Awards | Honors
Organization:
University of Rhode Island
Name:
Best Research Paper Award
Year Received:
2013
Organization:
American Risk and Insurance Association
Name:
Early Career Scholarly Achievement Award
Year Received:
2011
Organization:
The Chinese Finance Association (TCFA)
Name:
Best Feature Paper in Corporate Finance
Year Received:
2010
Organization:
Risk Management and Insurance Review
Name:
Best Feature Paper Award
Year Received:
2009
Organization:
College of Business Administration, University of Rhode Island
Name:
Dean's Annual Research Award
Year Received:
2009
Organization:
University of Rhode Island
Name:
William A. Orme Working Paper Series
Year Received:
2007
Organization:
International Insurance Society
Name:
Shin Award for Research Excellence
Year Received:
2006
Organization:
University of Rhode Island
Name:
William A. Orme Working Paper Series
Year Received:
2006
Organization:
Journal of Insurance Issues
Name:
Best Paper Award
Year Received:
2004
Organization:
International Insurance Society
Name:
Shin Award for Research Excellence
Year Received:
2004
Organization:
International Insurance Society
Name:
Shin Award for Research Excellence
Year Received:
2003
Published Contributions
Walid Busaba, Lin Guo, Zhenzhen Sun, Tong Yu, (2015). The Dark Side of Cross-listing: A Perspective from China.
Journal of Banking and Finance, 1-16.
Ming Zhong, Zhenzhen Sun, Gene Lai, Tong Yu, (2015). Cultural Influence on Insurance Consumption: Insights from the Chinese Insurance Market.
China Journal of Accounting Studies, 24-48.
Jane Chen, Tong Yao, Jeffery Zhang, Tong Yu, (2014). Learning and Incentives: A Study Based on Analyst Response to Pension Underfunding.
Journal of Banking and Finance, 26-42.
Scott Harrington, Greg Niehaus, Tong Yu, (2013). Insurance Price Volatility and Underwriting Cycles.
Handbook of Insurance, Kluwer Academic Press, 647-667.
Frank Chen, Xuanjuan Chen, Zhenzhen Sun, Tong Yu, (2013). Systemic Risk, Financial Crisis and Credit Risk Insurance.
Financial Review, 417-442.
Akiko Watanabe, Yan Xu, Tong Yao, Tong Yu, (2013). The Asset Growth Effect and Market Efficiency: Insights from International Stock Markets.
Journal of Financial Economics, 526-563.
Tong Yu, (2013). What Drives Corporate Pension Plan Contributions: Moral Hazard or Tax Benefit Hypotheses.
Financial Analyst Journal, 58-72.
Tong Yao, Jeffery Zhang, Tong Yu, (2011). Asset Growth and Stock Returns: Evidence from Asian Financial Markets.
Pacific-Basin Finance Journal, 115-139.
Yayuan Ren, Qixiang Sun, Zhenzhen Sun, Tong Yu, (2011). Do Underwriting Cycles Affect Property Casualty Insurer Investment Risk Taking? Stock versus Mutual Insurers.
Journal of Insurance Regulation, 1-30.
Xuanjuan Chen, Ken Kim, Tong Yao, Tong Yu, (2010). On the Predictability of Chinese Stock Returns.
Pacific-Basin Finance Journal, 403-425.
Xuanjuan Chen, Helen Doerpinghaus, Bingxuan Lin, Tong Yu, (2008). Catastrophic Losses and Firm Profitability: Evidence from 9/11.
Journal of Risk and Insurance, 39-62.
Ashiq Ali, Xuanjuan Chen, Tong Yao, Tong Yu, (2008). Do Mutual Funds Profit from Accruals Anomalies?.
Journal of Accounting Research , 1-25.
Tong Yu, Xuanjuan Chen, Bingxuan Lin, Henry Oppenheimer, (2008). Intangible Assets and Firm Asset Risk Taking: Evidence from the Insurance Industry.
Risk Management and Insurance Review, 159-180.
Gene Lai, Michael McNamara, Tong Yu, (2008). The Wealth Effect of Demutualization: Evidence from the U.S. Property-Liability and Life Insurance Industries.
Journal of Risk and Insurance, 125-144.
George Jiang, Tong Yao, Tong Yu, (2007). Do Mutual Funds Time the Market? Evidence from Portfolio Holdings.
Journal of Financial Economics, 724-758.
Xuanjuan Chen, Tong Yao, Tong Yu, (2007). Prudent Man or Agency Problem? On the Performance of Insurance Mutual Funds.
Journal of Financial Intermediation, 175-203.
Xuanjuan Chen, Tong Yao, Tong Yu, (2006). How Does Background Risk Affect Investment Risk-taking? Evidence from Insurers’ Corporate Bond Portfolios.
Geneva Paper on Risk and Insurance: Issues and Practice, 1-28.
Greg Niehaus, Tong Yu, (2005). Cash Balance Plan Conversions: Evidence on the Excise Tax and Implicit Contracts.
Journal of Risk and Insurance, 321-352.
Tong Yu, Bingxuan Lin, Mulong Wang, William Feldhaus, (2004). Capacity Constraints and IPO Underpricing in the Property and Liability Insurance Industry.
Journal of Insurance Issues, .
Scott Harrington, Tong Yu, (2003). Do Property and Liability Insurance Underwriting Margins Have Unit Roots?.
Journal of Risk and Insurance, 735-753.
Accepted Contributions
Research in progress
Title:
In Search of Habitat
Description:
We perform portfolio-level analysis to understand investors' preferred-habitat behavior in the government bond market. Based on portfolio durations and portfolio weights across maturities, we find that insurance firms' aggregate government bond portfolio has stable interest rate risk exposure and limited elasticities to market conditions. Across individual insurers, their interest rate risk exposures and portfolio elasticities are related to characteristics of operating liabilities and risk preferences. We provide further evidence that insurers exhibit habitat preferences at both the portfolio duration level and the maturity level, and that operating liabilities restrain insurers' reaching-for-duration behavior during the recent "quantitative easing" era.
Status:
On-Going
Research Type:
Scholarly
Title:
Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market
Description:
This paper examines how liquidity and investors' heterogeneous liquidity preferences interact to affect asset pricing. Using data on insurers' corporate bond holdings, we find that the illiquidity of corporate bond portfolios vary widely across insurers but are highly persistent over time. Moreover, portfolio-level illiquidity is related to firm characteristics indicative of insurers' investment horizons and funding constraints, consistent with the notion of liquidity clientele. We further find that liquidity clienteles affect corporate bond prices -- specifically, liquidity premia are substantially attenuated among corporate bonds heavily held by investors with a weak preference for liquidity.
Status:
On-Going
Research Type:
Scholarly
Presentations
Title:
Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market
Year:
2017
Title:
In Search of Habitat
Year:
2017
Title:
Why do Firms Issue Guaranteed Bonds?
Organization:
Financial Management Association
Location:
Orlando, FL
Year:
2016
Title:
In Search of Habitat
Organization:
International Finance and Banking Society (IFABS) Annual Conference
Location:
Hangzhou, China
Year:
2015
Title:
In Search of Habitat
Organization:
Boston Area Finance Symposium
Location:
Boston
Year:
2015
Title:
Why Do Firms Issue Guaranteed Bonds?
Organization:
Midwest Finance Association
Location:
Chicago
Year:
2015
Title:
In Search of Habitat
Organization:
American Finance Association
Location:
Boston
Year:
2015
Title:
Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele Effect in Corporate Bond Market
Organization:
Financial Intermediation Research Society
Location:
Quebec City
Year:
2014
Title:
Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele Effect in Corporate Bond Market
Organization:
American Finance Association
Location:
Philedelphia
Year:
2014
Title:
Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele Effect in Corporate Bond Market
Organization:
European Finance Association
Location:
Cambridge, UK
Year:
2013
Title:
Mutual Fund Competition and Profiting from the Post Earnings Announcement Drift
Organization:
European Finance Association
Location:
Copenhagen, Denmark
Year:
2012
Title:
Operating Risk and Insurers' Investments in Corproate Bond Market
Organization:
Risk Theory Seminar
Location:
Little Rock
Year:
2011
Title:
In Search of Habitat
Organization:
Allied Social Science Association
Location:
Denver
Year:
2011