Tong Yao Keith Cook Professor of Finance Tippie College of Business University of Iowa   Email: tong-yao  [at] uiowa.edu Phone:  319-335-3924

Curriculum Vitae
 

Research interest

• stock return predictability; investment management; mutual funds
   

Working papers (links to SSRN)

1. Fundamental Volatility
   with Hsiang-hung Tien and Xiaoyan Zhang
    
2. Equity Premium and Riskfree Rate: Insights From A Dynamic Quantile Preference Model
   with Luciano de Castro and Antonio F. Galvao
    
3. Labor Shocks and Local Economies: The Cost of ICE Enforcement Actions
   with Wei Li, Erik Lie, and Tengjia Shu
    
4. Do Firms Get High? The Impact of Marijuana Legalization on Corporate Performance, Innovation and Entrepreneurial Activity
   with Shagun Pant and Jue Wang
    
5. Costly Information Production, Information Intensity, and Mutual Fund Performance
   with George Jiang, Ke Shen, and Russ Wermers
    

Publications (links to SSRN)

1. Liquidity Characteristics of Market Anomalies and Institutional Trading, 2025
   with Charles Cao, Bing Liang, and Andrew Zhang
   Journal of Financial Economics, forthcoming.
    
2. The Evolving Liquidity Premium in A Retail-Driven Corporate Bond Market, 2025
   with Ziying Sun and Ninghua Zhong
   China Finance Review, forthcoming.
    
3. The Impact of Capping the SALT Deduction on Municipal Bond Pricing, 2025
   with Alan Reinstein, Mikhail Pevzner, and Matthew Wynter
   Journal of Accounting and Public Policy 61, 107312.
    
4. Investment Policies and Risk Sharing by Corporate Pensions, 2024
   with Wei Li and Jie Ying
   Journal of Economic and Dynamic Control 165, 104891.
    
5. Capital Mobility and Long-Run Return-Risk Trade-Offs of Industry Portfolios, 2023
   with Jia Chen and Xin Xu
   Journal of Empirical Finance 70, 123-143.
    
6. In Search of Habitat, 2023
   with Xuanjuan Chen, Zhenzhen Sun, and Tong Yu
   Review of Asset Pricing Studies 13 (2), 266-306.
    
7. The Effect of Investor Service Costs on Mutual Fund Performance, 2023
   with George Jiang and Gulnara R Zaynutdinova
   Financial Review 58 (1), 91-115.
    
8. Confirmation Bias in Analysts' Response to Consensus Forecasts, 2022
   with Huan Cai and Xiaodi Zhang
   Journal of Behavioral Finance 25 (3), 334 355.
    
9. The Alphas of Beta and Idiosyncratic Volatility, 2022
   with Percy Poon and Andrew Zhang
   Journal of Financial Markets 61, 100720.
    
10. Heterogeneous Turnover-Performance Relations, 2021
    with Ke Shen and Lin Tong
    Journal of Banking and Finance 124, 106054.
     
11. Dissecting the Idiosyncratic Volatility Anomaly, 2020
    with Linda Chen, George Jiang, and Danielle Xu
    Journal of Empirical Finance 59, 193-209.
     
12. Can Mutual Funds Profit from Post Earnings Announcement Drift? The Role of Competition, 2020
    with Ashiq Ali, Xuanjuan Chen, and Tong Yu
    Journal of Banking and Finance 114, 105774.
     
13. Does Operating Risk Affect Portfolio Risk? Evidence from Insurers' Securities Holding, 2020
    with Xuanjuan Chen, Zhenzhen Sun, and Tong Yu
    Journal of Corporate Finance 62, 101579.
     
14. Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market, 2020
    with Xuanjuan Chen, Jing-zhi Huang, Zhenzhen Sun, and Tong Yu
    Management Science, 66 (2), 932-957.
     
15. Corporate Disclosure, Analyst Forecast Dispersion, and Stock Returns, 2019
    with Ashiq Ali, Mark Liu, and Danielle Xu
    Journal of Accountng, Auditing, and Finance, 34 (1), 54-73.
     
16. Holdings Markup and Mutual Fund Family Strategy: Evidence from China, 2018
    with Yin Yu, Jiajun Jiang, and Zheng Zhang
    Journal of Financial Research (Chinese), 455 (5), 154-171.
     
17. Against the “Wisdom of Crowds”: The Investment Performance of Contrarian Funds, 2017
    with Kelsey Wei and Russ Wermers
    in “Portfolio Construction, Measurement, and Efficiency: Essays in Honor of Jack Treynor”, Springer
     
18. R&D Spillover and Predictable Returns (Internet Appendix), 2016
    with Yi Jiang and Yiming Qian
    Review of Finance, 20 (5), 1769-1797.
     
19. Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds, 2015
    with Kelsey Wei and Russ Wermers
    Management Science, 61 (10), 2394-2414.
     
20. 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.
     
21. Mutual Fund Skills and the Performance of Corporate Acquirers, 2013
    with Amrita Nain
    Journal of Financial Economics 110 (2), 437-456.
     
22. Stock Price Jumps and Cross-sectional Return Predictability, 2013
    with George Jiang
    Journal of Financial and Quantitative Analysis 48 (5), 1519-1544.
     
23. 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.
     
24. 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.
     
25. 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.
     
26. On the Predictability of Chinese Stock Returns, 2010
    with Xuanjuan Chen, Ken Kim, and Tong Yu
    Pacific Basin Finance Journal 18 (4), 403-425.
     
27. The Information Content of Idiosyncratic Volatility, 2009
    with George Jiang and Danielle Xu
    Journal of Financial and Quantitative Analysis 44 (1), 1-28.
     
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.
     
29. Dynamic Factors and the Source of Momentum Profits, 2008
    Journal of Business and Economic Statistics 26 (2), 211-226.
     
30. 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.
     
31. 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.
     
32. Testing Heterogeneous-agent Models: An Alternative Aggregation Approach, 2007
    with Pierluigi Balduzzi
    Journal of Monetary Economics 54 (2), 369-412.