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Some of the material in is restricted to members of the community. By logging in, you may be able to gain additional access to certain collections or items. If you have questions about access or logging in, please use the form on the Contact Page.
This thesis is to identify the underlying structures of multivariate time series and propose a methodology to construct predictive VAR models. Due to the complexity of high dimensions in multivariate time series, forecasting a target...
Statisticians often encounter data in the form of a combination of discrete and continuous outcomes. A special case is zero-inflated longitudinal data where the response variable has a large portion of zeros. These data exhibit...
Motivated by understanding the devastating financial crisis in 2008 that was partially caused by underestimation of financial risk, we propose a class of time-varying mixture models for risk analysis and management. There are various...
We develop a modeling framework to simultaneously evaluate various types of predictability in stock returns, including stocks' sensitivity ("betas") to systematic risk factors, stocks' abnormal returns unexplained by risk factors (...
Longitudinal studies are widely used in various fields, such as public health, clinic trials and financial data analysis. A major challenge for longitudinal studies is repeated measurements from each subject, which cause time dependent...
Negative book equity firms have grown to comprise a substantial subset of the equity market, totaling $893 billion in market value at the end of 2017. Few studies focus on negative book equity firms, leaving our understanding of this...
This study investigates whether labor union strength is associated with the quality of audits and internal control. Labor unions have reason to demand high quality audits and strong systems of internal control because they rely on...
This study examines whether the mandated disclosure of CEO-to-employee pay ratios motivates firms to curb CEO pay. In July 2010, the U.S. Congress directed the SEC, via Section 953(b) of the Dodd-Frank Act, to enforce a rule that...
I examine the effect of the change from incurred loss model to the current expected credit loss (CECL) model on mortgage lending. I find that the extent that the CECL model under ASC 326 exacerbates the lending disparities for low-income...
Prior research suggests auditor resources are quasi-fixed at the office-level: local audit offices operate as semi-autonomous units, and resources are costly to transfer across offices. The objective of this study is to document a...
This study examines the impact of comparability on the extent to which financial statement users detect accruals manipulations and managers manipulate earnings. I predict that comparability enables users to better understand and predict...
Prior studies suggest that industry clustering, the phenomenon where industry-peer firms are geographically co-located, decreases analysts' acquisition costs and leads to greater stock price efficiency for firms within industry clusters....
I examine whether financial reporting transparency ("transparency") differs between firms whose parent entity is strategically incorporated in a tax haven for purposes of tax avoidance (i.e., tax haven firms) and non-tax haven...
Volatility is usually employed to measure the dispersion of asset returns, and it’s widely used in risk analysis and asset management. This first chapter studies a kernel-based spot volatility matrix estimator with pre-averaging approach...
This paper evaluates whether economic uncertainty about the Tax Cuts and Jobs Act of 2017 (TCJA) is associated with an increase in information asymmetry. I use key legislative events preceding the enactment of the TCJA as an exogenous...
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