Tong Yu

Headshot of Tong Yu

Tong Yu

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

423 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.

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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 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

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

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