All Outputs (2)

Business-Linkage Volatility Spillovers Between US Industries (2019)
Journal Article
Xuan, L., Nguyen, D., Mateut, S., & Chevapatrakul, T. (2020). Business-Linkage Volatility Spillovers Between US Industries. Journal of Banking and Finance, 111, Article 105699. https://doi.org/10.1016/j.jbankfin.2019.105699

We examine the volatility transmission across industries and its dependence on the inter-industry business linkages. Our analysis reveals significant cross-industry volatility spillovers, which are clearly associated with the strength of the trade re... Read More about Business-Linkage Volatility Spillovers Between US Industries.

Return asymmetry and the cross section of stock returns (2019)
Journal Article
Xu, Z., Chevapatrakul, T., & Li, X. (2019). Return asymmetry and the cross section of stock returns. Journal of International Money and Finance, 97, 93-110. https://doi.org/10.1016/j.jimonfin.2019.06.005

This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate that the return asymmetry measure helps explain the cross section of stock returns. Consistent with results in Barberis and Huang (2008), our empiric... Read More about Return asymmetry and the cross section of stock returns.