Dr. Chelsea Yao

My name is Chelsea Yao. I am Associate Professor (Senior Lecturer) of Finance and PhD Director in Finance at Lancaster University Management School. I was Visiting Research Professor in 2015 and hold the same position from 2019-2023 at New York University Stern School of Business. I received PhD in Finance from the University of Melbourne, Australia, and Master in Finance from Durham University, United Kingdom. I have published on momentum, contrarian, seasonality, mutual funds and firm’s ESG performance. My current research interests lie in ESG ratings, fund’s ESG performance and disclosure, mutual funds and ETFs’ trading.

Announcements:

Professor Chelsea Yao

Selected Publications

What Drives a Firm's ES Performance? Evidence From Stock Returns, with Mark Shackleton and Jiali Yan , 2022, Journal of Banking and Finance, 136, 106304. Published version
One sentence summary: Worse stock market performance increases firms’ efforts on the environmental and social activities.
AFA Annual Meeting PhD Poster Session, Philadelphia, January 2018
Time-Series Momentum in Nearly 100 Years of Stock Returns, with Bryan Lim, and George Wang, 2018, Journal of Banking and Finance, 97, 283-296. SSRN early version
One sentence summary: Strong time-series momentum effects are present in individual stocks in the US markets from 1927 to 2017 as well as in the international markets.
Semifinalist for Best Paper Award, Financial Management Association, Las Vegas, 2016
Macroeconomic Risk and Seasonality in Momentum Profits, with Spencer Martin, and Xiuqing Ji, 2017,Journal of Financial Markets, 36, 76-90. Published version
One sentence summary: Winner and loser stocks only differ in macroeconomic factor loadings during January, the one month when losers overwhelmingly outperform winners.
Best Track Award, Academy of Finance, United States, 2017
Starting on the Wrong Foot: Seasonality in Mutual Fund Performance, with Stephen Brown, Juan Sotes-Paladino, and George Wang, 2017, Journal of Banking and Finance, 82, 133-150. Published version
One sentence summary: Active domestic mutual funds underperform the market and other passive benchmarks only in the first month of a quarter.
Semifinalist for Best Paper Award, Financial Management Association, Las Vegas, 2016
Semifinalist for Best Paper Award, 24th Annual Conference on the Theories and Practices of Securities and Financial Markets at National Sun Yat-Sen University, 2016
Momentum, Contrarian and the January Seasonality, single author, 2012, Journal of Banking and Finance, 36, 2757-2769. Published version
One sentence summary: Long-term contrarian is entirely attributable to the classic January size effect and intermediate-term momentum is due to strong January seasonality in the cross-section of returns.

Ongoing Research

The Determinants of ESG Ratings: Rater Ownership Matters, with Dragon Tang and Jiali Yan .
One sentence summary: Firms held by the same investors who own the ESG rater receive higher ESG ratings.
SFS Cavalcade Asia Pacific, December 2019
Semifinalist for Best Paper Award, Financial Management Association, New York, 2020
European Finance Association, August 2021
Corporate social responsibility and insider horizion, with Mark Shackleton and Ziran Zuo.
One sentence summary: The horizion of insiders (i.e., directors and managers) is positively related to firms’ corporate social responsibility performance.
CAFR 2021 - Environmental, Social and Governance Reporting and Investing, September 2021
The Value of Growth: Changes in Profitability and Future Stock Returns, with Bryan Lim , Juan Sotes-Paladino , and George Wang, R&R.
One sentence summary: The magnitude and the length of the profitability growth play a key role in determining stock returns.
Semifinalist for Best Paper Award, FMA Annual Meeting, Boston, 2017
Understanding Stock Price Behavior around External Financing, with Spencer Martin and Min Cao.
One sentence summary: The level of cash flows plays a critical and previously unrecognized role in the net issuance puzzle of pre-financing price run-ups and post-financing price drift-downs.
Presented at Carnegie Mellon University, Rutgers Business School, Singapore Management University, National University of Singapore, Nanyang Technological University, Hong Kong University of Science and Technology

Honours and Awards

Research Incentive Fund, Lancaster University Management School, 2022
Research Catalyst Fund, Lancaster University Management School, 2022
Semifinalist for Best Paper Award, Financial Management Association, New York, 2020
Most Promising Project Award, ESRC Doctoral Training Partnership Workshop, Liverpool, 2019
Best Track Award, Academy of Finance, United States, 2017
Semifinalist for Best Paper Award, Financial Management Association, Las Vegas, 2016 (x2 papers)
Semifinalist for Best Paper Award, 24th Annual Conference on the Theories and Practices of Securities and Financial Markets at National Sun Yat-Sen University, 2016
Pump-Priming Research Grant, Lancaster University, UK, 2014
Dean's Award for Research Excellence, University of Melbourne, Australia, 2013
American Finance Association Doctoral Travel Award, United States, 2012
Overseas Travel Scholarship for Visiting NYU Stern, University of Melbourne, Australia, 2012
Finance Research Scholarship, University of Melbourne, Australia, 2009-2013
Ormond College Scholarship, University of Melbourne, Australia, 2010-2013

Conferences & Invited Seminars

2022
Queen's University Belfast, scheduled, October 2022
FMA meeting, scheduled, October 2022
China International Conference in Finance, discussion, July 2022
6th Shanghai-Edinburgh-London Green Finance Conference, May 2022
Finance Down Under, Melbourne, March 2022
2021
Paris December 2021 Finance Meeting, virtual conference, December 2021
The Fourth CSR, the Economy and Financial Market Conference, Development Bank of Japan, virtual conference, November 2021
Xi'an Jiaotong University School of Economics and Finance, virtual seminar, September 2021
Peking University Institute of New Structural Economics, virtual seminar, September 2021
Central South University Business School, virtual seminar, September 2021
CAFR 2021 - Environmental, Social and Governance Reporting and Investing, virtual conference, September 2021
EFA Annual Meeting, Bocconi, virtual conference, August 2021
7th International Young Finance Scholars' Conference, Oxford, virtual conference, July 2021
The 28th Finance Forum, Nova, virtual conference, June 2021
37th International Conference of the French Finance Association, virtual conference, May 2021
2020
Iowa University, virtual seminar, October 2020
FMA Annual Meeting, New York, virtual conference, October 2020
NFA Annual Meeting, virtual conference, September 2020
Green and Ethical Finance Conference, SMU, virtual conference, September 2020
Environmental, Social and Governance Risks, Venice, virtual conference, September 2020
2019
SFS Cavalcade Asia-Pacific, December, Hong Kong, December 2019
9th Annual SKBI Conference Asia, Singapore, November 2019
International Workshop on Green Finance and ESG Analysis, Tsinghua University, October 2019
The Third CSR, the Economy and Financial Market Conference, WHU, October 2019
University of Amsterdam, September 2019
GRASFI Conference, Oxford University, September 2019
The 16th Corporate Finance Day, University of Groningen, September 2019
The European Financial Management Annual Meeting, June 2019
Strategy and Tactics for Effective Engagement, Cambridge Judge, May 2019
Mutual Funds, Hedge Funds and Factor Investing Conference, LancasterUniversity, April 2019
2018
30th Australian Finance and Banking Conference, Sydney, December 2018
Aston University, November 2018
The Second Conference on CSR, the Economy and Financial Markets, Chicago, November 2018
East China Normal University, November 2018
AFA 2018 Annual Meeting PhD Poster Session, Philadelphia, January 2018
2017
FMA Annual Meeting, Boston, October 2017
INFINITI Conference in International Finance, June 2017
Loughbough University, June 2017
2016
29th Australasian Finance and Banking Conference, December 2016
24th Conference on the Theories and Practices of Securities and Financial Markets, December 2016
11th International CAFM, December 2016
6th FIRN Conference, November 2016
FMA Annual Meeting, October 2016(x2 papers)
Capital University of Economics and Business, September 2016
Zhongnan University of Economics and Law, July 2016
Asian Finance Association Annual Meeting, June 2016(x2 papers)