Tong Yu

Headshot of Tong Yu

Tong Yu

Professor, Department of Finance, Real Estate, and Insurance and Risk Management

2334 Carl H. Lindner Hall

513-556-7110

Tong Yu is a Professor of Finance in the Lindner College of Business at the University of Cincinnati. His teaching and research interests are on asset pricing, risk management and insurance, and investments of institutional investors. He published works in academic journals such as the Journal of Financial Economics, Journal of Accounting Research, Journal of Financial Intermediation, Journal of Banking and Finance, and Journal of Risk and Insurance. Professor Yu received the Early Career Scholastic Achievement Award from the American Risk and Insurance Association in 2011.

Download vita.

Teaching Interest
Risk Management, Fixed Income Securities Analysis, Investments

Research Interest
Empirical Asset Pricing, Risk Management, and Institutional Investments

History
Institution: University of Cincinnati
Title: Professor

Institution: University of Rhode Island
Title: Professor
End Date: 2015-07-31

Institution: University of Rhode Island
Title: Associate Professor
End Date: 2013-07-31

Institution: University of Rhode Island
Title: Assistant Professor
End Date: 2007-07-31

Awards | Honors
Organization: Lindner College of Business, University of Cincinnati
Name: Dean's List of Teaching Excellence
Year Received: 2018

Organization: Lindner School of Business, University of Cincinnati
Name: Dean's List of Teaching Excellence
Year Received: 2018

Organization: Lindner School of Business, University of Cincinnati
Name: Nominee of Undergraduate Teaching Award
Year Received: 2018

Organization: Lindner School of Business, University of Cincinnati
Name: Dean's List of Teaching Excellence
Year Received: 2017

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

Education
Institution: University of South Carolina
Completed: 2001
Degree: Ph D

Institution: Georgia State University
Completed: 1996
Degree: MBA

Institution: Fudan University
Completed: 1990
Degree: BA

Published Contributions
George Xiang, Tong Yu, (2019). Tilt Nickels to Diamonds: An Orthogonization Approach. Journal of Investment Management.

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
Alan Huang, Wenfeng Wu, Tong Yu, (Accepted). Textual Analysis for China’s Financial Markets: A Review and Discussion. China Finance Review.

Mark Liu, Wenfeng Wu, Tong Yu, (Accepted). Information, Incentives, and Effects of Risk-Sharing on the Real Economy. Pacific-Basin Finance Journal.

Fang Chen, Jing-Zhi Huang, Zhenzhen Sun, Tong Yu,  (Accepted). Why Do Firms Issue Guaranteed Corporate Bonds?. Journal of Banking and Finance.

Jing-Zhi Huang, Zhenzhen Sun, Tong Yao, Tong Yu,  (Accepted). Liquidity Premium in the Eye of Beholder: An Analysis of the Clientele Effect in Corporate Bond Market. Management Science.

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: Rainy Day Liquidity
Organization: University of Cincinnati
Location: Chicago
Year: 2018

Title: Why Do Firms Issue Guaranteed Bonds?
Location: Chicago
Year: 2018

Title: Burden or Incentive? Global Evidence on Corporate Pension Funding and Corporate Investments
Location: Seoul
Year: 2018

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