Yao, Chen (Alison)（姚琛） BS (Tulane University); PhD (University of Illinois at Urbana-Champaign)



Associate Professor
ContactDepartment of Finance

Room 1252, 12/F
Cheng Yu Tung Building
12 Chak Cheung Street
Shatin, N.T., Hong Kong

+852 3943 3215

chenyao@cuhk.edu.hk


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Curriculum Vitae

BiographyProf. Chen (Alison) Yao is an Associate Professor in the Department of Finance at The Chinese University of Hong Kong (CUHK) Business School. Her primary research interests are empirical asset pricing, market microstructure, and high-frequency trading. Her work on odd-lot trades has a wide policy impact which leads to changes in the US trade reporting rules. Her researches have been published in the Journal of Finance, Review of Financial Studies, and Journal of Financial Economics. Before joining CUHK, she was an Assistant Professor of Finance at Warwick Business School in the United Kingdom from 2013 to 2017. Prof. Yao holds a Ph.D. in Finance from the University of Illinois at Urbana-Champaign. She received her BS in Mathematics with Summa Cum Laude from Tulane University in the United States.
Teaching AreaFinancial Management
Research InterestsEmpirical Asset Pricing
Market Microstructure
High-frequency Trading
Publications & Working PapersRui Albuquerque, Shiyun Song and Chen Yao, “The Price Effects of Liquidity Changes: A Study of SEC’s Tick-Size Natural Experiment,”?Journal of Financial Economics,?accepted for publication.
Chen Yao, Yong Chao, and Mao Ye (2019), “Why Discrete Price Fragments U.S. Stock Exchanges and Disperse their Fee Structures?”?Review of Financial Studies,?32(3), 1068-1101.
Chen Yao and Mao Ye (2018), “Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls,”?Review of Financial Studies, 31(6), 2157-2183.
Chen Yao, Yong Chao, and Mao Ye (2017), “Discrete Pricing and Market Fragmentation: A Tale of Two-Sided Markets,”?American Economic Review: Papers and Proceedings, 107(5), 196-199.
Chen Yao, Maureen O’Hara, and Mao Ye (2014), “What’s Not There: The Odd-lot Bias in Market Data,” Journal of Finance, 69(5), 2199-2236.Lead to policy change of trade reporting rules in the United States
Media coverage in Washington Post, Bloomberg BusinessWeek, Bloomberg online news, Traders?Magazine?