TONGSHU MAAssociate Professor
Office Phone: (607) 777-6692
Fax: (607) 777-4422
Ph.D., University of Minnesota – Twin Cities
M.S., Shanghai Jiao Tong University, China
B.S., East China Normal University, China
Most Significant Publications"Are short sellers informed? New evidence from short sales on financial firms during the recent subprime mortgage crisis," with Ming Liu and Yan Zhang. Financial Review 47 (1), 199-218, 2012.
"The ex-dividend day price behavior of exchange-traded mutual funds," with Tony Ruan. Journal of Financial Research (accepted), 2011.
"The 52-week momentum strategy in international stock markets," with Qianqiu Liu and Ming Liu. Journal of International Money and Finance 30 (1), 180-204, Feb. 2011.
"A jackknife estimator for tracking error variance of optimal portfolios," with Gopal Basak and Ravi Jagannathan. Management Science 55(6), 990-1002, June 2009. An earlier vision also appears as NBER working paper # 10447.
"Are ex-dividend clientele effects dead? Dividend yield versus dividend size," with Keith Jakob. Journal of Empirical Finance 14, 718-735, 2007.
"Limit order adjustment mechanisms and ex-dividend day stock price behavior," with Keith Jakob. Financial Management 34, No 3, 89-101, 2005.
"Tick size, NYSE rule 118, and the ex-dividend day price drop," with Keith Jakob. Journal of Financial Economics 72, No. 3, 605-625, 2004.
"Risk reduction in large portfolios: Why imposing the wrong constraints helps," with Ravi Jagannathan. Journal of Finance 58, No. 4, 1651-1683, 2003.
An earlier version also appears as NBER working paper #8922.
"Order imbalance around ex-dividend days," with Keith Jakob. Journal of Financial Research 26, No. 1, 65-75, 2003.
"Bayesian estimate of security price volatility using high, low, and close prices."
Journal of Financial Engineering 6, No. 2, 99-119, 1997.
Honors and Recognitions
Best Paper Award in Market Microstructure, FMA Annual Meeting, Oct. 2011, Denver, Co.(Joint with Paul Gao, Jia Hao, and Ivalina Kalcheva).
Morgan Stanly Equity Market Microstructure Research Grant (joint with Hank Bessembinder, Jia Hao, and Paul Gao), 2005-2006.