Research Seminar

Seminar Coordinators: Prof. Wenxi JIANG and Prof. Yizhou XIAO

A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Yao, Chen (Alison)

Chinese Name: 姚琛
Education: BS in Mathematics, Summa Cum Laude (Tulane University); PhD in Finance (University of Illinois at Urbana-Champaign)
Position:

Assistant Professor

Department: Dept of Finance
Mailing Address: Room 1050, 10/F., Cheng Yu Tung Building, 12 Chak Cheung Street, Shatin, N.T. Hong Kong
Telephone: (852) 3943 3215
Fax No.: (852) 2603 6586
Email Address: chenyao@cuhk.edu.hk
Personal Homepage: http://sites.google.com/site/chenyaosite/
Year Joined CUHK: 2017
Biography:
Chen (Alison) Yao joined CUHK Business School as an Assistant Professor of Finance in 2017. Her primary research interests are high-frequency trading, market microstructure, and empirical asset pricing. Her work on odd-lot trades has a wide policy impact which leads to changes in the U.S....

Chen (Alison) Yao joined CUHK Business School as an Assistant Professor of Finance in 2017. Her primary research interests are high-frequency trading, market microstructure, and empirical asset pricing. Her work on odd-lot trades has a wide policy impact which leads to changes in the U.S. trade reporting rules. Her researches have been published in the Journal of Finance and American Economic Review: Papers and Proceedings. She holds a Ph.D. in Finance from the University of Illinois at Urbana-Champaign. She received her B.S. in Mathematics with Summa Cum Laude from Tulane University in the United States.

Research Interest: High-frequency Trading, Market Microstructure, Empirical Asset Pricing
Academic Publications & Working Papers:
Selected Academic Publications

“What's Not There: The Odd-lot Bias in Market Data” with Maureen O'Hara and Mao Ye, Journal of Finance, 2014, 69(5), 2199-2236

“Discrete Pricing and Market Fragmentation: a Tale of Two-Sided Markets” with Yong Chao and Mao Ye, American Economic Review: Papers and Proceedings, 2017, 107(5), 196-199

"Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls” with Mao Ye, forthcoming,  Review of Financial Studies

“What Drives Price Dispersion and Market Fragmentation across U.S. Stock Exchanges?” with Yong Chao and Mao Ye, conditionally accepted,  Review of Financial Studies