Associate Professor & PhD Director, Lancaster University
Dr. Chelsea Yao
Associate Professor of Accounting and Finance and Director of PhD program at Lancaster University Management School. Visiting Research Professor at NYU Stern. PhD in Finance from the University of Melbourne. Published on ESG ratings, climate disclosure, green investments, momentum, and machine learning.
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Selected Publications
2026
The Determinants of ESG Ratings: Rater Ownership Matters.
Journal of Accounting Research, 64, 1087–1130. Co-authors: Dragon
Tang and Jiali Yan. Published version.
Firms 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, FMA, New York, 2020
2025
Understanding Stock Price Behavior around External Financing.
Journal of Corporate Finance 91, 102730. Co-authors: Spencer Martin and
Min
Cao. Published version.
The level of cash flows plays a critical role in the net issuance puzzle of
pre-financing price run-ups and post-financing price drift-downs.
Presented at Carnegie Mellon, Rutgers, SMU, NUS, NTU, HKUST, Fudan,
SUFE
2025
Corporate Social Responsibility and Insider Horizon. Journal of
Corporate Finance 90, 102696. Co-authors: Mark
Shackleton and Ziran Zuo.
Published version
The horizon of insiders is positively related to firms' corporate social
responsibility performance.
2024
The Value of Growth: Changes in Profitability and Future Stock
Returns. Journal of Banking and Finance 158, 107036. Co-authors: Bryan Lim, Juan
Sotes-Paladino, and George
Wang. Published version
The magnitude and length of profitability growth play a key role in
determining stock returns.
Semifinalist for Best Paper Award, FMA, Boston, 2017
2022
What Drives a Firm's ES Performance? Evidence From Stock
Returns. Journal of Banking and Finance 136, 106304. Co-authors: Mark
Shackleton and Jiali Yan. Published version
Worse stock market performance increases firms' efforts on environmental and
social activities.
AFA Annual Meeting PhD Poster Session, Philadelphia, January 2018
2018
Time-Series Momentum in Nearly 100 Years of Stock Returns.
Journal of Banking and Finance 97, 283–296. Co-authors: Bryan Lim and George
Wang. SSRN
Strong time-series momentum effects are present in individual stocks from 1927
to 2017 and in international markets.
Semifinalist for Best Paper Award, FMA, Las Vegas, 2016
2017
Macroeconomic Risk and Seasonality in Momentum Profits. Journal
of Financial Markets 36, 76–90. Co-authors: Spencer Martin and Xiuqing Ji.
Published version
Winner and loser stocks only differ in macroeconomic factor loadings during
January, when losers overwhelmingly outperform winners.
Best Track Award, Academy of Finance, United States, 2017
2017
Starting on the Wrong Foot: Seasonality in Mutual Fund
Performance. Journal of Banking and Finance 82, 133–150. Co-authors: Stephen
Brown, Juan Sotes-Paladino and George
Wang. Published version
Active domestic mutual funds underperform only in the first month of a
quarter.
Semifinalist for Best Paper Award, FMA, Las Vegas, 2016 & CICFS,
2016
2012
Momentum, Contrarian and the January Seasonality. Journal of
Banking and Finance 36, 2757–2769. Single author. Published version
Long-term contrarian is attributable to the classic January size effect;
intermediate-term momentum is due to strong January seasonality.
Selected Ongoing Research
Beyond Greenwashing: ESG Disclosure Content and Investor
Responses.
Co-authors: Tao
Shu
and Da
Chen.
Presented at GRASFI PhD Workshop, 17th Annual Hedge Fund Research Conference
PhD Poster
ETF Rebalancing, Hedge Fund Trades, and Capital Market, R&R
at
Review of Asset Pricing Studies. Co-authors: George
Wang
and Adina Yelekenova.
We document the potential cost of ETFs rebalancing due to their embedded
transparency, creating 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
and Adina Yelekenova.
Finalist for CFA Institute Asia-Pacific Research Exchange Award
The Price of Emissions: Carbon Risk in the European Equity
Market.
Co-authors: Lewei He,
Harald Lohre
and Ingmar Nolte.
AFA PhD Poster Session, January 2026; Inquire 2026 Spring Seminar
Green Before the Bell? Environmental Risk and the Decision to Go
Public.
Co-authors: Jesse
Wang
and Yi Zou.
Presented at Oxford Climate Finance Workshop
Honours & Awards
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Finalist for CFA Institute Asia-Pacific Research Exchange Award,
2024
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Research Incentive Fund, Lancaster University, 2024
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Research Incentive Fund, Lancaster University, 2022
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Research Catalyst Fund, Lancaster University, 2022
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Semifinalist for Best Paper Award, FMA, New York, 2020
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Most Promising Project Award, ESRC DTP Workshop, Liverpool, 2019
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Best Track Award, Academy of Finance, United States, 2017
→
Semifinalist for Best Paper Award, FMA, Las Vegas, 2016 (x2
papers)
→
Semifinalist for Best Paper Award, CICFS, National Sun Yat-Sen
University, 2016
→
Pump-Priming Research Grant, Lancaster University, 2014
→
Dean's Award for Research Excellence, University of Melbourne,
2013
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AFA Doctoral Travel Award, United States, 2012
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Overseas Travel Scholarship for NYU Stern, University of
Melbourne, 2012
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Finance Research Scholarship, University of Melbourne, 2009-2013
→
Ormond College Scholarship, University of Melbourne, 2010-2013
Conferences & Invited Seminars
2026
The Global Research Alliance for Sustainable Finance and
Investment Conference (x2 papers), August(scheduled)
The FIRN Asset Management Meeting Conference,
July(scheduled)
Inquire 2026 Spring Seminar, March
AFA PhD Poster Session, January
17th Annual Hedge Fund Research Conference, January
2025
Oxford Climate Finance Workshop, July
The Fifth Israel Behavioral Finance Conference, June
Reading University, February
2024
Shanghai University of Finance and Economics, December
Fudan University, December
Loughborough University, October
BELM Corporate Finance Conference, September
Quoniam Asset Management, February
2023
East China Normal University, December
Shanghai University of IBE, December
Monash University, December
Melbourne Asset Pricing Meeting, October
FMA Chicago (x2 papers), October
JCF SI Conference, Hanken, August
CICF, discussion, July
12th Portuguese Financial Network, July
Liverpool University, June
EFMA (x2 papers), June
Bloomberg NY Roundtable on ESG, June
16th Behavioral Finance WG Conference, June
LUMS TSM WHU PhD Workshop, May
2022
Paris Financial Management Conference, December
Queen's University Belfast, October
FMA meeting, October
9th Corporate Finance Conference, September
CICF, discussion, July
6th Shanghai-Edinburgh-London Green Finance, May
Finance Down Under, Melbourne, March
2021
Paris December Finance Meeting, December
CSR Conference, Development Bank of Japan, November
Xi'an Jiaotong University, September
Peking University, September
Central South University, September
CAFR 2021 ESG Conference, September
EFA Annual Meeting, Bocconi, August
7th Young Finance Scholars' Conference, July
28th Finance Forum, Nova, June
37th French Finance Association, May
2020
Iowa University, October
FMA Annual Meeting, New York, October
NFA Annual Meeting, September
Green and Ethical Finance, SMU, September
ESG Risks, Venice, September
2019
SFS Cavalcade Asia-Pacific, Hong Kong, December
9th Annual SKBI Conference, Singapore, November
Green Finance Workshop, Tsinghua, October
CSR Conference, WHU, October
University of Amsterdam, September
GRASFI Conference, Oxford, September
16th Corporate Finance Day, Groningen, September
EFMA Annual Meeting, June
Strategy & Engagement, Cambridge Judge, May
Mutual Funds Conference, Lancaster, April
2018
30th AFBC, Sydney, December
Aston University, November
CSR Conference, Chicago, November
East China Normal University, November
AFA PhD Poster Session, Philadelphia
2017
FMA Annual Meeting, Boston, October
INFINITI Conference, June
Loughborough University, June
2016
29th AFBC, December
CICFS, Sun Yat-Sen University, December
11th CAFM, December
6th FIRN Conference, November
FMA Annual Meeting, October (x2)
Capital University of Economics and Business, September
Zhongnan University, July
Asian Finance Association, June (x2)