Dr. Chelsea Yao
My name is Chelsea Yaqiong Yao. I am Associate Professor (Senior Lecturer) of Accounting and Finance and Director of PhD program 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, ESG disclosure, climate-related disclosure, green investments, machine learning, artificial intelligence, textual analysis, mutual funds, exchange traded funds, hedge funds, momentum, contrarian, profitability, and seasonality.
I serve as the local faculty coordinator for the Financial Economics of Climate and Sustainability (FECS) program. Feel free to reach out if you’d like to learn more.
Selected Publications
The Determinants of ESG Ratings: Rater Ownership Matters, forthcoming at Journal of Accounting Research. Co-authors: Dragon Tang and Jiali
Yan .
One sentence summary: Firms that are held by common institutional investors who also own stakes in the ESG rating agency tend to receive higher ESG ratings.
Presented at SFS Cavalcade Asia Pacific, European Finance Association, Paris December Finance Conference, Finance Down Under.
Semifinalist for Best Paper Award, Financial Management Association, New York, 2020
Understanding
Stock Price Behavior around External Financing, 2025, Journal of Corporate Finance, 91, 102730. Co-authors: Spencer Martin
and
Min Cao. Published version.
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, Fudan University, Shanghai University of Finance and Economics
Corporate Social Responsibility and Insider Horizon, 2025, Journal of Corporate Finance, 90, 102696. Co-authors: Mark Shackleton and Ziran Zuo.
Published version
One sentence summary: The horizion of insiders (i.e., directors and managers) is positively related to firms’ corporate social responsibility performance.
The Value of
Growth: Changes in Profitability and Future Stock Returns, 2024, Journal of Banking and Finance, 158, 107036. Co-authors: Bryan Lim, Juan
Sotes-Paladino,
and George
Wang. Published version
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
What Drives a
Firm's ES Performance? Evidence From Stock Returns, 2022, Journal of Banking and Finance, 136, 106304. Co-authors: Mark Shackleton and Jiali
Yan . 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, 2018,
Journal of Banking and Finance, 97, 283-296. Co-authors: Bryan Lim, and
George Wang. 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, 2017, Journal
of Financial
Markets, 36, 76-90. Co-authors: Spencer
Martin, and Xiuqing Ji. 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, 2017, Journal of Banking and Finance, 82, 133-150. Co-authors: Stephen Brown, Juan Sotes-Paladino, and
George
Wang. 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, 2012, Journal of Banking and Finance, 36, 2757-2769. Single author. 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.
Selected Ongoing Research
ETF Rebalancing, Hedge Fund Trades, and Capital Market, R&R at Review of Asset Pricing Studies. Co-authors: George Wang
and Adina Yelekenova.
One sentence summary: We document the potential cost of ETFs rebalancing due to their embedded transparency and predictability, which creates anticipatory arbitrage trading by hedge funds.
Presented at Melbourne Asset Pricing Meeting; Featured in Duke FinReg Blog
Against the Trend: Hedge Funds on the Other Side of Green Investing. Co-authors: George Aragon, George Wang and Adina Yelekenova. Working in progress.
Finalist for CFA Institute Asia-Pacific Research Exchange Award
Honours and Awards
Finalist for CFA Institute Asia-Pacific Research Exchange Award, 2024
Research Incentive Fund, Lancaster University Management School, 2024
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
2025
The Fifth Israel Behavioral Finance Conference, June, postponed
Reading University, February
2024
Shanghai University of Finance and Economics, December
Fudan University, December
Loughborough University, October
Bristol-Exeter-Lancaster-Manchester Corporate Finance Conference, September
Quoniam Asset Management, February
2023
East China Normal University, December
Shanghai University of International Business and Economics, December
Monash University, December
Melbourne Asset Pricing Meeting, October
FMA Chicago (x2 papers), October
JCF SI Conference 2023 at Hanken School of Economics, August
China International Conference in Finance, discussion, July
12th Portuguese Financial Network Conference, July
Liverpool University, June
EFMA (x2 papers), June
Bloomerg New York Roundtable on ESG and Climate Risk Measurement, June
16th Behavioral Finance Working Group International Conference, June
LUMS TSM WHU PhD Workshop, May
2022
Paris Financial Management Conference, December 2022
Queen's University Belfast, October 2022
FMA meeting, October 2022
9th Corporate Finance Conference, discussion, September 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)