His teaching and research interests are on asset pricing, risk management and insurance, and investments of institutional investors. He published works in academic journals such as the Journal of Financial Economics, Management Science, Journal of Accounting Research, Review of Asset Pricing Studies, Journal of Financial Intermediation, Journal of Banking and Finance, Journal of Corporate Finance, and Journal of Risk and Insurance. 

Professor Yu received the Early Career Scholastic Achievement Award from the American Risk and Insurance Association in 2011 and Michael L. Dean Excellence in Classroom Education & Learning Excel Graduate Teaching Award, Lindner College of Business, University of Cincinnati.