 2007 with Pierluigi Balduzzi
Journal of Monetary Economics 54 (2), 369-412.