Find us on Facebook Find us on LinkedIn Follow us on Twitter Subscribe to our YouTube channel

Juan Yao

Juan Yao

BEc Lanzhou; McCom PhD Curtin
Lecturer

Rm 442
H69 - Economics and Business Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9351 7650
Fax +61 2 9351 6461
juan.yao@sydney.edu.au


Bio

Juan's research is focused in the areas of: asset pricing; investment & portfolio management; applied econometrics; and behavioral finance.

Publications

2014

4
Journal Article/s

Yao J, Ma C and He WP 2014 'Investor herding behaviour of Chinese stock market', International Review of Economics and Finance, vol.29, pp. 12-29 Link

Yao J 2014 'Market Segmentation, Information Asymmetry and Investor Responses in the Chinese A- and B-Markets', Australasian Accounting Business and Finance Journal, vol.8:1, pp. 79-100 Link

5
Conference Paper/s

Yao J and Lee HS 2014 'Hedge Fund Lifetime, Survival Probability and Economic Condition', 2014 China Meeting of the Econometric Society, Xiamen, China, 27th June 2014

2013

4
Journal Article/s

Yao J, Partington G and Stevenson M 2013 'Predicting the Directional Change in Consumer Sentiment', Australian Journal of Management, vol.38:1, pp. 67-80 Link

5
Conference Paper/s

Yao J, Wilkens M, Jeyasreedharan N and Oehler P 2013 'Measuring the Performance of Hedge Funds Using Two-staged Endogenous Benchmarks', World Finance & Banking Symposium, Beijing, China, 17th December 2013

2012

4
Journal Article/s

Yao J 2012 'Semi-Parametric Examination of Industry Risk: The Australian Evidence', Australian Economic Papers, vol.51:4, pp. 228-46 Link

5
Conference Paper/s

Lee HS, Stevenson M and Yao J 2012 'Forecasting Failure Probabilities of Hedge Funds - A Survival Approach', World Finance & Banking Symposium, Shanghai, China, 18th December 2012

2011

6
Conference Proceeding/s

Ma C and Yao J 2011 'Information efficiency, market segmentation and investor herding – evidence from the Chinese Stock Market', Macao International Symposium on Accounting and Finance 2011, Macao, China, 24th November 2011

2010

6
Conference Proceeding/s

Xiao J, Lu J, Chin KL, Xu J and Yao J 2010 'Cross-cultural learning challenges and teaching strategies for first-year Asian students in Australian universities', 2nd International Conference on Computer Supported Education CSEDU 2010, Valencia, Spain, 10th April 2010

Xiao J, Lu J, Chin KL, Yao J and Xu J 2010 'Challenges and strategies in teaching first-year Asian international students in Australian universities', Proceedings of the Twelfth Australasian Computing Education Conference ACE2010, Brisbane, Australia, 22nd January 2010

Lu J, Chin KL, Yao J, Xu J and Xiao J 2010 'Cross-cultural education: learning methodology and behavior analysis for Asian students in IT field of Australian universities', Proceedings of the Twelfth Australasian Computing Education Conference ACE2010, Brisbane, Australia, 22nd January 2010

2009

6
Conference Proceeding/s

Lu J, Chin KL, Yao J, Xu J and Xiao J 2009 'Cross-cultural teaching and learning methodology analysis for Asian students in Australian universities', Proceedings of International Academic Conference on Innovation in Teaching and Management of High Education ICITM 2009, Shah Alam, Malaysia, 23rd December 2009

Lee HS, Stevenson M and Yao J 2009 'How likely do funds fail?', 17th Conference on the Theories and Practices of Securities and Financial Markets 2009, Kaohsiung, Taiwan, 12th December 2009

Yao J 2009 'The semi-parametric examination of industry risk: the Australian evidence', Australian Conference of Economists ACE09, Adelaide, Australia, 30th September 2009

Yao J 2009 'The Semi-Parametric Examination of Industry Risk: The Australian Evidence', 29th Annual International Symposium on Forecasting, Hong Kong, (China), 24th June 2009

2008

5
Conference Paper/s

Comerton-Forde C and Yao J 2008 'Investor responses to earning announcements: A comparison of Chinese A and B stock markets', European Financial Management Association 2008 - 17th Annual Meeting (EFMA 2008), Athens, Greece, 28th June 2008 Link

Yao J, Partington G and Stevenson M 2008 'Predicting the Directional Change in Consumer Sentiment', 28th International Symposium on Forecasting, Nice, France, 25th June 2008

2006

4
Journal Article/s

Yao J and Alles L 2006 'Industry return predictability, timing and profitability', Journal of Multinational Financial Management, vol.16:2, pp. 122-141

2005

4
Journal Article/s

Yao J, Gao J and Lakshman A 2005 'Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information', Pacific-Basin Finance Journal, vol.13:2, pp. 225-245 Link

Yao J, Partington G and Stevenson M 2005 'Run length and the predictability of stock price reversals', Accounting and Finance, vol.45:4, pp. 653-671

5
Conference Paper/s

Yao J 2005 'Maximum predictability of Australian industry stock returns', Global Finance Conference, Dublin, Ireland, 29th June 2005

2004

4
Journal Article/s

Yao J and Gao J 2004 'Computer-intensive time-varying model approach to the systematic risk of Australian industrial stock returns', Australian Journal of Management, vol.29:1, pp. 121-145 Link

2003

5
Conference Paper/s

Yao J and Alles L 2003 'Industry return predictability, market timing and profitability', 16th Annual Australasian Finance and Banking Conference, Sydney, NSW, Australia, 20th December 2003

2002

5
Conference Paper/s

Yao J 2002 'Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information', APFA/ PACAP/ FMA Finance Conference, Tokyo, Japan, 1st - 31st July 2002

Yao J and Gao J 2002 'Computer - intensive: Time varying model approach to the systematic risk of Australian industrial stock returns', 2002 AFPA/PACAP/FMA Finance Conference, Niigata, Japan, 17th July 2002

2001

5
Conference Paper/s

Yao J, Gao J and Alles L 2001 'Time-varying systematic risk of Australian industrial stock returns: A Kalman filter approach', 30th Annual Conference of Economists, Perth, WA, Australia, 1st - 30th September 2001

1998

5
Conference Paper/s

Yao J and Peter V 1998 'Tax policy and its effect on Chinese liberalized economy', China and Zhuhai in the Globalization of the World Economy, Guangdong, China, 1st January 1998-31st December 1998

Research Expertise

  • Investor behavior and stock market dynamics
  • Microstructure of Chinese stock market
  • Stock market cycles and business condition
  • Stock market predictability

Recent Units Taught