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:
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


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


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


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)