http://myweb.uiowa.edu/miaoyu/index_files/image002.gif

 

 

Lin Tong

 

Tippie College of Business

S217 Pappajohn Business Building

Iowa City, IA 52242

 

Cell: 515-509-1112

Office: 319-335-0926

Fax: 319-335-3690

Email: lin-tong@uiowa.edu

 

 

 

 Curriculum Vitae    Research Statement  Teaching Statement

 

 

 

EDUCATION

 

 

Ph.D. candidate in Finance, University of Iowa, 2014 (Expected)

 

Dissertation: “Essays on Mutual Fund Performance”

 

Dissertation Chair: Ashish Tiwari

 

Minor in Statistics

 

 

 

M.S. in Mathematics, Iowa State University, 2009

 

Thesis: "Pricing Mortgages with Default and Prepayment”

 

 

 

B.S. in Mathematics, Nanjing University, 2007

 

 

RESEARCH INTERESTS

 

 

Mutual fund, high frequency trading, behavioral finance, asset pricing

 

 

WORKING PAPERS

 

 

“A Blessing or a Curse: The Impact of High Frequency Trading on Institutional Investors” (job market paper)

 

 

¾       Media coverage: Barron’s (Focus on Funds), Themis Trading,  TABB Forum, etc. 

¾       Presented at University of Iowa

 

 

 

“Investment Decisions under Ambiguity: Evidence from Mutual Fund Investor Behavior,” with Ashish Tiwari and Wei Li

 

¾       To be presented at the American Finance Association (AFA) Annual Meetings 2014, Philadelphia

¾       To be presented at the Financial Management Association (FMA) Annual Meetings and Doctoral Student Consortium 2013, Chicago

¾       Presented at University of Iowa

WORK IN PROGRESS

 

 

“On the Consequences of Mutual Fund Tournaments,” with Ashish Tiwari and Wei Li

 

 

 

“Does Familiarity Breed Good Investments?” with Wei Li and Tong Yao

 

 

ACADEMIC PRESENTATIONS

 

 

American Finance Association (AFA) 2014, Philadelphia  (scheduled)

 

Financial Management Association (FMA) 2013, Chicago

 

Financial Management Association (FMA) Doctoral Student Consortium 2013, Chicago

 

University of Iowa, 2012

 

 

CONFERENCE PARTICIPATION

 

 

Discussant for Financial Management Association (FMA) Annual Meetings 2012, Atlanta

 

Session chair for Financial Management Association (FMA) Annual Meetings 2013, Chicago (scheduled)

TEACHING AND RESEARCH EXPERIENCE

 

 

Instructor (Full Responsibility)

 

06F:100 Introductory Financial Management (Average Evaluation: 5.3/6.0)

 

 

 

Instructor (Discussion Session Leader)

 

06F:100 Introductory Financial Management, 2010-2012 (Average Evaluation: 5.3/6.0)

 

 

 

Teaching Assistant

 

06F:111 Investment Management, 2009

 

06F:117 Corporate Finance, 2010

 

 

 

Research Assistant

 

Professor Tong Yao, 2009-2010

 

Professor Yu Yuan, 2009-2010

 

Professor Yiming Qian, 2011

 

Professor Tyler Leverty, 2012

 

Professor Wei Li, 2012-2013

 

Professor Ashish Tiwari, 2013

 

 

HONORS AND AWARDS

 

 

FMA Doctoral Student Consortium, Chicago, 2013

 

Ponder Fellowship, University of Iowa, 2009-2013

 

Undergraduate Fellowship, Nanjing University, 2003-2007

 

Excellent Graduate Award, Nanjing University, 2007

 

 

PROFESSIONAL EXPERIENCE

 

 

Equity Research Analyst Intern, Shanghai Jun Ting Investment, 2011

 

 

REFERENCES

 

 

Professor Ashish Tiwari (Dissertation Chair), University of Iowa

 

Tel: 319-353-2185,  Email: ashish-tiwari@uiowa.edu

 

 

 

Professor Tyler Leverty, University of Iowa

 

Tel: 319-335-0963,  Email: ty-leverty@uiowa.edu

 

 

 

Professor Wei Li, University of Iowa

 

Tel: 319-335-0911, Email: wei-li@uiowa.edu

 

 

 

Professor Erik Lie, University of Iowa

 

Tel: 319-335-0846, Email: erik-lie@uiowa.edu

 

 

 

Professor Tong Yao, University of Iowa

 

Tel: 319-335-3924,  Email: tong-yao@uiowa.edu

 

MEDIA COVERAGE OF MY RECENT RESEARCH

 

 

Barron’s (Focus on Funds)      Themis Trading   TABB Forum   Floating Path   Cliffkule.com

 

Twitter


WORKING PAPERS

 

 

 

Download full paper

“A Blessing or a Curse: The Impact of High Frequency Trading on Institutional Investors” (job market paper)

 

 

Abstract: This paper examines the impact of high frequency trading (HFT) on the trading costs of traditional institutional investors. Combining data on institutional trading from Ancerno and NASDAQ data on HFT activities of a sample of 120 stocks, I find strong evidence that HFT increases the trading costs of institutional investors. In addition, high frequency (HF) traders are net buyers (sellers) when institutions on average are net sellers (buyers). Periods of increased HFT buying (selling) activity are marked by an increase in the selling (buying) costs of institutional investors. Further analysis rules out an alternative explanation that HF traders are attracted to stocks that have high trading costs. First, HFT is more active on liquid stocks. Second, the results are robust to the control of stable stock liquidity characteristics and events that might jointly affect HFT and trading costs. Third, I analyze the behavior of HF traders in the aftermath of the temporary short selling ban that was imposed on a group of financial stocks in September 2008. For the stocks in my sample that are subject to the short selling ban, HF traders’ market participation was reduced while institutional trading costs rose sharply. This natural experiment highlights the opportunistic nature of the liquidity provision by HF traders. Finally, Granger causality tests show that intensive HFT activity contributes to an increase in trading costs, but not vice versa.

 

 

Download full paper

“Investment Decisions under Ambiguity: Evidence from Mutual Fund Investor Behavior,” with Ashish Tiwari and Wei Li

 

 

Abstract: This study provides novel evidence on the role of ambiguity aversion in determining the response of mutual fund investors to historical fund performance information. We present a model of ambiguity averse investors who receive multiple performance-based signals of uncertain precision about manager skill. A key implication of the model is that when investors receive multiple signals of uncertain quality, they place a greater weight on the worst signal. We
find strong empirical support for this prediction in the data. Fund flows display significantly higher sensitivity to the worst performance measure even after controlling for fund performance at multiple horizons, performance volatility, flow-performance convexity, and a host of other relevant explanatory variables. This effect is particularly pronounced in the case of retail funds in contrast to institutional funds. Our results suggest that fund investor behavior is best characterized as reflecting both Bayesian learning and ambiguity aversion.