All Outputs (2)

The Memory in Return Volatility: An Analysis of Mutual Fund Returns (2024)
Journal Article
Yao, K., Duan, K., Huang, R., & Chevapatrakul, T. (in press). The Memory in Return Volatility: An Analysis of Mutual Fund Returns. International Journal of Finance and Economics,

This paper examines long memory in the return volatility in the cross-section of U.S. mutual funds. Our results provide evidence of this phenomenon. Through univariate analysis, we find that the long memory in mutual fund return volatility is more pr... Read More about The Memory in Return Volatility: An Analysis of Mutual Fund Returns.

Reduced disclosure and default risk: analysis of smaller reporting companies (2024)
Journal Article
Yin, S., Yao, K., Chevapatrakul, T., & Huang, R. (2024). Reduced disclosure and default risk: analysis of smaller reporting companies. Review of Quantitative Finance and Accounting, 63, 355-395. https://doi.org/10.1007/s11156-024-01262-8

We examine the causal effect of reduced disclosure levels on the risk of default. Employing regression discontinuity (RD) design as our main identification strategy and the smaller reporting company rule (SRC rule) as the exogenous source of variatio... Read More about Reduced disclosure and default risk: analysis of smaller reporting companies.