TONGSHU MA

Ph.D., University of Minnesota – Twin Cities
MS, Shanghai Jiao Tong University, China
BS, East China Normal University, Shanghai, China

Most Significant Publications

“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.

“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.

“Limit order adjustment mechanisms and ex-dividend day stock price behavior,” with Keith Jakob. Financial Management 34, No 3, 89-101.

“Bayesian inference for security price volatility using daily high and low prices,” Journal of Financial Engineering 6, No. 2, 99-119, 1997.

“Order imbalance around ex-dividend days,” with Keith Jakob. Journal of Financial Research, 26, No. 1, 65-75, 2003.

“The economic growth of central and eastern Europe in comparative perspective: 1870-1989.” with David F. Good. European Review of Economic History 3, No.2, 103-137, 1999.

“New estimates of income levels in central and eastern Europe, 1870-1910,” with David F. Good. in Franz Balzarek, Felix Butscheck, and Gunther Tichy, eds. Von der Theorie zur Wirtschaftspolitic-ein _sterreichischer Weg. Festschriftzum 65. Geburtstag von Erich Streissler (Stuttgart: Lucius/Lucius Verlagsgesellschaft mbH.), 147-168, 1998.

Invited book review of “Efficient Asset Management,” (by Richard Michaud, Harvard Business School Press, 1998), Review of Financial Studies, July 2001.

“Assessing the risk in sample efficient portfolios,” with Gopal Basak and Ravi Jagannathan, NBER working paper # 10447.

“Analyst earnings forecast and equity return anomalies,” with Ravi Jagannathan and Antonio Baldaque da Silva.

“Prospect theory and the long-run performance of IPO stocks,” with Yiyu Shen.

“Are ex-dividend clientele effects dead? Dividend yield versus dividend size,” with Keith Jakob.

“Shortsale constraints and the weekend effect: The case of Hong Kong,” with Paul Gao and Ivalina Kalcheva.

“On testing the CAPM using a subset of assets.”

Honors and Recognitions

• Morgan Stanly Equity Market Microstructure Research Grant (joint with Hank Bessembinder, Jia Hao, and Paul Gao), 2005.

• Distinguished Instructor, Department of Economics, University of Minnesota, 1994.

• Distinguished Teaching Assistant, Department of Economics, University of Minnesota, 1993, 1994, 1995.

• Summer Research Grant, David Eccles School of Business, multiple years.