Dr. Chelsea Yao

My name is Chelsea Yao. I am Associate Professor (Senior Lecturer) in Finance at Lancaster University Management School. I am also Visiting Research Professor at New York University's Stern School of Business from 8/2019 to 7/2021, where I held the same position from 3/2015 to 8/2015. I received my PhD in Finance from the University of Melbourne. My research interests lie in ESG ratings, green investments, machine learning, and fund management.

Forthcoming events:
Frontiers of Factor Investing Conference in January 2021

Past conference:
Mutual Funds, Hedge Funds and Factor Investing

Professor Chelsea Yao

Selected Publications

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
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. SSRN version
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. SSRN version
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. SSRN version

Ongoing Research

The Value of Growth: Changes in Profitability and Future Stock Returns, with Bryan Lim (Melbourne), Juan Sotes-Paladino (Universidad de los Andes), and George Wang(Lancaster), 3rd Round Revise and Resubmit, Journal of Financial and Quantitative Analysis.
Semifinalist for Best Paper Award, FMA Annual Meeting, Boston, 2017
Understanding stock price behavior around external financing, with Spencer Martin (Melbourne) and Min Cao (CUNY)
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
What Drives a Firm's ES Performance? Evidence from Stock Returns, with Mark Shackleton (Lancaster) and Jiali Yan (Liverpool).
Green and Ethical Finance Conference, September 2020
The Second Conference on CSR, the Economy and Financial Markets, DePaul University, November 2018
Strategy and Tactics for Effective Engagement, Cambridge Judge, May 2019
AFA Annual Meeting PhD Poster Session, Philadelphia, January 2018

Honours and Awards

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

Conferences & Invited Seminars

2020
Iowa University, virtual seminar, October 2020
FMA Annual Meeting, New York, virtual conference, October 2020
NFA Annual Meeting, virtual conference, September 2020
ADBI-JBF-SKBI 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)